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novation-full.xml
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211 lines (211 loc) · 11.1 KB
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<?xml version="1.0" encoding="UTF-8"?>
<co:event xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xsi:schemaLocation="http://www.regnosys.com/extension-1-10/confirmation ../../schemas/events/cdm-events.xsd"
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:co="http://www.regnosys.com/extension-1-10/confirmation">
<co:timestamp>
<co:creationTimestamp>2018-05-21T18:13:51.0</co:creationTimestamp>
</co:timestamp>
<co:eventIdentifier>
<co:issuer href="p1"/>
<co:identifier>NOV-12345</co:identifier>
<co:version>1</co:version>
</co:eventIdentifier>
<co:eventDate>2018-05-21</co:eventDate>
<co:effectiveDate>2018-05-25</co:effectiveDate>
<co:isCorrection>false</co:isCorrection>
<party id="p1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">Party1</partyId>
</party>
<party id="p2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">Party2</partyId>
</party>
<party id="p3">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">Party3</partyId>
</party>
<!-- This is the dummy reference into the cash transfer between the step-in and the step-out
party -->
<party id="ct">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">cashTransfer</partyId>
</party>
<co:lineage>
<!-- Lineage into the associated cash transfer between the step-in and the step-out party -->
<co:eventReference href="ct"/>
</co:lineage>
<co:primitive>
<co:contractFormation>
<!-- This is the stepped-in contract -->
<co:after>
<co:fpmlTrade>
<co:trade>
<tradeHeader>
<!-- The stepped-in contract has a distinct contract identifier -->
<partyTradeIdentifier>
<partyReference href="p1"/>
<versionedTradeId>
<tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/uti">CDX-5678234</tradeId>
<version>1</version>
</versionedTradeId>
</partyTradeIdentifier>
<!-- The trade date reflects the novation date -->
<tradeDate>2018-05-21</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<generalTerms>
<!-- The effective date corresponds to the event effective date -->
<effectiveDate>
<unadjustedDate>2018-05-25</unadjustedDate>
</effectiveDate>
<scheduledTerminationDate>
<unadjustedDate>2020-03-20</unadjustedDate>
</scheduledTerminationDate>
<buyerPartyReference href="p1"/>
<sellerPartyReference href="p3"/>
<indexReferenceInformation>
<indexName>Dow Jones CDX NA IG.2</indexName>
<indexSeries>2</indexSeries>
<indexAnnexDate>2004-07-06</indexAnnexDate>
<indexAnnexSource>Publisher</indexAnnexSource>
</indexReferenceInformation>
</generalTerms>
<feeLeg>
<periodicPayment>
<fixedAmountCalculation>
<fixedRate>0.0060</fixedRate>
</fixedAmountCalculation>
</periodicPayment>
</feeLeg>
<protectionTerms>
<calculationAmount>
<currency>USD</currency>
<amount>25000000</amount>
</calculationAmount>
</protectionTerms>
</creditDefaultSwap>
<documentation>
<masterConfirmation>
<masterConfirmationType>DJ.CDX.NA</masterConfirmationType>
<masterConfirmationDate>2004-10-18</masterConfirmationDate>
</masterConfirmation>
</documentation>
</co:trade>
</co:fpmlTrade>
</co:after>
</co:contractFormation>
<co:quantityChange>
<!-- This is the original countract in the before state -->
<co:before>
<co:fpmlTrade>
<co:trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="p1"/>
<versionedTradeId>
<tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/uti">CDX-1458975</tradeId>
<version>1</version>
</versionedTradeId>
</partyTradeIdentifier>
<tradeDate>2017-03-20</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<generalTerms>
<effectiveDate>
<unadjustedDate>2017-03-23</unadjustedDate>
</effectiveDate>
<scheduledTerminationDate>
<unadjustedDate>2020-03-20</unadjustedDate>
</scheduledTerminationDate>
<buyerPartyReference href="p1"/>
<sellerPartyReference href="p2"/>
<indexReferenceInformation>
<indexName>Dow Jones CDX NA IG.2</indexName>
<indexSeries>2</indexSeries>
<indexAnnexDate>2004-07-06</indexAnnexDate>
<indexAnnexSource>Publisher</indexAnnexSource>
</indexReferenceInformation>
</generalTerms>
<feeLeg>
<periodicPayment>
<fixedAmountCalculation>
<fixedRate>0.0060</fixedRate>
</fixedAmountCalculation>
</periodicPayment>
</feeLeg>
<protectionTerms>
<calculationAmount>
<currency>USD</currency>
<amount>25000000</amount>
</calculationAmount>
</protectionTerms>
</creditDefaultSwap>
<documentation>
<masterConfirmation>
<masterConfirmationType>DJ.CDX.NA</masterConfirmationType>
<masterConfirmationDate>2004-10-18</masterConfirmationDate>
</masterConfirmation>
</documentation>
</co:trade>
</co:fpmlTrade>
</co:before>
<co:after>
<!-- This is the original contract, with a novated state and a version 2-->
<co:fpmlTrade>
<co:trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="p1"/>
<versionedTradeId>
<tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/uti">CDX-1458975</tradeId>
<version>2</version>
</versionedTradeId>
</partyTradeIdentifier>
<tradeDate>2017-03-20</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<generalTerms>
<effectiveDate>
<unadjustedDate>2017-03-23</unadjustedDate>
</effectiveDate>
<scheduledTerminationDate>
<unadjustedDate>2020-03-20</unadjustedDate>
</scheduledTerminationDate>
<buyerPartyReference href="p1"/>
<sellerPartyReference href="p2"/>
<indexReferenceInformation>
<indexName>Dow Jones CDX NA IG.2</indexName>
<indexSeries>2</indexSeries>
<indexAnnexDate>2004-07-06</indexAnnexDate>
<indexAnnexSource>Publisher</indexAnnexSource>
</indexReferenceInformation>
</generalTerms>
<feeLeg>
<periodicPayment>
<fixedAmountCalculation>
<fixedRate>0.0060</fixedRate>
</fixedAmountCalculation>
</periodicPayment>
</feeLeg>
<protectionTerms>
<calculationAmount>
<currency>USD</currency>
<amount>0</amount>
</calculationAmount>
</protectionTerms>
</creditDefaultSwap>
<documentation>
<masterConfirmation>
<masterConfirmationType>DJ.CDX.NA</masterConfirmationType>
<masterConfirmationDate>2004-10-18</masterConfirmationDate>
</masterConfirmation>
</documentation>
<co:closedState>
<co:state>novated</co:state>
<co:activityDate>2018-05-21</co:activityDate>
<co:effectiveDate>2018-05-25</co:effectiveDate>
</co:closedState>
</co:trade>
</co:fpmlTrade>
</co:after>
</co:quantityChange>
</co:primitive>
</co:event>