result-json-files.cme-cleared-confirm-1-17.SWAP_CREATED_DUE_TO_EXERCISE.json Maven / Gradle / Ivy
{
"proposedEvent" : {
"intent" : "ContractFormation",
"instruction" : [ {
"before" : {
"value" : {
"trade" : {
"product" : {
"taxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"economicTerms" : {
"payout" : [ {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FixedRateSpecification" : {
"rateSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2014-09-26",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "ec706b12"
}
},
"meta" : {
"globalKey" : "ec706b12"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2016-09-26",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "42f910b",
"externalReference" : "fixedPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "116cc910"
}
},
"meta" : {
"globalKey" : "47a7cce1"
}
},
"meta" : {
"globalKey" : "9a0e32c7"
}
},
"meta" : {
"globalKey" : "9a0e32c7"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "42f910b",
"externalReference" : "fixedPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "116cc910"
}
},
"meta" : {
"globalKey" : "47a7cce1"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "18abc"
},
"rollConvention" : "26"
},
"meta" : {
"globalKey" : "c37bd764",
"externalKey" : "fixedCalcPeriodDates"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "GBLO"
}, {
"value" : "USNY"
} ],
"meta" : {
"globalKey" : "42f910b",
"externalKey" : "fixedPrimaryBusinessCenters"
}
},
"meta" : {
"globalKey" : "97b8e49c"
}
},
"meta" : {
"globalKey" : "628a6d89"
}
},
"cashflowRepresentation" : {
"cashflowsMatchParameters" : true,
"paymentCalculationPeriod" : [ {
"adjustedPaymentDate" : "2015-03-26",
"calculationPeriod" : [ {
"adjustedStartDate" : "2014-09-26",
"adjustedEndDate" : "2015-03-26",
"meta" : {
"globalKey" : "f938a384"
},
"notionalAmount" : 10000000.00,
"fixedRate" : 0.0225
} ],
"meta" : {
"globalKey" : "159522ea"
}
}, {
"adjustedPaymentDate" : "2015-09-28",
"calculationPeriod" : [ {
"adjustedStartDate" : "2015-03-26",
"adjustedEndDate" : "2015-09-28",
"meta" : {
"globalKey" : "fc32b606"
},
"notionalAmount" : 10000000.00,
"fixedRate" : 0.0225
} ],
"meta" : {
"globalKey" : "ab3dd52a"
}
}, {
"adjustedPaymentDate" : "2016-03-29",
"calculationPeriod" : [ {
"adjustedStartDate" : "2015-09-28",
"adjustedEndDate" : "2016-03-29",
"meta" : {
"globalKey" : "fcfa9785"
},
"notionalAmount" : 10000000.00,
"fixedRate" : 0.0225
} ],
"meta" : {
"globalKey" : "c53a98c8"
}
}, {
"adjustedPaymentDate" : "2016-09-26",
"calculationPeriod" : [ {
"adjustedStartDate" : "2016-03-29",
"adjustedEndDate" : "2016-09-26",
"meta" : {
"globalKey" : "fff50ba1"
},
"notionalAmount" : 10000000.00,
"fixedRate" : 0.0225
} ],
"meta" : {
"globalKey" : "525b7187"
}
} ]
}
},
"meta" : {
"globalKey" : "c46e9a5e"
}
}, {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-2"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FloatingRateSpecification" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2014-09-26",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "ec706b12"
}
},
"meta" : {
"globalKey" : "ec706b12"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2016-09-26",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "42f910b",
"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "245965f8"
}
},
"meta" : {
"globalKey" : "5a9469c9"
}
},
"meta" : {
"globalKey" : "acfacfaf"
}
},
"meta" : {
"globalKey" : "acfacfaf"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "42f910b",
"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "245965f8"
}
},
"meta" : {
"globalKey" : "5a9469c9"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "17f79"
},
"rollConvention" : "26"
},
"meta" : {
"globalKey" : "bd911d21",
"externalKey" : "floatingCalcPeriodDates"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "GBLO"
}, {
"value" : "USNY"
} ],
"meta" : {
"globalKey" : "42f910b",
"externalKey" : "floatPrimaryBusinessCenters"
}
},
"meta" : {
"globalKey" : "97b8e49c"
}
},
"meta" : {
"globalKey" : "628a6d89"
}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "bd911d21",
"externalReference" : "floatingCalcPeriodDates"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : -2,
"period" : "D",
"meta" : {
"globalKey" : "1a78799e"
},
"dayType" : "Business",
"businessDayConvention" : "NONE",
"businessCenters" : {
"businessCenter" : [ {
"value" : "GBLO"
} ],
"meta" : {
"globalKey" : "21479e"
}
},
"dateRelativeTo" : {
"globalReference" : "f84de987",
"externalReference" : "floatingLegResetDates"
}
},
"resetFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "42f910b",
"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "245965f8"
}
},
"meta" : {
"globalKey" : "5a9469c9"
}
},
"meta" : {
"globalKey" : "f84de987",
"externalKey" : "floatingLegResetDates"
}
},
"compoundingMethod" : "Flat",
"cashflowRepresentation" : {
"cashflowsMatchParameters" : true,
"paymentCalculationPeriod" : [ {
"adjustedPaymentDate" : "2015-03-26",
"calculationPeriod" : [ {
"adjustedStartDate" : "2014-09-26",
"adjustedEndDate" : "2014-12-29",
"meta" : {
"globalKey" : "a85bd414"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2014-09-24",
"observedRate" : 0,
"meta" : {
"globalKey" : "79f58d8"
}
} ]
}
}, {
"adjustedStartDate" : "2014-12-29",
"adjustedEndDate" : "2015-03-26",
"meta" : {
"globalKey" : "be7a161b"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2014-12-23",
"observedRate" : 0,
"meta" : {
"globalKey" : "79f6ff9"
}
} ]
}
} ],
"meta" : {
"globalKey" : "a4754861"
}
}, {
"adjustedPaymentDate" : "2015-09-28",
"calculationPeriod" : [ {
"adjustedStartDate" : "2015-03-26",
"adjustedEndDate" : "2015-06-26",
"meta" : {
"globalKey" : "933f43b7"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2015-03-24",
"observedRate" : 0,
"meta" : {
"globalKey" : "7a02258"
}
} ]
}
}, {
"adjustedStartDate" : "2015-06-26",
"adjustedEndDate" : "2015-09-28",
"meta" : {
"globalKey" : "8af7f435"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2015-06-24",
"observedRate" : 0,
"meta" : {
"globalKey" : "7a03998"
}
} ]
}
} ],
"meta" : {
"globalKey" : "77a526fa"
}
}, {
"adjustedPaymentDate" : "2016-03-29",
"calculationPeriod" : [ {
"adjustedStartDate" : "2015-09-28",
"adjustedEndDate" : "2015-12-29",
"meta" : {
"globalKey" : "eac84296"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2015-09-24",
"observedRate" : 0,
"meta" : {
"globalKey" : "7a050d8"
}
} ]
}
}, {
"adjustedStartDate" : "2015-12-29",
"adjustedEndDate" : "2016-03-29",
"meta" : {
"globalKey" : "9c3897f8"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2015-12-23",
"observedRate" : 0,
"meta" : {
"globalKey" : "7a067f9"
}
} ]
}
} ],
"meta" : {
"globalKey" : "b0d6077f"
}
}, {
"adjustedPaymentDate" : "2016-09-26",
"calculationPeriod" : [ {
"adjustedStartDate" : "2016-03-29",
"adjustedEndDate" : "2016-06-27",
"meta" : {
"globalKey" : "c46c5fa"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2016-03-23",
"observedRate" : 0,
"meta" : {
"globalKey" : "7a11a39"
}
} ]
}
}, {
"adjustedStartDate" : "2016-06-27",
"adjustedEndDate" : "2016-09-26",
"meta" : {
"globalKey" : "95147619"
},
"notionalAmount" : 10000000.00,
"floatingRateDefinition" : {
"rateObservation" : [ {
"adjustedFixingDate" : "2016-06-23",
"observedRate" : 0,
"meta" : {
"globalKey" : "7a13179"
}
} ]
}
} ],
"meta" : {
"globalKey" : "592ef139"
}
} ]
}
},
"meta" : {
"globalKey" : "368a4ceb"
}
} ]
},
"meta" : {
"globalKey" : "35cddb4d"
}
},
"tradeLot" : [ {
"priceQuantity" : [ {
"price" : [ {
"value" : {
"value" : 0.0225,
"unit" : {
"currency" : {
"value" : "USD"
}
},
"perUnitOf" : {
"currency" : {
"value" : "USD"
}
},
"priceType" : "InterestRate"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 10000000.00,
"unit" : {
"currency" : {
"value" : "USD"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-1"
} ]
}
} ],
"meta" : {
"globalKey" : "aa49ed2b"
}
}, {
"quantity" : [ {
"value" : {
"value" : 10000000.00,
"unit" : {
"currency" : {
"value" : "USD"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"observable" : {
"value" : {
"Index" : {
"FloatingRateIndex" : {
"value" : {
"InterestRateIndex" : {
"identifier" : [ {
"identifier" : {
"value" : "USD-LIBOR-BBA"
},
"identifierType" : "Other"
} ],
"assetClass" : "InterestRate",
"floatingRateIndex" : {
"value" : "USD-LIBOR-BBA"
},
"indexTenor" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
} ]
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "observable-1"
} ]
}
},
"meta" : {
"globalKey" : "f901da98"
}
} ]
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "9d362d34",
"externalReference" : "clearing_firm"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "1051b",
"externalReference" : "clearing_service"
}
} ],
"tradeIdentifier" : [ {
"issuerReference" : {
"globalReference" : "1051b",
"externalReference" : "clearing_service"
},
"issuer" : {
"value" : "1010000023",
"meta" : {
"scheme" : "cftc_Namespace"
}
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "844510",
"meta" : {
"scheme" : "cme_trade_id"
}
}
}, {
"identifier" : {
"value" : "scenario1",
"meta" : {
"scheme" : "client_trade_id"
}
}
}, {
"identifier" : {
"value" : "scenario1",
"meta" : {
"scheme" : "platform_trade_id"
}
}
}, {
"identifier" : {
"value" : "844409",
"meta" : {
"scheme" : "swaption_trade_id"
}
}
}, {
"identifier" : {
"value" : "CCCIRS844510",
"meta" : {
"scheme" : "reg_trade_id"
}
}
} ],
"meta" : {
"globalKey" : "87bb59c"
}
} ],
"tradeDate" : {
"value" : "2014-09-24",
"meta" : {
"globalKey" : "3ef258"
}
},
"party" : [ {
"partyId" : [ {
"identifier" : {
"value" : "TESTBOOKLE",
"meta" : {
"scheme" : "clearing_member_firms"
}
},
"meta" : {
"globalKey" : "9d362d34"
}
} ],
"meta" : {
"globalKey" : "9d362d34",
"externalKey" : "clearing_firm"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "CME"
},
"meta" : {
"globalKey" : "1051b"
}
} ],
"meta" : {
"globalKey" : "1051b",
"externalKey" : "clearing_service"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "CME_TRADE_REPORT"
},
"meta" : {
"globalKey" : "44f1e133"
}
} ],
"meta" : {
"globalKey" : "44f1e133",
"externalKey" : "trade_source"
}
} ],
"clearedDate" : "2014-09-24",
"account" : [ {
"partyReference" : {
"globalReference" : "9d362d34",
"externalReference" : "clearing_firm"
},
"accountNumber" : {
"value" : "pacct1",
"meta" : {
"scheme" : "clearing_firm_accounts"
}
},
"servicingParty" : {
"globalReference" : "9d362d34",
"externalReference" : "clearing_firm"
},
"meta" : {
"globalKey" : "f1e3dc1e",
"externalKey" : "account1"
}
} ],
"meta" : {
"globalKey" : "58bb8c0c"
}
},
"meta" : {
"globalKey" : "58bb8c0c"
}
}
}
} ]
},
"messageInformation" : {
"messageId" : {
"value" : "MSG4529898",
"meta" : {
"scheme" : "cme_message_id"
}
},
"sentBy" : {
"value" : "CME",
"meta" : {
"scheme" : "cme_clearingorg_id"
}
},
"sentTo" : [ {
"value" : "TESTBOOKLE",
"meta" : {
"scheme" : "cme_firm_id"
}
}, {
"value" : "CME",
"meta" : {
"scheme" : "cme_exchange_id"
}
} ]
},
"timestamp" : [ {
"dateTime" : "2014-09-24T09:30:17Z",
"qualification" : "eventCreationDateTime"
} ],
"workflowState" : {
"workflowStatus" : "Cleared"
},
"meta" : {
"globalKey" : "6744c753"
}
}© 2015 - 2025 Weber Informatics LLC | Privacy Policy