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.
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The base entity which all FpML products extend.
This is the seller of credit protection.
This is the buyer of credit protection.
The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
Transaction end date.
The monetary amount of the contract specified in the credit default swap. Also referred to as the notional amount.
the organization that the credit event occurs to in order to trigger the credit default swap. The reference entity is the issuer of the reference obligation.
1) Obligation(s) of Reference Entity, unless specifically excluded in the confirmation. 2) May be designated specifically or generally as a class of reference entities and attributed with financial assets characteristics such as: - tenor/maturity - placement in capital structure (bond, loan, etc.) - currency - repayment type (convertible, etc)
The dates on which the fixed rate payer (protection buyer) pays the premium to the floating rate payer (protection seller).
The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
4.7 An obligation of the reference entity is exchanged or modified under a prescribed event:Standard ISDA language includes: - reduction in rate or amount of interest or principal; - deferral of interest or principal payments; - change in payment ranking; and - change in currency or composition of interest or principal
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DTD Fragment:
<!ENTITY % FpML_CreditDefaultSwap "%FpML_Product; , floatingPayerPartyReference , fixedPayerPartyReference , effectiveDate , scheduledTerminationDate , calculationAmount, referenceEntity , referenceObligation* , fixedRatePayerPaymentDates , fixedRate , restructuring">
An entity to represent the dates on which the fixed rate payer (protection buyer) pays the premium to the floating rate payer (protection seller).
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The calculation periods dates schedule.
The payment dates schedule.
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DTD Fragment:
<!ENTITY % FpML_FixedRatePayerPaymentDates "calculationPeriodDates , paymentDates">
An entity to represent a reference obligation
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the first individual or company that owes debt to another individual or company (the creditor), as a result of borrowing or issuing bonds.
The party that guarantees an obligation (reference obligation) and has a legal duty to fulfill it.
The date on which a debt (reference obligation) becomes due for payment.
A unique id that references a financial instrument
The amount of money raised in an initial offering of a fixed income instrument (reference obligation).
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DTD Fragment:
<!ENTITY % FpML_ReferenceObligation "primaryObligorPartyReference , guarantorPartyReference? , maturityDate? , instrumentId? , originalIssueAmount?">