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IRS Forward Debt

Swaps CDM 7.2.0

A type of interest rate product with a forward starting debt.

Asset class Interest Rate
Payouts SettlementPayout
Provenance As published by FINOS
Trader spec Available

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
CFI JRMXFP Asserted
EMIR FW Asserted
Other X Asserted
ISDA InterestRate:Forward:Debt Asserted
ISDA InterestRate_Forward_Debt 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
2023-11-15
Effective date
2023-11-15
Termination date
2029-11-15
Currency
JPY
Parties
3
Roles
Beneficiary, ExecutionFacility, Party1, Party2, ReportingParty

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
Observable observable · asset
Security base · staticdata · asset · common
SettlementPayout product · template
TradeState event · common

The CDM JSON

The full canonical document — 93 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.

irs-forward-debt.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "7236cefe",
  "trade": {
    "product": {
      "identifier": [
        {
          "identifier": {
            "@scheme": "http://www.dtcc.com/coding-scheme/external/product-id/ISIN",
            "@data": "JP1700161P53"
          },
          "source": "ISIN"
        }
      ],
      "taxonomy": [
        {
          "primaryAssetClass": {
            "@data": "InterestRate"
          }
        },
        {
          "source": "CFI",
          "value": {
            "name": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/product-classification/iso10962",
              "@data": "JRMXFP"
            }
          }
        },
        {
          "source": "EMIR",
          "value": {
            "name": {
              "@scheme": "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type",
              "@data": "FW"
            }
          }
        },
        {
          "source": "Other",
          "value": {
            "name": {
              "@scheme": "http://www.dtcc.com/coding-scheme/external/product-classification/emir-mandatory-clearable-product",
              "@data": "X"
            }
          }
        },
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@scheme": "http://www.fpml.org/coding-scheme/product-taxonomy",
              "@data": "InterestRate:Forward:Debt"
            }
          }
        },
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_Forward_Debt"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "effectiveDate": {
          "adjustableDate": {
            "unadjustedDate": "2023-11-15",
            "dateAdjustments": {
              "businessDayConvention": "NONE"
            }
          }
        },
        "terminationDate": {
          "adjustableDate": {
            "unadjustedDate": "2029-11-15",
            "dateAdjustments": {
              "businessDayConvention": "NONE"
            }
          }
        },
        "payout": [
          {
            "@type": "cdm.product.template.SettlementPayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-1"
              }
            },
            "settlementTerms": {
              "settlementType": "Physical"
            },
            "underlier": {
              "@type": "cdm.observable.asset.Observable",
              "@ref:scoped": "observable-1"
            }
          }
        ],
        "nonStandardisedTerms": false
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "unit": {
                  "currency": {
                    "@data": "JPY"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "JPY"
                  }
                },
                "priceType": "AssetPrice"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 8600000,
              "unit": {
                "currency": {
                  "@data": "JPY"
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.base.staticdata.asset.common.Security",
                "identifier": [
                  {
                    "identifier": {
                      "@scheme": "http://www.bankx.com/instrument-id",
                      "@data": "5369692"
                    },
                    "identifierType": "Other"
                  },
                  {
                    "identifier": {
                      "@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN",
                      "@data": "JP1700161P53"
                    },
                    "identifierType": "ISIN"
                  },
                  {
                    "identifier": {
                      "@data": "16 JGB 40Y 1.3 MAR63"
                    },
                    "identifierType": "Name"
                  }
                ],
                "assetType": "Security",
                "securityType": "Debt"
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "partyA"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "partyB"
        }
      }
    ],
    "tradeIdentifier": [
      {
        "issuer": {
          "@scheme": "http://www.fpml.org/coding-scheme/external/issuer-identifier",
          "@data": "1070247694"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier",
              "@data": "FI-BANKXX-585125839"
            }
          }
        ],
        "identifierType": "UniqueTransactionIdentifier"
      },
      {
        "issuerReference": {
          "@ref:external": "partyA"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.dtcc.com/internal-reference-id",
              "@data": "FI-BANKXX-585125839"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2023-11-15"
    },
    "party": [
      {
        "@key:external": "partyA",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
              "@data": "2ae25"
            },
            "identifierType": "LEI"
          }
        ],
        "name": {
          "@data": "Party A"
        },
        "contactInformation": {
          "address": [
            {
              "country": {
                "@data": "GB"
              }
            }
          ]
        }
      },
      {
        "@key:external": "partyB",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
              "@data": "88c95"
            },
            "identifierType": "LEI"
          }
        ],
        "name": {
          "@data": "Party B"
        },
        "contactInformation": {
          "address": [
            {
              "country": {
                "@data": "BM"
              }
            }
          ]
        }
      },
      {
        "@key:external": "ExecutionFacility",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/mifir/extension-iso10383",
              "@data": "XOFF"
            },
            "identifierType": "MIC"
          }
        ]
      }
    ],
    "partyRole": [
      {
        "partyReference": {
          "@ref:external": "partyA"
        },
        "role": "ReportingParty",
        "ownershipPartyReference": {
          "@ref:external": "partyA"
        }
      },
      {
        "partyReference": {
          "@ref:external": "partyA"
        },
        "role": "Beneficiary",
        "ownershipPartyReference": {
          "@ref:external": "partyA"
        }
      },
      {
        "partyReference": {
          "@ref:external": "ExecutionFacility"
        },
        "role": "ExecutionFacility",
        "ownershipPartyReference": {
          "@ref:external": "partyA"
        }
      },
      {
        "partyReference": {
          "@ref:external": "partyB"
        },
        "ownershipPartyReference": {
          "@ref:external": "partyA"
        }
      }
    ]
  }
}

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Library 7.2-lib.2 · CDM 7.2.0 cdm:irs-forward-debt