Rule Summary

Click on any identifier to navigate to its definition.
Rule Set "All CDS Trades" cd-2 cd-2b cd-5 cd-6 cd-9 cd-12 cd-13 cd-14 cd-15 cd-16 cd-17 cd-18 cd-26 cd-27 cd-28 cd-29 cd-30 cd-31 cd-34 cd-35 cd-36 cd-37 cd-38 cd-39 cd-40 cd-41 cd-42
Rule Set "Single name CDS" cd-1 cd-1c cd-43
Rule Set "Credit Index Trade" cd-1b cd-1d
Rule Set "ISDA 1999 Credit Derivatives" cd-3b cd-19
Rule Set "ISDA 2003 Credit Derivatives" cd-4 cd-20
Rule Set "Long form CDS" cd-7 cd-8 cd-23 cd-24 cd-25 cd-32 cd-33
Rule Set "Short form CDS" cd-21 cd-21b cd-22
Global Rules
Properties and Macros "same scheme is specified in" "same currency is specified in"

Operators

Summary of all language extensions used in the rules.
is an integer multiple of Takes two FpML "Interval" objects, "a" and "b" and returns true only if "a" is an integer multiple of "b".
starts with Returns true if the string supplied as the first parameter starts with the string supplied as the second parameter.
contains definitions starting with Given a collection of ContractualDefinition entries, determine if any of them start with a certain prefix (e.g. ISDA2003)
frequency defined by Turns a start date and an end date into an FpML "Interval" by subtracting the start date from the end date. This assumes that the dates are unadjusted. The operator will always return the most coarse-grain representation possible. For example, the [frequency defined by] '2005-12-01' and '20010-12-01' will be 5Y.
does not contain the prefix This is used to check whether a collection of strings contains any string that starts with a certain prefix. For example, for the collection [ISDA2009,ISDA2003] this returns "true" for the parameter "ISDA".
starting with Alternative phrasing of "starts with" operator; checks whether a string, supplied as the first parameter, starts with another, supplied as the second. For example, "an attribute has a type [starting with] 'abc'".

Model Elements

The following model elements and attributes are being referred to in the rules. Click on any element or attribute to show only rules that use them. Click the link below the table to show all rules.
Model Elements A AdjustableDate2 B BasketReferenceInformation Boolean BusinessCenter BusinessCenterTime BusinessDayAdjustments BusinessDayAdjustmentsReference C CalculationAgent CalculationAgentPartyEnum CalculationAmount CashSettlementTerms CashSettlementTermsOrPhysicalSettlementTerms ConstituentWeight Contract ContractualDefinitions ContractualMatrix ContractualSupplement ContractualTermsSupplement CreditDefaultSwap CreditEventNotice CreditEvents Currency D Date DayCountFraction DeliverableObligations DeprecatedScheduledTerminationDate E Empty F FailureToPay G GeneralTerms I ID IDREF IdentifiedDate IndexReferenceInformation InitialPayment Interval L LegalEntityReference LoanParticipation M MasterConfirmation MasterConfirmationType Money MultipleValuationDates N NotDomesticCurrency O ObligationCategoryEnum Obligations P PCDeliverableObligationCharac PartyReference PeriodicPayment PhysicalSettlementPeriod PhysicalSettlementTerms ProtectionTerms PubliclyAvailableInformation Q QuotationRateTypeEnum R ReferenceInformation ReferenceObligation ReferencePool ReferencePoolItem RestrictedPercentage Restructuring S SinglePayment SingleValuationDate SpecifiedCurrency String T Trade Tranche V ValuationDate ValuationMethodEnum a anyURI b boolean d date decimal n nonNegativeInteger p positiveInteger s string
Attributes A AsSpecifiedInMasterAgreement AverageBlendedHighest AverageBlendedMarket AverageHighest AverageMarket B BlendedHighest BlendedMarket H Highest M Market R ReferenceObligationsOnly a acceleratedOrMatured accruedInterest adjustableDate adjustablePaymentDate allGuarantees amount assignableLoan attachmentPoint b bankruptcy basketPercentage basketReferenceInformation businessCenter buyerPartyReference c calculationAgent calculationAgentParty calculationAmount cashSettlementBusinessDays cashSettlementTerms cashSettlementTermsOrPhysicalSettlementTerms category consentRequiredLoan constituentWeight contractDate contractualDefinitions contractualMatrix contractualTermsSupplement creditDefaultSwap creditEventNotice creditEvents currency currencyScheme d dateAdjustments dateAdjustmentsReference dayCountFraction dealer defaultRequirement deliverableObligations directLoanParticipation distressedRatingsDowngrade documentation e effectiveDate escrow excluded exhaustionPoint f failureToPay failureToPayInterest failureToPayPrincipal feeLeg firstPaymentDate fixedAmountCalculation fullFaithAndCreditObLiability g generalFundObligationLiability generalTerms h header href i id indexReferenceInformation indirectLoanParticipation initialPayment l lastRegularPaymentDate listed m masterConfirmation masterConfirmationType maturityExtension maximumMaturity minimumQuotationAmount modifiedEquityDelivery mthToDefault multipleCreditEventNotices multipleHolderObligation multipleValuationDates n notBearer notContingent notDomesticCurrency notDomesticIssuance notDomesticLaw notSovereignLender notSubordinated notifyingParty nthToDefault o obligationAcceleration obligationDefault obligations othReferenceEntityObligations p payerPartyReference paymentFrequency periodicPayment physicalSettlementPeriod physicalSettlementTerms primaryObligorReference protectionTerms publicSource q quotationAmount quotationMethod r receiverPartyReference referenceEntity referenceInformation referenceObligation referencePoolItem referencePrice repudiationMoratorium restructuring revenueObligationLiability s scheduledTerminationDate sellerPartyReference settlementCurrency singlePayment singleValuationDate specifiedCurrency standardPublicSources substitution t tradeDate tradeHeader tranche transferable type u unadjustedDate v valuationDate valuationMethod valuationTime w writedown

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All Rules

-----------------------------------------------------------------------------
-- Natural Rule Language File
-- FpML 4.5 Credit Derivatives Rules
--
-- (c)2009 Model Two Zero. Licence terms:
-- http://creativecommons.org/licenses/by-nc-sa/3.0/
--
-- Original rules (c)ISDA. FpML(r) is a trademark of ISDA.
-----------------------------------------------------------------------------

Model "schema/fpml-main-4-5.xsd"
Operators "operators.nrlop"
Rule Set "All CDS Trades"
Applies to a Trade where a creditDefaultSwap is present
Context: Trade
Rule "cd-2"
If calculationAgent is present then calculationAgent.calculationAgentParty is not present or
calculationAgent.calculationAgentParty is equal to CalculationAgentPartyEnum.AsSpecifiedInMasterAgreement
Context: Contract
Rule "cd-2b"
If calculationAgent is present then calculationAgent.calculationAgentParty is not present or
calculationAgent.calculationAgentParty is equal to CalculationAgentPartyEnum.AsSpecifiedInMasterAgreement
Context: GeneralTerms
Rule "cd-5"
If scheduledTerminationDate.adjustableDate is present then effectiveDate.unadjustedDate is before
scheduledTerminationDate.adjustableDate.unadjustedDate
Context: GeneralTerms
Rule "cd-6"
buyerPartyReference.href = sellerPartyReference.href
Context: ReferenceInformation
Rule "cd-9"
In each referenceObligation (if a primaryObligorReference is present then primaryObligorReference.href
is equal to ReferenceInformation.referenceEntity.id)
Context: ReferenceInformation
Rule "cd-12"
If a referencePrice is present then the referencePrice is greater than or equal to 0
Context: CreditDefaultSwap
Rule "cd-13"
In each of the protectionTerms (If creditEvents.creditEventNotice.notifyingParty.buyerPartyReference is present then
creditEvents.creditEventNotice.notifyingParty.buyerPartyReference.href is equal to generalTerms.buyerPartyReference.href)
Context: CreditDefaultSwap
Rule "cd-14"
In each of the protectionTerms (If creditEvents.creditEventNotice.notifyingParty.sellerPartyReference is present then
creditEvents.creditEventNotice.notifyingParty.sellerPartyReference.href is equal to generalTerms.sellerPartyReference.href)
Context: CreditDefaultSwap
Rule "cd-15"
If exactly one generalTerms.referenceInformation.referenceObligation is present then
in each of the cashSettlementTermsOrPhysicalSettlementTerms (
If cashSettlementTerms.valuationDate.singleValuationDate is present then
cashSettlementTerms.valuationMethod is one of ValuationMethodEnum.Market,
ValuationMethodEnum.Highest)
Context: CreditDefaultSwap
Rule "cd-16"
If exactly one generalTerms.referenceInformation.referenceObligation is present then
in each of the cashSettlementTermsOrPhysicalSettlementTerms (
if cashSettlementTerms.valuationDate.multipleValuationDates is present then
cashSettlementTerms.valuationMethod is one of ValuationMethodEnum.AverageMarket,
ValuationMethodEnum.Highest,ValuationMethodEnum.AverageHighest)
Context: CreditDefaultSwap
Rule "cd-17"
If at least two generalTerms.referenceInformation.referenceObligation are present then
in each of the cashSettlementTermsOrPhysicalSettlementTerms (
If cashSettlementTerms.valuationDate.singleValuationDate is present then
cashSettlementTerms.valuationMethod is one of ValuationMethodEnum.BlendedMarket,
ValuationMethodEnum.BlendedHighest)
Context: CreditDefaultSwap
Rule "cd-18"
If at least two generalTerms.referenceInformation.referenceObligation are present then
in each of the cashSettlementTermsOrPhysicalSettlementTerms (
if cashSettlementTerms.valuationDate.multipleValuationDates is present then
cashSettlementTerms.valuationMethod is one of ValuationMethodEnum.AverageBlendedMarket,
ValuationMethodEnum.AverageBlendedHighest)
Context: CreditDefaultSwap
Rule "cd-26"
In each feeLeg.singlePayment (if an adjustablePaymentDate is present then
adjustablePaymentDate is after CreditDefaultSwap.generalTerms.effectiveDate.unadjustedDate)
Context: CreditDefaultSwap
Rule "cd-27"
If generalTerms.scheduledTerminationDate.adjustableDate is present then
in each feeLeg.singlePayment (if an adjustablePaymentDate is present then
adjustablePaymentDate is before
CreditDefaultSwap.generalTerms.scheduledTerminationDate.adjustableDate.unadjustedDate)
Context: CreditDefaultSwap
Rule "cd-28"
If feeLeg.periodicPayment.firstPaymentDate is present then
feeLeg.periodicPayment.firstPaymentDate is after generalTerms.effectiveDate.unadjustedDate
Context: CreditDefaultSwap
Rule "cd-29"
If feeLeg.periodicPayment.firstPaymentDate is present and
generalTerms.scheduledTerminationDate.adjustableDate is present then
feeLeg.periodicPayment.firstPaymentDate is before
generalTerms.scheduledTerminationDate.adjustableDate.unadjustedDate
Context: CreditDefaultSwap
Rule "cd-30"
If feeLeg.periodicPayment.lastRegularPaymentDate is present and
generalTerms.scheduledTerminationDate.adjustableDate is present then
feeLeg.periodicPayment.lastRegularPaymentDate is before
generalTerms.scheduledTerminationDate.adjustableDate.unadjustedDate
Context: PeriodicPayment
Rule "cd-31"
If a firstPaymentDate is present and a lastRegularPaymentDate is present then
the firstPaymentDate is before the lastRegularPaymentDate
Context: DeliverableObligations
Rule "cd-34"
If category = ObligationCategoryEnum.ReferenceObligationsOnly then
the following are not present: acceleratedOrMatured, accruedInterest,
assignableLoan, consentRequiredLoan, directLoanParticipation, excluded,
fullFaithAndCreditObLiability, generalFundObligationLiability, indirectLoanParticipation,
listed, maximumMaturity, notBearer, notContingent, notDomesticCurrency,
notDomesticIssuance, notDomesticLaw, notSovereignLender, notSubordinated,
othReferenceEntityObligations, revenueObligationLiability, specifiedCurrency,
transferable
Context: CreditEvents
Rule "cd-35"
bankruptcy is present or creditEventNotice is present or defaultRequirement
is present or distressedRatingsDowngrade is present or failureToPay is present
or failureToPayInterest is present or failureToPayPrincipal is present or
maturityExtension is present or obligationAcceleration is present or
obligationDefault is present or repudiationMoratorium is present or
restructuring is present or writedown is present
Context: PubliclyAvailableInformation
Rule "cd-36"
standardPublicSources is present or at least one publicSource is present
Context: CashSettlementTerms
Rule "cd-37"
If quotationAmount is present and minimumQuotationAmount is present and
the same currency is specified in quotationAmount.currency and
minimumQuotationAmount.currency then quotationAmount.amount is greater than or equal to
minimumQuotationAmount.amount
Context: ReferencePool
Rule "cd-38"
No referencePoolItem has a constituentWeight or the sum of
referencePoolItem.constituentWeight.basketPercentage = 1
Context: BasketReferenceInformation
Rule "cd-39"
If nthToDefault is present and mthToDefault is present then
nthToDefault < mthToDefault
Context: Tranche
Rule "cd-40"
attachmentPoint <= exhaustionPoint
Context: GeneralTerms
Rule "cd-41"
If indexReferenceInformation.tranche is not present then modifiedEquityDelivery is not present
Context: GeneralTerms
Rule "cd-42"
If basketReferenceInformation is not present then substitution is not present
Rule Set "Single name CDS"
Applies to a Trade where creditDefaultSwap.generalTerms.referenceInformation is present
Context: Trade
Rule "cd-1"
tradeHeader.tradeDate is before creditDefaultSwap.generalTerms.effectiveDate.unadjustedDate
Context: Contract
Rule "cd-1c"
header.contractDate is before creditDefaultSwap.generalTerms.effectiveDate.unadjustedDate
Context: CreditDefaultSwap
Rule "cd-43"
If feeLeg.initialPayment is present then feeLeg.initialPayment.payerPartyReference.href =
generalTerms.sellerPartyReference.href and feeLeg.initialPayment.receiverPartyReference.href =
generalTerms.buyerPartyReference.href
Rule Set "Credit Index Trade"
Applies to a Trade where creditDefaultSwap.generalTerms.indexReferenceInformation is present and
creditDefaultSwap.generalTerms.indexReferenceInformation.tranche is not present
Context: Trade
Rule "cd-1b"
If creditDefaultSwap.generalTerms.effectiveDate.unadjustedDate is present then
tradeHeader.tradeDate is greater than or equal to creditDefaultSwap.generalTerms.effectiveDate.unadjustedDate
Context: Contract
Rule "cd-1d"
If creditDefaultSwap.generalTerms.effectiveDate.unadjustedDate is present then
header.contractDate is greater than or equal to creditDefaultSwap.generalTerms.effectiveDate.unadjustedDate
Rule Set "ISDA 1999 Credit Derivatives"
Applies to a Trade where documentation.contractualDefinitions [contains definitions starting with]
'ISDA1999Credit' or documentation.masterConfirmation.masterConfirmationType [starts with] 'ISDA1999Credit'
Context: ContractualTermsSupplement
Rule "cd-3b"
type [does not contain the prefix] 'ISDA2003Credit'
Context: CreditDefaultSwap
Rule "cd-19"
In each of the protectionTerms (the following are not present:
creditEvents.creditEventNotice.businessCenter, creditEvents.restructuring.multipleHolderObligation,
creditEvents.restructuring.multipleCreditEventNotices) and
the following are not present: generalTerms.referenceInformation.allGuarantees,
generalTerms.indexReferenceInformation, generalTerms.substitution,
generalTerms.modifiedEquityDelivery
Rule Set "ISDA 2003 Credit Derivatives"
Applies to a Trade where documentation.contractualDefinitions [contains definitions starting with]
'ISDA2003Credit' or documentation.masterConfirmation.masterConfirmationType [starts with] 'ISDA2003Credit'
or documentation.masterConfirmation.masterConfirmationType [starts with] 'ISDA2004Credit'
Context: ContractualTermsSupplement
Rule "cd-4"
type [does not contain the prefix] 'ISDA1999Credit'
Context: CreditDefaultSwap
Rule "cd-20"
None of the protectionTerms have obligations.notContingent
Rule Set "Long form CDS"
Applies to a Trade where documentation.masterConfirmation is not present and
documentation.contractualMatrix is not present and
creditDefaultSwap.generalTerms.referenceInformation is present
Context: GeneralTerms
Rule "cd-7"
effectiveDate.dateAdjustments is present or effectiveDate.dateAdjustmentsReference is present
Context: GeneralTerms
Rule "cd-8"
If a scheduledTerminationDate is present then
scheduledTerminationDate.adjustableDate.dateAdjustments is present or
scheduledTerminationDate.adjustableDate.dateAdjustmentsReference is present
Context: CreditDefaultSwap
Rule "cd-23"
cashSettlementTermsOrPhysicalSettlementTerms are present
Context: CreditDefaultSwap
Rule "cd-24"
generalTerms.referenceInformation.referencePrice is present and in each of the
protectionTerms the following are present: creditEvents.creditEventNotice,
obligations
Context: CreditDefaultSwap
Rule "cd-25"
In each of the cashSettlementTermsOrPhysicalSettlementTerms (if physicalSettlementTerms
are present then the following are present: physicalSettlementTerms.settlementCurrency,
physicalSettlementTerms.physicalSettlementPeriod, physicalSettlementTerms.escrow,
physicalSettlementTerms.deliverableObligations.accruedInterest)
Context: PeriodicPayment
Rule "cd-32"
If fixedAmountCalculation.calculationAmount is present then
fixedAmountCalculation.dayCountFraction is present
Context: PeriodicPayment
Rule "cd-33"
If firstPaymentDate is present and lastRegularPaymentDate is present then
the ([frequency defined by] firstPaymentDate and lastRegularPaymentDate)
[is an integer multiple of] the paymentFrequency
Rule Set "Short form CDS"
Applies to a Trade where documentation.masterConfirmation is present or
documentation.contractualMatrix is present or documentation.contractualTermsSupplement
is present and at least one documentation.contractualTermsSupplement has a (type
[starting with] 'iTraxx' or a type [starting with] 'CDX')
Context: CreditDefaultSwap
Rule "cd-21"
If generalTerms.referenceInformation is present then the following are not present:
feeLeg.periodicPayment.fixedAmountCalculation.calculationAmount,
feeLeg.periodicPayment.fixedAmountCalculation.dayCountFraction,
generalTerms.referenceInformation.allGuarantees,
generalTerms.referenceInformation.referencePrice,
generalTerms.effectiveDate.dateAdjustments, generalTerms.effectiveDate.dateAdjustmentsReference,
generalTerms.scheduledTerminationDate.adjustableDate.dateAdjustments,
generalTerms.scheduledTerminationDate.adjustableDate.dateAdjustmentsReference,
generalTerms.dateAdjustments and in each of the cashSettlementTermsOrPhysicalSettlementTerms
the following are not present: physicalSettlementTerms,
cashSettlementTerms.settlementCurrency, cashSettlementTerms.valuationDate,
cashSettlementTerms.valuationTime, cashSettlementTerms.quotationMethod,
cashSettlementTerms.quotationAmount, cashSettlementTerms.minimumQuotationAmount,
cashSettlementTerms.dealer, cashSettlementTerms.cashSettlementBusinessDays,
cashSettlementTerms.accruedInterest, cashSettlementTerms.valuationMethod and
in each of the protectionTerms the following are not present: obligations
Context: CreditDefaultSwap
Rule "cd-21b"
If generalTerms.indexReferenceInformation is present and
generalTerms.indexReferenceInformation.tranche is not present then
the following are not present: cashSettlementTermsOrPhysicalSettlementTerms,
feeLeg.periodicPayment.fixedAmountCalculation.calculationAmount,
feeLeg.periodicPayment.fixedAmountCalculation.dayCountFraction,
generalTerms.effectiveDate.dateAdjustments, generalTerms.effectiveDate.dateAdjustmentsReference,
generalTerms.scheduledTerminationDate.adjustableDate.dateAdjustments,
generalTerms.scheduledTerminationDate.adjustableDate.dateAdjustmentsReference,
generalTerms.dateAdjustments and none of the protectionTerms have creditEvents and
none of the protectionTerms have obligations
Context: CreditDefaultSwap
Rule "cd-22"
In each of the protectionTerms the following are not present:
creditEvents.bankruptcy, creditEvents.failureToPay, creditEvents.repudiationMoratorium,
creditEvents.obligationDefault, creditEvents.obligationAcceleration
Context: Currency ("currencyA"), Currency ("currencyB")
Property "same scheme is specified in"
(currencyA.currencyScheme is not present and
currencyB.currencyScheme is not present) or
(currencyA.currencyScheme is present and
currencyB.currencyScheme is present and
currencyA.currencyScheme = currencyB.currencyScheme)

Context: Currency ("currencyA"), Currency ("currencyB")
Property "same currency is specified in"
(The same scheme is specified in currencyA and currencyB) and
currencyA = currencyB
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