CreditDefaultSwap

A complex type to support the credit default swap.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
primaryAssetClass	AssetClass	A classification of the most important risk class of the trade.	Primary asset class.		0-1, ncf	At the first stage this element is not used in the repository messages.
secondaryAssetClass	AssetClass	A classification of additional risk classes of the trade, if any.	Secondary asset class.		0-∞, ncf	At the first stage this element is not used in the repository messages.
productType	ProductType	A classification of the type of product.	Product type.	Derivative instrument type.	0-∞, mre, mfr	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
productId	ProductId	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.	Derivatives classification code.	Classification code of the derivative financial instrument.	0-∞, mre, mfr	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
embeddedOptionType	EmbeddedOptionType	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.	Embedded option type.		0-2, ncf	Optional field for NSD repository messages. It is not used in messages, related to the registration of master agreements and quarterly representation of trades exercised within 4 working days period. This is used only if trade terms include embedded option of a type specified in the coding scheme. At the first stage this element is not used in the repository messages.
@id	xsd:ID				1-1
generalTerms	GeneralTerms	This element contains all the data that appears in the section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.	General terms.		1-1, mre
feeLeg	FeeLeg	This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.	Fee leg.		1-1, mre
protectionTerms	ProtectionTerms	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.	Protection terms.		1-∞, mre
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Branch1
cashSettlementTerms	CashSettlementTerms	This element contains all the ISDA terms relevant to cash settlement for when cash settlement is applicable. ISDA 2003 Term: Cash Settlement.	Cash settlement terms.		1-1, mre
Branch2
physicalSettlementTerms	PhysicalSettlementTerms	This element contains all the ISDA terms relevant to physical settlement for when physical settlement is applicable. ISDA 2003 Term: Physical Settlement.	Physical settlement terms.		1-1, mre
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CreditDefaultSwap

productType(ProductType)

	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
	A classification of the type of product.
	Derivative instrument type.

productId(ProductId)

	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
	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.
	Classification code of the derivative financial instrument.

generalTerms(GeneralTerms)

	This element contains all the data that appears in the section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.

effectiveDate(AdjustableDate2)

	The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Effective Date.
	Effective date / Start date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

scheduledTerminationDate(AdjustableDate2)

	The scheduled date on which the credit protection will lapse. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Scheduled Termination Date.
	Termination date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

buyerPartyReference(PartyReference)

	A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
	Party code.

sellerPartyReference(PartyReference)

	A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
	Party code.

A choice of the reference obligation type.

referenceInformation(ReferenceInformation)

	This element contains all the terms relevant to defining the reference entity and reference obligation(s).

referenceEntity(LegalEntity)

	The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations. It is vital to use the correct legal name of the entity and to be careful not to choose a subsidiary if you really want to trade protection on a parent company. Please note, Reference Entities cannot be senior or subordinated. It is the obligations of the Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity.
	Code of the Reference Entity.

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.

A choice of the reference obligation definition.

referenceObligation(ReferenceObligation)

	The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation.
	Code of the Reference Obligations.

A choice of the reference obligation definition.

bond(Bond)

	Identifies the underlying asset when it is a series or a class of bonds.

instrumentId(InstrumentId)

	Identification of the underlying asset, using public and/or private identifiers.
	Underlying asset code.

description(string)

Long name of the underlying asset.

noReferenceObligation(boolean)

	Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.

indexReferenceInformation(IndexReferenceInformation)

	This element contains all the terms relevant to defining the Credit Default Swap Index.

A choice of the index specification.

Sequence

indexName(IndexName)

	The name of the index expressed as a free format string. FpML does not define usage rules for this element.

indexId(IndexId)

	A CDS index identifier (e.g. RED pair code).

Sequence

indexId(IndexId)

	A CDS index identifier (e.g. RED pair code).

basketReferenceInformation(BasketReferenceInformation)

	This element contains all the terms relevant to defining the Credit Default Swap Basket.

referencePool(ReferencePool)

This element contains all the reference pool items to define the reference entity and reference obligation(s) in the basket.

referencePoolItem(ReferencePoolItem)

	This element defines weight and reference information for a reference pool constituent.

constituentWeight(ConstituentWeight)

	Describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.
	Asset weight in the basket.

A choice of the constituent weight type.

openUnits(decimal)

	The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
	Asset quantity in the basket.

basketPercentage(RestrictedPercentage)

	The relative weight of each respective basket constituent, expressed in percentage. A basket percentage of 5% would be represented as 0.05.
	Asset weight in the basket (per cent).
	[0;1]

basketAmount(Money)

	DEPRECATED. The relative weight of each respective basket constituent, expressed as a monetary amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

referencePair(ReferencePair)

Specifies reference entity and reference obligation.

referenceEntity(LegalEntity)

The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations. It is vital to use the correct legal name of the entity and to be careful not to choose a subsidiary if you really want to trade protection on a parent company. Please note, Reference Entities cannot be senior or subordinated. It is the obligations of the Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity

Code of the Reference Entity.

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.

A choice of the reference obligation definition.

referenceObligation(ReferenceObligation)

	The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation
	Code of the Reference Obligations.

A choice of the reference obligation definition.

bond(Bond)

	Identifies the underlying asset when it is a series or a class of bonds.

instrumentId(InstrumentId)

	Identification of the underlying asset, using public and/or private identifiers.
	Underlying asset code.

description(string)

Long name of the underlying asset.

noReferenceObligation(boolean)

	Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.

A choice of the obligation basket definition.

Sequence

nthToDefault(positiveInteger)

	N th reference obligation to default triggers payout.

mthToDefault(positiveInteger)

	M th reference obligation to default to allow representation of N th to M th defaults.

feeLeg(FeeLeg)

	This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.

initialPayment(InitialPayment)

Specifies a single fixed payment that is payable by the payer to the receiver on the initial payment date. The fixed payment to be paid is specified in terms of a known currency amount. This element should be used for CDS Index trades and can be used for CDS trades where it is necessary to represent a payment from Seller to Buyer. For CDS trades where a payment is to be made from Buyer to Seller the feeLeg/singlePayment structure must be used.

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

adjustablePaymentDate(date)

	A fixed payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component.

adjustedPaymentDate(date)

The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component.

paymentAmount(Money)

	A fixed payment amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

singlePayment(SinglePayment)

	Specifies a single fixed amount that is payable by the buyer to the seller on the fixed rate payer payment date. The fixed amount to be paid is specified in terms of a known currency amount.

adjustablePaymentDate(date)

	A fixed amount payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term: Fixed Rate Payer Payment Date.

adjustedPaymentDate(date)

fixedAmount(Money)

	A fixed payment amount. ISDA 2003 Term: Fixed Amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

periodicPayment(PeriodicPayment)

Specifies a periodic schedule of fixed amounts that are payable by the buyer to the seller on the fixed rate payer payment dates. The fixed amount to be paid on each payment date can be specified in terms of a known currency amount or as an amount calculated on a formula basis by reference to a per annum fixed rate. The applicable business day convention and business day for adjusting any fixed rate payer payment date if it would otherwise fall on a day that is not a business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term:

paymentFrequency(Period)

The time interval between regular fixed rate payer payment dates.

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;

firstPeriodStartDate(date)

The start date of the initial calculation period if such date is not equal to the trade’s effective date. It must only be specified if it is not equal to the effective date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement).

firstPaymentDate(date)

The first unadjusted fixed rate payer payment date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement). ISDA 2003 Term: Fixed Rate Payer Payment Date.

lastRegularPaymentDate(date)

The last regular unadjusted fixed rate payer payment date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement). This element should only be included if there is a final payment stub, i.e. where the last regular unadjusted fixed rate payer payment date is not equal to the scheduled termination date. ISDA 2003 Term: Fixed Rate Payer Payment Date.

rollConvention(RollConventionEnum)

	Used in conjunction with the effectiveDate, scheduledTerminationDate, firstPaymentDate, lastRegularPaymentDate and paymentFrequency to determine the regular fixed rate payer payment dates.
	EOM;FRN;IMM;IMMCAD;IMMAUD;IMMNZD;SFE;NONE;TBILL;1;2;3;4;5;6;7;8;9;10;11;12;13;14;15;16;17;18;19;20;21;22;23;24;25;26;27;28;29;30;MON;TUE;WED;THU;FRI;SAT;SUN;

A choice of the fixed amount definition method.

fixedAmount(Money)

	A fixed payment amount. ISDA 2003 Term: Fixed Amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

fixedAmountCalculation(FixedAmountCalculation)

	This element contains all the terms relevant to calculating a fixed amount where the fixed amount is calculated by reference to a per annum fixed rate. There is no corresponding ISDA 2003 Term. The equivalent is Sec 5.1 "Calculation of Fixed Amount" but this in itself is not a defined Term.

calculationAmount(CalculationAmount)

	The notional amount used in the calculation of fixed amounts where an amount is calculated on a formula basis, i.e. fixed amount = fixed rate payer calculation amount x fixed rate x fixed rate day count fraction. ISDA 2003 Term: Fixed Rate Payer Calculation Amount.
	Notional amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

step(Step)

	A schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

fixedRate(FixedRate)

	The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
	Fixed rate.

dayCountFraction(DayCountFraction)

The day count fraction. ISDA 2003 Term: Fixed Rate Day Count Fraction.

protectionTerms(ProtectionTerms)

	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.

calculationAmount(Money)

	The notional amount of protection coverage. ISDA 2003 Term: Floating Rate Payer Calculation Amount.
	Notional amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

creditEvents(CreditEvents)

	This element contains all the ISDA terms relating to credit events.
	Code of Credit Event.

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.

A choice of the settlement method.

cashSettlementTerms(CashSettlementTerms)

	This element contains all the ISDA terms relevant to cash settlement for when cash settlement is applicable. ISDA 2003 Term: Cash Settlement.

settlementCurrency(Currency)

	ISDA 2003 Term: Settlement Currency.

quotationMethod(QuotationRateTypeEnum)

	The type of price quotations to be requested from dealers when determining the market value of the reference obligation for purposes of cash settlement. For example, Bid, Offer or Mid-market. ISDA 2003 Term: Quotation Method.
	Bid;Ask;Mid;ExercisingPartyPays;

A choice of the fixed recovery specification.

cashSettlementAmount(Money)

	The amount paid by the seller to the buyer for cash settlement on the cash settlement date. If not otherwise specified, would typically be calculated as 100 (or the Reference Price) minus the price of the Reference Obligation (all expressed as a percentage) times Floating Rate Payer Calculation Amount. ISDA 2003 Term: Cash Settlement Amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

recoveryFactor(RestrictedPercentage)

	Used for fixed recovery, specifies the recovery level, determined at contract inception, to be applied on a default. Used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. Amount calculation is (1 minus the Recovery Factor) multiplied by the Floating Rate Payer Calculation Amount. The currency will be derived from the Floating Rate Payer Calculation Amount.
	[0;1]

physicalSettlementTerms(PhysicalSettlementTerms)

	This element contains all the ISDA terms relevant to physical settlement for when physical settlement is applicable. ISDA 2003 Term: Physical Settlement.

settlementCurrency(Currency)

	ISDA 2003 Term: Settlement Currency.

physicalSettlementPeriod(PhysicalSettlementPeriod)

The number of business days used in the determination of the physical settlement date. The physical settlement date is this number of business days after all applicable conditions to settlement are satisfied. If a number of business days is not specified fallback provisions apply for determining the number of business days. If Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to apply the businessDaysNotSpecified element should be included. If a specified number of business days are to apply these should be specified in the businessDays element. If Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to apply but capped at a maximum number of business days then the maximum number should be specified in the maximumBusinessDays element. ISDA 2003 Term: Physical Settlement Period.

A choice of the physical settlement period.

businessDaysNotSpecified(boolean)

	An explicit indication that a number of business days are not specified and therefore ISDA fallback provisions should apply.

businessDays(nonNegativeInteger)

	A number of business days. Its precise meaning is dependant on the context in which this element is used. ISDA 2003 Term: Business Day.

maximumBusinessDays(nonNegativeInteger)

	A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.