cdm-sample-files.native-cdm-events.Example-01-Submission-1.xml Maven / Gradle / Ivy
<?xml version="1.0" encoding="utf-8"?>
<executionNotification 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.sef.com/msg_id">SEF123</messageId>
<sentBy>SEFCORP</sentBy>
<sendTo>SDR01</sendTo>
<creationTimestamp>2018-04-01T14:15:36Z</creationTimestamp>
<!-- Date stamp -->
</header>
<isCorrection>false</isCorrection>
<!-- Correction indicator -->
<correlationId correlationIdScheme="http://fpml.org/submitter_trade_id">TW9235</correlationId>
<sequenceNumber>1</sequenceNumber>
<onBehalfOf>
<partyReference href="party1"/>
<!-- explicit reference to which party is the primary reporting party -->
</onBehalfOf>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<issuer issuerIdScheme="http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier">LEI1RPT0001</issuer>
<tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier">LEI1RPT0001AAAA</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>2018-04-01T14:15:36Z</executionDateTime>
<!-- Execution timestamp -->
<intentToAllocate>false</intentToAllocate>
<intentToClear>false</intentToClear>
<!-- NEW: cleared or uncleared = "C" in CFTC doc -->
<collateralizationType>Fully</collateralizationType>
<reportingRegime>
<supervisorRegistration>
<supervisoryBody>CFTC</supervisoryBody>
</supervisorRegistration>
<reportingRole>ReportingParty</reportingRole>
<reportingPurpose>PrimaryEconomicTerms</reportingPurpose>
<mandatorilyClearable>false</mandatorilyClearable>
</reportingRegime>
<reportingRegime>
<supervisorRegistration>
<supervisoryBody>SEC</supervisoryBody>
</supervisorRegistration>
<reportingRole>ReportingParty</reportingRole>
<reportingPurpose>PrimaryEconomicTerms</reportingPurpose>
<mandatorilyClearable>false</mandatorilyClearable>
</reportingRegime>
<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>2018-04-01</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>
<!-- asset class -->
<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 -->
<!-- <subAssetClass>N/A</subAssetClass> -->
<!-- NEW: sub-asset class not applicable for IR -->
<swapStream>
<payerPartyReference href="party1"/>
<receiverPartyReference href="party2"/>
<calculationPeriodDates id="floatingCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-04-03</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2026-02-08</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="primaryBusinessCenters">
<businessCenter>USNY</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="resetDates1">
<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="resetDates1"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>10000.00</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>2018-04-03</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2026-02-08</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>10000.00</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>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">LEI1RPT0001</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">LEI2CP0002</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&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>
</executionNotification>
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