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• SWAPTION_TERMINATED_DUE_TO_EXERCISE.xml

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

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<!-- reports that a swaption was terminated as a result of an exercise -->
<cme:FpML xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
	xsi:schemaLocation="http://www.cmegroup.com/otc-clearing/confirmation ../../schemas/cme-cleared-confirm-1-17/cme-conf-ext-1-17.xsd"
	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">TESTBOOKLE844409</messageId>
			<sentBy messageAddressScheme="cme_clearingorg_id">CME</sentBy>
			<sendTo messageAddressScheme="cme_firm_id">TESTBOOKLE</sendTo>
			<sendTo messageAddressScheme="cme_exchange_id">CME</sendTo>
			<creationTimestamp>2014-09-24T09:30:15-00:00</creationTimestamp>
		</header>
		<trade>
			<tradeHeader xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
				xsi:type="cme:CMETradeHeader">
				<partyTradeIdentifier>
					<partyReference href="clearing_service"/>
					<tradeId tradeIdScheme="cme_trade_id">844409</tradeId>
					<tradeId tradeIdScheme="client_trade_id">scenario1</tradeId>
					<tradeId tradeIdScheme="platform_trade_id">scenario1</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>2013-08-21</tradeDate>
				<clearedDate>2013-08-21</clearedDate>
				<cme:terminatingEvent>EXERCISE</cme:terminatingEvent>
				<cme:status>TERMINATED</cme:status>
				<cme:universalSwapIdentifier>
					<cme:issuer issuerIdScheme="cftc_Namespace">1010000023</cme:issuer>
					<cme:usi usiScheme="reg_trade_id">CCCIRS844409</cme:usi>
				</cme:universalSwapIdentifier>
			</tradeHeader>
			<swaption>
				<buyerPartyReference href="clearing_firm"/>
				<buyerAccountReference href="account1"/>
				<sellerPartyReference href="clearing_service"/>
				<premium>
					<payerPartyReference href="clearing_firm"/>
					<receiverPartyReference href="clearing_service"/>
					<paymentAmount>
						<currency>USD</currency>
						<amount>100000.00</amount>
					</paymentAmount>
					<paymentDate>
						<unadjustedDate>2014-09-25</unadjustedDate>
						<dateAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCenters>
								<businessCenter>USNY</businessCenter>
							</businessCenters>
						</dateAdjustments>
					</paymentDate>
					<paymentType>PREMIUM</paymentType>
				</premium>
				<europeanExercise>
					<expirationDate>
						<adjustableDate>
							<unadjustedDate>2014-09-24</unadjustedDate>
							<dateAdjustments>
								<businessDayConvention>FOLLOWING</businessDayConvention>
								<businessCenters>
									<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>
					<swapStream id="fixedLeg">
						<payerPartyReference href="clearing_firm"/>
						<payerAccountReference href="account1"/>
						<receiverPartyReference href="clearing_service"/>
						<calculationPeriodDates id="fixedCalcPeriodDates">
							<effectiveDate>
								<unadjustedDate>2014-09-26</unadjustedDate>
								<dateAdjustments>
									<businessDayConvention>NONE</businessDayConvention>
								</dateAdjustments>
							</effectiveDate>
							<terminationDate>
								<unadjustedDate>2016-09-26</unadjustedDate>
								<dateAdjustments>
									<businessDayConvention>MODFOLLOWING</businessDayConvention>
									<businessCentersReference href="fixedPrimaryBusinessCenters"/>
								</dateAdjustments>
							</terminationDate>
							<calculationPeriodDatesAdjustments>
								<businessDayConvention>MODFOLLOWING</businessDayConvention>
								<businessCentersReference href="fixedPrimaryBusinessCenters"/>
							</calculationPeriodDatesAdjustments>
							<calculationPeriodFrequency>
								<periodMultiplier>6</periodMultiplier>
								<period>M</period>
								<rollConvention>26</rollConvention>
							</calculationPeriodFrequency>
						</calculationPeriodDates>
						<paymentDates>
							<calculationPeriodDatesReference href="fixedCalcPeriodDates"/>
							<paymentFrequency>
								<periodMultiplier>6</periodMultiplier>
								<period>M</period>
							</paymentFrequency>
							<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
							<paymentDatesAdjustments>
								<businessDayConvention>MODFOLLOWING</businessDayConvention>
								<businessCenters id="fixedPrimaryBusinessCenters">
									<businessCenter>GBLO</businessCenter>
									<businessCenter>USNY</businessCenter>
								</businessCenters>
							</paymentDatesAdjustments>
						</paymentDates>
						<calculationPeriodAmount>
							<calculation>
								<notionalSchedule>
									<notionalStepSchedule>
										<initialValue>10000000.00</initialValue>
										<currency>USD</currency>
									</notionalStepSchedule>
								</notionalSchedule>
								<fixedRateSchedule>
									<initialValue>0.0225</initialValue>
								</fixedRateSchedule>
								<dayCountFraction>ACT/360</dayCountFraction>
							</calculation>
						</calculationPeriodAmount>
						<cashflows>
							<cashflowsMatchParameters>true</cashflowsMatchParameters>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2015-03-26</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2014-09-26</adjustedStartDate>
									<adjustedEndDate>2015-03-26</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<fixedRate>0.0225</fixedRate>
								</calculationPeriod>
							</paymentCalculationPeriod>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2015-09-28</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2015-03-26</adjustedStartDate>
									<adjustedEndDate>2015-09-28</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<fixedRate>0.0225</fixedRate>
								</calculationPeriod>
							</paymentCalculationPeriod>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2016-03-29</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2015-09-28</adjustedStartDate>
									<adjustedEndDate>2016-03-29</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<fixedRate>0.0225</fixedRate>
								</calculationPeriod>
							</paymentCalculationPeriod>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2016-09-26</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2016-03-29</adjustedStartDate>
									<adjustedEndDate>2016-09-26</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<fixedRate>0.0225</fixedRate>
								</calculationPeriod>
							</paymentCalculationPeriod>
						</cashflows>
					</swapStream>
					<swapStream id="floatLeg">
						<payerPartyReference href="clearing_service"/>
						<receiverPartyReference href="clearing_firm"/>
						<receiverAccountReference href="account1"/>
						<calculationPeriodDates id="floatingCalcPeriodDates">
							<effectiveDate>
								<unadjustedDate>2014-09-26</unadjustedDate>
								<dateAdjustments>
									<businessDayConvention>NONE</businessDayConvention>
								</dateAdjustments>
							</effectiveDate>
							<terminationDate>
								<unadjustedDate>2016-09-26</unadjustedDate>
								<dateAdjustments>
									<businessDayConvention>MODFOLLOWING</businessDayConvention>
									<businessCentersReference href="floatPrimaryBusinessCenters"/>
								</dateAdjustments>
							</terminationDate>
							<calculationPeriodDatesAdjustments>
								<businessDayConvention>MODFOLLOWING</businessDayConvention>
								<businessCentersReference href="floatPrimaryBusinessCenters"/>
							</calculationPeriodDatesAdjustments>
							<calculationPeriodFrequency>
								<periodMultiplier>3</periodMultiplier>
								<period>M</period>
								<rollConvention>26</rollConvention>
							</calculationPeriodFrequency>
						</calculationPeriodDates>
						<paymentDates>
							<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
							<paymentFrequency>
								<periodMultiplier>6</periodMultiplier>
								<period>M</period>
							</paymentFrequency>
							<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
							<paymentDatesAdjustments>
								<businessDayConvention>MODFOLLOWING</businessDayConvention>
								<businessCenters id="floatPrimaryBusinessCenters">
									<businessCenter>GBLO</businessCenter>
									<businessCenter>USNY</businessCenter>
								</businessCenters>
							</paymentDatesAdjustments>
						</paymentDates>
						<resetDates id="floatingLegResetDates">
							<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
							<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>
								<businessCentersReference href="floatPrimaryBusinessCenters"/>
							</resetDatesAdjustments>
						</resetDates>
						<calculationPeriodAmount>
							<calculation>
								<notionalSchedule>
									<notionalStepSchedule>
										<initialValue>10000000.00</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>
								<compoundingMethod>Flat</compoundingMethod>
							</calculation>
						</calculationPeriodAmount>
						<cashflows>
							<cashflowsMatchParameters>true</cashflowsMatchParameters>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2015-03-26</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2014-09-26</adjustedStartDate>
									<adjustedEndDate>2014-12-29</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2014-09-24</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
								<calculationPeriod>
									<adjustedStartDate>2014-12-29</adjustedStartDate>
									<adjustedEndDate>2015-03-26</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2014-12-23</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
							</paymentCalculationPeriod>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2015-09-28</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2015-03-26</adjustedStartDate>
									<adjustedEndDate>2015-06-26</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2015-03-24</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
								<calculationPeriod>
									<adjustedStartDate>2015-06-26</adjustedStartDate>
									<adjustedEndDate>2015-09-28</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2015-06-24</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
							</paymentCalculationPeriod>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2016-03-29</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2015-09-28</adjustedStartDate>
									<adjustedEndDate>2015-12-29</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2015-09-24</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
								<calculationPeriod>
									<adjustedStartDate>2015-12-29</adjustedStartDate>
									<adjustedEndDate>2016-03-29</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2015-12-23</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
							</paymentCalculationPeriod>
							<paymentCalculationPeriod>
								<adjustedPaymentDate>2016-09-26</adjustedPaymentDate>
								<calculationPeriod>
									<adjustedStartDate>2016-03-29</adjustedStartDate>
									<adjustedEndDate>2016-06-27</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2016-03-23</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
								<calculationPeriod>
									<adjustedStartDate>2016-06-27</adjustedStartDate>
									<adjustedEndDate>2016-09-26</adjustedEndDate>
									<notionalAmount>10000000.00</notionalAmount>
									<floatingRateDefinition>
										<rateObservation>
											<adjustedFixingDate>2016-06-23</adjustedFixingDate>
											<observedRate>0</observedRate>
										</rateObservation>
									</floatingRateDefinition>
								</calculationPeriod>
							</paymentCalculationPeriod>
						</cashflows>
					</swapStream>
				</swap>
			</swaption>
		</trade>
		<party id="clearing_firm">
			<partyId partyIdScheme="clearing_member_firms">TESTBOOKLE</partyId>
		</party>
		<party id="clearing_service">
			<partyId>CME</partyId>
		</party>
		<party id="trade_source">
			<partyId>CME_TRADE_REPORT</partyId>
		</party>
		<account id="account1">
			<accountId accountIdScheme="clearing_firm_accounts">pacct1</accountId>
			<servicingParty href="clearing_firm"/>
		</account>
	</clearingConfirmed>
</cme:FpML>