FpML for Credit Derivatives：信用衍生品协议.doc

FpML For Credit DerivativesFinancial Products Markup LanguageComponents and Document Type DefinitionsCredit Derivatives Extensionsversion 1.0 draftAbstractThe Financial Product Markup Language (FpML) is a business information exchange standard for electronic dealing and processing of Financial Derivative instruments. FpML is based on the Extensible Markup Language (XML) and initially focuses on Interest Rate Derivatives, FX Spot and FX Derivative Products. This document proposes extensions to the 1.0 b2 draft of the specification, extending the product set to cover some of the Credit Derivative Products. The products covered in this draft are Credit Default Swaps, Asset Swap Options and Total Return Swaps. Also included is a PaymentStream, a lightweight version of isss:SwapStream that uses an event-based, rather than parametric, definition of a fixed or floating stream of payments.AUTHORSJ.P.Morgan: Tim Moss, Jonathan SaundersCONTRIBUTORSJ.P.Morgan: Ben McGill, Afshin Bayrooti, Bruce Broder, Vladimir Finkelstein, Robert Buff, Katherine McMillanTABLE OF CONTENTSChange History31Introduction41.1Credit Default Swap41.2Asset Swap Option41.3Total Rate Of Return Swap52Component List62.1fpml:Trade62.2cpcds:VanillaCreditDefaultSwap72.3cpcs:CreditSwap72.4cscds:CDSStream72.5cscds:Binary82.6cscds:Formula92.7csre:ReferenceEntities92.8csrn:ReferenceName102.9csri:ReferenceInstrument102.10csbn:BondRef112.11csce:CreditEvent112.12cspd:PollDealer122.13dt:LocalDateTime122.14cpaso:AssetSwapOption122.15csaso:AssetSwapOptionStream132.16csstr:Strike152.17cpeb:EquivalentBond152.18cpmp:MaturityPeriod162.19cprb:RiskyBond162.20csra:RecoveryAgreement162.21csra:NRollingCoupons172.22csra:CappedRollingCoupons182.23csra:AllRemainingCoupons182.24csra:NotionalRecovery182.25csra:CouponRecovery192.26cptrs:TotalReturnSwap192.27cstrs:TotalReturnStream192.28csps:PaymentStream212.29csfix:FixedCashflow212.30csflt:FloatingCashflow222.31cspr:PrincipalCashflow23Change HistoryAuthorDescription of changeDateTim Moss / Jon Saunders Draft submitted to the Steering CommitteeApril 26th 20001 Introduction 1.1 Credit Default SwapA credit default swap represents a financial contract in which a counterparty (a protection buyer) pays a fee, usually captured in basis points on a notional amount, in return for a default payment by the protection seller. The latter is paid only if a credit event, involving a third party reference, occurs. A credit event may be represented by a bankruptcy, a default on payment or a restructuring event, to name just a few. The protection buyer is transferring credit risk without impacting the balance sheet. The protection seller has gained credit exposure without gaining a balance sheet position.Protection SellerProtection BuyerFee (bp) Contingent PayoutFigure 1: Credit Default SwapCredit default swaps are often used to transfer credit risk on a portfolio of reference names. These basket default swaps usually operate on a first-to-default basis.1.2 Asset Swap OptionAn asset swap option is a method used to transfer credit spread risk on an asset. The protection (put) buyer pays a fee for the right to force the put seller into an asset swap with a spread over libor at a pre-determined level (Strike). On exercise of the option, the put seller receives the reference securities and enters into an asset swap, paying the coupons on the security in return for a floating stream of libor plus the strike spread. The put seller makes an up-front payment of par for the package on option exercise. Pre-Option Exercise:Put SellerPut BuyerFee (bp) Right to exercise: Asset Swap Option Exercised:Put SellerPut Buyer libor + strike Coupon on ReferenceSecurityFigure 2: Asset Swap OptionThe asset swap option allows a put seller to augment returns by receiving a fee for taking on the risk of being forced into an swap where the asset is priced above that of securities bought today. Conversely, the put buyer has the option to lock in the spread received over libor for exposure to the reference credit, regardless of its asset swap spread in the market. The put buyer can therefore gain from upside tightening in credit spread whilst capping its downside. 1.3 Total Rate Of Return SwapA Total Rate of Return Swap allows a party to receive the return of an asset (typically a corporate bond) with no balance sheet impact. The Total Return payer pays the benefits of holding an asset to the receiver. In exchange the total return receiver pays a fee. Total Return ofTotal ReturnReceiverTotal ReturnPayer Asset Libor + bpFigure 3: Total Rate of Return SwapThe total return payer has fully hedged a credit position without balance sheet impact. The total return receiver has gained exposure to a credit without gaining a balance sheet position. Parties with high funding costs can effectively utilize lower cost balance sheets. The total return receiver can enjoy greater spreads over effective funding, thereby making less risky assets viable investments.2 Component List2.1 fpml:Trade This element already exists in the standard FpML definition. It is amended here to include the Credit Derivative Products in the list of possible product types.Description:Defines business context in which the embedded trade is to be processed. Contains processing specific details.Figure:Contents:fpml:tradeIDs (required, contains exactly one tid:TradeIDs)fpml:product (required, one of ipc:Cancellable, ipso:Swaption, ipcf:CapFloor, fpvoFXVanillaOption, ipff:VanillaFixedFloat, fpsl:FXSingleLeg, fpswp:FXSwap, fpba:FXBarrierOption, fpbn:FXBinaryOption, fpfra:ForwardRateAgreement, fpfo:FXFixingOption, ips:SwapStreams, fpbb:FXBinaryBarrierOption, cpcds:VanillaCreditDefaultSwap, cpcs:CreditSwap, cpcso:AssetSwapOption, cptrs:TotalReturnSwap)fpml:partyInformation (optional, contains exactly one pty:PartyInformation)XML:2.2 cpcds:VanillaCreditDefaultSwapDescription:Product details for a Credit Default Swap. This product is made up of exactly one Credit Default Swap Stream.Figure:Contents:cpcds:cdsStream (required, contains exactly one cscds:CDSStream)XML:2.3 cpcs:CreditSwapDescription:This product is made up of one or more CDS Streams and one or more Payment Streams, and can be used to represent Credit Linked Notes and Credit Swaps.Figure:Contents:cpcs:cdsStreams (required, contains one or more cscds:CDSStream)cpcs:paymentStreams (optional, contains one or more csps:PaymentStream)XML:2.4 cscds:CDSStreamDescription:Models a credit default swap stream.Figure:Contents:cscds:streamId (required, string)cscds:payerReference (required, string) Reference to the section of the message holding identifiers to the parties to the tradecscds:receiverReference (required, string) Reference to the section of the message holding identifiers to the parties to the tradecscds:adjustmentBusinessCenters (required, contains exactly one d:BusinessCenters)cscds:effectiveDate (required, contains exactly one d:AdjustableDate)cscds:terminationDate (required, contains exactly one d:AdjustableDate)cscds:referenceEntities (required, contains exactly one csre:ReferenceEntities)cscds:defaultPayoutMethod (required, one of cscds:Binary, cscds:Formula)cscds:settlementDate (required, one of d:AdjustableDate and d:NotificationOffset) Amount of time from event date until the contingent payment is made.cscds:creditEvent (required, contains exactly one csce:CreditEvent)cscds:payAccruedFeeOnDefault (required, value-domain: yes no)cscds:fee (required, one or more csfix:FixedCashflow)XML:2.5 cscds:BinaryDescription: A binary contingent payout uses preset percentages to calculate the payment. Figure:Contents:cscds:percentagePayout (required, float)XML:2.6 cscds:FormulaDescription: The formula used to calculate contingent payoutsFigure:Contents:cscds:formula (required, value domain: 100-final orig-final)XML:2.7 csre:ReferenceEntitiesDescription:This encapsulates the reference names upon which the stream is contingent it links to either reference names (ie. issuers) or instruments (bonds).Figure:Contents:csre:entities (required, one or more csrn:ReferenceName, csri:ReferenceInstrument)csre:notionalSchedule (optional, exactly one m:notionalSchedule)csre:leverageFactor (optional, float)XML:2.8 csrn:ReferenceNameFigure:Description:This describes a single reference name upon which a credit default swap is dependent.Contents:csrn:partyRef (optional,string) either the partyRef or the party should be completedcsrn:party (optional, one of pty:Party)csrn:notionalSchedule (optional, exactly one m:NotionalSchedule)csrn:leverageFactor (optional, float)XML:2.9 csri:ReferenceInstrumentDescription:This describes a single instrument upon which a credit default swap is dependent.Figure:Contents:csri:bond (optional, contains exactly one cprb:RiskyBond) either the bond or the bondRef should be completedcsri:bondRef (optional, contains exactly one csbn:BondRef)csri:notionalSchedule (optional, contains exactly one m:NotionalSchedule)csri:leverageFactor (optional, float)XML:2.10 csbn:BondRefDescription:This describes a bond by way of an identification number eg 1234 and a identification type eg CUSIP, TELERATE, ISIN.Figure:Contents:csbn:id (required, String)csbn:idType (required, string) e.g. ISINXML:2.11 csce:CreditEventDescription:Models the event which triggers default. Figure:Contents:csce:event (required, string) A text description of the contingent event. This may be: “failure to pay”, “downgrade”, “bankruptcy” for example.csce:eventOrder (optional, string) In the case of basket default swaps, a text field to express “first to default”, “nth to default” etc.csce:convention (optional, string)csce:paymentLag (optional, string)csce:observations (optional, int)csce:periodicity (optional, string)csce:time (optional, contains exactly one dt:LocalDateTime)csce:materiality (optional, string)csce:pollDealers (optional, contains one or more pty:Party)XML:2.12 cspd:PollDealerDescription:Models a reference to one of the dealers that must be polled before declaring default conditionsFigure:Contents:cspd:partyRef (required, string)XML:2.13 dt:LocalDateTimeDescription:Models a date and time for a specified location.Figure:Contents:dt:time (required, time)dt:date (required, date)dt:location (required, string)XML:2.14 cpaso:AssetSwapOptionDescription:Product details for an Asset Swap Option. This product is made up of one Asset Swap Option Stream.Figure:Contents:cpaso:assetSwapOptionStream (required, contains one csaso:AssetSwapOptionStream)cpaso:paymentStreams (optional, contains one or more csaso:PaymentStream)XML:2.15 csaso:AssetSwapOptionStreamDescription:Models an Asset Swap Option. Figure:Contents:csaso:streamId (required, string)csaso:buyerReference (required, string) Reference to the section of the message holding identifiers to the parties to the tradecsaso:sellerReference (required, string) Reference to the section of the message holding identifiers to the parties to the tradecsaso:adjustmentBusinessCenters (required, contains exactly one d:BusinessCenters)csaso:effectiveDate (required, contains exactly one d:AdjustableDate)csaso:terminationDate (required, contains exactly one d:AdjustableDate)csaso:notionalSchedule (required, contains exactly one m:NotionalSchedule)csaso:referenceEntity (required, contains exactly one csrn:ReferenceName)csaso:optionStyle (required, value domain: American European Multi-European)csaso:putCall (required, value domain: Put Call)csaso:strikes (required, one or more csstr:Strike)csaso:knockoutOnDefault (required, value-domain yes no)csaso:knockoutThreshold (optional, float)csaso:partialExercisePermitted (required, value domain: yes no)csaso:deliveryBond (required, one of csri:ReferenceInstrument, cp:EquivalentBond)csaso:payAccruedFeeOnExercise (required, value-domain: yes no)csaso:settlementType (required, value domain: cash physical)csaso:fee (required, one or more csfix:FixedCashflow)csaso:feeType (required, value domain Terminating Non-Terminating)XML:2.16 csstr:StrikeDescription:Models a single strike rate, date and index for an Asset Swap OptionFigure:Contents:csstr:rate (required, double)csstr:strikeDate (optional, contains exactly one d:AdjustableDate)csstr:notificationDate ( optional, contains exactly one d:AdjustableDate)csstr:index (required, exactly one r:FloatingRate)XML:2.17 cpeb:EquivalentBondDescription:Any bond that fulfills the criteria set here can be used as the reference bond in the asset swap created at ASO exercise.Figure:Contents:cpeb:ccy (one of set, string)cpeb:minimumMaturity (required, exactly one cpmp:MaturityPeriod | d:AdjustableDate)cpeb:maximumMaturity (required, exactly one cpmp:MaturityPeriod | d:AdjustableDate)XML:2.18 cpmp:MaturityPeriodDescription:Models a maturity period (e.g. 1Y, 6M, 1W)Figure:Contents:cpmp:period (required, value domain: day week month year quarter)cpmp:multiple (required, integer)XML:2.19 cprb:RiskyBondDescription:Product details for a Risky Bond. This product is made up of one or more Recovery Agreements and one or more Payment StreamsFigure:Contents:cprb:recoveryAgreements (required, contains one or more csra:RecoveryAgreement)cprb:paymentStreams (required, contains one or more csps:PaymentStream)XML:2.20 csra:RecoveryAgreementDescription:Models the recovery stream of a risky bond. This leg defines the transformed payout upon the bond entering default.Figure:Contents:csra:name(required, string ) default is tied to this namecsra:creditEvent (required, contains exactly one csce:CreditEvent) Defines when the name is in defaultcsra:effectiveDate (required, contains exactly one d:AdjustableDate)csra:terminationDate (required, contains exactly one d:AdjustableDate)csra:remainingCouponsGuaranteed (required, contains exactly one of csra:NRollingCoupons, csra:CappedRollingCoupons, csra:AllRemainingCoupon)csra:remainingNotionalGuaranteed (required, float between 0 and 1)csra:additionalCouponsRecovered (required, contains exactly one csra:CouponRecovery)csra:additionalNotionalRecovered (required, contains exactly one csra:NotionalRecovery)csra:settlementDate (required, contains exact