CDS iBoxx Total Return Swap
Index CDM 7.2.0A type of CDS total return swap on iBoxx index.
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_Index | 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
- 2005-01-24
- Effective date
- 2014-03-23
- Termination date
- 2019-03-20
- 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 |
|---|---|
| Cash | base · staticdata · asset · common |
| CreditDefaultPayout | product · asset |
| FloatingRateIndex | observable · asset |
| FloatingRateSpecification | product · asset |
| InterestRateIndex | observable · asset |
| InterestRatePayout | product · asset |
| TradeState | event · common |
| UnscheduledTransfer | event · common |
The CDM JSON
The full canonical document — 94 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.
cdindex-ex04-iBoxx.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "a2eac8e5",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwap_Index"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2014-03-23"
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2019-03-20"
}
},
"payout": [
{
"@type": "cdm.product.asset.CreditDefaultPayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"generalTerms": {
"indexReferenceInformation": {
"identifier": [
{
"identifier": {
"@data": "iBoxx EUR Corporates"
},
"identifierType": "Name"
},
{
"identifier": {
"@scheme": "http://www.fpml.org/spec/2002/instrument-id-ISIN",
"@data": "DE0006301161"
},
"identifierType": "ISIN"
}
],
"assetType": "Other",
"name": {
"@data": "iBoxx EUR Corporates"
},
"assetClass": "Credit"
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-2"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
},
"spreadSchedule": {
"price": {
"@ref:scoped": "price-1"
}
},
"initialRate": {
"value": 0.025,
"priceType": "InterestRate"
}
},
"resetDates": {
"initialFixingDate": {
"initialFixingDate": "2014-03-23"
},
"finalFixingDate": {
"unadjustedDate": "2019-03-20",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.02,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 1000000,
"unit": {
"currency": {
"@data": "USD"
}
}
},
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.observable.asset.InterestRateIndex",
"@key:scoped": "InterestRateIndex-1",
"@data": {
"@type": "cdm.observable.asset.FloatingRateIndex",
"identifier": [
{
"identifier": {
"@data": "USD-LIBOR-BBA"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "USD-LIBOR-BBA"
}
}
}
}
},
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 25000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.newbank.com/trade-id",
"@data": "CDX1234"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.massivebank.com/trade-id",
"@data": "1234A6"
}
}
]
}
],
"tradeDate": {
"@data": "2005-01-24"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "HPFHU0OQ28E4N0NFVK49"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "New Bank, New York"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "254900O1WT2BXINL9612"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "Massive Bank, New York"
}
}
],
"contractDetails": {
"documentation": [
{
"agreementDate": "2004-10-18",
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterConfirmation"
}
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
},
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualDefinitionsType": [
{
"@scheme": "http://www.fpml.org/coding-scheme/contractual-definitions",
"@data": "ISDA2006"
}
]
}
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
}
]
}
},
"transferHistory": [
{
"transfer": {
"@type": "cdm.event.common.UnscheduledTransfer",
"quantity": {
"value": 16000,
"unit": {
"currency": {
"@data": "USD"
}
}
},
"asset": {
"@type": "cdm.base.staticdata.asset.common.Cash",
"identifier": [
{
"identifier": {
"@data": "USD"
},
"identifierType": "CurrencyCode"
}
],
"assetType": "Cash"
},
"payerReceiver": {
"payerPartyReference": {
"@ref:external": "party1"
},
"receiverPartyReference": {
"@ref:external": "party2"
}
},
"transferType": "Upfront"
}
}
]
} cdindex-ex04-iBoxx.json Download
{
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"productQualifier": "CreditDefaultSwap_Index"
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2014-03-23",
"meta": {
"globalKey": "3ef0d7"
}
},
"meta": {
"globalKey": "3ef0d7"
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2019-03-20",
"meta": {
"globalKey": "3f18d4"
}
},
"meta": {
"globalKey": "3f18d4"
}
},
"payout": [
{
"CreditDefaultPayout": {
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-1"
}
},
"meta": {
"globalKey": "0"
}
},
"generalTerms": {
"indexReferenceInformation": {
"identifier": [
{
"identifier": {
"value": "iBoxx EUR Corporates"
},
"identifierType": "Name"
},
{
"identifier": {
"value": "DE0006301161",
"meta": {
"scheme": "http://www.fpml.org/spec/2002/instrument-id-ISIN"
}
},
"identifierType": "ISIN"
}
],
"name": {
"value": "iBoxx EUR Corporates"
},
"assetClass": "Credit",
"meta": {
"globalKey": "1a487e68"
}
}
}
},
"meta": {
"globalKey": "e4b447a9"
}
},
{
"InterestRatePayout": {
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-2"
}
},
"meta": {
"globalKey": "0"
}
},
"rateSpecification": {
"FloatingRateSpecification": {
"rateOption": {
"address": {
"scope": "DOCUMENT",
"value": "InterestRateIndex-1"
}
},
"spreadSchedule": {
"price": {
"address": {
"scope": "DOCUMENT",
"value": "price-1"
}
}
},
"meta": {
"globalKey": "9bd4bbc0"
},
"initialRate": {
"value": 0.025,
"priceType": "InterestRate"
}
}
},
"resetDates": {
"initialFixingDate": {
"initialFixingDate": "2014-03-23"
},
"finalFixingDate": {
"unadjustedDate": "2019-03-20",
"dateAdjustments": {
"businessDayConvention": "NotApplicable",
"meta": {
"globalKey": "3a4b88ab"
}
},
"meta": {
"globalKey": "2727bc7f"
}
},
"meta": {
"globalKey": "1a4469d6"
}
}
},
"meta": {
"globalKey": "febb32f5"
}
}
]
},
"meta": {
"globalKey": "ff4ec93b"
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"value": {
"value": 0.02,
"unit": {
"currency": {
"value": "USD"
}
},
"perUnitOf": {
"currency": {
"value": "USD"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "price-1"
}
]
}
}
],
"quantity": [
{
"value": {
"value": 1000000,
"unit": {
"currency": {
"value": "USD"
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "quantity-2"
}
]
}
}
],
"observable": {
"value": {
"Index": {
"InterestRateIndex": {
"value": {
"FloatingRateIndex": {
"identifier": [
{
"identifier": {
"value": "USD-LIBOR-BBA"
},
"identifierType": "Other"
}
],
"assetClass": "InterestRate",
"floatingRateIndex": {
"value": "USD-LIBOR-BBA"
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "InterestRateIndex-1"
}
]
}
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "observable-1"
}
]
}
},
"meta": {
"globalKey": "e9be61f4"
}
},
{
"quantity": [
{
"value": {
"value": 25000000,
"unit": {
"currency": {
"value": "USD"
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "quantity-1"
}
]
}
}
],
"meta": {
"globalKey": "a8bdc3dd"
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"globalReference": "8ce119df",
"externalReference": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"globalReference": "e57f0887",
"externalReference": "party2"
}
}
],
"tradeIdentifier": [
{
"issuerReference": {
"globalReference": "8ce119df",
"externalReference": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"value": "CDX1234",
"meta": {
"scheme": "http://www.newbank.com/trade-id"
}
}
}
],
"meta": {
"globalKey": "e6b4a6ee"
}
},
{
"issuerReference": {
"globalReference": "e57f0887",
"externalReference": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"value": "1234A6",
"meta": {
"scheme": "http://www.massivebank.com/trade-id"
}
}
}
],
"meta": {
"globalKey": "ebf0fa4b"
}
}
],
"tradeDate": {
"value": "2005-01-24",
"meta": {
"globalKey": "3ea858"
}
},
"party": [
{
"partyId": [
{
"identifier": {
"value": "HPFHU0OQ28E4N0NFVK49",
"meta": {
"scheme": "http://www.fpml.org/coding-scheme/external/iso17442"
}
},
"identifierType": "LEI",
"meta": {
"globalKey": "ff674fe0"
}
}
],
"name": {
"value": "New Bank, New York"
},
"meta": {
"globalKey": "8ce119df",
"externalKey": "party1"
}
},
{
"partyId": [
{
"identifier": {
"value": "254900O1WT2BXINL9612",
"meta": {
"scheme": "http://www.fpml.org/coding-scheme/external/iso17442"
}
},
"identifierType": "LEI",
"meta": {
"globalKey": "3510adcc"
}
}
],
"name": {
"value": "Massive Bank, New York"
},
"meta": {
"globalKey": "e57f0887",
"externalKey": "party2"
}
}
],
"contractDetails": {
"documentation": [
{
"agreementDate": "2004-10-18",
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterConfirmation"
}
},
"contractualParty": [
{
"globalReference": "8ce119df",
"externalReference": "party1"
},
{
"globalReference": "e57f0887",
"externalReference": "party2"
}
],
"meta": {
"globalKey": "9acadc81"
}
},
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualDefinitionsType": [
{
"value": "ISDA2006",
"meta": {
"scheme": "http://www.fpml.org/coding-scheme/contractual-definitions"
}
}
]
}
},
"contractualParty": [
{
"globalReference": "8ce119df",
"externalReference": "party1"
},
{
"globalReference": "e57f0887",
"externalReference": "party2"
}
],
"meta": {
"globalKey": "4c20c4c1"
}
}
],
"meta": {
"globalKey": "6acf6960"
}
},
"meta": {
"globalKey": "605d30e9"
}
},
"transferHistory": [
{
"transfer": {
"quantity": {
"value": 16000,
"unit": {
"currency": {
"value": "USD"
}
}
},
"asset": {
"Cash": {
"identifier": [
{
"identifier": {
"value": "USD"
},
"identifierType": "CurrencyCode"
}
]
}
},
"payerReceiver": {
"payerPartyReference": {
"globalReference": "8ce119df",
"externalReference": "party1"
},
"receiverPartyReference": {
"globalReference": "e57f0887",
"externalReference": "party2"
}
},
"transferExpression": {
"priceTransfer": "Upfront"
}
},
"meta": {
"globalKey": "ddcc29d5"
}
}
],
"meta": {
"globalKey": "92e8cc3e"
}
}Open this product
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