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

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<Portfolio>
<Trade id="BmaBasisSwap_10y">
    <TradeType>Swap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <SwapData>
        <LegData>
            <LegType>Floating</LegType>
            <Payer>true</Payer>
            <Currency>USD</Currency>
            <Notionals>
                <Notional>10000000.00</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <FloatingLegData>
                <Index>USD-LIBOR-3M</Index>
                <Spreads/>
                <Gearings>
                    <Gearing>0.8</Gearing>
                </Gearings>
                <IsInArrears>false</IsInArrears>
                <FixingDays>2</FixingDays>
            </FloatingLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>2016-02-08</StartDate>
                    <EndDate>2026-02-08</EndDate>
                    <Tenor>3M</Tenor>
                    <Calendar>US with Libor impact</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Backward</Rule>
                </Rules>
            </ScheduleData>
        </LegData>
        <LegData>
            <LegType>Floating</LegType>
            <Payer>false</Payer>
            <Currency>USD</Currency>
            <Notionals>
                <Notional>10000000.00</Notional>
            </Notionals>
            <DayCounter>ACT/ACT</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <FloatingLegData>
                <Index>USD-SIFMA-1W</Index>
                <Spreads/>
                <IsInArrears>false</IsInArrears>
                <FixingDays>1</FixingDays>
            </FloatingLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>2016-02-08</StartDate>
                    <EndDate>2026-02-08</EndDate>
                    <Tenor>3M</Tenor>
                    <Calendar>US-NYSE</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Backward</Rule>
                </Rules>
            </ScheduleData>
        </LegData>
    </SwapData>
</Trade>
</Portfolio>