Credit - Credit Default Swap

Credit - Credit Default Swap Documentation

Overview

The CreditSingleNameCDSCDMMapper class is responsible for mapping FpML (Financial Products Markup Language) credit default swaps (CDS) to the ISDA Common Domain Model (CDM) format. It extends the AbstractCreditProductsCDMMapper class, inheriting common mapping functionality for credit products.

A credit default swap is a financial derivative that allows the buyer to purchase protection against the default of a reference entity. This mapper handles the conversion of FpML XML elements representing single-name CDS contracts to the corresponding CDM objects.

Key ISDA CDM Structures

The following key ISDA CDM structures are important for this mapper:

Trade - The top-level container for trade information
- Contains trade date, identifiers, parties, and tradable product
TradeIdentifier - Identifies the trade uniquely
- Contains issuer, assigned identifier, and identifier type
TradableProduct - Represents the tradable product in the trade
- Contains product information, trade lots, and counterparty information
ContractualProduct - Describes the contractual aspects of the product
- Contains product taxonomy and economic terms with payouts
CreditDefaultPayout - Represents the credit default protection terms
- Contains reference entity, obligations, credit events, and settlement terms
InterestRatePayout - Represents the fee leg (premium payments)
- Contains payment details, fixed rate, and payment schedule
GeneralTerms - Contains general terms of the CDS contract
- Includes reference information, effective date, and scheduled termination date
ReferenceInformation - Identifies the reference entity and obligations
- Contains details about the entity being protected against
ProtectionTerms - Defines the credit events that trigger settlement
- Includes bankruptcy, failure to pay, restructuring, and other credit events
SettlementTerms - Defines how the contract settles after a credit event
- Includes physical or cash settlement details, currencies, and deliverable obligations

FpML to CDM Mapping

Main Mapping Structures

FpML Element/Structure	CDM Class/Structure	Context
`<trade>`	`Trade`	Top-level trade container
`<tradeHeader>`	Fields in `Trade`	Contains trade date and identifiers
`<creditDefaultSwap>`	`TradableProduct` with `CreditDefaultPayout`	CDS-specific information
`<generalTerms>`	`GeneralTerms` in `CreditDefaultPayout`	General contract terms
`<referenceInformation>`	`ReferenceInformation` in `GeneralTerms`	Reference entity details
`<feeLeg>`	`InterestRatePayout` in `Payout`	Premium payment terms
`<protectionTerms>`	`ProtectionTerms` in `CreditDefaultPayout`	Credit event definitions
`<creditEvents>`	`CreditEvents` in `ProtectionTerms`	Credit events that trigger payment
`<party>`	`Party` list in `Trade`	Party information
`<settlementTerms>`	`SettlementTerms` in `CreditDefaultPayout`	Settlement details after credit event

Detailed Element Mapping

FpML Element	CDM Field	Parent CDM Class	Type
`<tradeDate>`	`tradeDate.value`	`Trade`	`Date`
`<partyTradeIdentifier>/<tradeId>`	`tradeIdentifier[].assignedIdentifier[].identifier.value`	`Trade`	`String`
`<scheduledTerminationDate>/<unadjustedDate>`	`economicTerms.terminationDate.adjustableDate.unadjustedDate`	`ContractualProduct`	`Date`
`<referenceEntity>/<entityId>`	`referenceInformation.referenceEntity.entityId.value`	`GeneralTerms`	`String`
`<referenceEntity>/<entityName>`	`referenceInformation.referenceEntity.name.value`	`GeneralTerms`	`String`
`<referenceObligation>/<bond>/<instrumentId>`	`referenceInformation.referenceObligation.security.productIdentifier.identifierValue`	`GeneralTerms`	`String`
`<referenceObligation>/<bond>/<seniority>`	`referenceInformation.referenceObligation.security.debtType.debtEconomics.debtSeniority`	`GeneralTerms`	`DebtSeniorityEnum`
`<feeLeg>/<periodicPayment>/<fixedAmountCalculation>/<calculationAmount>/<amount>`	`priceQuantity.quantity[].value.value`	`TradeLot`	`BigDecimal`
`<feeLeg>/<periodicPayment>/<fixedAmountCalculation>/<calculationAmount>/<currency>`	`priceQuantity.quantity[].value.unit.currency.value`	`TradeLot`	`String`
`<feeLeg>/<periodicPayment>/<fixedAmountCalculation>/<fixedRate>`	`interestRatePayout.rateSpecification.fixedRate.rateSchedule.price.value.value`	`Payout`	`BigDecimal`
`<feeLeg>/<periodicPayment>/<paymentFrequency>`	`interestRatePayout.paymentDates.paymentFrequency`	`Payout`	`Frequency`
`<feeLeg>/<periodicPayment>/<firstPaymentDate>`	`interestRatePayout.paymentDates.firstPaymentDate`	`Payout`	`Date`
`<protectionTerms>/<creditEvents>/<bankruptcy>/<applicable>`	`creditDefaultPayout.protectionTerms.creditEvents.bankruptcy`	`CreditDefaultPayout`	`boolean`
`<protectionTerms>/<creditEvents>/<failureToPay>/<paymentRequirement>`	`creditDefaultPayout.protectionTerms.creditEvents.failureToPay.paymentRequirement`	`CreditDefaultPayout`	`Money`
`<protectionTerms>/<creditEvents>/<restructuring>/<applicable>`	`creditDefaultPayout.protectionTerms.creditEvents.restructuring.applicable`	`CreditDefaultPayout`	`boolean`
`<protectionTerms>/<obligations>/<category>`	`creditDefaultPayout.protectionTerms.obligations.category`	`CreditDefaultPayout`	`ObligationCategoryEnum`
`<protectionTerms>/<settlementTerms>/<settlementCurrency>`	`creditDefaultPayout.settlementTerms.settlementCurrency.value`	`CreditDefaultPayout`	`String`
`<protectionTerms>/<settlementTerms>/<physicalSettlementPeriod>/<businessDays>`	`creditDefaultPayout.settlementTerms.physicalSettlementTerms.physicalSettlementPeriod.businessDays`	`CreditDefaultPayout`	`int`

Special Considerations

Enum Mappings

The mapper handles several important enum mappings between FpML and CDM:

Obligation Category Mapping

FpML Value	CDM Enum Value
`PAYMENT`	`ObligationCategoryEnum.PAYMENT`
`BORROWED_MONEY`	`ObligationCategoryEnum.BORROWED_MONEY`
`REFERENCE_OBLIGATIONS_ONLY`	`ObligationCategoryEnum.REFERENCE_OBLIGATIONS_ONLY`
`BOND`	`ObligationCategoryEnum.BOND`
`LOAN`	`ObligationCategoryEnum.LOAN`
`BOND_OR_LOAN`	`ObligationCategoryEnum.BOND_OR_LOAN`

Debt Seniority Mapping

FpML Value	CDM Enum Value
`SENIOR`	`DebtSeniorityEnum.SENIOR`
`SUBORDINATED`	`DebtSeniorityEnum.SUBORDINATED`
`SENIOR_SECURED`	`DebtSeniorityEnum.SENIOR_SECURED`
`JUNIOR_SUBORDINATED`	`DebtSeniorityEnum.JUNIOR_SUBORDINATED`

Implementation Details

Reference Entity: The mapper creates a LegalEntity for the reference entity, extracting entity ID, name, and other identifying information from the FpML.
Reference Obligation: The mapper creates a ReferenceObligation for the debt instrument being referenced, including details like ISIN code and seniority.
Credit Events: The mapper supports multiple credit events:
- Bankruptcy
- Failure to Pay (with payment requirement amount)
- Restructuring (with restructuring type)
Settlement: The mapper handles both physical and cash settlement, with appropriate settlement terms:
- Physical settlement period (business days)
- Settlement currency
- Deliverable obligations
Fee Leg: The fee leg is represented as an InterestRatePayout with:
- Fixed rate (premium/coupon)
- Payment frequency (quarterly, semi-annual, etc.)
- First payment date and schedule

Products

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