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• Amortising_IR_Swap_Capped.xml

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cdm-sample-files.ore-1-0-39.Amortising_IR_Swap_Capped.xml Maven / Gradle / Ivy

<Portfolio>
<Trade id="Capped_swap_amortising">
    <TradeType>Swap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id> 001A123BCDEFGH45XY98 </party_id>
            <valuation_date> 2018-11-15 </valuation_date>
        </AdditionalFields>
    </Envelope>
    <SwapData>
        <LegData>
            <LegType>Fixed</LegType>
            <Payer>false</Payer>
            <Currency>GBP</Currency>
            <Notionals>
                <Notional>3000000</Notional>
                <Notional>2800000</Notional>
                <Notional>2600000</Notional>
                <Notional>2400000</Notional>
                <Notional>2200000</Notional>
                <Notional>2000000</Notional>
                <Notional>1800000</Notional>
                <Notional>1600000</Notional>
                <Notional>1400000</Notional>
                <Notional>1200000</Notional>
                <Notional>1000000</Notional>
                <Notional>800000</Notional>
                <Notional>600000</Notional>
                <Notional>400000</Notional>
                <Notional>200000</Notional>
            </Notionals>
            <DayCounter>ACT/365</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <FixedLegData>
                <Rates>
                    <Rate>0.04</Rate>
                </Rates>
            </FixedLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20161019</StartDate>
                    <EndDate>20311019</EndDate>
                    <Tenor>1Y</Tenor>
                    <Calendar>UK</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
        <LegData>
            <LegType>Floating</LegType>
            <Payer>true</Payer>
            <Currency>GBP</Currency>
            <Notionals>
                <Notional>3000000</Notional>
                <Notional>3000000</Notional>
                <Notional>2800000</Notional>
                <Notional>2800000</Notional>
                <Notional>2600000</Notional>
                <Notional>2600000</Notional>
                <Notional>2400000</Notional>
                <Notional>2400000</Notional>
                <Notional>2200000</Notional>
                <Notional>2200000</Notional>
                <Notional>2000000</Notional>
                <Notional>2000000</Notional>
                <Notional>1800000</Notional>
                <Notional>1800000</Notional>
                <Notional>1600000</Notional>
                <Notional>1600000</Notional>
                <Notional>1400000</Notional>
                <Notional>1400000</Notional>
                <Notional>1200000</Notional>
                <Notional>1200000</Notional>
                <Notional>1000000</Notional>
                <Notional>1000000</Notional>
                <Notional>800000</Notional>
                <Notional>800000</Notional>
                <Notional>600000</Notional>
                <Notional>600000</Notional>
                <Notional>400000</Notional>
                <Notional>400000</Notional>
                <Notional>200000</Notional>
                <Notional>200000</Notional>
            </Notionals>
            <DayCounter>ACT/365</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <ScheduleData>
                <Rules>
                    <StartDate>20161019</StartDate>
                    <EndDate>20311019</EndDate>
                    <Tenor>6M</Tenor>
                    <Calendar>UK</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
            <FloatingLegData>
                <Index>GBP-LIBOR-6M</Index>
                <Spreads>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.004</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.005</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                    <Spread>0.006</Spread>
                </Spreads>
                <Gearings>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>1.5</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                    <Gearing>2</Gearing>
                </Gearings>
                <Caps>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.025</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.030</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                    <Cap>0.045</Cap>
                </Caps>
                <IsInArrears>false</IsInArrears>
                <FixingDays>0</FixingDays>
            </FloatingLegData>
        </LegData>
    </SwapData>
</Trade>
</Portfolio>