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As discussed in previous meetings, there was an action on me to develop an example of a reporting message developed by a bank, which combines trade, valuation,
and events information. See attached. This was developed for internal messaging across various systems. Kind Regards, Marc The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution. |
<?xml version="1.0" encoding="UTF-8"?>
<FpML>
<asOfDate>2009-10-26</asOfDate>
<trade id="trade_1">
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1"/>
<tradeId tradeIdScheme="TradeRefNumber">CAT3452</tradeId>
</partyTradeIdentifier>
<tradeDate>2007-10-31</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<generalTerms>
<effectiveDate>
<unadjustedDate>2007-11-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<scheduledTerminationDate>
<adjustableDate>
<unadjustedDate>2012-11-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</scheduledTerminationDate>
<sellerPartyReference href="DTCC00006440"/>
<buyerPartyReference href="DTCC00006441"/>
<indexReferenceInformation>
<indexName indexNameScheme="http://www.fpml.org/spec/2003/entity-name-RED-1-0";>Some REDs Index Name Text</indexName>
<indexId indexIdScheme="http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0";>RED pair code for index</indexId>
<indexAnnexDate>2010-09-19</indexAnnexDate>
</indexReferenceInformation>
<additionalTerm additionalTermScheme="http://derivserv.dtcc.com/coding-scheme/additional-term";>Additional Terms free-form text</additionalTerm>
</generalTerms>
<feeLeg>
<initialPayment>
<payerPartyReference href="DTCC00006441"/>
<receiverPartyReference href="DTCC00006440"/>
<paymentAmount>
<currency>USD</currency>
<amount>20000</amount>
</paymentAmount>
</initialPayment>
<periodicPayment>
<fixedAmountCalculation>
<fixedRate>0.0085</fixedRate>
</fixedAmountCalculation>
</periodicPayment>
</feeLeg>
<protectionTerms>
<calculationAmount id="calculationAmount">
<currency currencyScheme="http://www.fpml.org/ext/iso4217";>USD</currency>
<amount>5000000</amount>
</calculationAmount>
</protectionTerms>
</creditDefaultSwap>
<calculationAgent>
<calculationAgentPartyReference href="DTCC00006441"/>
</calculationAgent>
<calculationAgentBusinessCenter businessCenterScheme="http://www.fpml.org/spec/2000/business-center-1-0";>JPTO</calculationAgentBusinessCenter>
<collateral>
<independentAmount>
<payerPartyReference href="DTCC00006440"/>
<receiverPartyReference href="DTCC00006441"/>
<paymentDetail>
<paymentRule xsi:type="PercentageRule">
<paymentPercent>.02</paymentPercent>
<notionalAmountReference href="calculationAmount"/>
</paymentRule>
</paymentDetail>
</independentAmount>
</collateral>
<documentation>
<masterAgreement>
<masterAgreementType masterAgreementTypeScheme="http://dtcc.com/coding-scheme/master-agreement-type";>ISDA</masterAgreementType>
<masterAgreementDate>2003-10-01</masterAgreementDate>
</masterAgreement>
<contractualTermsSupplement>
<type contractualSupplementScheme="http://www.fpml.org/coding-scheme/contractual-supplement-4-0";>iTraxxCJ</type>
<publicationDate>2010-09-19</publicationDate>
</contractualTermsSupplement>
</documentation>
</trade>
<assetValuation>
<objectReference href="trade_1"/>
<quote>
<value>5000000</value>
<measureType>CurrentNotional</measureType>
<currency>USD</currency>
</quote>
<quote>
<value>100000</value>
<measureType>TransactedNetPrice</measureType>
<currency>USD</currency>
</quote>
<quote>
<value>600</value>
<measureType>AccruedInterest</measureType>
<currency>USD</currency>
</quote>
</assetValuation>
<events>
<termination>
<tradeReference>
<partyTradeIdentifier>
<partyReference href="party1"/>
<tradeId tradeIdScheme="TradeRefNumber">CAT3452</tradeId>
</partyTradeIdentifier>
</tradeReference>
<terminationTradeDate>2008-10-31</terminationTradeDate>
<terminationEffectiveDate>2008-11-30</terminationEffectiveDate>
<full/>
<payment>
<payerPartyReference href="party1"/>
<receiverPartyReference href="party2"/>
<paymentAmount>
<currency>USD</currency>
<amount>150000</amount>
</paymentAmount>
<adjustedPaymentDate>2008-11-30</adjustedPaymentDate>
</payment>
</termination>
</events>
<party id="party1">
<partyId>1234</partyId>
</party>
<party id="party2">
<partyId>5678</partyId>
</party>
</FpML>