CDS European Loan Credit Referenceobligation
Single-name CDM 7.2.0A type of CDS single name on a european loan credit obligation.
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
- 2007-10-31
- Effective date
- 2007-11-01
- Termination date
- 2010-06-17
- 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 — 83 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
cds-ELCDS-ReferenceObligation.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "1523dcaf",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwap_SingleName"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2007-11-01",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2010-06-17",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"payout": [
{
"@type": "cdm.product.asset.CreditDefaultPayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"@key:external": "calculationAmount",
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"generalTerms": {
"referenceInformation": {
"referenceEntity": {
"name": {
"@data": "CompanyDEF"
},
"entityIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/spec/2003/entity-id-Bloomberg",
"@data": "BLMBERGID"
},
"identifierType": "Other"
}
]
},
"referenceObligation": [
{
"security": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/spec/2002/instrument-id-CUSIP",
"@data": "64352VNC1"
},
"identifierType": "CUSIP"
},
{
"identifier": {
"@scheme": "http://www.fpml.org/spec/2002/instrument-id-ISIN",
"@data": "ISIN00000000"
},
"identifierType": "ISIN"
},
{
"identifier": {
"@scheme": "http://www.fpml.org/spec/2002/instrument-id-Bloomberg",
"@data": "BLMBERGID"
},
"identifierType": "BBGID"
}
],
"assetType": "Security",
"securityType": "Debt"
}
}
]
}
},
"protectionTerms": [
{
"obligations": {
"category": "Loan"
}
}
]
},
{
"@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"
}
}
},
"calculationPeriodDates": {
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "25"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2007-12-20"
}
}
],
"calculationAgent": {
"calculationAgentParty": "CalculationAgentIndependent"
}
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.013,
"unit": {
"currency": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso4217",
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso4217",
"@data": "USD"
}
},
"priceType": "InterestRate"
}
]
},
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 10000000,
"unit": {
"currency": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso4217",
"@data": "USD"
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "DTCCPty1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "DTCCPty2"
}
}
],
"ancillaryParty": [
{
"role": "CalculationAgentIndependent",
"partyReference": [
{
"@ref:external": "DTCCPty1"
}
]
}
],
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "DTCCPty1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "TradeRefNbr",
"@data": "TW9236"
}
}
]
}
],
"tradeDate": {
"@data": "2007-10-31"
},
"party": [
{
"@key:external": "DTCCPty1",
"partyId": [
{
"identifier": {
"@scheme": "DTCC",
"@data": "Party1"
}
}
]
},
{
"@key:external": "DTCCPty2",
"partyId": [
{
"identifier": {
"@scheme": "DTCC",
"@data": "Party2"
}
}
]
}
],
"contractDetails": {
"documentation": [
{
"agreementDate": "2007-12-12",
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterAgreement",
"masterAgreementType": {
"@data": "ISDAMaster"
}
},
"vintage": 1992
},
"contractualParty": [
{
"@ref:external": "DTCCPty1"
},
{
"@ref:external": "DTCCPty2"
}
]
},
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualTermsSupplement": [
{
"contractualTermsSupplementType": {
"@data": "StandardLCDS"
},
"publicationDate": "2007-12-12"
}
]
}
},
"contractualParty": [
{
"@ref:external": "DTCCPty1"
},
{
"@ref:external": "DTCCPty2"
}
]
}
]
}
}
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