IRS Xccy Basis
Cross-currency CDM 7.2.0A basis swap in two different currencies.
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.
| Scheme | Qualifier | Source |
|---|---|---|
| CFI | SRAXCC | Asserted |
| EMIR | SW | Asserted |
| ISDA | InterestRate_CrossCurrency_Basis | 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
- 2018-03-19
- Effective date
- 2018-03-21
- Termination date
- 2023-03-21
- Calculation period
- 3 months
- Payment frequency
- 3 months
- Day count fraction
- ACT/360
- Currencies
- EUR, USD
- 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.
| Type | Namespace |
|---|---|
| FloatingRateIndex | observable · asset |
| FloatingRateSpecification | product · asset |
| InterestRateIndex | observable · asset |
| InterestRatePayout | product · asset |
| TradeState | event · common |
The CDM JSON
The full canonical document — 185 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-xccy-basis.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "b69be0da",
"trade": {
"product": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id",
"@data": "InterestRate:CrossCurrency:Basis"
},
"source": "Other"
}
],
"taxonomy": [
{
"primaryAssetClass": {
"@data": "InterestRate"
}
},
{
"source": "CFI",
"value": {
"name": {
"@scheme": "http://www.fpml.org/coding-scheme/external/product-classification/iso10962",
"@data": "SRAXCC"
}
}
},
{
"source": "EMIR",
"value": {
"name": {
"@scheme": "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type",
"@data": "SW"
}
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "InterestRate_CrossCurrency_Basis"
}
},
"calculated": true
}
],
"economicTerms": {
"payout": [
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"quantityReference": {
"@ref:external": "fixed_notional_schedule"
},
"quantityMultiplier": {
"fxLinkedNotionalSchedule": {
"varyingNotionalCurrency": {
"@data": "USD"
},
"varyingNotionalFixingDates": {
"periodMultiplier": 2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "MODFOLLOWING",
"dateRelativeTo": {
"@ref:external": "tradeDate"
}
},
"fxSpotRateSource": {
"primarySource": {
"sourceProvider": {
"@data": "Telerate"
},
"sourcePage": {
"@data": "WM Company LDN 11am Mid"
},
"sourcePageHeading": "USD/EUR"
}
},
"fixingTime": {
"hourMinuteTime": "11:00:00",
"businessCenter": {
"@data": "GBLO"
}
},
"varyingNotionalInterimExchangePaymentDates": {
"periodMultiplier": 2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "MODFOLLOWING",
"dateRelativeTo": {
"@ref:external": "tradeDate"
}
}
}
}
},
"principalPayment": {
"initialPayment": false,
"finalPayment": false,
"intermediatePayment": true
},
"settlementTerms": {
"settlementCurrency": {
"@data": "USD"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "d0e5285",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2018-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2023-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
},
"adjustedDate": {
"@data": "2023-03-21"
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
},
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "21"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2018-06-21",
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
},
"resetDates": {
"@key:external": "d0e5632",
"calculationPeriodDatesReference": {
"@ref:external": "d0e5285"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"dateRelativeTo": {
"@ref": "f13147a2",
"@ref:external": "d0e5632"
}
},
"resetFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
},
"compoundingMethod": "None",
"cashflowRepresentation": {
"cashflowsMatchParameters": false
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-2"
}
},
"principalPayment": {
"initialPayment": true,
"finalPayment": true,
"intermediatePayment": true,
"principalPaymentSchedule": {
"initialPrincipalPayment": {
"principalPaymentDate": {
"adjustedDate": {
"@data": "2018-03-21"
}
},
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"principalAmount": {
"value": 1650,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
},
"finalPrincipalPayment": {
"principalPaymentDate": {
"adjustedDate": {
"@data": "2023-03-21"
}
},
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"principalAmount": {
"value": 1650,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
}
}
},
"settlementTerms": {
"settlementCurrency": {
"@data": "EUR"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-2"
},
"spreadSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "d0e6004",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2018-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2023-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
},
"adjustedDate": {
"@data": "2023-03-21"
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
},
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "21"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2018-06-21",
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
},
"resetDates": {
"@key:external": "d0e6350",
"calculationPeriodDatesReference": {
"@ref:external": "d0e6004"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"dateRelativeTo": {
"@ref": "9101fbe6",
"@ref:external": "d0e6350"
}
},
"resetFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
},
"compoundingMethod": "None",
"cashflowRepresentation": {
"cashflowsMatchParameters": false
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 2034.95,
"unit": {
"currency": {
"@data": "USD"
}
}
},
"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-LIBOR-BBA"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "USD-LIBOR-BBA"
},
"indexTenor": {
"periodMultiplier": 3,
"period": "M"
}
}
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": -0.0045,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 1650,
"unit": {
"currency": {
"@data": "EUR"
}
}
},
"observable": {
"@key:scoped": "observable-2",
"@data": {
"@type": "cdm.observable.asset.InterestRateIndex",
"@key:scoped": "InterestRateIndex-2",
"@data": {
"@type": "cdm.observable.asset.FloatingRateIndex",
"identifier": [
{
"identifier": {
"@data": "EUR-EURIBOR-Telerate"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "EUR-EURIBOR-Telerate"
},
"indexTenor": {
"periodMultiplier": 3,
"period": "M"
}
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"tradeIdentifier": [
{
"issuer": {
"@scheme": "http://www.fpml.org/coding-scheme/external/nsa/cftc",
"@data": "1031234567"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/usi",
"@data": "DRTY123456"
}
}
],
"identifierType": "UniqueSwapIdentifier"
},
{
"issuer": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "54930084UKLVMY22DS16"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/uti",
"@data": "UITD7895394"
}
}
],
"identifierType": "UniqueTransactionIdentifier"
}
],
"tradeDate": {
"@key:external": "tradeDate",
"@data": "2018-03-19"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "54930084UKLVMY22DS16"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "Party A"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "48750084UKLVTR22DS78"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "Party B"
}
}
]
}
} irs-xccy-basis.json Download
{
"trade": {
"product": {
"identifier": [
{
"identifier": {
"value": "InterestRate:CrossCurrency:Basis",
"meta": {
"scheme": "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id"
}
},
"source": "Other",
"meta": {
"globalKey": "82d2440b"
}
}
],
"taxonomy": [
{
"primaryAssetClass": {
"value": "InterestRate"
}
},
{
"source": "CFI",
"value": {
"name": {
"value": "SRAXCC",
"meta": {
"scheme": "http://www.fpml.org/coding-scheme/external/product-classification/iso10962"
}
}
}
},
{
"source": "EMIR",
"value": {
"name": {
"value": "SW",
"meta": {
"scheme": "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type"
}
}
}
},
{
"source": "ISDA",
"productQualifier": "InterestRate_CrossCurrency_Basis"
}
],
"economicTerms": {
"payout": [
{
"InterestRatePayout": {
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-1"
}
},
"quantityReference": {
"externalReference": "fixed_notional_schedule"
},
"quantityMultiplier": {
"fxLinkedNotionalSchedule": {
"varyingNotionalCurrency": {
"value": "USD"
},
"varyingNotionalFixingDates": {
"periodMultiplier": 2,
"period": "D",
"meta": {
"globalKey": "97a0d7df"
},
"dayType": "Business",
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
}
],
"meta": {
"globalKey": "21479e"
}
},
"dateRelativeTo": {
"globalReference": "3f10d3",
"externalReference": "tradeDate"
}
},
"fxSpotRateSource": {
"primarySource": {
"sourceProvider": {
"value": "Telerate"
},
"sourcePage": {
"value": "WM Company LDN 11am Mid"
},
"sourcePageHeading": "USD/EUR"
}
},
"fixingTime": {
"hourMinuteTime": "11:00:00",
"businessCenter": {
"value": "GBLO"
}
},
"varyingNotionalInterimExchangePaymentDates": {
"periodMultiplier": 2,
"period": "D",
"meta": {
"globalKey": "97a0d7df"
},
"dayType": "Business",
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
}
],
"meta": {
"globalKey": "21479e"
}
},
"dateRelativeTo": {
"globalReference": "3f10d3",
"externalReference": "tradeDate"
}
}
}
},
"meta": {
"globalKey": "f791ff95"
}
},
"principalPayment": {
"initialPayment": false,
"finalPayment": false,
"intermediatePayment": true,
"meta": {
"globalKey": "12be2f"
}
},
"settlementTerms": {
"settlementCurrency": {
"value": "USD"
},
"meta": {
"globalKey": "14966"
}
},
"rateSpecification": {
"FloatingRateSpecification": {
"rateOption": {
"address": {
"scope": "DOCUMENT",
"value": "InterestRateIndex-1"
}
},
"meta": {
"globalKey": "0"
}
}
},
"dayCountFraction": {
"value": "ACT/360"
},
"calculationPeriodDates": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2018-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
},
{
"value": "USNY"
},
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "81e33772"
}
},
"meta": {
"globalKey": "5865eac3"
}
},
"meta": {
"globalKey": "733f98e"
}
},
"meta": {
"globalKey": "733f98e"
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2023-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
},
{
"value": "USNY"
},
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "81e33772"
}
},
"meta": {
"globalKey": "5865eac3"
}
},
"adjustedDate": {
"value": "2023-03-21",
"meta": {
"globalKey": "3f38d5"
}
},
"meta": {
"globalKey": "80e0d18e"
}
},
"meta": {
"globalKey": "80e0d18e"
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
},
{
"value": "USNY"
},
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "81e33772"
}
},
"meta": {
"globalKey": "5865eac3"
}
},
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"meta": {
"globalKey": "17f74"
},
"rollConvention": "21"
},
"meta": {
"globalKey": "a071381b",
"externalKey": "d0e5285"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M",
"meta": {
"globalKey": "aa"
}
},
"firstPaymentDate": "2018-06-21",
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
},
{
"value": "USNY"
},
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "81e33772"
}
},
"meta": {
"globalKey": "5865eac3"
}
},
"meta": {
"globalKey": "b076f494"
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"globalReference": "a071381b",
"externalReference": "d0e5285"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"meta": {
"globalKey": "56e7d2b9"
},
"dayType": "Business",
"businessDayConvention": "NONE",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
}
],
"meta": {
"globalKey": "21479e"
}
},
"dateRelativeTo": {
"globalReference": "412a1c5e",
"externalReference": "d0e5632"
}
},
"resetFrequency": {
"periodMultiplier": 3,
"period": "M",
"meta": {
"globalKey": "aa"
}
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
}
],
"meta": {
"globalKey": "21479e"
}
},
"meta": {
"globalKey": "365c4b6f"
}
},
"meta": {
"globalKey": "412a1c5e",
"externalKey": "d0e5632"
}
},
"compoundingMethod": "None",
"cashflowRepresentation": {
"cashflowsMatchParameters": false
}
},
"meta": {
"globalKey": "950d18d7"
}
},
{
"InterestRatePayout": {
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-2"
}
},
"meta": {
"globalKey": "0"
}
},
"principalPayment": {
"initialPayment": true,
"finalPayment": true,
"intermediatePayment": true,
"principalPaymentSchedule": {
"initialPrincipalPayment": {
"principalPaymentDate": {
"adjustedDate": {
"value": "2018-03-21",
"meta": {
"globalKey": "3f10d5"
}
},
"meta": {
"globalKey": "0"
}
},
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"principalAmount": {
"value": 1650,
"unit": {
"currency": {
"value": "EUR"
}
},
"meta": {
"globalKey": "7f38c622"
}
},
"meta": {
"globalKey": "3da65fc1"
}
},
"finalPrincipalPayment": {
"principalPaymentDate": {
"adjustedDate": {
"value": "2023-03-21",
"meta": {
"globalKey": "3f38d5"
}
},
"meta": {
"globalKey": "0"
}
},
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"principalAmount": {
"value": 1650,
"unit": {
"currency": {
"value": "EUR"
}
},
"meta": {
"globalKey": "7f38c622"
}
},
"meta": {
"globalKey": "70d7c263"
}
}
},
"meta": {
"globalKey": "e2c87955"
}
},
"settlementTerms": {
"settlementCurrency": {
"value": "EUR"
},
"meta": {
"globalKey": "10da2"
}
},
"rateSpecification": {
"FloatingRateSpecification": {
"rateOption": {
"address": {
"scope": "DOCUMENT",
"value": "InterestRateIndex-2"
}
},
"spreadSchedule": {
"price": {
"address": {
"scope": "DOCUMENT",
"value": "price-1"
}
}
},
"meta": {
"globalKey": "0"
}
}
},
"dayCountFraction": {
"value": "ACT/360"
},
"calculationPeriodDates": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2018-03-21",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "GBLO"
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}Open this product
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