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• USD_Swaption_Submission.xml

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cdm-sample-files.cme-submission-irs-1-0.USD_Swaption_Submission.xml Maven / Gradle / Ivy

<?xml version="1.0" encoding="UTF-8"?>
<FIXML xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
	xsi:schemaLocation="http://www.cmegroup.com/otc-clearing/submission ../../schemas/cme-submission-irs-1-0/bloombergTradeFixml.xsd"
	xmlns="http://www.cmegroup.com/otc-clearing/submission" cv="CME.0001" s="20111206" v="5.0"
	xv="109">
	<TrdCaptRpt TransTyp="0" RptTyp="0" TrdTyp="22" ExecID="43400915" ExecID2="43400915"
		TrdDt="2018-10-31" LastQty="100000000" LastPx="5.0000" TxnTm="2018-10-31T14:16:26.588Z"
		VenuTyp="O">
		<Hdr Snt="2018-10-31T14:16:26.588Z" SID="MKSA" TID="CME" SSub="CME" TSub="CME"/>
		<Instrmt SecTyp="IRS" ID="" Exch="CME">
			<SecXML>
				<FpML xmlns="http://www.fpml.org/2009/FpML-4-6"
					xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" version="4-6"
					xsi:type="DataDocument">
					<trade>
						<tradeHeader>
							<partyTradeIdentifier>
								<partyReference href="partyA"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43400915-2</tradeId>
							</partyTradeIdentifier>
							<partyTradeIdentifier>
								<partyReference href="partyB"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43400915-2</tradeId>
							</partyTradeIdentifier>
							<partyTradeIdentifier>
								<partyReference href="partyC"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43400915-2</tradeId>
							</partyTradeIdentifier>
							<tradeDate>2018-10-31</tradeDate>
						</tradeHeader>
						<swaption>
							<buyerPartyReference href="sideA"/>
							<sellerPartyReference href="sideB"/>
							<premium>
								<payerPartyReference href="sideA"/>
								<receiverPartyReference href="sideB"/>
								<paymentAmount>
									<currency>USD</currency>
									<amount>250</amount>
								</paymentAmount>
								<paymentDate>
									<unadjustedDate>2018-11-02</unadjustedDate>
									<dateAdjustments>
										<businessDayConvention>FOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</dateAdjustments>
								</paymentDate>
							</premium>
							<europeanExercise id="exercisePeriod">
								<expirationDate>
									<adjustableDate>
										<unadjustedDate>2018-11-30</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>PRECEDING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</dateAdjustments>
									</adjustableDate>
								</expirationDate>
								<earliestExerciseTime>
									<hourMinuteTime>09:00:00</hourMinuteTime>
									<businessCenter>USNY</businessCenter>
								</earliestExerciseTime>
								<expirationTime>
									<hourMinuteTime>11:00:00</hourMinuteTime>
									<businessCenter>USNY</businessCenter>
								</expirationTime>
							</europeanExercise>
							<swaptionStraddle>false</swaptionStraddle>
							<swap>
								<productType>InterestRateSwap</productType>
								<swapStream id="floatingLeg">
									<payerPartyReference href="sideB"/>
									<receiverPartyReference href="sideA"/>
									<calculationPeriodDates id="floatingLegCalcPeriodDates">
										<effectiveDate>
											<unadjustedDate>2018-12-04</unadjustedDate>
											<dateAdjustments>
												<businessDayConvention>NONE</businessDayConvention>
											</dateAdjustments>
										</effectiveDate>
										<terminationDate>
											<unadjustedDate>2021-12-04</unadjustedDate>
											<dateAdjustments>
												<businessDayConvention>MODFOLLOWING</businessDayConvention>
												<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
												</businessCenters>
											</dateAdjustments>
										</terminationDate>
										<calculationPeriodDatesAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</calculationPeriodDatesAdjustments>
										<calculationPeriodFrequency>
											<periodMultiplier>3</periodMultiplier>
											<period>M</period>
											<rollConvention>4</rollConvention>
										</calculationPeriodFrequency>
									</calculationPeriodDates>
									<paymentDates id="floatingLegPaymentDates">
										<calculationPeriodDatesReference
											href="floatingLegCalcPeriodDates"/>
										<paymentFrequency>
											<periodMultiplier>3</periodMultiplier>
											<period>M</period>
										</paymentFrequency>
										<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
										<paymentDatesAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</paymentDatesAdjustments>
									</paymentDates>
									<resetDates id="floatingLegResetDates">
										<calculationPeriodDatesReference
											href="floatingLegCalcPeriodDates"/>
										<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
										<fixingDates>
											<periodMultiplier>-2</periodMultiplier>
											<period>D</period>
											<dayType>Business</dayType>
											<businessDayConvention>NONE</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
											</businessCenters>
											<dateRelativeTo href="floatingLegResetDates"/>
										</fixingDates>
										<resetFrequency>
											<periodMultiplier>3</periodMultiplier>
											<period>M</period>
										</resetFrequency>
										<resetDatesAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</resetDatesAdjustments>
									</resetDates>
									<calculationPeriodAmount>
										<calculation>
											<notionalSchedule>
												<notionalStepSchedule>
												<initialValue>100000000</initialValue>
												<currency>USD</currency>
												</notionalStepSchedule>
											</notionalSchedule>
											<floatingRateCalculation>
												<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
												<indexTenor>
												<periodMultiplier>3</periodMultiplier>
												<period>M</period>
												</indexTenor>
											</floatingRateCalculation>
											<dayCountFraction>ACT/360</dayCountFraction>
										</calculation>
									</calculationPeriodAmount>
								</swapStream>
								<swapStream id="fixedLeg">
									<payerPartyReference href="sideA"/>
									<receiverPartyReference href="sideB"/>
									<calculationPeriodDates id="fixedLegCalcPeriodDates">
										<effectiveDate>
											<unadjustedDate>2018-12-04</unadjustedDate>
											<dateAdjustments>
												<businessDayConvention>NONE</businessDayConvention>
											</dateAdjustments>
										</effectiveDate>
										<terminationDate>
											<unadjustedDate>2021-12-04</unadjustedDate>
											<dateAdjustments>
												<businessDayConvention>MODFOLLOWING</businessDayConvention>
												<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
												</businessCenters>
											</dateAdjustments>
										</terminationDate>
										<calculationPeriodDatesAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</calculationPeriodDatesAdjustments>
										<calculationPeriodFrequency>
											<periodMultiplier>6</periodMultiplier>
											<period>M</period>
											<rollConvention>4</rollConvention>
										</calculationPeriodFrequency>
									</calculationPeriodDates>
									<paymentDates id="fixedLegPaymentDates">
										<calculationPeriodDatesReference
											href="fixedLegCalcPeriodDates"/>
										<paymentFrequency>
											<periodMultiplier>6</periodMultiplier>
											<period>M</period>
										</paymentFrequency>
										<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
										<paymentDatesAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</paymentDatesAdjustments>
									</paymentDates>
									<calculationPeriodAmount>
										<calculation>
											<notionalSchedule>
												<notionalStepSchedule>
												<initialValue>100000000</initialValue>
												<currency>USD</currency>
												</notionalStepSchedule>
											</notionalSchedule>
											<fixedRateSchedule>
												<initialValue>0.02356</initialValue>
											</fixedRateSchedule>
											<dayCountFraction>30/360</dayCountFraction>
										</calculation>
									</calculationPeriodAmount>
								</swapStream>
							</swap>
						</swaption>
						<tradeSide id="sideA">
							<orderer>
								<party href="partyA"/>
							</orderer>
							<creditor>
								<party href="partyA"/>
							</creditor>
						</tradeSide>
						<tradeSide id="sideB">
							<orderer>
								<party href="partyB"/>
							</orderer>
							<creditor>
								<party href="partyB"/>
							</creditor>
						</tradeSide>
					</trade>
					<party id="partyA">
						<partyId>ONB2-TEST-I</partyId>
						<partyName>Michigan Avenue Bank - Executing Bank</partyName>
					</party>
					<party id="partyB">
						<partyId>EVENTTEST1</partyId>
						<partyName>CMEEVENT1</partyName>
					</party>
					<party id="partyC">
						<partyId>SWAPSWIRE</partyId>
					</party>
				</FpML>
			</SecXML>
		</Instrmt>
		<TrdRegTS Typ="1" TS="2018-10-31T13:56:35.000000Z"/>
		<RptSide Side="1" ClOrdID="43400915-2" InptSrc="MKSA" OrigTrdID="43402096">
			<Pty ID="ONB2-TEST-I" R="24" Src="D"/>
			<TrdRegTS Typ="1" TS="2018-10-31T14:16:26.588Z"/>
		</RptSide>
		<RptSide Side="2" ClOrdID="43400915-2" InptSrc="MKSA" OrigTrdID="43402097">
			<Pty ID="EVENTTEST1" R="24" Src="D"/>
			<TrdRegTS Typ="1" TS="2018-10-31T14:16:26.588Z"/>
		</RptSide>
	</TrdCaptRpt>
</FIXML>