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CDS iTraxx Index Option

Swaptions CDM 7.2.0

A type of option on a CDS iTraxx index.

Asset class Credit
Payouts OptionPayout
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 CreditDefaultSwaption 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
2006-01-16
Currencies
EUR, 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
Cash base · staticdata · asset · common
CreditDefaultPayout product · asset
FixedRateSpecification product · asset
InterestRatePayout product · asset
NonTransferableProduct product · template
OptionPayout product · template
TradeState event · common
UnscheduledTransfer event · common

The CDM JSON

The full canonical document — 133 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.

itraxx-index-option.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "fffb5df2",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "CreditDefaultSwaption"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "payout": [
          {
            "@type": "cdm.product.template.OptionPayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantityReference": {
                "@ref:external": "NOTIONAL"
              }
            },
            "settlementTerms": {
              "settlementType": "Physical"
            },
            "buyerSeller": {
              "buyer": "Party1",
              "seller": "Party2"
            },
            "underlier": {
              "@type": "cdm.product.template.NonTransferableProduct",
              "taxonomy": [
                {
                  "source": "ISDA",
                  "value": {
                    "name": {
                      "@data": "CreditDefaultSwap_Index"
                    }
                  },
                  "calculated": true
                }
              ],
              "economicTerms": {
                "effectiveDate": {
                  "adjustableDate": {
                    "unadjustedDate": "2006-03-20",
                    "dateAdjustments": {
                      "businessDayConvention": "NONE"
                    }
                  }
                },
                "terminationDate": {
                  "adjustableDate": {
                    "unadjustedDate": "2011-06-20",
                    "dateAdjustments": {
                      "businessDayConvention": "NONE"
                    }
                  }
                },
                "dateAdjustments": {
                  "businessDayConvention": "NONE"
                },
                "payout": [
                  {
                    "@type": "cdm.product.asset.CreditDefaultPayout",
                    "payerReceiver": {
                      "payer": "Party1",
                      "receiver": "Party2"
                    },
                    "priceQuantity": {
                      "@key:external": "NOTIONAL",
                      "quantitySchedule": {
                        "@ref:scoped": "quantity-1"
                      }
                    },
                    "settlementTerms": {
                      "settlementType": "Physical",
                      "settlementCurrency": {
                        "@data": "USD"
                      },
                      "physicalSettlementTerms": {
                        "physicalSettlementPeriod": {
                          "maximumBusinessDays": 30
                        },
                        "deliverableObligations": {
                          "accruedInterest": false,
                          "category": "BondOrLoan",
                          "notSubordinated": true,
                          "notContingent": true,
                          "assignableLoan": {
                            "applicable": true
                          },
                          "consentRequiredLoan": {
                            "applicable": true
                          },
                          "transferable": true,
                          "maximumMaturity": {
                            "periodMultiplier": 30,
                            "period": "Y"
                          },
                          "notBearer": true
                        },
                        "escrow": true
                      }
                    },
                    "generalTerms": {
                      "indexReferenceInformation": {
                        "identifier": [
                          {
                            "identifier": {
                              "@data": "Dow Jones iTraxx Europe Consumers Series 2 Version 1"
                            },
                            "identifierType": "Name"
                          }
                        ],
                        "assetType": "Other",
                        "name": {
                          "@data": "Dow Jones iTraxx Europe Consumers Series 2 Version 1"
                        },
                        "assetClass": "Credit",
                        "indexSeries": 2,
                        "indexAnnexVersion": 1,
                        "indexAnnexDate": "2006-11-01",
                        "indexAnnexSource": {
                          "@data": "Publisher"
                        },
                        "excludedReferenceEntity": [
                          {
                            "referenceEntity": {
                              "name": {
                                "@data": "TESCO PLC"
                              }
                            }
                          }
                        ]
                      }
                    },
                    "protectionTerms": [
                      {
                        "creditEvents": {
                          "bankruptcy": true,
                          "failureToPay": {
                            "applicable": true,
                            "paymentRequirement": {
                              "value": 1000000,
                              "unit": {
                                "currency": {
                                  "@data": "USD"
                                }
                              }
                            }
                          },
                          "creditEventNotice": {
                            "notifyingParty": [
                              "Party2",
                              "Party1"
                            ],
                            "publiclyAvailableInformation": {
                              "specifiedNumber": 2
                            }
                          }
                        },
                        "obligations": {
                          "category": "BorrowedMoney"
                        }
                      }
                    ]
                  },
                  {
                    "@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/360"
                    },
                    "calculationPeriodDates": {
                      "calculationPeriodFrequency": {
                        "periodMultiplier": 3,
                        "period": "M",
                        "rollConvention": "20"
                      }
                    },
                    "paymentDates": {
                      "paymentFrequency": {
                        "periodMultiplier": 3,
                        "period": "M"
                      },
                      "firstPaymentDate": "2007-03-20",
                      "lastRegularPaymentDate": "2011-03-20"
                    }
                  }
                ]
              }
            },
            "optionType": "Receiver",
            "exerciseTerms": {
              "style": "European",
              "expirationDate": [
                {
                  "adjustableDate": {
                    "unadjustedDate": "2006-12-20",
                    "dateAdjustments": {
                      "businessDayConvention": "FOLLOWING"
                    }
                  }
                }
              ],
              "earliestExerciseTime": {
                "hourMinuteTime": "09:00:00",
                "businessCenter": {
                  "@data": "GBLO"
                }
              },
              "expirationTime": {
                "hourMinuteTime": "16:00:00",
                "businessCenter": {
                  "@data": "GBLO"
                }
              },
              "expirationTimeType": "SpecificTime",
              "exerciseProcedure": {
                "followUpConfirmation": true
              }
            },
            "strike": {
              "strikePrice": {
                "value": 0.004,
                "unit": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "priceType": "InterestRate",
                "arithmeticOperator": "Add"
              }
            }
          }
        ],
        "calculationAgent": {
          "calculationAgentParty": "CalculationAgentIndependent"
        }
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.004,
                "unit": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 250000000,
              "unit": {
                "currency": {
                  "@data": "EUR"
                }
              }
            }
          },
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 250000000,
              "unit": {
                "currency": {
                  "@data": "EUR"
                }
              }
            }
          }
        ]
      }
    ],
    "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/coding-scheme/trade-id",
              "@data": "Trade234"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@key:external": "TRADEDATE",
      "@data": "2006-01-16"
    },
    "party": [
      {
        "@key:external": "Party1",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Party A"
            }
          }
        ]
      },
      {
        "@key:external": "Party2",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Party B"
            }
          }
        ]
      }
    ]
  },
  "transferHistory": [
    {
      "transfer": {
        "@type": "cdm.event.common.UnscheduledTransfer",
        "quantity": {
          "value": 600000,
          "unit": {
            "currency": {
              "@data": "EUR"
            }
          }
        },
        "asset": {
          "@type": "cdm.base.staticdata.asset.common.Cash",
          "identifier": [
            {
              "identifier": {
                "@data": "EUR"
              },
              "identifierType": "CurrencyCode"
            }
          ],
          "assetType": "Cash"
        },
        "settlementDate": {
          "relativeDate": {
            "periodMultiplier": 3,
            "period": "D",
            "dayType": "Business",
            "businessDayConvention": "NONE",
            "dateRelativeTo": {
              "@ref:external": "TRADEDATE"
            }
          }
        },
        "payerReceiver": {
          "payerPartyReference": {
            "@ref:external": "Party2"
          },
          "receiverPartyReference": {
            "@ref:external": "Party1"
          }
        },
        "transferType": "Premium"
      }
    }
  ]
}

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Library 7.2-lib.2 · CDM 7.2.0 cdm:itraxx-index-option