CDS Basket Tranche
Tranche CDM 7.2.0A type of CDS on a tranche of a basket of securities.
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_Basket | 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
- 2004-01-24
- Effective date
- 2004-03-23
- Termination date
- 2009-03-20
- Currencies
- GBP, 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 — 98 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
cds-basket-tranche.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "b0c86106",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwap_Basket"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2004-03-23",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2009-03-20",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"payout": [
{
"@type": "cdm.product.asset.CreditDefaultPayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"settlementTerms": {
"settlementType": "Cash",
"settlementCurrency": {
"@data": "USD"
}
},
"generalTerms": {
"basketReferenceInformation": {
"basketName": {
"@scheme": "http://www.barclaysglobal.com/partners/coding-scheme/indexId",
"@data": "CDS Basket Sample"
},
"basketId": [
{
"@scheme": "http://www.barclaysglobal.com/partners/coding-scheme/indexId",
"@data": "BASKET089"
}
],
"referencePool": {
"referencePoolItem": [
{
"referencePair": {
"referenceEntity": {
"@key:external": "agriumEntity",
"name": {
"@data": "Agrium Inc."
},
"entityIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/entity-id-RED",
"@data": "008HA7"
},
"identifierType": "Other"
}
]
},
"referenceObligation": {
"security": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP",
"@data": "008916AB4"
},
"identifierType": "CUSIP"
}
],
"assetType": "Security",
"securityType": "Debt"
},
"primaryObligorReference": {
"@ref:external": "agriumEntity"
}
},
"entityType": {
"@data": "NorthAmericanInvestmentGrade"
}
}
},
{
"referencePair": {
"referenceEntity": {
"@key:external": "tenetEntity",
"name": {
"@data": "Tenet Healthcare Corporation"
},
"entityIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/entity-id-RED",
"@data": "8G836J"
},
"identifierType": "Other"
}
]
},
"referenceObligation": {
"security": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP",
"@data": "88033GAT7"
},
"identifierType": "CUSIP"
}
],
"assetType": "Security",
"securityType": "Debt"
},
"primaryObligorReference": {
"@ref:external": "tenetEntity"
}
},
"entityType": {
"@data": "NorthAmericanInvestmentGrade"
}
}
}
]
},
"tranche": {
"attachmentPoint": 0.03,
"exhaustionPoint": 0.07
}
}
},
"protectionTerms": [
{
"creditEvents": {
"bankruptcy": true,
"failureToPay": {
"applicable": true,
"gracePeriodExtension": {
"applicable": true
},
"paymentRequirement": {
"value": 1000000,
"unit": {
"currency": {
"@data": "GBP"
}
}
}
},
"creditEventNotice": {
"notifyingParty": [
"Party2",
"Party1"
],
"publiclyAvailableInformation": {
"standardPublicSources": true,
"specifiedNumber": 2
}
}
},
"obligations": {
"category": "BondOrLoan"
}
}
]
},
{
"@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/ACT.ISDA"
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.006,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "InterestRate"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 25000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
},
{
"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": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID",
"@data": "DJITRAXXUSDMS5Y"
}
}
]
}
],
"tradeDate": {
"@data": "2004-01-24"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "I7331LVCZKQKX5T7XV54"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "Morgan Stanley Captial Services"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "213800H14XVWOV87OI72"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "Barclays Global Investors"
}
}
],
"contractDetails": {
"documentation": [
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualDefinitionsType": [
{
"@data": "ISDA2003CreditDerivatives"
}
],
"contractualTermsSupplement": [
{
"contractualTermsSupplementType": {
"@data": "ISDA2003CreditMay2003"
}
}
]
}
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
}
]
}
}
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