interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
226 lines (222 loc) • 10.3 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
-->
<!--
Gold Metal Lease Interest Rate Swap
Lease will be on 100ozt of Gold for a period of one year
Quarterly Calculations
Fixed Rate of -0.01%
Floating rate of 3 Month Libor - GOFO
Representation is 3 Month Libor vs. GOFO - 0.01%
Developed for the DTCC Commodities FpML Implementation WG for discussion purposes
Correction [2012-10-15]: Added primaryAssetClass & taxonomy code
-->
<dataDocument
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"
>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.bankB.com/swaps/com-trade-id">BankA1234</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://www.bankA.com/swaps/com-trade-id">BankB5678</tradeId>
</partyTradeIdentifier>
<tradeDate>2012-01-01</tradeDate>
</tradeHeader>
<swap>
<primaryAssetClass>Commodity</primaryAssetClass>
<productId productIdScheme="http://www.dtcc.com/coding-scheme/external/GTR-Product-Id">Commodity:Metals:Precious:LoanLease:Cash</productId>
<swapStream>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<calculationPeriodDates id="gofoperioddates1">
<effectiveDate>
<unadjustedDate>2012-01-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="primaryBusinessCenters">
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2013-01-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
<rollConvention>1</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="gofoperioddates1" />
<paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency>
<firstPaymentDate>2012-04-01</firstPaymentDate>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="resetDates1">
<calculationPeriodDatesReference href="gofoperioddates1" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
<dateRelativeTo href="resetDates1" />
</fixingDates>
<resetFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<!--
since we have to represent gold interms of XAU, we must convert everything to ozt.
for example, if we have 1kg of gold, we need to represent it as 32.15074656 XAU
-->
<notionalStepSchedule>
<initialValue>100.00</initialValue>
<currency>XAU</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<!-- This is a 3 month libor index, but it may not be the right index -->
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/365.FIXED</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<calculationPeriodDates id="gofoperioddates2">
<effectiveDate>
<unadjustedDate>2012-01-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2013-01-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
<rollConvention>1</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="gofoperioddates2" />
<paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency>
<firstPaymentDate>2012-04-01</firstPaymentDate>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="resetDates2">
<calculationPeriodDatesReference href="gofoperioddates2" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
<dateRelativeTo href="resetDates2" />
</fixingDates>
<resetFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<!--
since we have to represent gold interms of XAU, we must convert everything to ozt.
for example, if we have 1kg of gold, we need to represent it as 32.15074656 XAU
-->
<notionalStepSchedule>
<initialValue>100.00</initialValue>
<currency>XAU</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<!-- This uses a commodity floating rate index coding scheme list with just one value "GOFO". To use the commodity floating rate index coding scheme, it needs to be specified in the floatingRateIndexScheme -->
<floatingRateIndex floatingRateIndexScheme="http://www.fpml.org/coding-scheme/commodity-floating-rate-index">GOFO</floatingRateIndex>
<spreadSchedule>
<initialValue>-0.0001</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/365.FIXED</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">Bank A</partyId>
<partyName>Bank a</partyName>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">Bank B</partyId>
<partyName>Bank B</partyName>
</party>
</dataDocument>