NSD’s trade repository messages specifications

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Current specification

CreditOptionStrike

A complex type to specify the strike of a credit swaption or a credit default swap option.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
Choice begin
Branch1
spread	xsd:decimal	The strike of a credit default swap option or credit swaption when expressed as a spread per annum.	Spread.	Strike price.	1-1, mre, mfr
Branch2
price	xsd:decimal	The strike of a credit default swap option or credit swaption when expressed as in reference to the price of the underlying obligation(s) or index.	Strike price.	Strike price.	1-1, mre, mfr
Branch3
strikeReference	FixedRateReference	The strike of a credit default swap option or credit swaption when expressed in reference to the spread of the underlying swap (typical practice in the case of single name swaps).	Strike reference.		1-1, ncf
Choice end

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CreditOptionStrike

A choice of the strike price specification.

spread(decimal)

	The strike of a credit default swap option or credit swaption when expressed as a spread per annum.
	Strike price.

price(decimal)

	The strike of a credit default swap option or credit swaption when expressed as in reference to the price of the underlying obligation(s) or index.
	Strike price.