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General FpML Discussion › Technical & Implementation Questions › 2014 Credit Derivatives Defn – supporting new restructuring types in FpML 5.x

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  • March 4, 2020 at 10:22 am #17794
    praneshshah
    Participant

    For Credit Default Swaps, how do you represent in FpML 5.x the new restructuring types as specified in the ISDA 2014 Credit definitions.

    XR14 = No Restructuring
    CR14 = Old /Full Restructuring
    MR14 = Modified Restructuring
    MM14 = Modified Modified Restructuring

    We need to support these new types, in addition to the 2003 Definitions XR, CR, MR, MM.

    The coding scheme for FpML 5.x only supports the four (4) restructuring types in 2003 definitions.

    Thanks in advance for your help.

    March 4, 2020 at 10:49 am #17795
    mgratacos
    Keymaster

    Hi, we would use the same restructuring codes. The fact that you are using the 2003 or the 2014 Definitions would be expressed using the trade/documentation/contractualDefinitions element, with the values ISDA2003Credit or ISDA2014Credit. The available values are defined within https://fpml.aws.isda.org/coding-scheme/contractual-definitions-3-7.xml

    Hope this helps.

    Marc Gratacos
    http://www.tradeheader.com

    March 4, 2020 at 2:19 pm #17796
    praneshshah
    Participant

    That makes sense.

    Thanks Marc.

    October 14, 2021 at 5:28 am #24556
    Anonymous
    Inactive

    nice

    October 29, 2021 at 7:31 am #24630
    Anonymous
    Inactive

    Digital signature certificate

    November 6, 2021 at 4:06 pm #24681
    Anonymous
    Inactive

    trade/documentation/contractual definitions element, with the values ISDA2003Credit or ISDA2014Credit. The available values are defined within. white vanity with gray top

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