Multileg SMF Example
- Natalie Gesin (Deactivated)
- Alexey Chunikhin
- Dmitry Donosiyan (Unlicensed)
Owned by Natalie Gesin (Deactivated)
<EagleML xmlns="http://www.eagleinvsys.com/2011/EagleML-2-0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" eaglemlVersion="2-0" eaglemlType="ReferenceTransactionMessage" xsi:schemaLocation="http://www.eagleinvsys.com/2011/EagleML-2-0 eagleml-main-2-0.xsd" xsi:type="ReferenceTransactionMessage">
<referenceTransaction>
<header>
<objectType>MultilegSMF</objectType>
</header>
<multilegSMF>
<objectType>MultilegSMF</objectType>
<objectId>MultilegSMF</objectId>
<sourceName>EAGLE PACE</sourceName>
<updateSource>MCADMIN</updateSource>
<effectiveDate>2014-09-30</effectiveDate>
<noLoadValidationFlag>N</noLoadValidationFlag>
<accountingValidationFlag>N</accountingValidationFlag>
<asOfEffectiveDate>2013-09-30</asOfEffectiveDate>
<contractLeg>
<primaryAssetId>JITSTv0t0c102</primaryAssetId>
<primaryAssetType>INTERNAL</primaryAssetType>
<altAssetIdAndType>
<instrumentId>JITSTv1t1c102</instrumentId>
<instrumentIdType>SEDOL</instrumentIdType>
</altAssetIdAndType>
<issueName>TESTISSUENAME1</issueName>
<issueDescription>TESTISSUENAME1</issueDescription>
<uniqueProductId>JITSTv121c102</uniqueProductId>
<uniqueSwapId>JITSTv1t3c102</uniqueSwapId>
<primaryExchangeCode>US</primaryExchangeCode>
<assetCurrency>USD</assetCurrency>
<investmentType>DERV</investmentType>
<processingSecurityType>SWCOCR</processingSecurityType>
<securityType>001</securityType>
<securitySubType>10</securitySubType>
<settlementCurrency>USD</settlementCurrency>
<incomeCurrency>USD</incomeCurrency>
<quantityType>PAR</quantityType>
<priceMultiplier>1.10</priceMultiplier>
<quantityScale>1</quantityScale>
<issueCountry>AFGHANISTAN</issueCountry>
<issueCountryCode>AF</issueCountryCode>
<countryOfRisk>ALBANIA</countryOfRisk>
<countryOfRiskCode>AL</countryOfRiskCode>
<issueTaxType>EQ</issueTaxType>
<region>REGIONNAME</region>
<lookThroughIndicator>ALL</lookThroughIndicator>
<lookThroughValue>S_ENTITY</lookThroughValue>
<payLegCompoundingIndicator>N</payLegCompoundingIndicator>
<tradingFlat>Y</tradingFlat>
<offset>101</offset>
<rCouponType>F</rCouponType>
<swapMaturity>2015-06-22</swapMaturity>
<rCalcMethod>R</rCalcMethod>
<clearedSecurity>N</clearedSecurity>
<finalExchangeOfPrincipal>Y</finalExchangeOfPrincipal>
<initialExchangeOfPrincipal>N</initialExchangeOfPrincipal>
<legMultiplier>158.158</legMultiplier>
<notionalResetType>R</notionalResetType>
<maturityDate>2015-07-01</maturityDate>
<riskClassificationType>R</riskClassificationType>
<delayDaysType>B</delayDaysType>
<EquityModel>
<costBasisRuleType>COST BAS R TYP</costBasisRuleType>
</EquityModel>
<FixedIncomeModel>
<coupon>118.218</coupon>
<couponTypeCode>F</couponTypeCode>
<dayCountBasis>30/360</dayCountBasis>
<paymentFrequency>At Maturity</paymentFrequency>
<paymentFrequencyCode>MAT</paymentFrequencyCode>
<issueDate>2015-06-21</issueDate>
<datedDate>2015-06-21</datedDate>
<firstCouponDate>2015-07-01</firstCouponDate>
<lastCouponDate>2015-07-01</lastCouponDate>
<defaultIndicator>N</defaultIndicator>
<defaultDate>2014-09-30</defaultDate>
<firstRateResetDate>2014-09-30</firstRateResetDate>
<resetFrequency>RESET FREQUENCY</resetFrequency>
<periodicCap>121.221</periodicCap>
<periodicFloor>122.222</periodicFloor>
<lifetimeCap>123.223</lifetimeCap>
<lifetimeFloor>120.224</lifetimeFloor>
<datedDateCPI>130.230</datedDateCPI>
<iLBCalculationType>I_1L30B</iLBCalculationType>
<iLBIndexPrecision>135</iLBIndexPrecision>
<iLBDeflationProtectedMaturity>Y</iLBDeflationProtectedMaturity>
<compoundingMethod>FLAT</compoundingMethod>
<compoundingFrequency>1_M</compoundingFrequency>
<firstCompoundingDate>2015-06-21</firstCompoundingDate>
<lastCompoundingDate>2015-06-28</lastCompoundingDate>
<delayDays>13</delayDays>
<couponDayOfMonth>10</couponDayOfMonth>
<businessCalendarName>WCUSD</businessCalendarName>
<interestPaymentTiming>LDM</interestPaymentTiming>
<resetLagDays>1</resetLagDays>
<variableRateAdj>134.234</variableRateAdj>
<varRateFreqCode>4_M</varRateFreqCode>
<floaterMultiple>17</floaterMultiple>
<resetLagBusinessDays>RST LAG BSN DAYS</resetLagBusinessDays>
<maturityDelayDays>15</maturityDelayDays>
<maturityDelayDaysType>M</maturityDelayDaysType>
<dualCurrencyIndicator>Y</dualCurrencyIndicator>
<dualCurConvFactor>1</dualCurConvFactor>
<principalCurrencyDc>136</principalCurrencyDc>
<settlementRateOption>FWDCOMP</settlementRateOption>
<fxRateType>A</fxRateType>
<fxFixingPeriod>D</fxFixingPeriod>
<fxFixingPeriodMultiplier>1.01</fxFixingPeriodMultiplier>
<fxFixingPeriodDateType>C</fxFixingPeriodDateType>
<fxFixingBusDayConvention>F</fxFixingBusDayConvention>
<fxFixingDtRelativeTo>CE</fxFixingDtRelativeTo>
</FixedIncomeModel>
<FixedIncomeExtension>
<cpnDelayDays>13</cpnDelayDays>
<cpnDelayDaysType>C</cpnDelayDaysType>
</FixedIncomeExtension>
<SMExtension>
<granularityCategory>GRANULARITY CATEGORY</granularityCategory>
</SMExtension>
<UnderlyingModel>
<underlyingType>PRIMARY</underlyingType>
</UnderlyingModel>
<MultipleLegSwapModel>
<calculateValidateLastPaymentDate>N</calculateValidateLastPaymentDate>
</MultipleLegSwapModel>
</contractLeg>
<payLeg>
<primaryAssetId>JITSTv0t0c102</primaryAssetId>
<primaryAssetType>INTERNAL</primaryAssetType>
<altAssetIdAndType>
<instrumentId>JITSTv2t1c102</instrumentId>
<instrumentIdType>SEDOL</instrumentIdType>
</altAssetIdAndType>
<issueName>TESTISSUENAME1</issueName>
<issueDescription>TESTISSUENAME1</issueDescription>
<uniqueProductId>JITSTv221c102</uniqueProductId>
<uniqueSwapId>JITSTv2t3c102</uniqueSwapId>
<primaryExchangeCode>US</primaryExchangeCode>
<assetCurrency>USD</assetCurrency>
<investmentType>DERV</investmentType>
<processingSecurityType>SWLEAC</processingSecurityType>
<securityType>001</securityType>
<securitySubType>10</securitySubType>
<settlementCurrency>USD</settlementCurrency>
<incomeCurrency>USD</incomeCurrency>
<quantityType>PAR</quantityType>
<priceMultiplier>2.10</priceMultiplier>
<quantityScale>2</quantityScale>
<issueCountry>Antigua and Barbuda</issueCountry>
<issueCountryCode>AG</issueCountryCode>
<countryOfRisk>American Samoa</countryOfRisk>
<countryOfRiskCode>AS</countryOfRiskCode>
<issueTaxType>EQ</issueTaxType>
<region>REGIONNAME</region>
<lookThroughIndicator>ALL</lookThroughIndicator>
<lookThroughValue>S_ENTITY</lookThroughValue>
<payLegCompoundingIndicator>N</payLegCompoundingIndicator>
<tradingFlat>Y</tradingFlat>
<offset>101</offset>
<rCouponType>F</rCouponType>
<swapMaturity>2015-06-22</swapMaturity>
<underlyingCusip>CCSTGVFERTRF</underlyingCusip>
<underlyingSecurity>TEST1A</underlyingSecurity>
<rCalcMethod>R</rCalcMethod>
<clearedSecurity>N</clearedSecurity>
<finalExchangeOfPrincipal>Y</finalExchangeOfPrincipal>
<initialExchangeOfPrincipal>N</initialExchangeOfPrincipal>
<legMultiplier>258.158</legMultiplier>
<notionalResetType>R</notionalResetType>
<maturityDate>2015-07-01</maturityDate>
<riskClassificationType>R</riskClassificationType>
<delayDaysType>B</delayDaysType>
<EquityModel>
<costBasisRuleType>COST BAS R TYP</costBasisRuleType>
</EquityModel>
<FixedIncomeModel>
<coupon>218.218</coupon>
<couponTypeCode>X</couponTypeCode>
<dayCountBasis>30/360</dayCountBasis>
<paymentFrequency>91 Days</paymentFrequency>
<paymentFrequencyCode>91_D</paymentFrequencyCode>
<issueDate>2015-06-21</issueDate>
<datedDate>2015-06-21</datedDate>
<firstCouponDate>2015-06-29</firstCouponDate>
<lastCouponDate>2015-07-01</lastCouponDate>
<defaultIndicator>N</defaultIndicator>
<defaultDate>2014-09-30</defaultDate>
<timeSensitiveIndicator>Y</timeSensitiveIndicator>
<firstRateResetDate>2014-09-30</firstRateResetDate>
<resetFrequency>49 DAY</resetFrequency>
<periodicCap>221.221</periodicCap>
<periodicFloor>222.222</periodicFloor>
<lifetimeCap>223.223</lifetimeCap>
<lifetimeFloor>220.224</lifetimeFloor>
<datedDateCPI>230.230</datedDateCPI>
<iLBCalculationType>I_1L30B</iLBCalculationType>
<iLBIndexPrecision>464646</iLBIndexPrecision>
<iLBDeflationProtectedMaturity>Y</iLBDeflationProtectedMaturity>
<compoundingMethod>FLAT</compoundingMethod>
<compoundingFrequency>1_M</compoundingFrequency>
<firstCompoundingDate>2015-06-21</firstCompoundingDate>
<lastCompoundingDate>2015-06-28</lastCompoundingDate>
<delayDays>23</delayDays>
<couponDayOfMonth>20</couponDayOfMonth>
<businessDayConvention>FWD</businessDayConvention>
<businessCalendarName>WCUSD</businessCalendarName>
<interestPaymentTiming>LDM</interestPaymentTiming>
<resetLagDays>2</resetLagDays>
<variableRateAdj>234.234</variableRateAdj>
<varRateFreqCode>4_M</varRateFreqCode>
<floaterMultiple>27</floaterMultiple>
<resetLagBusinessDays>RST LAG BSN DAYS</resetLagBusinessDays>
<maturityDelayDays>25</maturityDelayDays>
<maturityDelayDaysType>M</maturityDelayDaysType>
</FixedIncomeModel>
<FixedIncomeExtension>
<cpnDelayDays>23</cpnDelayDays>
<cpnDelayDaysType>C</cpnDelayDaysType>
</FixedIncomeExtension>
<SMExtension>
<granularityCategory>GRANULARITY CATEGORY</granularityCategory>
</SMExtension>
<UnderlyingModel>
<underlyingType>RETURN</underlyingType>
</UnderlyingModel>
<MultipleLegSwapModel>
<calculateValidateLastPaymentDate>N</calculateValidateLastPaymentDate>
</MultipleLegSwapModel>
</payLeg>
<receiveLeg>
<primaryAssetId>JITSTv0t0c102</primaryAssetId>
<primaryAssetType>INTERNAL</primaryAssetType>
<altAssetIdAndType>
<instrumentId>JITSTv3t1c102</instrumentId>
<instrumentIdType>SEDOL</instrumentIdType>
</altAssetIdAndType>
<issueName>TESTISSUENAME1</issueName>
<issueDescription>TESTISSUENAME1</issueDescription>
<uniqueProductId>JITSTv321c102</uniqueProductId>
<uniqueSwapId>JITSTv3t3c102</uniqueSwapId>
<primaryExchangeCode>US</primaryExchangeCode>
<assetCurrency>USD</assetCurrency>
<investmentType>DERV</investmentType>
<processingSecurityType>SWLEAC</processingSecurityType>
<securityType>001</securityType>
<securitySubType>10</securitySubType>
<settlementCurrency>USD</settlementCurrency>
<incomeCurrency>USD</incomeCurrency>
<quantityType>PAR</quantityType>
<priceMultiplier>3.10</priceMultiplier>
<quantityScale>3</quantityScale>
<issueCountry>Antigua and Barbuda</issueCountry>
<issueCountryCode>AG</issueCountryCode>
<countryOfRisk>American Samoa</countryOfRisk>
<countryOfRiskCode>AS</countryOfRiskCode>
<issueTaxType>EQ</issueTaxType>
<region>REGIONNAME</region>
<lookThroughIndicator>ALL</lookThroughIndicator>
<lookThroughValue>S_ENTITY</lookThroughValue>
<payLegCompoundingIndicator>N</payLegCompoundingIndicator>
<tradingFlat>Y</tradingFlat>
<offset>103</offset>
<rCouponType>F</rCouponType>
<swapMaturity>2015-06-22</swapMaturity>
<rCalcMethod>R</rCalcMethod>
<clearedSecurity>N</clearedSecurity>
<finalExchangeOfPrincipal>Y</finalExchangeOfPrincipal>
<initialExchangeOfPrincipal>N</initialExchangeOfPrincipal>
<legMultiplier>358.158</legMultiplier>
<notionalResetType>R</notionalResetType>
<maturityDate>2015-07-01</maturityDate>
<riskClassificationType>R</riskClassificationType>
<delayDaysType>B</delayDaysType>
<EquityModel>
<costBasisRuleType>COST BAS R TYP</costBasisRuleType>
</EquityModel>
<FixedIncomeModel>
<coupon>318.218</coupon>
<couponTypeCode>F</couponTypeCode>
<dayCountBasis>30/360</dayCountBasis>
<paymentFrequency>49 Days</paymentFrequency>
<paymentFrequencyCode>49_D</paymentFrequencyCode>
<issueDate>2015-06-21</issueDate>
<datedDate>2015-06-21</datedDate>
<firstCouponDate>2015-06-28</firstCouponDate>
<lastCouponDate>2015-07-01</lastCouponDate>
<defaultIndicator>N</defaultIndicator>
<defaultDate>2014-09-30</defaultDate>
<timeSensitiveIndicator>Y</timeSensitiveIndicator>
<firstRateResetDate>2014-09-30</firstRateResetDate>
<resetFrequency>49 Day</resetFrequency>
<resetLookBackDaysType>C</resetLookBackDaysType>
<periodicCap>321.221</periodicCap>
<periodicFloor>322.222</periodicFloor>
<lifetimeCap>323.223</lifetimeCap>
<lifetimeFloor>320.224</lifetimeFloor>
<datedDateCPI>330.230</datedDateCPI>
<iLBCalculationType>AVG_6M</iLBCalculationType>
<iLBIndexPrecision>340</iLBIndexPrecision>
<iLBDeflationProtectedMaturity>N</iLBDeflationProtectedMaturity>
<compoundingMethod>FLAT</compoundingMethod>
<compoundingFrequency>1_M</compoundingFrequency>
<firstCompoundingDate>2015-06-21</firstCompoundingDate>
<lastCompoundingDate>2015-06-28</lastCompoundingDate>
<delayDays>33</delayDays>
<couponDayOfMonth>30</couponDayOfMonth>
<businessDayConvention>FWD</businessDayConvention>
<businessCalendarName>WCUSD</businessCalendarName>
<interestPaymentTiming>LDM</interestPaymentTiming>
<resetLagDays>3</resetLagDays>
<variableRateAdj>334.234</variableRateAdj>
<floaterMultiple>171717</floaterMultiple>
<resetLagBusinessDays>RST LAG BSN DAYS</resetLagBusinessDays>
<maturityDelayDays>35</maturityDelayDays>
<maturityDelayDaysType>M</maturityDelayDaysType>
</FixedIncomeModel>
<FixedIncomeExtension>
<cpnDelayDays>33</cpnDelayDays>
<cpnDelayDaysType>C</cpnDelayDaysType>
</FixedIncomeExtension>
<SMExtension>
<granularityCategory>GRANULARITY CATEGORY</granularityCategory>
</SMExtension>
<MultipleLegSwapModel>
<calculateValidateLastPaymentDate>N</calculateValidateLastPaymentDate>
</MultipleLegSwapModel>
</receiveLeg>
</multilegSMF>
</referenceTransaction>
</EagleML>