FpML Issues Tracker

1378: CCDS

May 9, 2025

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Credit Derivatives

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guyc

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Summary

Hi

Does FpML support Contingent Credit Default Swaps, and if so, do you have an example?

Notes:

  • mgratacos

    03/19/26 2:28 am

    No, FpML currently doesn’t support Contingent Credit Default Swaps.

    The defining feature of a CCDS is that it requires two separate triggers to occur simultaneously for a payout to happen:

    A Credit Event: The reference entity (the company or bank) must default, go bankrupt, or fail to pay its debt.

    A Market Trigger: An underlying market variable (like an interest rate, exchange rate, or equity index) must move in a way that makes the underlying contract “in-the-money” for the buyer.

    Key Difference: In a normal CDS, the payout is a fixed amount. In a CCDS, the payout is variable—it depends entirely on the value of another trade at the moment of default.

    Currently FpML doesn’t support the Market Trigger and the underlying contract.

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