interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
455 lines (452 loc) • 21.7 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
-->
<!--
Compounding and averaging interest rate swap with relative effective dates and
relative termination dates.
Effective dates equal the trade date plus two London business days. The resulting date
is adjusted using the London and New York calendars and the modified following rule.
Termination dates equal the effective date plus two years. The resulting date
is adjusted using the London and New York calendars and the modified following rule.
-->
<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://xml.morganstanley.com/fid/ird/msTradeIdScheme/swapName">martin</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://xml.morganstanley.com/fid/ird/counterpartyTradeIdScheme">1234567</tradeId>
</partyTradeIdentifier>
<tradeDate id="tradeDate">2005-07-31</tradeDate>
</tradeHeader>
<swap>
<productType>InterestRate:IRSwap:FixedFloat</productType>
<swapStream id="swapStream_0_0">
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<calculationPeriodDates id="calculationPeriodDates_0_0">
<relativeEffectiveDate id="effectiveDate_0_0">
<periodMultiplier>2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
<dateRelativeTo href="tradeDate" />
<relativeDateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</relativeDateAdjustments>
</relativeEffectiveDate>
<relativeTerminationDate id="terminationDate_0_0">
<periodMultiplier>2</periodMultiplier>
<period>Y</period>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
<dateRelativeTo href="effectiveDate_0_0" />
</relativeTerminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>2</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="calculationPeriodDates_0_0" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule id="notionalSchedule_0_0">
<notionalStepSchedule>
<initialValue>100000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0003</initialValue>
</fixedRateSchedule>
<dayCountFraction>30/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
<principalExchanges>
<initialExchange>false</initialExchange>
<finalExchange>false</finalExchange>
<intermediateExchange>false</intermediateExchange>
</principalExchanges>
<cashflows>
<cashflowsMatchParameters>false</cashflowsMatchParameters>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_0_1">
<adjustedPaymentDate>2006-02-06</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_0_1">
<adjustedStartDate>2005-08-04</adjustedStartDate>
<adjustedEndDate>2006-02-06</adjustedEndDate>
<calculationPeriodNumberOfDays>182</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<fixedRate>0.0003</fixedRate>
</calculationPeriod>
</paymentCalculationPeriod>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_0_2">
<adjustedPaymentDate>2006-08-04</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_0_2">
<adjustedStartDate>2006-02-06</adjustedStartDate>
<adjustedEndDate>2006-08-04</adjustedEndDate>
<calculationPeriodNumberOfDays>178</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<fixedRate>0.0003</fixedRate>
</calculationPeriod>
</paymentCalculationPeriod>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_0_3">
<adjustedPaymentDate>2007-02-05</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_0_3">
<adjustedStartDate>2006-08-04</adjustedStartDate>
<adjustedEndDate>2007-02-05</adjustedEndDate>
<calculationPeriodNumberOfDays>181</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<fixedRate>0.0003</fixedRate>
</calculationPeriod>
</paymentCalculationPeriod>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_0_4">
<adjustedPaymentDate>2007-08-06</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_0_4">
<adjustedStartDate>2007-02-05</adjustedStartDate>
<adjustedEndDate>2007-08-06</adjustedEndDate>
<calculationPeriodNumberOfDays>181</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<fixedRate>0.0003</fixedRate>
</calculationPeriod>
</paymentCalculationPeriod>
</cashflows>
</swapStream>
<swapStream id="swapStream_0_1">
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<calculationPeriodDates id="calculationPeriodDates_0_1">
<relativeEffectiveDate id="effectiveDate_0_1">
<periodMultiplier>2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
<dateRelativeTo href="tradeDate" />
<relativeDateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</relativeDateAdjustments>
</relativeEffectiveDate>
<relativeTerminationDate id="terminationDate_0_1">
<periodMultiplier>2</periodMultiplier>
<period>Y</period>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
<dateRelativeTo href="effectiveDate_0_1" />
</relativeTerminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
<rollConvention>NONE</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="calculationPeriodDates_0_1" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="resetDates_0_1">
<calculationPeriodDatesReference href="calculationPeriodDates_0_1" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
<dateRelativeTo href="resetDates_0_1" />
</fixingDates>
<resetFrequency>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule id="notionalSchedule_0_1">
<notionalStepSchedule>
<initialValue>100000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
<compoundingMethod>Straight</compoundingMethod>
</calculation>
</calculationPeriodAmount>
<principalExchanges>
<initialExchange>false</initialExchange>
<finalExchange>false</finalExchange>
<intermediateExchange>false</intermediateExchange>
</principalExchanges>
<cashflows>
<cashflowsMatchParameters>false</cashflowsMatchParameters>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_1_1">
<adjustedPaymentDate>2006-02-06</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_1_1">
<adjustedStartDate>2005-08-04</adjustedStartDate>
<adjustedEndDate>2005-11-04</adjustedEndDate>
<calculationPeriodNumberOfDays>92</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2005-08-02</adjustedFixingDate>
<observationWeight>32</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2005-09-01</adjustedFixingDate>
<observationWeight>29</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2005-09-30</adjustedFixingDate>
<observationWeight>31</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
<calculationPeriod id="calculationPeriod_0_1_2">
<adjustedStartDate>2005-11-04</adjustedStartDate>
<adjustedEndDate>2006-02-06</adjustedEndDate>
<calculationPeriodNumberOfDays>94</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2005-11-02</adjustedFixingDate>
<observationWeight>31</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2005-12-01</adjustedFixingDate>
<observationWeight>30</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2005-12-30</adjustedFixingDate>
<observationWeight>33</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
</paymentCalculationPeriod>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_1_3">
<adjustedPaymentDate>2006-08-04</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_1_3">
<adjustedStartDate>2006-02-06</adjustedStartDate>
<adjustedEndDate>2006-05-04</adjustedEndDate>
<calculationPeriodNumberOfDays>87</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2006-02-02</adjustedFixingDate>
<observationWeight>28</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-03-02</adjustedFixingDate>
<observationWeight>29</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-03-31</adjustedFixingDate>
<observationWeight>30</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
<calculationPeriod id="calculationPeriod_0_1_4">
<adjustedStartDate>2006-05-04</adjustedStartDate>
<adjustedEndDate>2006-08-04</adjustedEndDate>
<calculationPeriodNumberOfDays>92</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2006-05-02</adjustedFixingDate>
<observationWeight>32</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-06-01</adjustedFixingDate>
<observationWeight>29</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-06-30</adjustedFixingDate>
<observationWeight>31</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
</paymentCalculationPeriod>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_1_5">
<adjustedPaymentDate>2007-02-05</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_1_5">
<adjustedStartDate>2006-08-04</adjustedStartDate>
<adjustedEndDate>2006-11-06</adjustedEndDate>
<calculationPeriodNumberOfDays>94</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2006-08-02</adjustedFixingDate>
<observationWeight>31</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-08-31</adjustedFixingDate>
<observationWeight>30</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-10-02</adjustedFixingDate>
<observationWeight>33</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
<calculationPeriod id="calculationPeriod_0_1_6">
<adjustedStartDate>2006-11-06</adjustedStartDate>
<adjustedEndDate>2007-02-05</adjustedEndDate>
<calculationPeriodNumberOfDays>91</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2006-11-02</adjustedFixingDate>
<observationWeight>28</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2006-11-30</adjustedFixingDate>
<observationWeight>31</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2007-01-02</adjustedFixingDate>
<observationWeight>32</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
</paymentCalculationPeriod>
<paymentCalculationPeriod id="paymentCalculationPeriod_0_1_7">
<adjustedPaymentDate>2007-08-06</adjustedPaymentDate>
<calculationPeriod id="calculationPeriod_0_1_7">
<adjustedStartDate>2007-02-05</adjustedStartDate>
<adjustedEndDate>2007-05-04</adjustedEndDate>
<calculationPeriodNumberOfDays>88</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2007-02-01</adjustedFixingDate>
<observationWeight>28</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2007-03-01</adjustedFixingDate>
<observationWeight>30</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2007-04-02</adjustedFixingDate>
<observationWeight>30</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
<calculationPeriod id="calculationPeriod_0_1_8">
<adjustedStartDate>2007-05-04</adjustedStartDate>
<adjustedEndDate>2007-08-06</adjustedEndDate>
<calculationPeriodNumberOfDays>94</calculationPeriodNumberOfDays>
<notionalAmount>100000000</notionalAmount>
<floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>2007-05-02</adjustedFixingDate>
<observationWeight>31</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2007-05-21</adjustedFixingDate>
<observationWeight>30</observationWeight>
</rateObservation>
<rateObservation>
<adjustedFixingDate>2007-07-02</adjustedFixingDate>
<observationWeight>33</observationWeight>
</rateObservation>
</floatingRateDefinition>
</calculationPeriod>
</paymentCalculationPeriod>
</cashflows>
</swapStream>
</swap>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">0103</partyId>
<partyName>MarketProducts</partyName>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">0617mpm24</partyId>
</party>
</dataDocument>