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• USD_LIBOR-SOFR_Basis_Submission.xml

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cdm-sample-files.cme-submission-irs-1-0.USD_LIBOR-SOFR_Basis_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="43401077" ExecID2="43401077"
		TrdDt="2018-10-31" LastQty="100000000" LastPx="5.0000" TxnTm="2018-10-31T14:14:45.895Z"
		VenuTyp="O">
		<Hdr Snt="2018-10-31T14:14:45.895Z" 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">43401077-2</tradeId>
							</partyTradeIdentifier>
							<partyTradeIdentifier>
								<partyReference href="partyB"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43401077-2</tradeId>
							</partyTradeIdentifier>
							<partyTradeIdentifier>
								<partyReference href="partyC"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43401077-2</tradeId>
							</partyTradeIdentifier>
							<tradeDate>2018-10-31</tradeDate>
						</tradeHeader>
						<swap>
							<productType>InterestRateSwap</productType>
							<swapStream id="floatingLeg">
								<payerPartyReference href="sideA"/>
								<receiverPartyReference href="sideB"/>
								<calculationPeriodDates id="floatingLegCalcPeriodDates">
									<effectiveDate>
										<unadjustedDate>2018-11-02</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>NONE</businessDayConvention>
										</dateAdjustments>
									</effectiveDate>
									<terminationDate>
										<unadjustedDate>2022-11-02</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>2</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>
											<spreadSchedule>
												<initialValue>0.0002</initialValue>
											</spreadSchedule>
										</floatingRateCalculation>
										<dayCountFraction>ACT/360</dayCountFraction>
									</calculation>
								</calculationPeriodAmount>
							</swapStream>
							<swapStream id="floatingLeg2">
								<payerPartyReference href="sideB"/>
								<receiverPartyReference href="sideA"/>
								<calculationPeriodDates id="floatingLeg2CalcPeriodDates">
									<effectiveDate>
										<unadjustedDate>2018-11-02</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>NONE</businessDayConvention>
										</dateAdjustments>
									</effectiveDate>
									<terminationDate>
										<unadjustedDate>2022-11-02</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>1</periodMultiplier>
										<period>Y</period>
										<rollConvention>2</rollConvention>
									</calculationPeriodFrequency>
								</calculationPeriodDates>
								<paymentDates id="floatingLeg2PaymentDates">
									<calculationPeriodDatesReference
										href="floatingLeg2CalcPeriodDates"/>
									<paymentFrequency>
										<periodMultiplier>1</periodMultiplier>
										<period>Y</period>
									</paymentFrequency>
									<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
									<paymentDaysOffset>
										<periodMultiplier>2</periodMultiplier>
										<period>D</period>
										<dayType>Business</dayType>
									</paymentDaysOffset>
									<paymentDatesAdjustments>
										<businessDayConvention>MODFOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</paymentDatesAdjustments>
								</paymentDates>
								<resetDates id="floatingLeg2ResetDates">
									<calculationPeriodDatesReference
										href="floatingLeg2CalcPeriodDates"/>
									<resetRelativeTo>CalculationPeriodEndDate</resetRelativeTo>
									<fixingDates>
										<periodMultiplier>0</periodMultiplier>
										<period>D</period>
										<businessDayConvention>PRECEDING</businessDayConvention>
										<businessCenters>
											<businessCenter>USGS</businessCenter>
										</businessCenters>
										<dateRelativeTo href="floatingLeg2ResetDates"/>
									</fixingDates>
									<resetFrequency>
										<periodMultiplier>1</periodMultiplier>
										<period>Y</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-SOFR-COMPOUND</floatingRateIndex>
										</floatingRateCalculation>
										<dayCountFraction>ACT/360</dayCountFraction>
									</calculation>
								</calculationPeriodAmount>
							</swapStream>
						</swap>
						<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="2018-10-31T14:00:16.000000Z"/>
		<RptSide Side="1" ClOrdID="43401077-2" InptSrc="MKSA" OrigTrdID="43401965">
			<Pty ID="ONB2-TEST-I" R="24" Src="D"/>
			<TrdRegTS Typ="1" TS="2018-10-31T14:14:45.895Z"/>
		</RptSide>
		<RptSide Side="2" ClOrdID="43401077-2" InptSrc="MKSA" OrigTrdID="43401966">
			<Pty ID="EVENTTEST1" R="24" Src="D"/>
			<TrdRegTS Typ="1" TS="2018-10-31T14:14:45.895Z"/>
		</RptSide>
	</TrdCaptRpt>
</FIXML>