interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
172 lines (171 loc) • 7.12 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
-->
<!--5.0:Message type is a Root of the message-->
<!--5.0 Messaging: changed <RequestTradeConfirmation> -><executionNotification>-->
<requestConfirmation
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="http://www.partyA.com/coding-scheme/messsage-id">456a789b</messageId>
<sentBy messageAddressScheme="http://www.partyA.com/coding-scheme/party-id">msdw</sentBy>
<creationTimestamp>2000-08-01T08:57:00Z</creationTimestamp>
</header>
<!--5.0 Messaging: added
<isCorrection>
<correlationId>
<sequenceNumber>
-->
<isCorrection>false</isCorrection>
<correlationId correlationIdScheme="http://www.example.com/correlationId">CORR/2000/08/01/456a779b</correlationId>
<sequenceNumber>1</sequenceNumber>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.partyA.com/">109257</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://www.partyB.com/">1234567</tradeId>
</partyTradeIdentifier>
<tradeDate>2006-10-05</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<generalTerms>
<effectiveDate>
<unadjustedDate>2006-10-11</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</effectiveDate>
<scheduledTerminationDate>
<unadjustedDate>2035-09-25</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</scheduledTerminationDate>
<buyerPartyReference href="party1" />
<sellerPartyReference href="party2" />
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
<referenceInformation>
<referenceEntity>
<entityName>New Century Home Equity Loan Trust 2005-4</entityName>
</referenceEntity>
<referenceObligation>
<mortgage>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0">64352VNC1</instrumentId>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0">NCHET 2005-4</instrumentId>
<currency>USD</currency>
<maturity>2035-09-25</maturity>
<originalPrincipalAmount>22900000</originalPrincipalAmount>
<pool>
<initialFactor>1</initialFactor>
</pool>
<sector>RMBS</sector>
<tranche>M9</tranche>
</mortgage>
</referenceObligation>
</referenceInformation>
</generalTerms>
<feeLeg>
<periodicPayment>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</paymentFrequency>
<firstPaymentDate>2006-11-01</firstPaymentDate>
<lastRegularPaymentDate>2035-06-01</lastRegularPaymentDate>
<rollConvention>11</rollConvention>
<fixedAmountCalculation>
<calculationAmount>
<currency>USD</currency>
<amount>15000000</amount>
</calculationAmount>
<fixedRate>0.050</fixedRate>
</fixedAmountCalculation>
</periodicPayment>
<paymentDelay>true</paymentDelay>
</feeLeg>
<protectionTerms>
<calculationAmount>
<currency>USD</currency>
<amount>15000000.00</amount>
</calculationAmount>
<creditEvents>
<failureToPayPrincipal>true</failureToPayPrincipal>
<distressedRatingsDowngrade>true</distressedRatingsDowngrade>
<writedown>true</writedown>
</creditEvents>
<floatingAmountEvents>
<failureToPayPrincipal>true</failureToPayPrincipal>
<interestShortfall>
<interestShortfallCap>Fixed</interestShortfallCap>
<compounding>false</compounding>
<rateSource>USD-LIBOR-BBA</rateSource>
</interestShortfall>
<writedown>true</writedown>
<floatingAmountProvisions>
<stepUpProvision>true</stepUpProvision>
</floatingAmountProvisions>
<additionalFixedPayments>
<interestShortfallReimbursement>true</interestShortfallReimbursement>
<principalShortfallReimbursement>true</principalShortfallReimbursement>
<writedownReimbursement>true</writedownReimbursement>
</additionalFixedPayments>
</floatingAmountEvents>
</protectionTerms>
<physicalSettlementTerms>
<physicalSettlementPeriod>
<businessDays>5</businessDays>
</physicalSettlementPeriod>
<escrow>true</escrow>
</physicalSettlementTerms>
</creditDefaultSwap>
<calculationAgent>
<calculationAgentPartyReference href="party1" />
</calculationAgent>
<calculationAgentBusinessCenter>USNY</calculationAgentBusinessCenter>
<documentation>
<masterAgreement>
<masterAgreementType>ISDA</masterAgreementType>
<masterAgreementVersion>1992</masterAgreementVersion>
</masterAgreement>
<contractualDefinitions>ISDA2003Credit</contractualDefinitions>
<contractualTermsSupplement>
<type>ISDA2003CreditMay2003</type>
</contractualTermsSupplement>
</documentation>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">254900BIAQJIUV6DLE92</partyId>
<partyName>XYZ Bank</partyName>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300VBWWV6BYQOWM67</partyId>
<partyName>ABC Bank</partyName>
</party>
</requestConfirmation>