fpml:creditDefaultSwap

In a credit default swap one party (the protection seller) agrees to compensate another party (the protection buyer) if a specified company or Sovereign (the reference entity) experiences a credit event, indicating it is or may be unable to service its debts. The protection seller is typically paid a fee and/or premium, expressed as an annualized percent of the notional in basis points, regularly over the life of the transaction or otherwise as agreed by the parties.

Element information

Content

• Sequence [1..1]
  from type fpml:Product
  from group fpml:Product.model
  Sequence [0..1]
  1. fpml:primaryAssetClass [0..1]    A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  2. fpml:secondaryAssetClass [0..*]    A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.
  3. fpml:productType [0..*]    A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  4. fpml:productId [0..*]    A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.
  5. fpml:embeddedOptionType [0..2]    Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.
  1. fpml:generalTerms [1..1]    This element contains all the data that appears in the section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.
  2. fpml:feeLeg [1..1]    This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.
  3. fpml:protectionTerms [1..*]    This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.

Attributes

Used in

• Type fpml:Strategy
• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Trade (Elements fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:creditDefaultSwap

Sample instance

<creditDefaultSwap>
   <primaryAssetClass>Credit</primaryAssetClass>
   <productType>Credit:SingleName:Corporate:StandardNorthAmericanCorporate</productType>
   <generalTerms>
      <effectiveDate>
         <unadjustedDate>2002-12-05</unadjustedDate>
      </effectiveDate>
      <scheduledTerminationDate>
         <unadjustedDate>2007-12-05</unadjustedDate>
      </scheduledTerminationDate>
      <referenceInformation>
         <referenceEntity id="referenceEntity">
            <entityName>ACOM CO., LTD.</entityName>
            <entityId entityIdScheme="http://www.fpml.org/spec/2003/entity-id-RED-1-0">004CC9</entityId>
         </referenceEntity>
         <referenceObligation>
            <bond>
               <instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0">JP310860A032</instrumentId>
               <couponRate>0.0213</couponRate>
               <maturity>2007-03-08</maturity>
            </bond>
         </referenceObligation>
      </referenceInformation>
   </generalTerms>
   <feeLeg>
      <periodicPayment>
         <fixedAmountCalculation>
            <fixedRate>0.007</fixedRate>
         </fixedAmountCalculation>
      </periodicPayment>
   </feeLeg>
   <protectionTerms>
      <calculationAmount>
         <currency>JPY</currency>
         <amount>500000000.0</amount>
      </calculationAmount>
      <creditEvents>
         <restructuring>
            <applicable>true</applicable>
         </restructuring>
      </creditEvents>
   </protectionTerms>
</creditDefaultSwap>