Schema Central > FpML 5.5 Confirmation > fpml-cd-5-5.xsd > fpml:creditDefaultSwapOption
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fpml:creditDefaultSwapOption

An option on a credit default swap.

Element information

Type: fpml:CreditDefaultSwapOption

Properties: Global, Qualified

Content

Attributes

NameOccTypeDescriptionNotes
id [0..1]xsd:IDfrom type fpml:Product

Used in

Substitution hierarchy

Sample instance

<creditDefaultSwapOption>
   <buyerPartyReference href="Party2"/>
   <sellerPartyReference href="Party1"/>
   <optionType>Call</optionType>
   <premium>
      <payerPartyReference href="Party2"/>
      <receiverPartyReference href="Party1"/>
      <paymentAmount>
         <currency>USD</currency>
         <amount>300000</amount>
      </paymentAmount>
      <paymentDate>
         <relativeDate>
            <periodMultiplier>3</periodMultiplier>
            <period>D</period>
            <dayType>Business</dayType>
            <businessDayConvention>NONE</businessDayConvention>
            <businessCenters>
               <businessCenter>USNY</businessCenter>
               <businessCenter>GBLO</businessCenter>
            </businessCenters>
            <dateRelativeTo href="TRADEDATE"/>
         </relativeDate>
      </paymentDate>
      <premiumType>Fixed</premiumType>
   </premium>
   <europeanExercise>
      <expirationDate>
         <adjustableDate>
            <unadjustedDate>2007-03-05</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>FOLLOWING</businessDayConvention>
               <businessCenters>
                  <businessCenter>GBLO</businessCenter>
                  <businessCenter>USNY</businessCenter>
               </businessCenters>
            </dateAdjustments>
         </adjustableDate>
      </expirationDate>
      <earliestExerciseTime>
         <hourMinuteTime>09:00:00</hourMinuteTime>
         <businessCenter>GBLO</businessCenter>
      </earliestExerciseTime>
      <expirationTime>
         <hourMinuteTime>16:00:00</hourMinuteTime>
         <businessCenter>GBLO</businessCenter>
      </expirationTime>
   </europeanExercise>
   <exerciseProcedure>
      <manualExercise>
         <fallbackExercise>false</fallbackExercise>
      </manualExercise>
      <followUpConfirmation>true</followUpConfirmation>
   </exerciseProcedure>
   <feature>
      <knock>
         <knockOut>
            <trigger>
               <creditEventsReference href="CREDITEVENT"/>
            </trigger>
         </knockOut>
      </knock>
   </feature>
   <notionalReference href="NOTIONAL"/>
   <settlementType>Physical</settlementType>
   <strike>
      <strikeReference href="SPREAD"/>
   </strike>
   <creditDefaultSwap>
      <generalTerms>
         <effectiveDate>
            <unadjustedDate>2006-03-06</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
         </effectiveDate>
         <scheduledTerminationDate>
            <unadjustedDate>2012-03-21</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
         </scheduledTerminationDate>
         <buyerPartyReference href="Party2"/>
         <sellerPartyReference href="Party1"/>
         <referenceInformation>
            <referenceEntity>
               <entityName>Entity3</entityName>
            </referenceEntity>
            <referenceObligation>
               <bond>
                  <instrumentId instrumentIdScheme="CUSIP">ExampleCUSIP2</instrumentId>
                  <couponRate>0.11875</couponRate>
                  <maturity>2030-01-15</maturity>
               </bond>
               <primaryObligor>
                  <entityName>Entity3</entityName>
               </primaryObligor>
            </referenceObligation>
            <allGuarantees>true</allGuarantees>
            <referencePrice>1.0000000000</referencePrice>
         </referenceInformation>
      </generalTerms>
      <feeLeg>
         <periodicPayment>
            <paymentFrequency>
               <periodMultiplier>3</periodMultiplier>
               <period>M</period>
            </paymentFrequency>
            <firstPaymentDate>2007-03-20</firstPaymentDate>
            <lastRegularPaymentDate>2012-03-20</lastRegularPaymentDate>
            <rollConvention>20</rollConvention>
            <fixedAmountCalculation>
               <calculationAmount>
                  <currency>USD</currency>
                  <amount>25000000</amount>
               </calculationAmount>
               <fixedRate id="SPREAD">0.0186</fixedRate>
               <dayCountFraction>ACT/360</dayCountFraction>
            </fixedAmountCalculation>
         </periodicPayment>
      </feeLeg>
      <protectionTerms>
         <calculationAmount id="NOTIONAL">
            <currency>USD</currency>
            <amount>25000000</amount>
         </calculationAmount>
         <creditEvents id="CREDITEVENT">
            <failureToPay>
               <applicable>true</applicable>
               <paymentRequirement>
                  <currency>USD</currency>
                  <amount>1000000</amount>
               </paymentRequirement>
            </failureToPay>
            <restructuring>
               <applicable>true</applicable>
            </restructuring>
            <defaultRequirement>
               <currency>USD</currency>
               <amount>1000000</amount>
            </defaultRequirement>
            <creditEventNotice>
               <notifyingParty>
                  <buyerPartyReference href="Party2"/>
                  <sellerPartyReference href="Party1"/>
               </notifyingParty>
               <publiclyAvailableInformation>
                  <publicSource>Standard Public Sources</publicSource>
                  <specifiedNumber>2</specifiedNumber>
               </publiclyAvailableInformation>
            </creditEventNotice>
         </creditEvents>
         <obligations>
            <category>Bond</category>
         </obligations>
      </protectionTerms>
      <physicalSettlementTerms>
         <physicalSettlementPeriod>
            <maximumBusinessDays>30</maximumBusinessDays>
         </physicalSettlementPeriod>
         <deliverableObligations>
            <accruedInterest>false</accruedInterest>
            <category>Bond</category>
         </deliverableObligations>
         <escrow>true</escrow>
      </physicalSettlementTerms>
   </creditDefaultSwap>
</creditDefaultSwapOption>

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