FpML Credit Derivatives Proposal
Working Draft 1 May 2002

Data Dictionary

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









Element Definitions

Element/DescriptionUsed By

calculationAmount
; entity type: FpML_Money

The monetary amount of the contract specified in the credit default swap. Also referred to as the notional amount.


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


FpML_CreditDefaultSwap

creditDefaultSwap
; entity type: FpML_CreditDefaultSwap

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.


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



fixedPayerPartyReference
; empty element

This is the buyer of credit protection.


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


FpML_CreditDefaultSwap

fixedRatePayerPaymentDates
; entity type: FpML_FixedRatePayerPaymentDates

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


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


FpML_CreditDefaultSwap

floatingPayerPartyReference
; empty element

This is the seller of credit protection.


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


FpML_CreditDefaultSwap

guarantorPartyReference
; empty element

The party that guarantees an obligation (reference obligation) and has a legal duty to fulfill it.


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


FpML_ReferenceObligation

instrumentId
; built-in datatype: string ; coding scheme: instrumentIdScheme

A unique id that references a financial instrument


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


FpML_ReferenceObligation

maturityDate
; entity type: FpML_AdjustableDate

The date on which a debt (reference obligation) becomes due for payment.


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


FpML_ReferenceObligation

originalIssueAmount
; entity type: FpML_Money

The amount of money raised in an initial offering of a fixed income instrument (reference obligation).


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


FpML_ReferenceObligation

primaryObligorPartyReference
; empty element

the first individual or company that owes debt to another individual or company (the creditor), as a result of borrowing or issuing bonds.


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


FpML_ReferenceObligation

referenceEntity
; empty element

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.


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


FpML_CreditDefaultSwap

referenceObligation
; entity type: FpML_ReferenceObligation

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)


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


FpML_CreditDefaultSwap

restructuring
; built-in datatype: string ; coding scheme: restructuringScheme

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


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


FpML_CreditDefaultSwap

scheduledTerminationDate
; entity type: FpML_AdjustableDate

Transaction end date.


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


FpML_CreditDefaultSwap