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This topic has 5 replies, 5 voices, and was last updated 4 years ago by Anonymous.

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March 4, 2020 at 10:22 am #17794

praneshshah
Participant

For Credit Default Swaps, how do you represent in FpML 5.x the new restructuring types as specified in the ISDA 2014 Credit definitions.

XR14 = No Restructuring
CR14 = Old /Full Restructuring
MR14 = Modified Restructuring
MM14 = Modified Modified Restructuring

We need to support these new types, in addition to the 2003 Definitions XR, CR, MR, MM.

The coding scheme for FpML 5.x only supports the four (4) restructuring types in 2003 definitions.

Thanks in advance for your help.

March 4, 2020 at 10:49 am #17795

mgratacos
Keymaster

Hi, we would use the same restructuring codes. The fact that you are using the 2003 or the 2014 Definitions would be expressed using the trade/documentation/contractualDefinitions element, with the values ISDA2003Credit or ISDA2014Credit. The available values are defined within https://www.fpml.org/coding-scheme/contractual-definitions-3-7.xml

Hope this helps.

Marc Gratacos
http://www.tradeheader.com

March 4, 2020 at 2:19 pm #17796

praneshshah
Participant

That makes sense.

Thanks Marc.

October 14, 2021 at 5:28 am #24556

Anonymous
Inactive

nice

October 29, 2021 at 7:31 am #24630

Anonymous
Inactive

Digital signature certificate

November 6, 2021 at 4:06 pm #24681

Anonymous
Inactive

trade/documentation/contractual definitions element, with the values ISDA2003Credit or ISDA2014Credit. The available values are defined within. white vanity with gray top
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