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IRS Basis OIS

Cross-currency CDM 7.2.0

A type of interest rate swap where both legs pay a float rate of interest and one leg is based on an overnight interest index.

Asset class Interest Rate
Payouts InterestRatePayout ×2
Provenance As published by FINOS
Trader spec Available

Classification

How the product classifies itself. Values marked calculated were produced by the CDM's own qualification functions rather than asserted by the sender.

SchemeQualifierSource
ISDA InterestRate_IRSwap_Basis_OIS Calculated by CDM

Economics in this example

Read out of the example itself. These are the values FINOS published, not a recommendation — use the example for structure, not for market data.

Trade date
2021-08-18
Effective date
2021-08-18
Termination date
2022-08-18
Calculation period
3 months
Payment frequency
3 months
Day count fraction
ACT/365.FIXED
Currency
XAU
Parties
2
Roles
Party1, Party2

CDM types used

Every type this product instantiates. Each one links to its entry in the model reference, so you can see the attributes and conditions behind it.

TypeNamespace
FloatingRateIndex observable · asset
FloatingRateSpecification product · asset
InterestRateIndex observable · asset
InterestRatePayout product · asset
TradeState event · common

The CDM JSON

The full canonical document — 140 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree. Published for CDM 7 and CDM 6 — the two differ in more than formatting, so each is the document as that release publishes it. The summary above is read from the CDM 7 document.

irs-basis-ois.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "217e797f",
  "trade": {
    "product": {
      "identifier": [
        {
          "identifier": {
            "@scheme": "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id",
            "@data": "Commodity:Metals:Precious:LoanLease:Cash"
          },
          "source": "Other"
        }
      ],
      "taxonomy": [
        {
          "primaryAssetClass": {
            "@data": "Commodity"
          }
        },
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_IRSwap_Basis_OIS"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "payout": [
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party1",
              "receiver": "Party2"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-1"
              }
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FloatingRateSpecification",
              "rateOption": {
                "@ref:scoped": "InterestRateIndex-1"
              }
            },
            "dayCountFraction": {
              "@data": "ACT/365.FIXED"
            },
            "calculationPeriodDates": {
              "@key:external": "gofoperioddates1",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2021-08-18",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2022-08-18",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING",
                    "businessCenters": {
                      "businessCentersReference": {
                        "@ref:external": "primaryBusinessCenters"
                      }
                    }
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING",
                "businessCenters": {
                  "businessCentersReference": {
                    "@ref:external": "primaryBusinessCenters"
                  }
                }
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 3,
                "period": "M",
                "rollConvention": "1"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "firstPaymentDate": "2021-11-18",
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING",
                "businessCenters": {
                  "businessCentersReference": {
                    "@ref:external": "primaryBusinessCenters"
                  }
                }
              }
            },
            "resetDates": {
              "@key:external": "resetDates1",
              "calculationPeriodDatesReference": {
                "@ref:external": "gofoperioddates1"
              },
              "resetRelativeTo": "CalculationPeriodStartDate",
              "fixingDates": {
                "periodMultiplier": -2,
                "period": "D",
                "dayType": "Business",
                "businessDayConvention": "NONE",
                "businessCentersReference": {
                  "@ref:external": "primaryBusinessCenters"
                },
                "dateRelativeTo": {
                  "@ref": "850a7d83",
                  "@ref:external": "resetDates1"
                }
              },
              "resetFrequency": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "resetDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING",
                "businessCenters": {
                  "businessCentersReference": {
                    "@ref:external": "primaryBusinessCenters"
                  }
                }
              }
            }
          },
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-2"
              }
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FloatingRateSpecification",
              "rateOption": {
                "@ref:scoped": "InterestRateIndex-2"
              },
              "spreadSchedule": {
                "price": {
                  "@ref:scoped": "price-1"
                }
              }
            },
            "dayCountFraction": {
              "@data": "ACT/365.FIXED"
            },
            "calculationPeriodDates": {
              "@key:external": "gofoperioddates2",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2021-08-18",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING",
                    "businessCenters": {
                      "businessCentersReference": {
                        "@ref:external": "primaryBusinessCenters"
                      }
                    }
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2022-08-18",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING",
                    "businessCenters": {
                      "businessCentersReference": {
                        "@ref:external": "primaryBusinessCenters"
                      }
                    }
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING",
                "businessCenters": {
                  "businessCentersReference": {
                    "@ref:external": "primaryBusinessCenters"
                  }
                }
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 3,
                "period": "M",
                "rollConvention": "1"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "firstPaymentDate": "2021-11-18",
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING",
                "businessCenters": {
                  "businessCentersReference": {
                    "@ref:external": "primaryBusinessCenters"
                  }
                }
              }
            },
            "resetDates": {
              "@key:external": "resetDates2",
              "calculationPeriodDatesReference": {
                "@ref:external": "gofoperioddates2"
              },
              "resetRelativeTo": "CalculationPeriodStartDate",
              "fixingDates": {
                "periodMultiplier": -2,
                "period": "D",
                "dayType": "Business",
                "businessDayConvention": "NONE",
                "businessCentersReference": {
                  "@ref:external": "primaryBusinessCenters"
                },
                "dateRelativeTo": {
                  "@ref": "e6f94e45",
                  "@ref:external": "resetDates2"
                }
              },
              "resetFrequency": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "resetDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING",
                "businessCenters": {
                  "businessCentersReference": {
                    "@ref:external": "primaryBusinessCenters"
                  }
                }
              }
            }
          }
        ]
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 100,
              "unit": {
                "currency": {
                  "@data": "XAU"
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.observable.asset.InterestRateIndex",
                "@key:scoped": "InterestRateIndex-1",
                "@data": {
                  "@type": "cdm.observable.asset.FloatingRateIndex",
                  "identifier": [
                    {
                      "identifier": {
                        "@data": "USD-SOFR-OIS Compound"
                      },
                      "identifierType": "Other"
                    }
                  ],
                  "assetType": "Other",
                  "assetClass": "InterestRate",
                  "floatingRateIndex": {
                    "@data": "USD-SOFR-OIS Compound"
                  }
                }
              }
            }
          },
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": -0.0001,
                "unit": {
                  "currency": {
                    "@data": "XAU"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "XAU"
                  }
                },
                "priceType": "InterestRate",
                "arithmeticOperator": "Add"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 100,
              "unit": {
                "currency": {
                  "@data": "XAU"
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-2",
              "@data": {
                "@type": "cdm.observable.asset.InterestRateIndex",
                "@key:scoped": "InterestRateIndex-2",
                "@data": {
                  "@type": "cdm.observable.asset.FloatingRateIndex",
                  "identifier": [
                    {
                      "identifier": {
                        "@data": "GOFO"
                      },
                      "identifierType": "Other"
                    }
                  ],
                  "assetType": "Other",
                  "assetClass": "InterestRate"
                }
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "party1"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "party2"
        }
      }
    ],
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "party1"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.bankB.com/swaps/com-trade-id",
              "@data": "BankA1234"
            }
          }
        ]
      },
      {
        "issuerReference": {
          "@ref:external": "party2"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.bankA.com/swaps/com-trade-id",
              "@data": "BankB5678"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2021-08-18"
    },
    "party": [
      {
        "@key:external": "party1",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Bank A"
            }
          }
        ],
        "name": {
          "@data": "Bank a"
        }
      },
      {
        "@key:external": "party2",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Bank B"
            }
          }
        ],
        "name": {
          "@data": "Bank B"
        }
      }
    ],
    "contractDetails": {
      "documentation": [
        {
          "legalAgreementIdentification": {
            "agreementName": {
              "agreementType": "Confirmation"
            }
          },
          "contractualParty": [
            {
              "@ref:external": "party1"
            },
            {
              "@ref:external": "party2"
            }
          ]
        }
      ]
    }
  }
}

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IRS Basis Swap →
Library 7.2-lib.2 · CDM 7.2.0 cdm:irs-basis-ois