FpML Credit Derivatives Proposal
Working Draft 1 May 2002

Credit Derivative Component Definitions

Version: 1.0

This version: fpml-creditDerivs-proposal

Latest version: fpml-creditDerivs-proposal

Previous version: http://www.fpml.org/spec/2002/wd-fpml-3-0-2002-04-17









DTD:creditDerivs-proposal-fpml-dtd-crd-1-0-2002-05-01.dtd

Entity Definitions

FpML_CreditDefaultSwap


Description:

An entity to represent a credit default swap. This is a financial contract in which a counterparty (a protection buyer) pays a fee, usually captured in basis points on a notional amount, in return for a default payment by the protection seller. The latter is paid only if a credit event, involving a third party reference, occurs. A credit event may be represented by a bankruptcy, a default on payment or a restructuring event, to name just a few.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Product)
floatingPayerPartyReference (exactly one occurrence; an empty element containing an href attribute)
fixedPayerPartyReference (exactly one occurrence; an empty element containing an href attribute)
effectiveDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDate)
scheduledTerminationDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDate)
calculationAmount (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Money)
referenceEntity (exactly one occurrence; an empty element containing an href attribute)
referenceObligation (zero or more occurrences; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ReferenceObligation)
fixedRatePayerPaymentDates (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_FixedRatePayerPaymentDates)
fixedRate (exactly one occurrence; of type decimal)
restructuring (exactly one occurrence; of type string, an enumerated domain value defined by restructuringScheme)


Used by:


creditDefaultSwap


DTD Fragment:


<!ENTITY % FpML_CreditDefaultSwap "%FpML_Product; , floatingPayerPartyReference , fixedPayerPartyReference , effectiveDate , scheduledTerminationDate , calculationAmount, referenceEntity , referenceObligation* , fixedRatePayerPaymentDates , fixedRate , restructuring">



FpML_FixedRatePayerPaymentDates


Description:

An entity to represent the dates on which the fixed rate payer (protection buyer) pays the premium to the floating rate payer (protection seller).


Figure:



Contents:


calculationPeriodDates (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_CalculationPeriodDates)
paymentDates (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_PaymentDates)


Used by:


fixedRatePayerPaymentDates


DTD Fragment:


<!ENTITY % FpML_FixedRatePayerPaymentDates "calculationPeriodDates , paymentDates">



FpML_ReferenceObligation


Description:

An entity to represent a reference obligation


Figure:



Contents:


primaryObligorPartyReference (exactly one occurrence; an empty element containing an href attribute)
guarantorPartyReference (zero or one occurrence; an empty element containing an href attribute)
maturityDate (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDate)
instrumentId (zero or one occurrence; of type string, an enumerated domain value defined by instrumentIdScheme)
originalIssueAmount (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Money)


Used by:


referenceObligation


DTD Fragment:


<!ENTITY % FpML_ReferenceObligation "primaryObligorPartyReference , guarantorPartyReference? , maturityDate? , instrumentId? , originalIssueAmount?">