CreditCurve

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
name	xsd:normalizedString				0-1
currency	Currency				0-1
@id	xsd:ID				1-1, ncf
Choice begin
Branch1
referenceEntity	LegalEntity				1-1, mre
Branch2
creditEntityReference	LegalEntityReference				1-1, mre
Choice end
creditEvents	CreditEvents				0-1
seniority	CreditSeniority				0-1, mre
secured	xsd:boolean				0-1, mre
obligationCurrency	Currency				0-1, mre
obligations	Obligations				0-1
deliverableObligations	DeliverableObligations				0-1

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CreditCurve

name(normalizedString)

currency(Currency)

Selecting one of variants:

referenceEntity(LegalEntity)

A choice of the legal entity identification.

Sequence

entityName(EntityName)

	The name of the reference entity. A free format string. FpML does not define usage rules for this element.

entityId(EntityId)

	A legal entity identifier (e.g. RED (Reference Entity Database for Credit Derivative Swaps) entity code).
	Code of the Reference Entity.

creditEntityReference(LegalEntityReference)

creditEvents(CreditEvents)

bankruptcy(boolean)

	A credit event. The reference entity has been dissolved or has become insolvent. It also covers events that may be a precursor to insolvency such as instigation of bankruptcy or insolvency proceedings. Sovereign trades are not subject to Bankruptcy as "technically" a Sovereign cannot become bankrupt. ISDA 2003 Term: Bankruptcy.

failureToPay(FailureToPay)

A credit event. This credit event triggers, after the expiration of any applicable grace period, if the reference entity fails to make due payments in an aggregrate amount of not less than the payment requirement on one or more obligations (e.g. a missed coupon payment). ISDA 2003 Term: Failure to Pay.

applicable(boolean)

	Indicates whether the failure to pay provision is applicable.

failureToPayPrincipal(boolean)

	A credit event. Corresponds to the failure by the Reference Entity to pay an expected principal amount or the payment of an actual principal amount that is less than the expected principal amount. ISDA 2003 Term: Failure to Pay Principal.

failureToPayInterest(boolean)

	A credit event. Corresponds to the failure by the Reference Entity to pay an expected interest amount or the payment of an actual interest amount that is less than the expected interest amount. ISDA 2003 Term: Failure to Pay Interest.

obligationDefault(boolean)

	A credit event. One or more of the obligations have become capable of being declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay. ISDA 2003 Term: Obligation Default.

obligationAcceleration(boolean)

A credit event. One or more of the obligations have been declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay (preferred by the market over Obligation Default, because more definitive and encompasses the definition of Obligation Default - this is more favorable to the Seller). Subject to the default requirement amount. ISDA 2003 Term: Obligation Acceleration.

repudiationMoratorium(boolean)

	A credit event. The reference entity, or a governmental authority, either refuses to recognise or challenges the validity of one or more obligations of the reference entity, or imposes a moratorium thereby postponing payments on one or more of the obligations of the reference entity. Subject to the default requirement amount. ISDA 2003 Term: Repudiation/Moratorium.

restructuring(Restructuring)

A credit event. A restructuring is an event that materially impacts the reference entity's obligations, such as an interest rate reduction, principal reduction, deferral of interest or principal, change in priority ranking, or change in currency or composition of payment. ISDA 2003 Term: Restructuring.

applicable(boolean)

	Indicates whether the restructuring provision is applicable.

distressedRatingsDowngrade(boolean)

	A credit event. Results from the fact that the rating of the reference obligation is downgraded to a distressed rating level. From a usage standpoint, this credit event is typically not applicable in case of RMBS trades.

maturityExtension(boolean)

	A credit event. Results from the fact that the underlier fails to make principal payments as expected.

writedown(boolean)

	A credit event. Results from the fact that the underlier writes down its outstanding principal amount.

impliedWritedown(boolean)

	A credit event. Results from the fact that losses occur to the underlying instruments that do not result in reductions of the outstanding principal of the reference obligation.

seniority(CreditSeniority)

secured(boolean)

obligationCurrency(Currency)

obligations(Obligations)

category(ObligationCategoryEnum)

	Used in both obligations and deliverable obligations to represent a class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category.
	Payment;BorrowedMoney;ReferenceObligationsOnly;Bond;Loan;BondOrLoan;

notSubordinated(boolean)

	An obligation and deliverable obligation characteristic. An obligation that ranks at least equal with the most senior Reference Obligation in priority of payment or, if no Reference Obligation is specified in the related Confirmation, the obligations of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated
	.

specifiedCurrency(SpecifiedCurrency)

	An obligation and deliverable obligation characteristic. The currency or currencies in which an obligation or deliverable obligation must be payable. ISDA 2003 Term: Specified Currency
	.

applicable(boolean)

currency(Currency)

notSovereignLender(boolean)

	An obligation and deliverable obligation characteristic. Any obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization. ISDA 2003 Term: Not Sovereign Lender
	.

notDomesticCurrency(NotDomesticCurrency)

	An obligation and deliverable obligation characteristic. Any obligation that is payable in any currency other than the domestic currency. Domestic currency is either the currency so specified or, if no currency is specified, the currency of (a) the reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003 Term: Not Domestic Currency
	.

applicable(boolean)

currency(Currency)

notDomesticLaw(boolean)

	An obligation and deliverable obligation characteristic. If the reference entity is a Sovereign, this means any obligation that is not subject to the laws of the reference entity. If the reference entity is not a sovereign, this means any obligation that is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not Domestic Law
	.

listed(boolean)

	An obligation and deliverable obligation characteristic. Indicates whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange. ISDA 2003 Term: Listed
	.

notDomesticIssuance(boolean)

	An obligation and deliverable obligation characteristic. Any obligation other than an obligation that was intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. This specifies that the obligation must be an internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance
	.

Selecting one of variants:

fullFaithAndCreditObLiability(boolean)

	An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Full Faith and Credit Obligation Liability
	.

generalFundObligationLiability(boolean)

	An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: General Fund Obligation Liability
	.

revenueObligationLiability(boolean)

	An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue Obligation Liability
	.

notContingent(boolean)

	NOTE: Only allowed as an obligation charcteristic under ISDA Credit 1999. In essence Not Contingent means the repayment of principal cannot be dependant on a formula/index, i.e. to prevent the risk of being delivered an instrument that may never pay any element of principal, and to ensure that the obligation is interest bearing (on a regular schedule). ISDA 2003 Term: Not Contingent
	.

excluded(string)

	A free format string to specify any excluded obligations or deliverable obligations, as the case may be, of the reference entity or excluded types of obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded Deliverable Obligations
	.

othReferenceEntityObligations(string)

	This element is used to specify any other obligations of a reference entity in both obligations and deliverable obligations. The obligations can be specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity
	.

designatedPriority(Lien)

	Applies to Loan CDS, to indicate what lien level is appropriate for a deliverable obligation. Applies to European Loan CDS, to indicate the Ranking of the obligation. Example: a 2nd lien Loan CDS would imply that the deliverable obligations are 1st or 2nd lien loans.
	.

cashSettlementOnly(boolean)

	An obligation and deliverable obligation characteristic. Defined in the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans. ISDA 2003 Term: Cash Settlement Only.
	.

deliveryOfCommitments(boolean)

	An obligation and deliverable obligation characteristic. Defined in the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans. ISDA 2003 Term: Delivery of Commitments.
	.

continuity(boolean)

	An obligation and deliverable obligation characteristic. Defined in the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans. ISDA 2003 Term: Continuity.
	.

deliverableObligations(DeliverableObligations)

accruedInterest(boolean)

category(ObligationCategoryEnum)

Payment;BorrowedMoney;ReferenceObligationsOnly;Bond;Loan;BondOrLoan;

notSubordinated(boolean)

specifiedCurrency(SpecifiedCurrency)

applicable(boolean)

currency(Currency)

notSovereignLender(boolean)

notDomesticCurrency(NotDomesticCurrency)

applicable(boolean)

currency(Currency)

notDomesticLaw(boolean)

listed(boolean)

notContingent(boolean)

notDomesticIssuance(boolean)

assignableLoan(PCDeliverableObligationCharac)

applicable(boolean)

partialCashSettlement(boolean)

consentRequiredLoan(PCDeliverableObligationCharac)

applicable(boolean)

partialCashSettlement(boolean)

directLoanParticipation(LoanParticipation)

applicable(boolean)

partialCashSettlement(boolean)

qualifyingParticipationSeller(string)

transferable(boolean)

maximumMaturity(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

acceleratedOrMatured(boolean)

notBearer(boolean)

Selecting one of variants:

fullFaithAndCreditObLiability(boolean)

generalFundObligationLiability(boolean)

revenueObligationLiability(boolean)

indirectLoanParticipation(LoanParticipation)

applicable(boolean)

partialCashSettlement(boolean)

qualifyingParticipationSeller(string)

excluded(string)

othReferenceEntityObligations(string)