ProtectionTerms

A type defining credit protection terms.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
calculationAmount	Money	The notional amount of protection coverage. ISDA 2003 Term: Floating Rate Payer Calculation Amount.	Calculation amount.	Notional amount.	1-1, mre
creditEvents	CreditEvents	This element contains all the ISDA terms relating to credit events.	Credit events.	Code of Credit Event.	0-1, mre
obligations	Obligations	The underlying obligations of the reference entity on which you are buying or selling protection. The credit events Failure to Pay, Obligation Acceleration, Obligation Default, Restructuring, Repudiation/Moratorium are defined with respect to these obligations. ISDA 2003 Term:	Obligations.	Code of the Obligation Characteristics.	0-1, ncf	At the first stage this element is not used in the repository messages.
floatingAmountEvents	FloatingAmountEvents	This element contains the ISDA terms relating to the floating rate payment events and the implied additional fixed payments, applicable to the credit derivatives transactions on mortgage-backed securities with pay-as-you-go or physical settlement.	Floating amount events.		0-1, ncf	At the first stage this element is not used in the repository messages.
@id	xsd:ID				1-1, ncf

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ProtectionTerms

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.