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General FpML Discussion Technical & Implementation Questions 2014 Credit Derivatives Defn – supporting new restructuring types in FpML 5.x

This topic contains 5 replies, has 5 voices, and was last updated by  KitchenBath00 8 months ago.

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  • #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.

    #17795

    mgratacos
    Moderator

    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

    #17796

    praneshshah
    Participant

    That makes sense.

    Thanks Marc.

    #24556

    kalystamallor
    Participant

    nice

    #24630

    Dscexprts12
    Member
    #24681

    KitchenBath00
    Participant

    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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