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
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
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?
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.
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.
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
Thank you very much for your prompt response
Hi Stephen,
When would you expect to release a version addressing https://github.com/OpenGamma/Strata/pull/11041?
We currently expect v1.0 to be within 2 weeks. There may be an addition 0.x release this week, not sure yet.
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.
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))`. <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>
Perhaps it is because your termination date is 2201-07-20 when it should be 2021-07-20 ?
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.
Thank you Stephen,
WE missed that. WE are getting a non-zero PV.
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?
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.
<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>Hi Stephen,
Have you managed taking a look at the XML?
@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>