interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
242 lines (241 loc) • 10.8 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 <TradeCreated> -><TradeExecution> -><executionNotification>-->
<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>
<!--FpML 5.0: Removed "conversationId", replaced by "correlationId"-->
<messageId messageIdScheme="http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID">GW:0EB40A0q</messageId>
<sentBy>BGIAGB2L</sentBy>
<sendTo>WSSOGB2L</sendTo>
<creationTimestamp>2005-01-24T04:36:35-08:00</creationTimestamp>
</header>
<!--5.0 Messaging: added
<correlationId>
<sequenceNumber>
-->
<isCorrection>false</isCorrection>
<correlationId correlationIdScheme="http://www.barclaysglobal/conversationIdScheme">creditDefaultSwap0EB40A0q</correlationId>
<sequenceNumber>3</sequenceNumber>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId id="tid1" tradeIdScheme="http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID">DJITRAXXUSDMS5Y</tradeId>
<linkId id="lid1" linkIdScheme="http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID">USDINDEX</linkId>
</partyTradeIdentifier>
<tradeDate>2004-01-24</tradeDate>
</tradeHeader>
<creditDefaultSwap id="creditDefaultSwap">
<generalTerms>
<effectiveDate>
<unadjustedDate>2004-03-23</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<scheduledTerminationDate>
<unadjustedDate>2009-03-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</scheduledTerminationDate>
<buyerPartyReference href="party2" />
<sellerPartyReference href="party1" />
<basketReferenceInformation>
<basketName basketNameScheme="http://www.barclaysglobal.com/partners/coding-scheme/indexId">CDS Basket Sample</basketName>
<basketId basketIdScheme="http://www.barclaysglobal.com/partners/coding-scheme/indexId">BASKET089</basketId>
<referencePool>
<referencePoolItem>
<constituentWeight>
<basketPercentage>0.40</basketPercentage>
</constituentWeight>
<referencePair>
<referenceEntity id="agriumEntity">
<entityName>Agrium Inc.</entityName>
<entityId entityIdScheme="http://www.fpml.org/spec/2003/entity-id-RED-1-0">008HA7</entityId>
</referenceEntity>
<referenceObligation>
<bond>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0">008916AB4</instrumentId>
<couponRate>0.077</couponRate>
<maturity>2017-02-01</maturity>
</bond>
<primaryObligorReference href="agriumEntity" />
</referenceObligation>
<entityType>NorthAmericanInvestmentGrade</entityType>
</referencePair>
<protectionTermsReference href="protectionTermsOne" />
<!--ref-4 The @href attribute is equal to the @id attribute of an element of type SettlementTerms-->
<settlementTermsReference href="creditDefaultSwap" />
</referencePoolItem>
<referencePoolItem>
<constituentWeight>
<basketPercentage>0.30</basketPercentage>
</constituentWeight>
<referencePair>
<referenceEntity id="tenetEntity">
<entityName>Tenet Healthcare Corporation</entityName>
<entityId entityIdScheme="http://www.fpml.org/spec/2003/entity-id-RED-1-0">8G836J</entityId>
</referenceEntity>
<referenceObligation>
<bond>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0">88033GAT7</instrumentId>
<couponRate>0.06</couponRate>
<maturity>2011-12-01</maturity>
</bond>
<primaryObligorReference href="tenetEntity" />
</referenceObligation>
<entityType>NorthAmericanInvestmentGrade</entityType>
</referencePair>
<protectionTermsReference href="protectionTermsOne" />
<!--ref-4 The @href attribute is equal to the @id attribute of an element of type SettlementTerms-->
<settlementTermsReference href="creditDefaultSwap" />
</referencePoolItem>
<referencePoolItem>
<constituentWeight>
<basketPercentage>0.30</basketPercentage>
</constituentWeight>
<referencePair>
<referenceEntity id="telecoEntity">
<entityName>Teleco Corporation Europe</entityName>
<entityId entityIdScheme="http://www.fpml.org/spec/2003/entity-id-RED-1-0">8G8KT</entityId>
</referenceEntity>
<referenceObligation>
<bond>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0">88033GAT7</instrumentId>
<couponRate>0.08</couponRate>
<maturity>2009-12-01</maturity>
</bond>
<primaryObligorReference href="tenetEntity" />
</referenceObligation>
<entityType>NorthAmericanInvestmentGrade</entityType>
</referencePair>
<protectionTermsReference href="protectionTermsTwo" />
<!--ref-4 The @href attribute is equal to the @id attribute of an element of type SettlementTerms-->
<settlementTermsReference href="creditDefaultSwap" />
</referencePoolItem>
</referencePool>
<nthToDefault>1</nthToDefault>
</basketReferenceInformation>
</generalTerms>
<feeLeg>
<periodicPayment>
<fixedAmountCalculation>
<calculationAmount>
<currency>USD</currency>
<amount>25000000</amount>
</calculationAmount>
<fixedRate>0.0060</fixedRate>
<dayCountFraction>ACT/ACT.ISDA</dayCountFraction>
</fixedAmountCalculation>
</periodicPayment>
</feeLeg>
<protectionTerms id="protectionTermsOne">
<calculationAmount>
<currency>USD</currency>
<amount>25000000</amount>
</calculationAmount>
<creditEvents>
<bankruptcy>true</bankruptcy>
<failureToPay>
<applicable>true</applicable>
<gracePeriodExtension>
<applicable>true</applicable>
<gracePeriod>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
</gracePeriod>
</gracePeriodExtension>
<paymentRequirement>
<currency>GBP</currency>
<amount>1000000.00</amount>
</paymentRequirement>
</failureToPay>
<creditEventNotice>
<notifyingParty>
<buyerPartyReference href="party2" />
<sellerPartyReference href="party1" />
</notifyingParty>
<publiclyAvailableInformation>
<standardPublicSources>true</standardPublicSources>
<specifiedNumber>2</specifiedNumber>
</publiclyAvailableInformation>
</creditEventNotice>
</creditEvents>
<obligations>
<category>BondOrLoan</category>
</obligations>
</protectionTerms>
<protectionTerms id="protectionTermsTwo">
<calculationAmount>
<currency>EUR</currency>
<amount>10000000</amount>
</calculationAmount>
<creditEvents>
<bankruptcy>true</bankruptcy>
<failureToPay>
<applicable>true</applicable>
<gracePeriodExtension>
<applicable>true</applicable>
<gracePeriod>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
</gracePeriod>
</gracePeriodExtension>
<paymentRequirement>
<currency>GBP</currency>
<amount>1000000.00</amount>
</paymentRequirement>
</failureToPay>
<creditEventNotice>
<notifyingParty>
<buyerPartyReference href="party2" />
<sellerPartyReference href="party1" />
</notifyingParty>
<publiclyAvailableInformation>
<standardPublicSources>true</standardPublicSources>
<specifiedNumber>2</specifiedNumber>
</publiclyAvailableInformation>
</creditEventNotice>
</creditEvents>
<obligations>
<category>BondOrLoan</category>
</obligations>
</protectionTerms>
<cashSettlementTerms id="settlementTermsOne">
<settlementCurrency>USD</settlementCurrency>
</cashSettlementTerms>
<cashSettlementTerms id="settlementTermsTwo">
<settlementCurrency>EUR</settlementCurrency>
</cashSettlementTerms>
</creditDefaultSwap>
<documentation>
<contractualDefinitions>ISDA2003Credit</contractualDefinitions>
<contractualTermsSupplement>
<type>ISDA2003CreditMay2003</type>
</contractualTermsSupplement>
</documentation>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">I7331LVCZKQKX5T7XV54</partyId>
<partyName>Morgan Stanley Captial Services</partyName>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">213800H14XVWOV87OI72</partyId>
<partyName>Barclays Global Investors</partyName>
</party>
</executionNotification>