CDS S&P Index
Index CDM 7.2.0A type of CDS index on the S&P credit 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
- 2014-05-20
- Termination date
- 2015-05-20
- 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 |
| FixedRateSpecification | product · asset |
| InterestRatePayout | product · asset |
| TradeState | event · common |
| UnscheduledTransfer | event · common |
The CDM JSON
The full canonical document — 84 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
cdindex-ex05-SP.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "2015b992",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwap_Index"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2014-05-20",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2015-05-20",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"payout": [
{
"@type": "cdm.product.asset.CreditDefaultPayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"@key:external": "calculationAmount",
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"generalTerms": {
"indexReferenceInformation": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/standard-and-poors",
"@data": "S&P/ISDA U.S. 150 Credit Spread Index Series 1"
},
"identifierType": "Name"
},
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/standard-and-poors",
"@data": "7FC48VAA0"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"name": {
"@scheme": "http://www.fpml.org/coding-scheme/external/standard-and-poors",
"@data": "S&P/ISDA U.S. 150 Credit Spread Index Series 1"
},
"assetClass": "Credit"
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FixedRateSpecification",
"rateSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.0085,
"unit": {
"currency": {
"@scheme": "http://www.fpml.org/ext/iso4217",
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@scheme": "http://www.fpml.org/ext/iso4217",
"@data": "USD"
}
},
"priceType": "InterestRate"
}
]
},
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 5000000,
"unit": {
"currency": {
"@scheme": "http://www.fpml.org/ext/iso4217",
"@data": "USD"
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party2"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party1"
}
}
],
"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": [
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterAgreement",
"masterAgreementType": {
"@scheme": "http://www.fpml.org/coding-scheme/master-agreement-type",
"@data": "ISDAMaster"
}
}
},
"contractualParty": [
{
"@ref:external": "party2"
},
{
"@ref:external": "party1"
}
]
},
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualTermsSupplement": [
{
"publicationDate": "2010-09-19"
}
]
}
},
"contractualParty": [
{
"@ref:external": "party2"
},
{
"@ref:external": "party1"
}
]
}
]
}
},
"transferHistory": [
{
"transfer": {
"@type": "cdm.event.common.UnscheduledTransfer",
"quantity": {
"value": 20000,
"unit": {
"currency": {
"@scheme": "http://www.fpml.org/ext/iso4217",
"@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"
}
}
]
}Open this product
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