CreditIndex
Type CDM 7.2.0Specification of an index based on credit risk, typically composed using corporate debt instruments in a region or industry sector, e.g. the iTraxx indices.
Attributes
9 declared on CreditIndex, 10 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| identifier | AssetIdentifier | 1..* | Asset Identifiers are used to uniquely identify an Asset, using a specified Asset Identifier Type. | AssetBase |
| taxonomy | Taxonomy | 0..* | Defines the taxonomy of an object by combining a taxonomy source (i.e. the rules to classify the object) and a value (i.e. the output of those rules on the object. | AssetBase |
| isExchangeListed | boolean | 0..1 | Defines whether the asset is listed on a public exchange. | AssetBase |
| party | Party | 0..* | The party with the obligation to pay dividends, coupons, or other payouts to the asset holder. | AssetBase |
| partyRole | AssetPartyRole | 0..1 | The role of the payer specific to the asset type, i.e. bond, equity. | AssetBase |
| ancillaryPartyRole | AssetAncillaryPartyRole | 0..* | The role of a party with indirect participation in the asset (i.e. transfer agent). | AssetBase |
| assetType | AssetTypeEnum | 1..1 | Specifies the type of asset. | AssetBase |
| name | string | 0..1 | A description of the Index. | IndexBase |
| provider | LegalEntity | 0..1 | The organisation that creates or maintains the Index. | IndexBase |
| assetClass | AssetClassEnum | 0..1 | The Asset Class of the Index. | IndexBase |
| indexSeries | int | 0..1 | A CDS index series identifier, e.g. 1, 2, 3 etc. | — |
| indexAnnexVersion | int | 0..1 | A CDS index series version identifier, e.g. 1, 2, 3 etc. | — |
| indexAnnexDate | date | 0..1 | A CDS index series annex date. | — |
| indexAnnexSource | IndexAnnexSourceEnum | 0..1 | A CDS index series annex source. | — |
| excludedReferenceEntity | ReferenceInformation | 0..* | Excluded reference entity. | — |
| tranche | Tranche | 0..1 | This element contains CDS tranche terms. | — |
| settledEntityMatrix | SettledEntityMatrix | 0..1 | Used to specify the Relevant Settled Entity Matrix when there are settled entities at the time of the trade. | — |
| indexFactor | number | 0..1 | Index Factor is the index version factor or percent, expressed as an absolute decimal value between 0 and 1, that multiplied by the original notional amount yields the notional amount covered by the seller of protection. | — |
| seniority | CreditSeniorityEnum | 0..1 | Seniority of debt instruments comprising the index. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
IndexSeries Condition
FpML specifies the type associated to indexSeries as a positive integer.
if indexSeries exists then indexSeries >= 0 IndexAnnexVersion Condition
FpML specifies the type associated to indexVersion as a positive integer.
if indexAnnexVersion exists then indexAnnexVersion >= 0 IndexFactor Condition
Index factor is expressed as a decimal and should be a positive number between o and 1.
if indexFactor exists
then indexFactor >= 0 and indexFactor <= 1 CreditAssetClass Condition
The asset class must be Credit.
assetClass = AssetClassEnum -> CreditReferenced by
1 type holds a CreditIndex as an attribute.
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| MapCreditIndex | returns | — |
Open CreditIndex in the Model Browser
Walk the tree and the reference graph interactively, and switch releases to see how the type has changed. Free, no signup.