FpML 4.5 Validation Rules - Rules for Credit Derivatives (CD)
This is the Credit Derivatives part of the validation rule set accompanying the FpML 4.5 Last Call Working Draft. The introductory
section in the validation section of the specifications contains background information and documentation for this page.
The rules contained on this page contain links to cut down versions of valid and invalid test cases. The cut down test cases
are non-normative and are provided for the purpose of documentation only.
Content
Namespace
default element namespace = http://www.fpml.org/2008/FpML-4-5
namespace xs = http://www.w3.org/2001/XMLSchema
Conditions
The Validation Conditions only apply when specific rules reference them. The following conditions are always to be executed
relative to the root of the FpML document being validated. The context of the rule is NOT carried through to the condition.
Condition: ISDA1999
(context: Trade)
(context: Contract)
The documentation/contractualDefinitions element or the documentation/masterConfirmation/masterConfirmationType element contains "ISDA1999Credit".
Condition: ISDA2003
(context: Trade)
(context: Contract)
Some documentation/contractualDefinitions element begins with the string "ISDA2003Credit" (this includes ISDA2003CreditJapan, etc.) or the documentation/masterConfirmation/masterConfirmationType element begins with the string "ISDA2003Credit" or "ISDA2004Credit".
Condition: ShortForm
(context: Trade)
(context: Contract)
documentation/masterConfirmation exists, or documentation/contractualMatrix exists, or documentation/contractualTermsSupplement exists and documentation/contractualTermsSupplement/type begins with string "iTraxx" or "CDX".
Condition: LongForm
(context: Trade)
(context: Contract)
documentation/masterConfirmation and documentation/contractualMatrix do not exist and SingleName condition applies.
Condition: SingleName
(context: Trade)
(context: Contract)
creditDefaultSwap/generalTerms/referenceInformation exists.
Condition: CreditIndex
(context: CreditDefaultSwap)
generalTerms/indexReferenceInformation exists and generalTerms/indexReferenceInformation/tranche does not exist.
Condition: quotationAmount
(context: CashSettlementTerms)
quotationAmount exists.
Condition: minimumQuotationAmount
(context: CashSettlementTerms)
minimumQuotationAmount exists.
Functions
The following shared functions are used in the rules.
Rules
Unique contexts:
cd-1 (Mandatory)
Context:
Trade (complex type)
cd-1b (Mandatory)
Context:
Trade (complex type)
cd-2 (Mandatory)
Context:
Trade (complex type)
cd-3b (Mandatory)
Context:
ContractualTermsSupplement (complex type)
English Description:
The content of type must not begin with the string "ISDA2003Credit".
cd-4b (Mandatory)
Context:
ContractualTermsSupplement (complex type)
English Description:
The content of type must not begin with the string "ISDA1999Credit"
cd-5 (Mandatory)
Context:
GeneralTerms (complex type)
cd-6 (Mandatory)
Context:
GeneralTerms
cd-7 (Mandatory)
Context:
GeneralTerms (complex type)
English Description:
effectiveDate/dateAdjustments or effectiveDate/dateAdjustmentsReference must exist.
cd-8 (Mandatory)
Context:
GeneralTerms (complex type)
English Description:
scheduledTerminationDate/adjustableDate/dateAdjustments or scheduledTerminationDate/adjustableDate/dateAdjustmentsReference must exist.
cd-9 (Mandatory)
Context:
ReferenceInformation (complex type)
cd-10 (Mandatory)
Context:
ReferenceInformation (complex type)
cd-11 (Mandatory)
Context:
ReferenceInformation (complex type)
English Description:
allGuarantees must exist.
cd-12 (Mandatory)
Context:
ReferenceInformation (complex type)
cd-13 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-14 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-15 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The value of cashSettlementTerms/valuationMethod is equal to "Market" or "Highest".
cd-16 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The value of cashSettlementTerms/valuationMethod is equal to "AverageMarket", "Highest", or "AverageHighest".
cd-17 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The value of cashSettlementTerms/valuationMethod is equal to "BlendedMarket" or "BlendedHighest".
cd-18 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The value of cashSettlementTerms/valuationMethod is equal to "AverageBlendedMarket" or "AverageBlendedHighest".
cd-19 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The following elements must not exist: protectionTerms/creditEvents/creditEventNotice/businessCenter, protectionTerms/creditEvents/restructuring/multipleHolderObligation, protectionTerms/creditEvents/restructuring/multipleCreditEventNotices, generalTerms/referenceInformation/allGuarantees, generalTerms/indexReferenceInformation, generalTerms/substitution, generalTerms/modifiedEquityDelivery.
cd-20 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
protectionTerms/obligations/notContingent must not exist.
cd-21 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The following elements must not exist: cashSettlementTerms, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/referenceInformation/allGuarantees, generalTerms/referenceInformation/referencePrice, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments.
cd-21b (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The following elements must not exist: cashSettlementTerms, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments, protectionTerms/creditEvents.
cd-22 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The following elements must not exist: protectionTerms/creditEvents/bankruptcy, protectionTerms/creditEvents/failureToPay, protectionTerms/creditEvents/repudiationMoratorium, protectionTerms/creditEvents/obligationDefault, protectionTerms/creditEvents/obligationAcceleration.
cd-23 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
cashSettlementTerms or physicalSettlementTerms must exist.
cd-24 (Mandatory)
Context:
CreditDefaultSwap (complex type)
English Description:
The following elements must exist: protectionTerms/creditEvents/creditEventNotice, protectionTerms/obligations, generalTerms/referenceInformation/referencePrice.
cd-25 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-26 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-27 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-28 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-29 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-30 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-31 (Mandatory)
Context:
PeriodicPayment (complex type)
cd-32 (Mandatory)
Context:
PeriodicPayment (complex type)
English Description:
fixedAmountCalculation/dayCountFraction must exist.
cd-33 (Mandatory)
Context:
PeriodicPayment (complex type)
cd-34 (Mandatory)
Context:
DeliverableObligations (complex type)
cd-35 (Mandatory)
Context:
CreditEvents (complex type)
English Description:
At least one child element must exist.
cd-36 (Mandatory)
Context:
PubliclyAvailableInformation (complex type)
English Description:
Either standardPublicSources or at least one publicSource element must exist.
cd-37 (Mandatory)
Context:
CashSettlementTerms (complex type)
cd-38 (Mandatory)
Context:
ReferencePool (complex type)
English Description:
The sum of referencePoolItem/constituentWeight/basketPercentage is equal to 1 or no referencePoolItem/constituentWeight exists.
cd-39 (Mandatory)
Context:
BasketReferenceInformation (complex type)
cd-40 (Mandatory)
Context:
Tranche (complex type)
cd-41 (Mandatory)
Context:
GeneralTerms (complex type)
cd-42 (Mandatory)
Context:
GeneralTerms (complex type)
cd-43 (Mandatory)
Context:
CreditDefaultSwap (complex type)
cd-44 (Mandatory)
Context:
ReferencePool (complex type)
English Description:
All referencePoolItem/constituentWeight must have the same name of child element
Deprecated rules
cd-3 (Mandatory)
DEPRECATED:
The content of documentation/contractualSupplement must not begin with the string "ISDA2003Credit".
Rationale for deprecation: the rule has been replaced by the reference rule number 3b (cd-3b).
cd-4 (Mandatory)
DEPRECATED:
Every documentation/contractualSupplement must not begin with the string "ISDA1999Credit".
Rationale for deprecation: the rule has been replaced by the reference rule number 4b (cd-4b).
Removed rules