FpML Issues Tracker

1342: cd-23 and cd-24 validation rules for creditDefaultSwap

January 4, 2024



Have not tried


5.11 Recommendation (Build 6)





Good day.

I have the following questions regarding the creditDefaultSwap scheme:


1) referencePrice - why it is mandatory according to cd-24 validation rule?

Section 5.6. Credit Derivatives ISDA 2014 says: "Reference Price. "Reference Price" means the percentage specified as such in the related Confirmation (or, if no such percentage is specified, one hundred per cent)."

This effectively makes having this element optional, and its absence will mean 100.


2) сreditEventNotice - is a mandatory element according to the validation rule cd-24.

At the same time, the child element creditDefaultSwap/protectionTerms/creditEvents/creditEventNotice/notifyingParty/buyerPartyReference is also mandatory according to the scheme.

According to which clause of the ISDA definition, it is the buyer and not the seller who is selected as mandatory?


3) according to the cd-23 validation rule, one of the two cashSettlementTerms or physicalSettlementTerms must be present in the document.

Why does the FPML force to have one of these two elements as mandatory, while Section 5.2 of ISDA says the following: "a) or if no Settlement Method is specified as applicable in the related Confirmation, Auction Settlement".

In fact, ISDA explicitly states that the absence of any of these methods will mean the use of the auction settlement method, while the validation rule does not allow choosing this third method.

Maybe the cd-23 rule is incorrect?


thank you


Best regards, Maksym

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