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    • cdm-sample-files.fpml-5-10.processes.msg-partial-termination.xml Maven / Gradle / Ivy

    <?xml version="1.0" encoding="utf-8"?>
<executionAdvice xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" fpmlVersion="5-10"
                 xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../../schemas/fpml-5-10/confirmation/fpml-main-5-10.xsd">
 <header>
    <messageId messageIdScheme="http://www.bankx.com/msg_id">SEF005</messageId>
    <sentBy>BANKX</sentBy>
    <sendTo>SDR01</sendTo>
    <creationTimestamp>2011-06-01T10:13:07Z</creationTimestamp>
<!-- Date stamp -->
  </header>
  <isCorrection>false</isCorrection>
<!-- Correction indicator -->
  <correlationId correlationIdScheme="http://fpml.org/submitter_event_id">TW19235-002</correlationId>
  <sequenceNumber>1</sequenceNumber>
  <onBehalfOf>
    <partyReference href="party1" />
<!-- explicit reference to which party is the primary reporting party -->
  </onBehalfOf>
  <termination>
    <originalTrade>
      <tradeHeader>
        <partyTradeIdentifier>
          <issuer issuerIdScheme="http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier">1031234567</issuer>
          <tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier">712345678901234567890123456789012</tradeId>
        </partyTradeIdentifier>
        <partyTradeInformation>
          <partyReference href="party1" />
          <relatedParty>
            <partyReference href="clearing-svc" />
            <role>ClearingOrganization</role>
          </relatedParty>
          <relatedParty>
            <partyReference href="broker1" />
            <role>ArrangingBroker</role>
<!-- arranging broker -->
          </relatedParty>
          <relatedBusinessUnit>
            <businessUnitReference href="desk1" />
            <role>TradingDesk</role>
          </relatedBusinessUnit>
          <relatedPerson>
            <personReference href="trader" />
            <role>Trader</role>
          </relatedPerson>
          <executionDateTime>2011-02-04T16:20:47Z</executionDateTime>
<!-- Execution timestamp -->
          <intentToClear>true</intentToClear>
<!-- NEW: cleared or uncleared = "C" in CFTC doc -->
          <nonStandardTerms>false</nonStandardTerms>
<!-- NEW: indication of other price-affecting term -->
          <offMarketPrice>false</offMarketPrice>
<!-- NEW -->
          <largeSizeTrade>false</largeSizeTrade>
<!-- NEW: block trades and large notional swaps -->
          <executionType>Electronic</executionType>
<!-- NEW -->
          <executionVenueType>SEF</executionVenueType>
<!-- NEW: execution venue = "SWM" in CFTC doc; do we need a more specific refeence? -->
          <confirmationMethod>Electronic</confirmationMethod>
<!-- NEW -->
        </partyTradeInformation>
        <tradeDate>2011-02-12</tradeDate>
      </tradeHeader>
      <swap>
<!-- Party A pays the floating rate every 3 months, based on 3M USD-LIBOR-BBA,
                    on an ACT/360 basis -->
        <primaryAssetClass>InterestRate</primaryAssetClass>
        <productType productTypeScheme="http://www.fpml.org/coding-scheme/product-taxonomy">InterestRate:IRSwap:FixedFloat</productType>
<!-- contract type  = "S-" in CFTC doc -->
<!-- <productSubType>FixedFloatSwap</productSubType> -->
<!-- NEW: contract sub-type   -->
        <productId>SWI-ST-USD-IRS</productId>
<!-- swap instrument (NEW: coding scheme TBD, this example from CFTC rules) -->
<!-- asset class -->
<!-- <subAssetClass>N/A</subAssetClass> -->
<!-- NEW: sub-asset class not applicable for IR -->
        <swapStream>
          <payerPartyReference href="party1" />
          <receiverPartyReference href="party2" />
          <calculationPeriodDates id="floatingCalcPeriodDates">
            <effectiveDate>
              <unadjustedDate>2011-02-08</unadjustedDate>
              <dateAdjustments>
                <businessDayConvention>NONE</businessDayConvention>
              </dateAdjustments>
            </effectiveDate>
            <terminationDate>
              <unadjustedDate>2016-02-08</unadjustedDate>
              <dateAdjustments>
                <businessDayConvention>MODFOLLOWING</businessDayConvention>
                <businessCenters id="primaryBusinessCenters">
                  <businessCenter>USNY</businessCenter>
                  <businessCenter>USLA</businessCenter>
                </businessCenters>
              </dateAdjustments>
            </terminationDate>
            <calculationPeriodDatesAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </calculationPeriodDatesAdjustments>
            <calculationPeriodFrequency>
              <periodMultiplier>3</periodMultiplier>
              <period>M</period>
              <rollConvention>8</rollConvention>
            </calculationPeriodFrequency>
          </calculationPeriodDates>
          <paymentDates>
            <calculationPeriodDatesReference href="floatingCalcPeriodDates" />
            <paymentFrequency>
              <periodMultiplier>3</periodMultiplier>
              <period>M</period>
            </paymentFrequency>
            <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
            <paymentDatesAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </paymentDatesAdjustments>
          </paymentDates>
          <resetDates id="resetDates">
            <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="resetDates" />
            </fixingDates>
            <resetFrequency>
              <periodMultiplier>3</periodMultiplier>
              <period>M</period>
            </resetFrequency>
            <resetDatesAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </resetDatesAdjustments>
          </resetDates>
          <calculationPeriodAmount>
            <calculation>
              <notionalSchedule>
                <notionalStepSchedule>
                  <initialValue>7500000.00</initialValue>
                  <currency currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217">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>
<!-- Barclays pays the 6% fixed rate every year on a 30E/360 basis -->
        <swapStream>
          <payerPartyReference href="party2" />
          <receiverPartyReference href="party1" />
          <calculationPeriodDates id="fixedCalcPeriodDates">
            <effectiveDate>
              <unadjustedDate>2011-02-08</unadjustedDate>
              <dateAdjustments>
                <businessDayConvention>NONE</businessDayConvention>
              </dateAdjustments>
            </effectiveDate>
            <terminationDate>
              <unadjustedDate>2016-02-08</unadjustedDate>
              <dateAdjustments>
                <businessDayConvention>MODFOLLOWING</businessDayConvention>
                <businessCentersReference href="primaryBusinessCenters" />
              </dateAdjustments>
            </terminationDate>
            <calculationPeriodDatesAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </calculationPeriodDatesAdjustments>
            <calculationPeriodFrequency>
              <periodMultiplier>6</periodMultiplier>
              <period>M</period>
              <rollConvention>8</rollConvention>
            </calculationPeriodFrequency>
          </calculationPeriodDates>
          <paymentDates>
            <calculationPeriodDatesReference href="fixedCalcPeriodDates" />
            <paymentFrequency>
              <periodMultiplier>6</periodMultiplier>
              <period>M</period>
            </paymentFrequency>
            <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
            <paymentDatesAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </paymentDatesAdjustments>
          </paymentDates>
          <calculationPeriodAmount>
            <calculation>
              <notionalSchedule>
                <notionalStepSchedule>
                  <initialValue>7500000.00</initialValue>
                  <currency currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217">USD</currency>
                </notionalStepSchedule>
              </notionalSchedule>
              <fixedRateSchedule>
                <initialValue>0.0253</initialValue>
              </fixedRateSchedule>
              <dayCountFraction>30E/360</dayCountFraction>
            </calculation>
          </calculationPeriodAmount>
        </swapStream>
      </swap>
    </originalTrade>
    <agreementDate>2011-06-01Z</agreementDate>
    <executionDateTime>2011-06-01T10:12:34Z</executionDateTime>
    <effectiveDate>2011-06-03Z</effectiveDate>
    <payment>
      <payerPartyReference href="party1" />
      <receiverPartyReference href="party2" />
      <paymentAmount>
        <currency>USD</currency>
        <amount>12345.00</amount>
      </paymentAmount>
      <paymentDate>
        <adjustedDate>2011-06-03</adjustedDate>
      </paymentDate>
    </payment>
    <changeInNotionalAmount>
      <currency>USD</currency>
      <amount>2500000</amount>
    </changeInNotionalAmount>
    <outstandingNotionalAmount>
      <currency>USD</currency>
      <amount>5000000</amount>
    </outstandingNotionalAmount>
  </termination>
  <quote>
    <value>1235</value>
    <measureType>NPV</measureType>
    <currency>USD</currency>
  </quote>
  <party id="party1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">5493001RKR55V4X61F71</partyId>
<!-- unique counterparty identifier of reporting party -->
    <partyName>Bank X</partyName>
    <organizationType>SD</organizationType>
    <businessUnit id="desk1">
      <name>NY Swaps Desk</name>
    </businessUnit>
    <person id="trader">
      <personId>jjones</personId>
    </person>
  </party>
  <party id="party2">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300O5MFEP1XJ40B46</partyId>
<!-- unique counterparty identifier of other party -->
    <partyName>Bank Y</partyName>
    <organizationType>SD</organizationType>
  </party>
  <party id="broker1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300OL8KL0WCQ34V31</partyId>
<!-- unique counterparty identifier of arranging broker -->
    <partyName>Up&amp;Atem</partyName>
  </party>
  <party id="clearing-svc">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300IB5Q45JGNPND58</partyId>
<!-- unique counterparty identifier of clearing service -->
    <partyName>ClearItAll</partyName>
  </party>
</executionAdvice>




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