CreditDefaultPayout
Type CDM 7.2.0The credit default payout specification provides the details necessary for determining when a credit payout will be triggered as well as the parameters for calculating the payout and the settlement terms. The associated globalKey denotes the ability to associate a hash value to the CreditDefaultPayout instantiations for the purpose of model cross-referencing, in support of functionality such as the event effect and the lineage.
Attributes
3 declared on CreditDefaultPayout, 4 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| payerReceiver | PayerReceiver | 1..1 | Canonical representation of the payer and receiver parties applicable to each payout leg. | PayoutBase |
| priceQuantity | ResolvablePriceQuantity | 0..1 | Each payout leg must implement the quantity concept as a 'resolvable' type, which allows for different payout legs to be linked to each other (e.g. in the case of cross-curreny products). | PayoutBase |
| principalPayment | PrincipalPayments | 0..1 | The specification of the principal exchange. Optional as only applicable in the case of cross-currency or zero-coupon swaps with a final payment. | PayoutBase |
| settlementTerms | SettlementTerms | 0..1 | Each payout leg must specifies its settlement terms, including the delivery type (i.e. cash vs physical, and their respective terms), the transfer type (DvP etc.) and settlement date, if any. | PayoutBase |
| generalTerms | GeneralTerms | 1..1 | The specification of the non-monetary terms for the Credit Derivative Transaction, including the buyer and seller and selected items from the ISDA 2014 Credit Definition article II, such as the reference obligation and related terms. | — |
| protectionTerms | ProtectionTerms | 0..* | Specifies the terms for calculating a payout to protect the buyer of the swap in the case of a qualified credit event. These terms include the applicable credit events, the reference obligation, and in the case of a CDS on mortgage-backed securities, the floatingAmountEvents. | — |
| transactedPrice | TransactedPrice | 0..1 | The qualification of the price at which the contract has been transacted, in terms of market fixed rate, initial points, market price and/or quotation style. In FpML, those attributes are positioned as part of the fee leg. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
if generalTerms -> referenceInformation -> referencePrice exists
then generalTerms -> referenceInformation -> referencePrice -> value >= 0priceQuantity existsIn the product library
Canonical products whose JSON instantiates CreditDefaultPayout. Useful when
you want to see the type populated rather than described.
| Product | Asset class | Family |
|---|---|---|
| CDS 2003 Long Euro Corp Fixed Regular Payment Schedule | Credit | Single-name |
| CDS 2003 Long US Corp Fixed Regular Payment Schedule | Credit | Single-name |
| CDS 2003 Short Asia Corp Fixed Regular Payment Schedule | Credit | Single-name |
| CDS 2003 Short Euro Corp Fixed Regular Payment Schedule | Credit | Single-name |
| CDS 2003 Short US Corp Fixed Regular Payment Schedule | Credit | Single-name |
| CDS Basket | Credit | Basket |
| CDS Basket Tranche | Credit | Tranche |
| CDS Custom Basket | Credit | Basket |
| CDS European Loan Credit Referenceobligation | Credit | Single-name |
| CDS iBoxx OIS | Credit | Index |
| CDS iBoxx Total Return Swap | Credit | Index |
| CDS Independent Amount Short US Corp Fixed Standard Payment Schedule. | Credit | Single-name |
| CDS Index Option | Credit | Swaptions |
| CDS Index Tranche | Credit | Tranche |
| CDS ITraxx Contractual Supplement | Credit | Index |
and 29 more across the library.
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