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• BalanceGuaranteedSwap.xml

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

<?xml version="1.0"?>
<Portfolio>
  <Trade id="BGS1">
    <TradeType>BalanceGuaranteedSwap</TradeType>
    <Envelope>
      <CounterParty>001B456BCDEFGH67XY89</CounterParty>
      <NettingSetId>ABC1234</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <BalanceGuaranteedSwapData>
      <!-- security / tranche to which the notional of the BGS is linked -->
      <ReferenceSecurity>ISIN:XS0983610930</ReferenceSecurity>
      <!-- tranche notionals of the transaction (for cpr = 0) -->
      <Tranches>
        <Tranche>
          <Description>Class A</Description>
          <SecurityId>ISIN:XS0983610930</SecurityId>
          <!-- prepayments amortise the tranches in order of their seniority (1,2,3...) -->
          <Seniority>1</Seniority>
          <Notionals>
            <Notional>1500000</Notional>
            <Notional startDate="20151229">1000000</Notional>
            <Notional startDate="20161229">900000</Notional>
            <Notional startDate="20171229">800000</Notional>
            <Notional startDate="20181229">700000</Notional>
            <Notional startDate="20191229">600000</Notional>
            <Notional startDate="20201229">500000</Notional>
            <Notional startDate="20211229">400000</Notional>
            <Notional startDate="20221229">300000</Notional>
            <Notional startDate="20231229">200000</Notional>
            <Notional startDate="20241229">100000</Notional>
            <Notional startDate="20251229">0</Notional>
          </Notionals>
        </Tranche>
        <Tranche>
          <Description>Class B</Description>
          <SecurityId>NA</SecurityId>
          <Seniority>2</Seniority>
          <Notionals>
            <Notional>350000</Notional>
            <Notional startDate="20151229">300000</Notional>
            <Notional startDate="20161229">300000</Notional>
            <Notional startDate="20171229">300000</Notional>
            <Notional startDate="20181229">300000</Notional>
            <Notional startDate="20191229">300000</Notional>
            <Notional startDate="20201229">300000</Notional>
            <Notional startDate="20211229">300000</Notional>
            <Notional startDate="20221229">300000</Notional>
            <Notional startDate="20231229">300000</Notional>
            <Notional startDate="20241229">300000</Notional>
            <Notional startDate="20251229">200000</Notional>
            <Notional startDate="20261229">100000</Notional>
            <Notional startDate="20271229">000000</Notional>
          </Notionals>
        </Tranche>
        <ScheduleData>
          <Rules>
            <StartDate>20141229</StartDate>
            <EndDate>20281229</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </Tranches>
      <!-- BGS legs -->
      <LegData>
        <LegType>Fixed</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>F</PaymentConvention>
        <Notionals>
          <Notional>1500000</Notional>
          <Notional startDate="20151229">1000000</Notional>
          <Notional startDate="20161229">900000</Notional>
          <Notional startDate="20171229">800000</Notional>
          <Notional startDate="20181229">700000</Notional>
          <Notional startDate="20191229">600000</Notional>
          <Notional startDate="20201229">500000</Notional>
          <Notional startDate="20211229">400000</Notional>
          <Notional startDate="20221229">300000</Notional>
          <Notional startDate="20231229">200000</Notional>
          <Notional startDate="20241229">100000</Notional>
          <Notional startDate="20251229">0</Notional>
        </Notionals>
        <FixedLegData>
          <Rates>
            <Rate>0.0040</Rate>
          </Rates>
        </FixedLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20141229</StartDate>
            <EndDate>20281229</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>true</Payer>
        <Currency>EUR</Currency>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <Notionals>
          <Notional>1500000</Notional>
          <Notional startDate="20151229">1000000</Notional>
          <Notional startDate="20161229">900000</Notional>
          <Notional startDate="20171229">800000</Notional>
          <Notional startDate="20181229">700000</Notional>
          <Notional startDate="20191229">600000</Notional>
          <Notional startDate="20201229">500000</Notional>
          <Notional startDate="20211229">400000</Notional>
          <Notional startDate="20221229">300000</Notional>
          <Notional startDate="20231229">200000</Notional>
          <Notional startDate="20241229">100000</Notional>
          <Notional startDate="20251229">0</Notional>
        </Notionals>
        <FloatingLegData>
          <Index>EUR-EURIBOR-6M</Index>
          <Spreads>
            <Spread>0.0050</Spread>
          </Spreads>
          <Floors>
            <Floor>0.0</Floor>
          </Floors>
          <IsInArrears>false</IsInArrears>
          <FixingDays>2</FixingDays>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20141229</StartDate>
            <EndDate>20281229</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>TARGET</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Forward</Rule>
            <EndOfMonth/>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </BalanceGuaranteedSwapData>
  </Trade>
</Portfolio>