fpml for credit derivatives：信用衍生品协议

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1、FpMLForCreditDerivativesFinancialProductsMarkupLanguageComponentsandDocumentTypeDefinitionsCreditDerivativesExtensionsversion1.0draftAbstractTheFinancialProductMarkupLanguage(FpML)isabusinessinformationexchangestandardforelectronicdealingandprocessingofFinancia

2、lDerivativeinstruments.FpMLisbasedontheExtensibleMarkupLanguage(XML)andinitiallyfocusesonInterestRateDerivatives,FXSpotandFXDerivativeProducts.Thisdocumentproposesextensionstothe1.0b2draftofthespecification,extendingtheproductsettocoversomeoftheCreditDerivative

3、Products.TheproductscoveredinthisdraftareCreditDefaultSwaps,AssetSwapOptionsandTotalReturnSwaps.AlsoincludedisaPaymentStream,alightweightversionofisss:SwapStreamthatusesanevent-based,ratherthanparametric,definitionofafixedorfloatingstreamofpayments.AUTHORSJ.P.M

4、organ:TimMoss,JonathanSaundersCONTRIBUTORSJ.P.Morgan:BenMcGill,AfshinBayrooti,BruceBroder,VladimirFinkelstein,RobertBuff,KatherineMcMillan23九月6,2021FpMLForCreditDerivativesTABLEOFCONTENTSChangeHistory31Introduction41.1CreditDefaultSwap41.2AssetSwapOption41.3Tot

5、alRateOfReturnSwap52ComponentList62.1fpml:Trade62.2cpcds:VanillaCreditDefaultSwap72.3cpcs:CreditSwap72.4cscds:CDSStream72.5cscds:Binary82.6cscds:Formula92.7csre:ReferenceEntities92.8csrn:ReferenceName102.9csri:ReferenceInstrument102.10csbn:BondRef112.11csce:Cre

6、ditEvent112.12cspd:PollDealer122.13dt:LocalDateTime122.14cpaso:AssetSwapOption122.15csaso:AssetSwapOptionStream132.16csstr:Strike152.17cpeb:EquivalentBond152.18cpmp:MaturityPeriod162.19cprb:RiskyBond162.20csra:RecoveryAgreement162.21csra:NRollingCoupons172.22cs

7、ra:CappedRollingCoupons182.23csra:AllRemainingCoupons182.24csra:NotionalRecovery182.25csra:CouponRecovery192.26cptrs:TotalReturnSwap192.27cstrs:TotalReturnStream192.28csps:PaymentStream212.29csfix:FixedCashflow212.30csflt:FloatingCashflow222.31cspr:PrincipalCas

8、hflow2323九月6,2021FpMLForCreditDerivativesChangeHistoryAuthorDescriptionofchangeDateTimMoss/JonSaunders·DraftsubmittedtotheSteeringCommitteeApril26th200023九月6,2021FpMLForCred