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

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    <Trade id="CDO_06_10">
    <TradeType>SyntheticCDO</TradeType>
    <Envelope>
        <CounterParty>CPTY_B</CounterParty>
        <NettingSetId>CPTY_B</NettingSetId>
        <AdditionalFields/>
    </Envelope>
    <CdoData>
        <Qualifier>CDXIG21</Qualifier>
        <SettlesAccrual>Y</SettlesAccrual>
        <PaysAtDefaultTime>Y</PaysAtDefaultTime>
        <ProtectionStart>20181201</ProtectionStart>
        <UpfrontDate>20181202</UpfrontDate>
        <UpfrontFee>0.0</UpfrontFee>
        <AttachmentPoint>0.06</AttachmentPoint>
        <DetachmentPoint>0.09</DetachmentPoint>
        <LegData>
            <LegType>Fixed</LegType>
            <Payer>true</Payer>
            <Currency>USD</Currency>
            <Notionals>
                <Notional>300000.0</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>F</PaymentConvention>
            <FixedLegData>
                <Rates>
                    <Rate>0.01</Rate>
                </Rates>
            </FixedLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20181231</StartDate>
                    <EndDate>20260205</EndDate>
                    <Tenor>3M</Tenor>
                    <Calendar>US</Calendar>
                    <Convention>F</Convention>
                    <TermConvention>F</TermConvention>
                    <Rule>CDS2015</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
    </CdoData>
</Trade>