FpML Credit Derivatives Proposal
Working Draft 1 May 2002
Credit Derivative Examples
Version:
1.0
This version:
fpml-creditDerivs-proposal
Latest version:
fpml-creditDerivs-proposal
Table Of Contents
File: crd_example_1.xml
On 2 May 2000, Morgan Stanley and Deutsche Bank entered into a Credit Default Swap agreement with each other (based on an ISDA master agreement). The terms of the contract are:
- Effective Date: 5 May 2000
- Scheduled Termination Date: 1 April 2005
- Underlying Reference Name: Cox Communications
- The Reference Obligation defined in this trade is a 15 June 2005 Cox Communications 6 7/8%.
- Notional: 20 MM USD
- Morgan Stanley pays a fixed rate of 0.75% of the Notional on a quarterly basis
- Deutsche Bank pays Morgan Stanley upon one of the following credit events: Bankruptcy, Failure to Pay, Obligation Acceleration or Restructuring
- Restructuring language is the original language as defined in the 1999 ISDA Default Swap Definitions
- Business Day Convention is Modified Following and the Day Count Fraction is Actual/360 - which is standard for single name default swaps