FINXIS.
Model Browser Request info

CDS Mortgage RMBS

Single-name CDM 7.2.0

A type of CDS single name on a residential mortgage backed security.

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
2006-10-05
Effective date
2006-10-11
Termination date
2035-09-25
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 — 86 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.

cds-mortgage-RMBS.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "39f9ede",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "CreditDefaultSwap_SingleName"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "effectiveDate": {
          "adjustableDate": {
            "unadjustedDate": "2006-10-11",
            "dateAdjustments": {
              "businessDayConvention": "FOLLOWING"
            }
          }
        },
        "terminationDate": {
          "adjustableDate": {
            "unadjustedDate": "2035-09-25",
            "dateAdjustments": {
              "businessDayConvention": "FOLLOWING"
            }
          }
        },
        "dateAdjustments": {
          "businessDayConvention": "FOLLOWING"
        },
        "payout": [
          {
            "@type": "cdm.product.asset.CreditDefaultPayout",
            "payerReceiver": {
              "payer": "Party1",
              "receiver": "Party2"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-1"
              }
            },
            "settlementTerms": {
              "settlementType": "Physical",
              "physicalSettlementTerms": {
                "physicalSettlementPeriod": {
                  "businessDays": 5
                },
                "escrow": true
              }
            },
            "generalTerms": {
              "referenceInformation": {
                "referenceEntity": {
                  "name": {
                    "@data": "New Century Home Equity Loan Trust 2005-4"
                  }
                },
                "referenceObligation": [
                  {
                    "security": {
                      "identifier": [
                        {
                          "identifier": {
                            "@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP",
                            "@data": "64352VNC1"
                          },
                          "identifierType": "CUSIP"
                        },
                        {
                          "identifier": {
                            "@scheme": "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0",
                            "@data": "NCHET 2005-4"
                          },
                          "identifierType": "BBGID"
                        }
                      ],
                      "assetType": "Security",
                      "securityType": "Debt"
                    }
                  }
                ]
              }
            }
          },
          {
            "@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"
                }
              }
            },
            "calculationPeriodDates": {
              "calculationPeriodFrequency": {
                "periodMultiplier": 1,
                "period": "M",
                "rollConvention": "11"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "M"
              },
              "firstPaymentDate": "2006-11-01",
              "lastRegularPaymentDate": "2035-06-01"
            }
          }
        ],
        "calculationAgent": {
          "calculationAgentParty": "CalculationAgentIndependent"
        }
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.05,
                "unit": {
                  "currency": {
                    "@data": "USD"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "USD"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 15000000,
              "unit": {
                "currency": {
                  "@data": "USD"
                }
              }
            }
          },
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 15000000,
              "unit": {
                "currency": {
                  "@data": "USD"
                }
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "party2"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "party1"
        }
      }
    ],
    "ancillaryParty": [
      {
        "role": "CalculationAgentIndependent",
        "partyReference": [
          {
            "@ref:external": "party1"
          }
        ]
      }
    ],
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "party1"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyA.com/",
              "@data": "109257"
            }
          }
        ]
      },
      {
        "issuerReference": {
          "@ref:external": "party2"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyB.com/",
              "@data": "1234567"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2006-10-05"
    },
    "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": "party2"
            },
            {
              "@ref:external": "party1"
            }
          ]
        },
        {
          "legalAgreementIdentification": {
            "agreementName": {
              "agreementType": "Confirmation",
              "contractualDefinitionsType": [
                {
                  "@data": "ISDA2003CreditDerivatives"
                }
              ],
              "contractualTermsSupplement": [
                {
                  "contractualTermsSupplementType": {
                    "@data": "ISDA2003CreditMay2003"
                  }
                }
              ]
            }
          },
          "contractualParty": [
            {
              "@ref:external": "party2"
            },
            {
              "@ref:external": "party1"
            }
          ]
        }
      ]
    }
  }
}

Open this product

Walk the structure in the free viewer, or see how Trader renders a ticket from a product specification.

Open in viewer CDM Trader
← CDS Mortgage CMBS CDS S&P Index →
Library 7.2-lib.2 · CDM 7.2.0 cdm:cds-mortgage-RMBS