FpML 4.4 Validation Rules - Rules for Credit Derivatives (CD)
This is the Credit Derivatives part of the validation rule set accompanying the FpML 4.4 Recommendation. The introductory
section in the validation section of the specifications contains background information and documentation for this page.
The rules contained on this page contain links to cut down versions of valid and invalid test cases. The cut down test cases
are non-normative and are provided for the purpose of documentation only.
Content
Namespace
default element namespace = http://www.fpml.org/2007/FpML-4-4
Preconditions
The Validation Preconditions only apply when specific rules reference them. The following preconditions are always to be executed
relative to the root of the FpML document being validated. The context of the rule is NOT carried through to the precondition.
Precondition: ISDA1999
(context: Trade)
(context: Contract)
The documentation/contractualDefinitions element or the documentation/masterConfirmation/masterConfirmationType element contains ISDA1999Credit.
Precondition: ISDA2003
(context: Trade)
(context: Contract)
Some documentation/contractualDefinitions element begins with the string ISDA2003Credit (this includes ISDA2003CreditJapan, etc.) or the documentation/masterConfirmation/masterConfirmationType element begins with the string ISDA2003Credit or ISDA2004Credit.
Precondition: ShortForm
(context: Trade)
(context: Contract)
documentation/masterConfirmation exists, or documentation/contractualMatrix exists, or documentation/contractualTermsSupplement exists and documentation/contractualTermsSupplement/type begins with string iTraxx or CDX.
Precondition: LongForm
(context: Trade)
(context: Contract)
documentation/masterConfirmation and documentation/contractualMatrix do not exist and SingleName precondition applies.
Precondition: SameCurrency
Every element of type Money should have the same currency.
Precondition: SingleName
(context: Trade)
(context: Contract)
creditDefaultSwap/generalTerms/referenceInformation exists.
Precondition: CreditIndex
(context: CreditDefaultSwap)
generalTerms/indexReferenceInformation exists and generalTerms/indexReferenceInformation/tranche does not exist.
Precondition: quotationAmount
(context: CashSettlementTerms)
quotationAmount exists.
Precondition: minimumQuotationAmount
(context: CashSettlementTerms)
minimumQuotationAmount exists.
Rules
Unique contexts:
Context:
Trade (complex type)
cd-1 (Mandatory)
tradeHeader/tradeDate must be before creditDefaultSwap/generalTerms/effectiveDate/unadjustedDate.
cd-1b (Mandatory)
If creditDefaultSwap/generalTerms/effectiveDate exists, tradeHeader/tradeDate must be greater than or equal tocreditDefaultSwap/generalTerms/effectiveDate/unadjustedDate.
cd-2 (Mandatory)
If calculationAgent exists, it may contain only calculationAgentPartyReference elements or calculationAgentParty with the value AsSpecifiedInMasterAgreement.
cd-3 (Mandatory)
DEPRECATED:
The content of documentation/contractualSupplement must not begin with the string ISDA2003Credit.
Rationale for deprecation: the rule has been replaced by the reference rule number 3b (cd-3b).
cd-4 (Mandatory)
DEPRECATED:
Every documentation/contractualSupplement must not begin with the string ISDA1999Credit.
Rationale for deprecation: the rule has been replaced by the reference rule number 4b (cd-4b).
Context:
ContractualTermsSupplement (complex type)
cd-3b (Mandatory)
The content of type must not begin with the string ISDA2003Credit.
cd-4b (Mandatory)
The content of type must not begin with the string ISDA1999Credit.
Context:
GeneralTerms (complex type)
cd-5 (Mandatory)
If effectiveDate and scheduledTerminationDate both exist, then effectiveDate/unadjustedDate < scheduledTerminationDate/adjustableDate/unadjustedDate.
cd-6 (Mandatory)
buyerPartyReference/@href must not be equal to sellerPartyReference/@href.
cd-7 (Mandatory)
effectiveDate/dateAdjustments or effectiveDate/dateAdjustmentsReference must exist.
cd-8 (Mandatory)
If scheduledTerminationDate exists, then scheduledTerminationDate/adjustableDate/dateAdjustments or scheduledTerminationDate/adjustableDate/dateAdjustmentsReference must exist.
cd-41 (Mandatory)
If indexReferenceInformation/tranche does not exist then modifiedEquityDelivery must not exist.
cd-42 (Mandatory)
If basketReferenceInformation does not exist then substitution must not exist.
Context:
ReferenceInformation (complex type)
cd-9 (Mandatory)
If referenceObligation/primaryObligorReference exists, then the attribute @href of this element must be equal to the @id attribute of referenceEntity.
cd-10 (Mandatory)
If referenceObligation/guarantorReference exists, then the attribute @href of this element must be equal to the @id attribute of referenceEntity.
cd-11 (Mandatory)
allGuarantees must exist.
cd-12 (Mandatory)
If referencePrice exists, then its value must be greater than or equal to zero.
Context:
CreditDefaultSwap (complex type)
cd-13 (Mandatory)
If protectionTerms/creditEvents/creditEventNotice/notifyingParty/buyerPartyReference exists, its @href attribute must match that of generalTerms/buyerPartyReference.
cd-14 (Mandatory)
If protectionTerms/creditEvents/creditEventNotice/notifyingParty/sellerPartyReference exists, its @href attribute must match that of generalTerms/sellerPartyReference.
cd-15 (Mandatory)
If there is exactly one generalTerms/referenceInformation/referenceObligation, and cashSettlementTerms/valuationDate/singleValuationDate exists, then the value of cashSettlementTerms/valuationMethod must be Market or Highest.
cd-16 (Mandatory)
If there is exactly one generalTerms/referenceInformation/referenceObligation, and cashSettlementTerms/valuationDate/multipleValuationDates exists, then the value of cashSettlementTerms/valuationMethod must be AverageMarket, Highest, or AverageHighest.
cd-17 (Mandatory)
If there is more than one generalTerms/referenceInformation/referenceObligation, and cashSettlementTerms/valuationDate/singleValuationDate exists, then the value of cashSettlementTerms/valuationMethod must be BlendedMarket or BlendedHighest.
cd-18 (Mandatory)
If there is more than one generalTerms/referenceInformation/referenceObligation, and cashSettlementTerms/valuationDate/multipleValuationDates exists, then the value of cashSettlementTerms/valuationMethod must be AverageBlendedMarket or AverageBlendedHighest.
cd-19 (Mandatory)
The following elements must not exist: protectionTerms/creditEvents/creditEventNotice/businessCenter, protectionTerms/creditEvents/restructuring/multipleHolderObligation, protectionTerms/creditEvents/restructuring/multipleCreditEventNotices, generalTerms/referenceInformation/allGuarantees, generalTerms/indexReferenceInformation, generalTerms/substitution, generalTerms/modifiedEquityDelivery.
cd-20 (Mandatory)
protectionTerms/obligations/notContingent must not exist.
cd-21 (Mandatory)
The following elements must not exist: cashSettlementTerms, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/referenceInformation/allGuarantees, generalTerms/referenceInformation/referencePrice, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments.
cd-21b (Mandatory)
The following elements must not exist: cashSettlementTerms, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments, protectionTerms/creditEvents.
cd-22 (Mandatory)
The following elements must not exist: protectionTerms/creditEvents/bankruptcy, protectionTerms/creditEvents/failureToPay, protectionTerms/creditEvents/repudiationMoratorium, protectionTerms/creditEvents/obligationDefault, protectionTerms/creditEvents/obligationAcceleration.
cd-23 (Mandatory)
cashSettlementTerms or physicalSettlementTerms must exist.
cd-24 (Mandatory)
The following elements must exist: protectionTerms/creditEvents/creditEventNotice, protectionTerms/obligations, generalTerms/referenceInformation/referencePrice.
cd-25 (Mandatory)
If physicalSettlementTerms exists them it must contain settlementCurrency, physicalSettlementPeriod, escrow and deliverableObligations/accruedInterest.
cd-26 (Mandatory)
If feeLeg/singlePayment/adjustablePaymentDate exists, then feeLeg/singlePayment/adjustablePaymentDate > generalTerms/effectiveDate/unadjustedDate.
cd-27 (Mandatory)
If feeLeg/singlePayment/adjustablePaymentDate and generalTerms/scheduledTerminationDate/adjustableDate exist, then feeLeg/singlePayment/adjustablePaymentDate < generalTerms/scheduledTerminationDate/adjustableDate/unadjustedDate.
cd-28 (Mandatory)
If feeLeg/periodicPayment/firstPaymentDate exists, then feeLeg/periodicPayment/firstPaymentDate > generalTerms/effectiveDate/unadjustedDate.
cd-29 (Mandatory)
If feeLeg/periodicPayment/firstPaymentDate and generalTerms/scheduledTerminationDate/adjustableDate exist, then feeLeg/periodicPayment/firstPaymentDate < generalTerms/scheduledTerminationDate/adjustableDate/unadjustedDate.
cd-30 (Mandatory)
If feeLeg/periodicPayment/lastRegularPaymentDate and generalTerms/scheduledTerminationDate/adjustableDate exist, then feeLeg/periodicPayment/lastRegularPaymentDate < generalTerms/scheduledTerminationDate/adjustableDate/unadjustedDate.
cd-43 (Mandatory)
If feeLeg/initialPayment exists, then feeLeg/initialPayment/payerPartyReference/@href must be equal to generalTerms/sellerPartyReference/@href and feeLeg/initialPayment/receiverPartyReference/@href must be equal to generalTerms/buyerPartyReference/@href
Context:
PeriodicPayment (complex type)
cd-31 (Mandatory)
If both element firstPaymentDate and lastRegularPaymentDate exist, then firstPaymentDate < lastRegularPaymentDate.
cd-32 (Mandatory)
If fixedAmountCalculation/calculationAmount then fixedAmountCalculation/dayCountFraction must also exist.
cd-33 (Mandatory)
If both firstPaymentDate and lastRegularPaymentDate exist, then lastRegularPaymentDate must fall precisely on a date reachable by adding an integer multiple of the period in paymentFrequency to firstPaymentDate.
Context:
DeliverableObligations (complex type)
cd-34 (Mandatory)
If the value of category is ReferenceObligationsOnly, then no other elements may be contained in the deliverable obligations element.
Context:
CreditEvents (complex type)
cd-35 (Mandatory)
At least one child element must exist.
Context:
PubliclyAvailableInformation (complex type)
cd-36 (Mandatory)
Either standardPublicSources or at least one publicSource element must exist.
Context:
CashSettlementTerms (complex type)
cd-37 (Mandatory)
quotationAmount/amount >= minimumQuotationAmount/amount.
Context:
ReferencePool (complex type)
cd-38 (Mandatory)
The sum of referencePoolItem/constituentWeight/basketPercentage is equal to 1 or no referencePoolItem/constituentWeight exists.
cd-44 (Mandatory)
All referencePoolItem/constituentWeight must have the same name of child element.
Context:
BasketReferenceInformation (complex type)
cd-39 (Mandatory)
If nthToDefault exists and mthToDefault exists then nthToDefault must be less than mthToDefault.
Context:
Tranche (complex type)
cd-40 (Mandatory)
attachmentPoint must be less than or equal to exhaustionPoint.
Deprecated rules
cd-3 (Mandatory)
DEPRECATED:
The content of documentation/contractualSupplement must not begin with the string ISDA2003Credit.
Rationale for deprecation: the rule has been replaced by the reference rule number 3b (cd-3b).
cd-4 (Mandatory)
DEPRECATED:
Every documentation/contractualSupplement must not begin with the string ISDA1999Credit.
Rationale for deprecation: the rule has been replaced by the reference rule number 4b (cd-4b).
Removed rules