Variable Notional Swap


#1

Hey OG team,

I’m trying to run a VNS with formula-based steps, but I’m not seeing any compatible modeling on the NotionalSchedule.
Additionally, the FPML parser has this line: document.validateNotPresent(notionalEl, "notionalStepParameters") - so I assume it’s intentional.

Are there plans to support the formula-based model in the future? (or is it supported now and I’m missing something?)
Thanks


#2

Hi there,
You are correct that we do not currently support the notionalStepParameters concept of FpML. However, we do support variable notional swaps, specified along the lines of the FpML notionalStepSchedule element. Adding support for notionalStepParameters would involve enhancing NotionalSchedule to contain the additional data elements (as the key difference with notionalStepParameters is that the dates are resolved later in the process).

Hope that helps, and you are of course welcome to take a look a bit deeper and see what it would take to make the change, or contact us at OpenGamma to discuss development priorities
thanks
Stephen


#3

Hey Stephen, thanks for the answer.
That sounds alright - so NotionalSchedule / ValueSchedule will contain the params, and during the calculation process (swap::expand I guess?) it should be resolved using the related calendar, correct?


#4

The current NotionalSchedule class holds a ValueSchedule that defines zero to many notionals, each associated with the date it applies at. Notional step parameters would be an alternative way as defining it, based on the frequency and the change to occur.

ValueSchedule is built on top of ValueStep, which allows period indices as well as dates to determine the point at which the value changes. While it may just be possible to map the notional step parameters to the period indices in the parser, such an approach would have limitations. Adding a new optional representation within NotionalSchedule is likely to be more robust, although perhaps a little tricky to code up correctly.


#5

Hi Steven,

I noticed you have a validation where 1st step/stepDate must be an exact 1 period away from the effective date calculationPeriodDates component in the swapStream.

In LCH examples this is not the case. We could see 1st step/stepDate that is equal to or greater than the effective date.


#6

The current code validates against what is a logical misuse of the API, after all the initial value should be used at the start, not the step. However, this is a case where a little more flexibility seems fine, thus I’ve raised a PR: https://github.com/OpenGamma/Strata/pull/1104


#7

Thank you very much for your prompt response


#8

Hi Stephen,
When would you expect to release a version addressing https://github.com/OpenGamma/Strata/pull/11041?


#9

We currently expect v1.0 to be within 2 weeks. There may be an addition 0.x release this week, not sure yet.


#10

Hi Stephen,

We are sending an Interest Rates Swap trade fixed/float with variable notional (a.k.a. VNS – variable notional swap) for PV01CalibratedSum calculation.
The trade has the exact same notionalSchedule on both legs, but the rates are different – in one leg a fixed rate, while the other a floating rate index.
For some reason we keep getting pv=0 (the legs cancel one another)
We tried manipulating the rates, but the numbers doesn’t seem to change.
We expect that the PV different than zero.


#11

Can you call the ExplainPresentValue calculation and take a look at the result or post it here? I suspect that the notional may be set to zero throughout the swap. It would also be useful to post your trade here too - simply convert it to xml using:

System.out.println(JodaBeanSer.PRETTY.xmlWriter().write(swap))`.

#12

<swap> <productType>InterestRate:IRSwap:FixedFloat</productType> <swapStream> <payerPartyReference href="party1"/> <receiverPartyReference href="party2"/> <calculationPeriodDates id="fixDates"> <effectiveDate> <unadjustedDate>2016-07-20+03:00</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> </dateAdjustments> </effectiveDate> <terminationDate> <unadjustedDate>2201-07-20+03:00</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </dateAdjustments> </terminationDate> <calculationPeriodDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </calculationPeriodDatesAdjustments> <calculationPeriodFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> <rollConvention>EOM</rollConvention> </calculationPeriodFrequency> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="fixDates"/> <paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo> <paymentDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </paymentDatesAdjustments> </paymentDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>1000000</initialValue> <step> <stepDate>2016-10-20</stepDate> <stepValue>1015000</stepValue> </step> <step> <stepDate>2017-01-20</stepDate> <stepValue>1030000</stepValue> </step> <step> <stepDate>2017-04-20</stepDate> <stepValue>1045000</stepValue> </step> <step> <stepDate>2017-07-20</stepDate> <stepValue>1060000</stepValue> </step> <step> <stepDate>2017-10-20</stepDate> <stepValue>1075000</stepValue> </step> <step> <stepDate>2018-01-20</stepDate> <stepValue>1090000</stepValue> </step> <step> <stepDate>2018-04-20</stepDate> <stepValue>1105000</stepValue> </step> <step> <stepDate>2018-07-20</stepDate> <stepValue>1120000</stepValue> </step> <step> <stepDate>2018-10-20</stepDate> <stepValue>1135000</stepValue> </step> <step> <stepDate>2019-01-20</stepDate> <stepValue>1150000</stepValue> </step> <step> <stepDate>2019-04-20</stepDate> <stepValue>1165000</stepValue> </step> <step> <stepDate>2019-07-20</stepDate> <stepValue>1180000</stepValue> </step> <step> <stepDate>2019-10-20</stepDate> <stepValue>1195000</stepValue> </step> <step> <stepDate>2020-01-20</stepDate> <stepValue>1210000</stepValue> </step> <step> <stepDate>2020-04-20</stepDate> <stepValue>1225000</stepValue> </step> <step> <stepDate>2020-07-20</stepDate> <stepValue>1240000</stepValue> </step> <currency>EUR</currency> </notionalStepSchedule> </notionalSchedule> <floatingRateCalculation> <floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex> <indexTenor> <periodMultiplier>3</periodMultiplier> <period>M</period> </indexTenor> <spreadSchedule> <initialValue>0.0</initialValue> </spreadSchedule> </floatingRateCalculation> <fixedRateSchedule> <initialValue>0.08</initialValue> </fixedRateSchedule> <dayCountFraction>30/360</dayCountFraction> </calculation> </calculationPeriodAmount> </swapStream> <swapStream> <payerPartyReference href="party2"/> <receiverPartyReference href="party1"/> <calculationPeriodDates id="floatPD"> <effectiveDate> <unadjustedDate>2016-07-20+03:00</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> </dateAdjustments> </effectiveDate> <terminationDate> <unadjustedDate>2201-07-20+03:00</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </dateAdjustments> </terminationDate> <calculationPeriodDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </calculationPeriodDatesAdjustments> <calculationPeriodFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> <rollConvention>EOM</rollConvention> </calculationPeriodFrequency> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="floatPD"/> <paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo> <paymentDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </paymentDatesAdjustments> </paymentDates> <resetDates id="resetDates2"> <calculationPeriodDatesReference href="floatPD"/> <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo> <fixingDates> <periodMultiplier>-2</periodMultiplier> <period>D</period> <dayType>Business</dayType> <businessDayConvention>NONE</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> <dateRelativeTo href="resetDates2"/> </fixingDates> <resetFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </resetFrequency> <resetDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </resetDatesAdjustments> </resetDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>1000000</initialValue> <step> <stepDate>2016-10-20</stepDate> <stepValue>1015000</stepValue> </step> <step> <stepDate>2017-01-20</stepDate> <stepValue>1030000</stepValue> </step> <step> <stepDate>2017-04-20</stepDate> <stepValue>1045000</stepValue> </step> <step> <stepDate>2017-07-20</stepDate> <stepValue>1060000</stepValue> </step> <step> <stepDate>2017-10-20</stepDate> <stepValue>1075000</stepValue> </step> <step> <stepDate>2018-01-20</stepDate> <stepValue>1090000</stepValue> </step> <step> <stepDate>2018-04-20</stepDate> <stepValue>1105000</stepValue> </step> <step> <stepDate>2018-07-20</stepDate> <stepValue>1120000</stepValue> </step> <step> <stepDate>2018-10-20</stepDate> <stepValue>1135000</stepValue> </step> <step> <stepDate>2019-01-20</stepDate> <stepValue>1150000</stepValue> </step> <step> <stepDate>2019-04-20</stepDate> <stepValue>1165000</stepValue> </step> <step> <stepDate>2019-07-20</stepDate> <stepValue>1180000</stepValue> </step> <step> <stepDate>2019-10-20</stepDate> <stepValue>1195000</stepValue> </step> <step> <stepDate>2020-01-20</stepDate> <stepValue>1210000</stepValue> </step> <step> <stepDate>2020-04-20</stepDate> <stepValue>1225000</stepValue> </step> <step> <stepDate>2020-07-20</stepDate> <stepValue>1240000</stepValue> </step> <currency>EUR</currency> </notionalStepSchedule> </notionalSchedule> <floatingRateCalculation> <floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex> <indexTenor> <periodMultiplier>3</periodMultiplier> <period>M</period> </indexTenor> <spreadSchedule> <initialValue>0.0</initialValue> </spreadSchedule> </floatingRateCalculation> <dayCountFraction>30/360</dayCountFraction> </calculation> </calculationPeriodAmount> </swapStream> </swap> </trade>


#13

Perhaps it is because your termination date is 2201-07-20 when it should be 2021-07-20 ?


#14

The FpML is also invalid, as the first leg has both a fixed fixedRateSchedule section and a floating floatingRateCalculation section. Strata happens to choose the fixed one in this case.

FWIW, as I don’t have your curves, I did get a non-zero PV. (Although I found that the EOM convention caused a problem - in FpML you should use a roll convention of “20” for a swap like this.


#15

Thank you Stephen,
WE missed that. WE are getting a non-zero PV.


#16

Hi Stephen,

The following trade is cleared and traded at CME. The trade failing at OpenGamma having:

    		<swap>
			<productType>InterestRate:IRSwap:FixedFloat</productType>
			<swapStream id="fixedLeg">
				<payerPartyReference href="party1"/>
				<receiverPartyReference href="party2"/>
				<calculationPeriodDates id="fixedCalcPeriodDates">
					<effectiveDate>
						<unadjustedDate>2016-10-03</unadjustedDate>
						<dateAdjustments>
							<businessDayConvention>NONE</businessDayConvention>
						</dateAdjustments>
					</effectiveDate>
					<terminationDate>
						<unadjustedDate>2021-06-30</unadjustedDate>
						<dateAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCentersReference href="fixedPrimaryBusinessCenters"/>
						</dateAdjustments>
					</terminationDate>
					<calculationPeriodDatesAdjustments>
						<businessDayConvention>MODFOLLOWING</businessDayConvention>
						<businessCentersReference href="fixedPrimaryBusinessCenters"/>
					</calculationPeriodDatesAdjustments>
					<firstRegularPeriodStartDate>2016-11-01</firstRegularPeriodStartDate>
					<lastRegularPeriodEndDate>2021-06-01</lastRegularPeriodEndDate>
					<calculationPeriodFrequency>
						<periodMultiplier>1</periodMultiplier>
						<period>M</period>
						<rollConvention>1</rollConvention>
					</calculationPeriodFrequency>
				</calculationPeriodDates>
				<paymentDates>
					<calculationPeriodDatesReference href="fixedCalcPeriodDates"/>
					<paymentFrequency>
						<periodMultiplier>1</periodMultiplier>
						<period>M</period>
					</paymentFrequency>
					<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
					<paymentDatesAdjustments>
						<businessDayConvention>MODFOLLOWING</businessDayConvention>
						<businessCenters id="fixedPrimaryBusinessCenters">
							<businessCenter>GBLO</businessCenter>
							<businessCenter>USNY</businessCenter>
						</businessCenters>
					</paymentDatesAdjustments>
				</paymentDates>

The 1st notional step is

    							<notionalStepSchedule>
								<initialValue>965000.00</initialValue>
								<step>
									<stepDate>2016-10-03</stepDate>
									<stepValue>965000.00</stepValue>
								</step>

The last Notional step is

    								<step>
									<stepDate>2021-06-01</stepDate>
									<stepValue>868712.44</stepValue>
								</step>
								<currency>USD</currency>

When changing the termination date to 2021-07-01, it is being accepted. Could you explain the reasoning behind that?


#17

Your post needs to encode the XML as it is hard to answer otherwise. Either indent the xml by four spaces or use triple backticks.


#18
		<swap>
		<productType>InterestRate:IRSwap:FixedFloat</productType>
		<swapStream id="fixedLeg">
			<payerPartyReference href="party1"/>
			<receiverPartyReference href="party2"/>
			<calculationPeriodDates id="fixedCalcPeriodDates">
				<effectiveDate>
					<unadjustedDate>2016-10-03</unadjustedDate>
					<dateAdjustments>
						<businessDayConvention>NONE</businessDayConvention>
					</dateAdjustments>
				</effectiveDate>
				<terminationDate>
					<unadjustedDate>2021-06-30</unadjustedDate>
					<dateAdjustments>
						<businessDayConvention>MODFOLLOWING</businessDayConvention>
						<businessCentersReference href="fixedPrimaryBusinessCenters"/>
					</dateAdjustments>
				</terminationDate>
				<calculationPeriodDatesAdjustments>
					<businessDayConvention>MODFOLLOWING</businessDayConvention>
					<businessCentersReference href="fixedPrimaryBusinessCenters"/>
				</calculationPeriodDatesAdjustments>
				<firstRegularPeriodStartDate>2016-11-01</firstRegularPeriodStartDate>
				<lastRegularPeriodEndDate>2021-06-01</lastRegularPeriodEndDate>
				<calculationPeriodFrequency>
					<periodMultiplier>1</periodMultiplier>
					<period>M</period>
					<rollConvention>1</rollConvention>
				</calculationPeriodFrequency>
			</calculationPeriodDates>
			<paymentDates>
				<calculationPeriodDatesReference href="fixedCalcPeriodDates"/>
				<paymentFrequency>
					<periodMultiplier>1</periodMultiplier>
					<period>M</period>
				</paymentFrequency>
				<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
				<paymentDatesAdjustments>
					<businessDayConvention>MODFOLLOWING</businessDayConvention>
					<businessCenters id="fixedPrimaryBusinessCenters">
						<businessCenter>GBLO</businessCenter>
						<businessCenter>USNY</businessCenter>
					</businessCenters>
				</paymentDatesAdjustments>
			</paymentDates>
			<calculationPeriodAmount>
				<calculation>
					<notionalSchedule>
						<notionalStepSchedule>
							<initialValue>965000.00</initialValue>
							<step>
								<stepDate>2016-10-03</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2016-11-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2016-12-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-01-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-02-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-03-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-04-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-05-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-06-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-07-01</stepDate>
								<stepValue>965000.00</stepValue>
							</step>
							<step>
								<stepDate>2017-08-01</stepDate>
								<stepValue>963101.24</stepValue>
							</step>
							<step>
								<stepDate>2017-09-01</stepDate>
								<stepValue>961196.27</stepValue>
							</step>
							<step>
								<stepDate>2017-10-01</stepDate>
								<stepValue>959285.08</stepValue>
							</step>
							<step>
								<stepDate>2017-11-01</stepDate>
								<stepValue>957367.65</stepValue>
							</step>
							<step>
								<stepDate>2017-12-01</stepDate>
								<stepValue>955443.96</stepValue>
							</step>
							<step>
								<stepDate>2018-01-01</stepDate>
								<stepValue>953513.98</stepValue>
							</step>
							<step>
								<stepDate>2018-02-01</stepDate>
								<stepValue>951577.70</stepValue>
							</step>
							<step>
								<stepDate>2018-03-01</stepDate>
								<stepValue>949635.09</stepValue>
							</step>
							<step>
								<stepDate>2018-04-01</stepDate>
								<stepValue>947686.14</stepValue>
							</step>
							<step>
								<stepDate>2018-05-01</stepDate>
								<stepValue>945730.82</stepValue>
							</step>
							<step>
								<stepDate>2018-06-01</stepDate>
								<stepValue>943769.11</stepValue>
							</step>
							<step>
								<stepDate>2018-07-01</stepDate>
								<stepValue>941800.99</stepValue>
							</step>
							<step>
								<stepDate>2018-08-01</stepDate>
								<stepValue>939826.44</stepValue>
							</step>
							<step>
								<stepDate>2018-09-01</stepDate>
								<stepValue>937845.44</stepValue>
							</step>
							<step>
								<stepDate>2018-10-01</stepDate>
								<stepValue>935857.97</stepValue>
							</step>
							<step>
								<stepDate>2018-11-01</stepDate>
								<stepValue>933864.01</stepValue>
							</step>
							<step>
								<stepDate>2018-12-01</stepDate>
								<stepValue>931863.54</stepValue>
							</step>
							<step>
								<stepDate>2019-01-01</stepDate>
								<stepValue>929856.53</stepValue>
							</step>
							<step>
								<stepDate>2019-02-01</stepDate>
								<stepValue>927842.97</stepValue>
							</step>
							<step>
								<stepDate>2019-03-01</stepDate>
								<stepValue>925822.83</stepValue>
							</step>
							<step>
								<stepDate>2019-04-01</stepDate>
								<stepValue>923796.09</stepValue>
							</step>
							<step>
								<stepDate>2019-05-01</stepDate>
								<stepValue>921762.73</stepValue>
							</step>
							<step>
								<stepDate>2019-06-01</stepDate>
								<stepValue>919722.73</stepValue>
							</step>
							<step>
								<stepDate>2019-07-01</stepDate>
								<stepValue>917676.06</stepValue>
							</step>
							<step>
								<stepDate>2019-08-01</stepDate>
								<stepValue>915622.71</stepValue>
							</step>
							<step>
								<stepDate>2019-09-01</stepDate>
								<stepValue>913562.65</stepValue>
							</step>
							<step>
								<stepDate>2019-10-01</stepDate>
								<stepValue>911495.86</stepValue>
							</step>
							<step>
								<stepDate>2019-11-01</stepDate>
								<stepValue>909422.32</stepValue>
							</step>
							<step>
								<stepDate>2019-12-01</stepDate>
								<stepValue>907342.00</stepValue>
							</step>
							<step>
								<stepDate>2020-01-01</stepDate>
								<stepValue>905254.89</stepValue>
							</step>
							<step>
								<stepDate>2020-02-01</stepDate>
								<stepValue>903160.96</stepValue>
							</step>
							<step>
								<stepDate>2020-03-01</stepDate>
								<stepValue>901060.19</stepValue>
							</step>
							<step>
								<stepDate>2020-04-01</stepDate>
								<stepValue>898952.56</stepValue>
							</step>
							<step>
								<stepDate>2020-05-01</stepDate>
								<stepValue>896838.04</stepValue>
							</step>
							<step>
								<stepDate>2020-06-01</stepDate>
								<stepValue>894716.61</stepValue>
							</step>
							<step>
								<stepDate>2020-07-01</stepDate>
								<stepValue>892588.25</stepValue>
							</step>
							<step>
								<stepDate>2020-08-01</stepDate>
								<stepValue>890452.94</stepValue>
							</step>
							<step>
								<stepDate>2020-09-01</stepDate>
								<stepValue>888310.66</stepValue>
							</step>
							<step>
								<stepDate>2020-10-01</stepDate>
								<stepValue>886161.38</stepValue>
							</step>
							<step>
								<stepDate>2020-11-01</stepDate>
								<stepValue>884005.08</stepValue>
							</step>
							<step>
								<stepDate>2020-12-01</stepDate>
								<stepValue>881841.73</stepValue>
							</step>
							<step>
								<stepDate>2021-01-01</stepDate>
								<stepValue>879671.32</stepValue>
							</step>
							<step>
								<stepDate>2021-02-01</stepDate>
								<stepValue>877493.82</stepValue>
							</step>
							<step>
								<stepDate>2021-03-01</stepDate>
								<stepValue>875309.20</stepValue>
							</step>
							<step>
								<stepDate>2021-04-01</stepDate>
								<stepValue>873117.45</stepValue>
							</step>
							<step>
								<stepDate>2021-05-01</stepDate>
								<stepValue>870918.54</stepValue>
							</step>
							<step>
								<stepDate>2021-06-01</stepDate>
								<stepValue>868712.44</stepValue>
							</step>
							<currency>USD</currency>
						</notionalStepSchedule>
					</notionalSchedule>
					<fixedRateSchedule>
						<initialValue>0.00972</initialValue>
					</fixedRateSchedule>
					<dayCountFraction>ACT/360</dayCountFraction>
				</calculation>
			</calculationPeriodAmount>
			<cashflows>
				<cashflowsMatchParameters>true</cashflowsMatchParameters>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2016-11-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2016-10-03</adjustedStartDate>
						<adjustedEndDate>2016-11-01</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2016-12-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2016-11-01</adjustedStartDate>
						<adjustedEndDate>2016-12-01</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-01-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2016-12-01</adjustedStartDate>
						<adjustedEndDate>2017-01-03</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-02-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-01-03</adjustedStartDate>
						<adjustedEndDate>2017-02-01</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-03-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-02-01</adjustedStartDate>
						<adjustedEndDate>2017-03-01</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-04-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-03-01</adjustedStartDate>
						<adjustedEndDate>2017-04-03</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-05-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-04-03</adjustedStartDate>
						<adjustedEndDate>2017-05-02</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-06-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-05-02</adjustedStartDate>
						<adjustedEndDate>2017-06-01</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-07-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-06-01</adjustedStartDate>
						<adjustedEndDate>2017-07-03</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-08-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-07-03</adjustedStartDate>
						<adjustedEndDate>2017-08-01</adjustedEndDate>
						<notionalAmount>965000.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-09-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-08-01</adjustedStartDate>
						<adjustedEndDate>2017-09-01</adjustedEndDate>
						<notionalAmount>963101.24</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-10-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-09-01</adjustedStartDate>
						<adjustedEndDate>2017-10-02</adjustedEndDate>
						<notionalAmount>961196.27</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-11-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-10-02</adjustedStartDate>
						<adjustedEndDate>2017-11-01</adjustedEndDate>
						<notionalAmount>959285.08</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2017-12-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-11-01</adjustedStartDate>
						<adjustedEndDate>2017-12-01</adjustedEndDate>
						<notionalAmount>957367.65</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-01-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2017-12-01</adjustedStartDate>
						<adjustedEndDate>2018-01-02</adjustedEndDate>
						<notionalAmount>955443.96</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-02-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-01-02</adjustedStartDate>
						<adjustedEndDate>2018-02-01</adjustedEndDate>
						<notionalAmount>953513.98</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-03-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-02-01</adjustedStartDate>
						<adjustedEndDate>2018-03-01</adjustedEndDate>
						<notionalAmount>951577.70</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-04-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-03-01</adjustedStartDate>
						<adjustedEndDate>2018-04-03</adjustedEndDate>
						<notionalAmount>949635.09</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-05-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-04-03</adjustedStartDate>
						<adjustedEndDate>2018-05-01</adjustedEndDate>
						<notionalAmount>947686.14</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-06-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-05-01</adjustedStartDate>
						<adjustedEndDate>2018-06-01</adjustedEndDate>
						<notionalAmount>945730.82</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-07-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-06-01</adjustedStartDate>
						<adjustedEndDate>2018-07-02</adjustedEndDate>
						<notionalAmount>943769.11</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-08-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-07-02</adjustedStartDate>
						<adjustedEndDate>2018-08-01</adjustedEndDate>
						<notionalAmount>941800.99</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-09-04</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-08-01</adjustedStartDate>
						<adjustedEndDate>2018-09-04</adjustedEndDate>
						<notionalAmount>939826.44</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-10-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-09-04</adjustedStartDate>
						<adjustedEndDate>2018-10-01</adjustedEndDate>
						<notionalAmount>937845.44</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-11-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-10-01</adjustedStartDate>
						<adjustedEndDate>2018-11-01</adjustedEndDate>
						<notionalAmount>935857.97</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2018-12-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-11-01</adjustedStartDate>
						<adjustedEndDate>2018-12-03</adjustedEndDate>
						<notionalAmount>933864.01</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-01-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2018-12-03</adjustedStartDate>
						<adjustedEndDate>2019-01-02</adjustedEndDate>
						<notionalAmount>931863.54</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-02-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-01-02</adjustedStartDate>
						<adjustedEndDate>2019-02-01</adjustedEndDate>
						<notionalAmount>929856.53</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-03-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-02-01</adjustedStartDate>
						<adjustedEndDate>2019-03-01</adjustedEndDate>
						<notionalAmount>927842.97</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-04-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-03-01</adjustedStartDate>
						<adjustedEndDate>2019-04-01</adjustedEndDate>
						<notionalAmount>925822.83</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-05-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-04-01</adjustedStartDate>
						<adjustedEndDate>2019-05-01</adjustedEndDate>
						<notionalAmount>923796.09</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-06-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-05-01</adjustedStartDate>
						<adjustedEndDate>2019-06-03</adjustedEndDate>
						<notionalAmount>921762.73</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-07-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-06-03</adjustedStartDate>
						<adjustedEndDate>2019-07-01</adjustedEndDate>
						<notionalAmount>919722.73</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-08-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-07-01</adjustedStartDate>
						<adjustedEndDate>2019-08-01</adjustedEndDate>
						<notionalAmount>917676.06</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-09-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-08-01</adjustedStartDate>
						<adjustedEndDate>2019-09-03</adjustedEndDate>
						<notionalAmount>915622.71</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-10-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-09-03</adjustedStartDate>
						<adjustedEndDate>2019-10-01</adjustedEndDate>
						<notionalAmount>913562.65</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-11-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-10-01</adjustedStartDate>
						<adjustedEndDate>2019-11-01</adjustedEndDate>
						<notionalAmount>911495.86</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2019-12-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-11-01</adjustedStartDate>
						<adjustedEndDate>2019-12-02</adjustedEndDate>
						<notionalAmount>909422.32</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-01-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2019-12-02</adjustedStartDate>
						<adjustedEndDate>2020-01-02</adjustedEndDate>
						<notionalAmount>907342.00</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-02-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-01-02</adjustedStartDate>
						<adjustedEndDate>2020-02-03</adjustedEndDate>
						<notionalAmount>905254.89</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-03-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-02-03</adjustedStartDate>
						<adjustedEndDate>2020-03-02</adjustedEndDate>
						<notionalAmount>903160.96</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-04-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-03-02</adjustedStartDate>
						<adjustedEndDate>2020-04-01</adjustedEndDate>
						<notionalAmount>901060.19</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-05-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-04-01</adjustedStartDate>
						<adjustedEndDate>2020-05-01</adjustedEndDate>
						<notionalAmount>898952.56</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-06-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-05-01</adjustedStartDate>
						<adjustedEndDate>2020-06-01</adjustedEndDate>
						<notionalAmount>896838.04</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-07-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-06-01</adjustedStartDate>
						<adjustedEndDate>2020-07-01</adjustedEndDate>
						<notionalAmount>894716.61</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-08-03</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-07-01</adjustedStartDate>
						<adjustedEndDate>2020-08-03</adjustedEndDate>
						<notionalAmount>892588.25</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-09-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-08-03</adjustedStartDate>
						<adjustedEndDate>2020-09-01</adjustedEndDate>
						<notionalAmount>890452.94</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-10-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-09-01</adjustedStartDate>
						<adjustedEndDate>2020-10-01</adjustedEndDate>
						<notionalAmount>888310.66</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-11-02</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-10-01</adjustedStartDate>
						<adjustedEndDate>2020-11-02</adjustedEndDate>
						<notionalAmount>886161.38</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2020-12-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-11-02</adjustedStartDate>
						<adjustedEndDate>2020-12-01</adjustedEndDate>
						<notionalAmount>884005.08</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-01-04</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2020-12-01</adjustedStartDate>
						<adjustedEndDate>2021-01-04</adjustedEndDate>
						<notionalAmount>881841.73</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-02-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2021-01-04</adjustedStartDate>
						<adjustedEndDate>2021-02-01</adjustedEndDate>
						<notionalAmount>879671.32</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-03-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2021-02-01</adjustedStartDate>
						<adjustedEndDate>2021-03-01</adjustedEndDate>
						<notionalAmount>877493.82</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-04-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2021-03-01</adjustedStartDate>
						<adjustedEndDate>2021-04-01</adjustedEndDate>
						<notionalAmount>875309.20</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-05-04</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2021-04-01</adjustedStartDate>
						<adjustedEndDate>2021-05-04</adjustedEndDate>
						<notionalAmount>873117.45</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-06-01</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2021-05-04</adjustedStartDate>
						<adjustedEndDate>2021-06-01</adjustedEndDate>
						<notionalAmount>870918.54</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
				<paymentCalculationPeriod>
					<adjustedPaymentDate>2021-06-30</adjustedPaymentDate>
					<calculationPeriod>
						<adjustedStartDate>2021-06-01</adjustedStartDate>
						<adjustedEndDate>2021-06-30</adjustedEndDate>
						<notionalAmount>868712.44</notionalAmount>
						<fixedRate>0.00972</fixedRate>
					</calculationPeriod>
				</paymentCalculationPeriod>
			</cashflows>
		</swapStream>

#19

Hi Stephen,

Have you managed taking a look at the XML?


#20

@stephen, We also get trades not having the initial and final stub elements failing. See example below:

<swap>
	<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-taxonomy">InterestRate:IRSwap:FixedFloat</productType>
	<swapStream id="floatLeg">
		<payerPartyReference href="party2"/>
		<receiverPartyReference href="party1"/>
		<calculationPeriodDates id="floatingLegCalcPeriodDates">
			<effectiveDate>
				<unadjustedDate>2017-06-30</unadjustedDate>
				<dateAdjustments>
					<businessDayConvention>NONE</businessDayConvention>
				</dateAdjustments>
			</effectiveDate>
			<terminationDate>
				<unadjustedDate>2020-07-01</unadjustedDate>
				<dateAdjustments>
					<businessDayConvention>MODFOLLOWING</businessDayConvention>
					<businessCenters>
						<businessCenter>GBLO</businessCenter>
						<businessCenter>USNY</businessCenter>
					</businessCenters>
				</dateAdjustments>
			</terminationDate>
			<calculationPeriodDatesAdjustments>
				<businessDayConvention>MODFOLLOWING</businessDayConvention>
				<businessCenters>
					<businessCenter>GBLO</businessCenter>
					<businessCenter>USNY</businessCenter>
				</businessCenters>
			</calculationPeriodDatesAdjustments>
			<calculationPeriodFrequency>
				<periodMultiplier>3</periodMultiplier>
				<period>M</period>
				<rollConvention>EOM</rollConvention>
			</calculationPeriodFrequency>
		</calculationPeriodDates>
		<paymentDates id="floatingLegPaymentDates">
			<calculationPeriodDatesReference href="floatingLegCalcPeriodDates"/>
			<paymentFrequency>
				<periodMultiplier>3</periodMultiplier>
				<period>M</period>
			</paymentFrequency>
			<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
			<paymentDatesAdjustments>
				<businessDayConvention>MODFOLLOWING</businessDayConvention>
				<businessCenters>
					<businessCenter>GBLO</businessCenter>
					<businessCenter>USNY</businessCenter>
				</businessCenters>
			</paymentDatesAdjustments>
		</paymentDates>
		<resetDates id="floatingLegResetDates">
			<calculationPeriodDatesReference href="floatingLegCalcPeriodDates"/>
			<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
			<fixingDates>
				<periodMultiplier>-2</periodMultiplier>
				<period>D</period>
				<dayType>Business</dayType>
				<businessDayConvention>NONE</businessDayConvention>
				<businessCenters>
					<businessCenter>GBLO</businessCenter>
				</businessCenters>
				<dateRelativeTo href="floatingLegResetDates"/>
			</fixingDates>
			<resetFrequency>
				<periodMultiplier>3</periodMultiplier>
				<period>M</period>
			</resetFrequency>
			<resetDatesAdjustments>
				<businessDayConvention>MODFOLLOWING</businessDayConvention>
				<businessCenters>
					<businessCenter>GBLO</businessCenter>
					<businessCenter>USNY</businessCenter>
				</businessCenters>
			</resetDatesAdjustments>
		</resetDates>
		<calculationPeriodAmount>
			<calculation>
				<notionalSchedule>
					<notionalStepSchedule>
						<initialValue>18887566.57</initialValue>
						<step>
							<stepDate>2017-06-30</stepDate>
							<stepValue>18887566.57</stepValue>
						</step>
						<step>
							<stepDate>2017-09-30</stepDate>
							<stepValue>18887566.57</stepValue>
						</step>
						<step>
							<stepDate>2017-12-31</stepDate>
							<stepValue>18753327.74</stepValue>
						</step>
						<step>
							<stepDate>2018-03-31</stepDate>
							<stepValue>18753327.74</stepValue>
						</step>
						<step>
							<stepDate>2018-06-30</stepDate>
							<stepValue>18570542.98</stepValue>
						</step>
						<step>
							<stepDate>2018-09-30</stepDate>
							<stepValue>18570542.98</stepValue>
						</step>
						<step>
							<stepDate>2018-12-31</stepDate>
							<stepValue>18410622.78</stepValue>
						</step>
						<step>
							<stepDate>2019-03-31</stepDate>
							<stepValue>18410622.78</stepValue>
						</step>
						<step>
							<stepDate>2019-06-30</stepDate>
							<stepValue>18329032.63</stepValue>
						</step>
						<step>
							<stepDate>2019-09-30</stepDate>
							<stepValue>18329032.63</stepValue>
						</step>
						<step>
							<stepDate>2019-12-31</stepDate>
							<stepValue>18283777.42</stepValue>
						</step>
						<step>
							<stepDate>2020-03-31</stepDate>
							<stepValue>18283777.42</stepValue>
						</step>
						<currency>USD</currency>
					</notionalStepSchedule>
				</notionalSchedule>
				<floatingRateCalculation>
					<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
					<indexTenor>
						<periodMultiplier>3</periodMultiplier>
						<period>M</period>
					</indexTenor>
				</floatingRateCalculation>
				<dayCountFraction>ACT/360</dayCountFraction>
			</calculation>
		</calculationPeriodAmount>
	</swapStream>
	<swapStream id="fixedLeg">
		<payerPartyReference href="party1"/>
		<receiverPartyReference href="party2"/>
		<calculationPeriodDates id="fixedLegCalcPeriodDates">
			<effectiveDate>
				<unadjustedDate>2017-06-30</unadjustedDate>
				<dateAdjustments>
					<businessDayConvention>NONE</businessDayConvention>
				</dateAdjustments>
			</effectiveDate>
			<terminationDate>
				<unadjustedDate>2020-07-01</unadjustedDate>
				<dateAdjustments>
					<businessDayConvention>MODFOLLOWING</businessDayConvention>
					<businessCenters>
						<businessCenter>GBLO</businessCenter>
						<businessCenter>USNY</businessCenter>
					</businessCenters>
				</dateAdjustments>
			</terminationDate>
			<calculationPeriodDatesAdjustments>
				<businessDayConvention>MODFOLLOWING</businessDayConvention>
				<businessCenters>
					<businessCenter>GBLO</businessCenter>
					<businessCenter>USNY</businessCenter>
				</businessCenters>
			</calculationPeriodDatesAdjustments>
			<calculationPeriodFrequency>
				<periodMultiplier>3</periodMultiplier>
				<period>M</period>
				<rollConvention>EOM</rollConvention>
			</calculationPeriodFrequency>
		</calculationPeriodDates>
		<paymentDates id="fixedLegPaymentDates">
			<calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/>
			<paymentFrequency>
				<periodMultiplier>3</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>
					<notionalStepSchedule>
						<initialValue>18887566.57</initialValue>
						<step>
							<stepDate>2017-06-30</stepDate>
							<stepValue>18887566.57</stepValue>
						</step>
						<step>
							<stepDate>2017-09-30</stepDate>
							<stepValue>18887566.57</stepValue>
						</step>
						<step>
							<stepDate>2017-12-31</stepDate>
							<stepValue>18753327.74</stepValue>
						</step>
						<step>
							<stepDate>2018-03-31</stepDate>
							<stepValue>18753327.74</stepValue>
						</step>
						<step>
							<stepDate>2018-06-30</stepDate>
							<stepValue>18570542.98</stepValue>
						</step>
						<step>
							<stepDate>2018-09-30</stepDate>
							<stepValue>18570542.98</stepValue>
						</step>
						<step>
							<stepDate>2018-12-31</stepDate>
							<stepValue>18410622.78</stepValue>
						</step>
						<step>
							<stepDate>2019-03-31</stepDate>
							<stepValue>18410622.78</stepValue>
						</step>
						<step>
							<stepDate>2019-06-30</stepDate>
							<stepValue>18329032.63</stepValue>
						</step>
						<step>
							<stepDate>2019-09-30</stepDate>
							<stepValue>18329032.63</stepValue>
						</step>
						<step>
							<stepDate>2019-12-31</stepDate>
							<stepValue>18283777.42</stepValue>
						</step>
						<step>
							<stepDate>2020-03-31</stepDate>
							<stepValue>18283777.42</stepValue>
						</step>
						<currency>USD</currency>
					</notionalStepSchedule>
				</notionalSchedule>
				<fixedRateSchedule>
					<initialValue>0.01122</initialValue>
				</fixedRateSchedule>
				<dayCountFraction>ACT/360</dayCountFraction>
			</calculation>
		</calculationPeriodAmount>
	</swapStream>
</swap>