interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
208 lines (207 loc) • 9.48 kB
text/xml
<!--View is confirmation-->
<!--Version is 5-10-->
<!--NS is http://www.fpml.org/FpML-5/confirmation-->
<!--
== Copyright (c) 2014-2018 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<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 ../../fpml-main-5-10.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd"
>
<header>
<messageId messageIdScheme="message_id">MSG4529896</messageId>
<sentBy messageAddressScheme="clearingorg_id">CLEARCO</sentBy>
<sendTo messageAddressScheme="platform_id">TESTBOOKLE</sendTo>
<creationTimestamp>2014-09-24T09:30:10-00:00</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<correlationId correlationIdScheme="trade_id">844409</correlationId>
<sequenceNumber>2</sequenceNumber>
<optionExercise>
<tradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="trade_id">844409</tradeId>
<tradeId tradeIdScheme="client_trade_id">scenario1</tradeId>
<tradeId tradeIdScheme="platform_trade_id">scenario1</tradeId>
</tradeIdentifier>
<exerciseDate>2014-09-24</exerciseDate>
<exerciseTime>09:30:10Z</exerciseTime>
<exerciseAction>FullExercise</exerciseAction>
<physicalSettlement>
<resultingTrade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="trade_id">844510</tradeId>
<!-- ID of the new swap -->
</partyTradeIdentifier>
<tradeDate>2014-09-24</tradeDate>
<clearedDate>2014-09-24</clearedDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_firm" />
<payerAccountReference href="account1" />
<receiverPartyReference href="clearing_service" />
<calculationPeriodDates id="fixedCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2014-09-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2016-09-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="fixedPrimaryBusinessCenters" />
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="fixedPrimaryBusinessCenters" />
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>26</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="fixedCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="fixedPrimaryBusinessCenters">
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>10000000.00</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0225</initialValue>
</fixedRateSchedule>
<dayCountFraction>ACT/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_service" />
<receiverPartyReference href="clearing_firm" />
<receiverAccountReference href="account1" />
<calculationPeriodDates id="floatingCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2014-09-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2016-09-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="floatPrimaryBusinessCenters" />
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="floatPrimaryBusinessCenters" />
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
<rollConvention>26</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="floatingCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="floatPrimaryBusinessCenters">
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="floatingLegResetDates">
<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="floatingLegResetDates" />
</fixingDates>
<resetFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="floatPrimaryBusinessCenters" />
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>10000000.00</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
<compoundingMethod>Flat</compoundingMethod>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</resultingTrade>
</physicalSettlement>
</optionExercise>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">TESTBOOKLE</partyId>
</party>
<party id="clearing_service">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">CLEARCO</partyId>
</party>
<party id="trade_source">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">TRADE_REPORT</partyId>
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">pacct1</accountId>
<servicingParty href="clearing_firm" />
</account>
</executionNotification>