CDS US Long EM Asia Sovereign Fixed Regular Payment Schedule
Single-name CDM 7.2.0A type of CDS single name on emerging market asia sovereign with fixed payment schedule.
Classification
How the product classifies itself. Values marked calculated were produced by the CDM's own qualification functions rather than asserted by the sender.
| Scheme | Qualifier | Source |
|---|---|---|
| ISDA | CreditDefaultSwap_SingleName | Calculated by CDM |
Economics in this example
Read out of the example itself. These are the values FINOS published, not a recommendation — use the example for structure, not for market data.
- Trade date
- 2002-12-02
- Effective date
- 2002-12-03
- Termination date
- 2007-12-03
- Currency
- USD
- Parties
- 2
- Roles
- Party1, Party2
CDM types used
Every type this product instantiates. Each one links to its entry in the model reference, so you can see the attributes and conditions behind it.
| Type | Namespace |
|---|---|
| CreditDefaultPayout | product · asset |
| FixedRateSpecification | product · asset |
| InterestRatePayout | product · asset |
| TradeState | event · common |
The CDM JSON
The full canonical document — 124 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
cd-ex12-long-emasia-sov-fixreg.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "b061ba52",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwap_SingleName"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2002-12-03",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2007-12-03",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
},
"payout": [
{
"@type": "cdm.product.asset.CreditDefaultPayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"settlementTerms": {
"settlementType": "Physical",
"settlementCurrency": {
"@data": "USD"
},
"physicalSettlementTerms": {
"physicalSettlementPeriod": {
"businessDays": 30
},
"deliverableObligations": {
"accruedInterest": false,
"category": "BondOrLoan",
"notSubordinated": true,
"specifiedCurrency": {
"applicable": true
},
"notSovereignLender": true,
"notDomesticLaw": true,
"notContingent": true,
"notDomesticIssuance": true,
"assignableLoan": {
"applicable": true
},
"transferable": true,
"maximumMaturity": {
"periodMultiplier": 30,
"period": "Y"
},
"notBearer": true
},
"escrow": true
}
},
"generalTerms": {
"referenceInformation": {
"referenceEntity": {
"@key:external": "referenceEntity",
"name": {
"@data": "Kingdom of Thailand"
},
"entityIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/entity-id-RED",
"@data": "8GB54M"
},
"identifierType": "Other"
}
]
},
"referenceObligation": [
{
"security": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN",
"@data": "US88322KAC53"
},
"identifierType": "ISIN"
}
],
"assetType": "Security",
"securityType": "Debt"
},
"primaryObligorReference": {
"@ref:external": "referenceEntity"
}
}
],
"referencePrice": {
"value": 1,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "AssetPrice"
}
}
},
"protectionTerms": [
{
"creditEvents": {
"failureToPay": {
"applicable": true,
"paymentRequirement": {
"value": 1000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
},
"obligationAcceleration": true,
"repudiationMoratorium": true,
"restructuring": {
"applicable": true,
"restructuringType": {
"@data": "R"
}
},
"defaultRequirement": {
"value": 10000000,
"unit": {
"currency": {
"@data": "USD"
}
}
},
"creditEventNotice": {
"notifyingParty": [
"Party2",
"Party1"
],
"publiclyAvailableInformation": {
"standardPublicSources": true,
"specifiedNumber": 2
}
}
},
"obligations": {
"category": "BondOrLoan",
"notSovereignLender": true,
"notDomesticCurrency": {
"applicable": true
},
"notDomesticLaw": true,
"notDomesticIssuance": true
}
}
]
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-2"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FixedRateSpecification",
"rateSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "3"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2003-03-03"
}
}
],
"calculationAgent": {
"calculationAgentParty": "CalculationAgentIndependent"
}
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.012,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "InterestRate"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 20000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
},
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 20000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"ancillaryParty": [
{
"role": "CalculationAgentIndependent",
"partyReference": [
{
"@ref:external": "party1"
}
]
}
],
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.swapswire.com/spec/2001/trade-id-1-0",
"@data": "37205"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.swapswire.com/spec/2001/trade-id-1-0",
"@data": "37205"
}
}
]
}
],
"tradeDate": {
"@data": "2002-12-02"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "254900BIAQJIUV6DLE92"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "XYZ Bank"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "549300VBWWV6BYQOWM67"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "ABC Bank"
}
}
],
"contractDetails": {
"documentation": [
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterAgreement",
"masterAgreementType": {
"@data": "ISDAMaster"
}
},
"vintage": 1992
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
},
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualDefinitionsType": [
{
"@data": "ISDA1999CreditDerivatives"
}
],
"contractualTermsSupplement": [
{
"contractualTermsSupplementType": {
"@data": "ISDA1999CreditConvertibleExchangeableAccretingObligations"
}
}
]
}
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
}
]
}
}
}Open this product
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