ProtectionTerms
Type CDM 7.2.0A class to specify 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.
Extends —
Extended by —
Attributes 3
Namespace cdm.product.asset
Attributes
All 3 declared on ProtectionTerms. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| creditEvents | CreditEvents | 0..1 | Specifies the applicable Credit Events that would trigger a settlement, as specified in the related Confirmation and defined in the ISDA 2014 Credit Definition article IV section 4.1. |
| obligations | Obligations | 0..1 | The underlying obligations of the reference entity on which you are buying or selling protection. The credit events Failure to Pay, Obligation Acceleration, Obligation Default, Restructuring, Repudiation/Moratorium are defined with respect to these obligations. |
| floatingAmountEvents | FloatingAmountEvents | 0..1 | This element contains the ISDA terms relating to the floating rate payment events and the implied additional fixed payments, applicable to the credit derivatives transactions on mortgage-backed securities with pay-as-you-go or physical settlement. |
Referenced by
2 types hold a ProtectionTerms 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 |
|---|---|---|
| MapProtectionTerms | returns | — |
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