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CDS Long EM Latam Sovereign Fixed Regular Payment Schedule

Single-name CDM 7.2.0

A type of CDS signle name on emerging market latam sovereign with fixed payment schedule.

Asset class Credit
Payouts CreditDefaultPayoutInterestRatePayout
Provenance As published by FINOS
Trader spec Not yet written

Classification

How the product classifies itself. Values marked calculated were produced by the CDM's own qualification functions rather than asserted by the sender.

SchemeQualifierSource
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
2002-11-22
Effective date
2002-11-23
Termination date
2007-11-23
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.

TypeNamespace
CreditDefaultPayout product · asset
FixedRateSpecification product · asset
InterestRatePayout product · asset
TradeState event · common

The CDM JSON

The full canonical document — 121 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree. Published for CDM 7 and CDM 6 — the two differ in more than formatting, so each is the document as that release publishes it. The summary above is read from the CDM 7 document.

cd-ex15-long-emlatin-sov-fixreg.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "56142b0e",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "CreditDefaultSwap_SingleName"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "effectiveDate": {
          "adjustableDate": {
            "unadjustedDate": "2002-11-23",
            "dateAdjustments": {
              "businessDayConvention": "NONE"
            }
          }
        },
        "terminationDate": {
          "adjustableDate": {
            "unadjustedDate": "2007-11-23",
            "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": {
                  "businessDaysNotSpecified": true
                },
                "deliverableObligations": {
                  "accruedInterest": false,
                  "category": "Bond",
                  "notSubordinated": true,
                  "specifiedCurrency": {
                    "applicable": true
                  },
                  "notDomesticLaw": true,
                  "notContingent": true,
                  "notDomesticIssuance": true,
                  "transferable": true,
                  "notBearer": true
                },
                "escrow": true
              }
            },
            "generalTerms": {
              "referenceInformation": {
                "referenceEntity": {
                  "@key:external": "referenceEntity",
                  "name": {
                    "@data": "Federative Republic of Brazil"
                  },
                  "entityIdentifier": [
                    {
                      "identifier": {
                        "@scheme": "http://www.fpml.org/coding-scheme/external/entity-id-RED",
                        "@data": "115CCB"
                      },
                      "identifierType": "Other"
                    }
                  ]
                },
                "referenceObligation": [
                  {
                    "security": {
                      "identifier": [
                        {
                          "identifier": {
                            "@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN",
                            "@data": "US105756AL40"
                          },
                          "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,
                    "gracePeriodExtension": {
                      "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": "Bond",
                  "notSubordinated": 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": 6,
                "period": "M",
                "rollConvention": "23"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 6,
                "period": "M"
              },
              "firstPaymentDate": "2003-05-23"
            }
          }
        ],
        "calculationAgent": {
          "calculationAgentParty": "CalculationAgentIndependent"
        }
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.266,
                "unit": {
                  "currency": {
                    "@data": "USD"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "USD"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 10000000,
              "unit": {
                "currency": {
                  "@data": "USD"
                }
              }
            }
          },
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 10000000,
              "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": "37204"
            }
          }
        ]
      },
      {
        "issuerReference": {
          "@ref:external": "party2"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.swapswire.com/spec/2001/trade-id-1-0",
              "@data": "37204"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2002-11-22"
    },
    "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"
            }
          ]
        }
      ]
    }
  }
}

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Library 7.2-lib.2 · CDM 7.2.0 cdm:cd-ex15-long-emlatin-sov-fixreg