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• FRA-ex02.xml

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cdm-sample-files.cme-cleared-confirm-1-17.FRA-ex02.xml Maven / Gradle / Ivy

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<cme:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:dsig="http://www.w3.org/2000/09/xmldsig#" xmlns:cme="http://www.cmegroup.com/otc-clearing/confirmation">
	<clearingConfirmed fpmlVersion="5-0">
		<header>
			<messageId messageIdScheme="cme_message_id">0109369927</messageId>
			<sentBy messageAddressScheme="cme_clearingorg_id">CME</sentBy>
			<sendTo messageAddressScheme="cme_firm_id">010</sendTo>
			<sendTo messageAddressScheme="cme_exchange_id">CME</sendTo>
			<creationTimestamp>2018-10-31T09:19:40-05:00</creationTimestamp>
		</header>
		<trade>
			<tradeHeader xsi:type="cme:CMETradeHeader" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
				<partyTradeIdentifier>
					<partyReference href="clearing_service"/>
					<tradeId tradeIdScheme="cme_trade_id">9369927</tradeId>
					<tradeId tradeIdScheme="client_trade_id">43401180-2</tradeId>
					<tradeId tradeIdScheme="platform_trade_id">43401180</tradeId>
					<tradeId tradeIdScheme="platform_side_id">43401871</tradeId>
					<tradeId tradeIdScheme="block_trade_id">43401180</tradeId>
				</partyTradeIdentifier>
				<partyTradeInformation>
					<partyReference href="clearing_firm"/>
					<accountReference href="account1"/>
					<relatedParty>
						<partyReference href="trade_source"/>
						<role>InputSource</role>
					</relatedParty>
					<category categoryScheme="cme_origin_code">CUST</category>
				</partyTradeInformation>
				<tradeDate>2018-10-31</tradeDate>
				<clearedDate>2018-10-31</clearedDate>
				<cme:originatingEvent>NEW_TRADE</cme:originatingEvent>
				<cme:status>CLEARED</cme:status>
				<cme:universalSwapIdentifier>
					<cme:issuer issuerIdScheme="cftc_Namespace">1010000023</cme:issuer>
					<cme:usi usiScheme="reg_trade_id">CCCIRS9369927</cme:usi>
				</cme:universalSwapIdentifier>
				<cme:creditLimitInformation>
					<cme:limitApplicable>
						<cme:level creditLimitLevelScheme="creditLimitLevelScheme">CUST</cme:level>
						<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">Notional</cme:limitType>
						<cme:limitAmount>1000000000000</cme:limitAmount>
						<cme:amountUtilized>1222268700</cme:amountUtilized>
						<cme:amountRemaining>998777731300</cme:amountRemaining>
						<cme:limitImpactDueToTrade>100000000</cme:limitImpactDueToTrade>
						<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
					</cme:limitApplicable>
					<cme:limitApplicable>
						<cme:level creditLimitLevelScheme="creditLimitLevelScheme">CUST</cme:level>
						<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">NPV</cme:limitType>
						<cme:limitAmount>1000000000000</cme:limitAmount>
						<cme:amountUtilized>5600080</cme:amountUtilized>
						<cme:amountRemaining>999994399919</cme:amountRemaining>
						<cme:limitImpactDueToTrade>382727</cme:limitImpactDueToTrade>
						<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
					</cme:limitApplicable>
					<cme:limitApplicable>
						<cme:level creditLimitLevelScheme="creditLimitLevelScheme">CUST</cme:level>
						<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">PV01</cme:limitType>
						<cme:limitAmount>1000000000000</cme:limitAmount>
						<cme:amountUtilized>99392</cme:amountUtilized>
						<cme:amountRemaining>999999900607</cme:amountRemaining>
						<cme:limitImpactDueToTrade>4901</cme:limitImpactDueToTrade>
						<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
					</cme:limitApplicable>
					<cme:limitApplicable>
						<cme:level creditLimitLevelScheme="creditLimitLevelScheme">ACCT</cme:level>
						<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">PV01</cme:limitType>
						<cme:limitAmount>1000000000000</cme:limitAmount>
						<cme:amountUtilized>101854</cme:amountUtilized>
						<cme:amountRemaining>999999898145</cme:amountRemaining>
						<cme:limitImpactDueToTrade>4901</cme:limitImpactDueToTrade>
						<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
					</cme:limitApplicable>
					<cme:limitApplicable>
						<cme:level creditLimitLevelScheme="creditLimitLevelScheme">ACCT</cme:level>
						<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">Notional</cme:limitType>
						<cme:limitAmount>1000000000000</cme:limitAmount>
						<cme:amountUtilized>1200000000</cme:amountUtilized>
						<cme:amountRemaining>998800000000</cme:amountRemaining>
						<cme:limitImpactDueToTrade>100000000</cme:limitImpactDueToTrade>
						<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
					</cme:limitApplicable>
					<cme:limitApplicable>
						<cme:level creditLimitLevelScheme="creditLimitLevelScheme">ACCT</cme:level>
						<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">NPV</cme:limitType>
						<cme:limitAmount>1000000000000</cme:limitAmount>
						<cme:amountUtilized>5145303</cme:amountUtilized>
						<cme:amountRemaining>999994854696</cme:amountRemaining>
						<cme:limitImpactDueToTrade>382727</cme:limitImpactDueToTrade>
						<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
					</cme:limitApplicable>
				</cme:creditLimitInformation>
				<cme:timestamps>
					<cme:submittedForClearing>2018-10-31T14:13:19.9Z</cme:submittedForClearing>
				</cme:timestamps>
			</tradeHeader>
			<fra>
				<buyerPartyReference href="clearing_firm"/>
				<buyerAccountReference href="account1"/>
				<sellerPartyReference href="clearing_service"/>
				<adjustedEffectiveDate id="resetDate">2019-05-13</adjustedEffectiveDate>
				<adjustedTerminationDate>2019-11-12</adjustedTerminationDate>
				<paymentDate>
					<unadjustedDate>2019-05-13</unadjustedDate>
					<dateAdjustments>
						<businessDayConvention>MODFOLLOWING</businessDayConvention>
						<businessCenters>
							<businessCenter>GBLO</businessCenter>
							<businessCenter>USNY</businessCenter>
						</businessCenters>
					</dateAdjustments>
				</paymentDate>
				<fixingDateOffset>
					<periodMultiplier>-2</periodMultiplier>
					<period>D</period>
					<dayType>Business</dayType>
					<businessDayConvention>PRECEDING</businessDayConvention>
					<businessCenters>
						<businessCenter>GBLO</businessCenter>
					</businessCenters>
					<dateRelativeTo href="resetDate"/>
				</fixingDateOffset>
				<dayCountFraction>ACT/360</dayCountFraction>
				<calculationPeriodNumberOfDays>183</calculationPeriodNumberOfDays>
				<notional>
					<currency>USD</currency>
					<amount>100000000.00</amount>
				</notional>
				<fixedRate>0.02345</fixedRate>
				<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
				<indexTenor>
					<periodMultiplier>6</periodMultiplier>
					<period>M</period>
				</indexTenor>
				<fraDiscounting>ISDA</fraDiscounting>
			</fra>
		</trade>
		<party id="clearing_firm">
			<partyId partyIdScheme="clearing_member_firms">010</partyId>
		</party>
		<party id="clearing_service">
			<partyId>CME</partyId>
		</party>
		<party id="trade_source">
			<partyId>MARKIT_WIRE</partyId>
		</party>
		<account id="account1">
			<accountId accountIdScheme="clearing_firm_accounts">010S3</accountId>
			<servicingParty href="clearing_firm"/>
		</account>
	</clearingConfirmed>
</cme:FpML>