CFI code group : Credit [HC]
CFI code group specification as per ISO 10962:2021
An option to buy or sell a credit product which is a contract in which one party (protection seller) agrees to provide payment to the other party (protection buyer) should a credit event occur against the underlying, which could be a specified debt (the reference obligation), a specific debt issuer (reference entity), a basket of reference entities and/or reference obligations, or a credit index (reference index).
CFI code group attributes
1st attribute of group HC : Underlying assets
Possible values are:
U
CDS on a single name
V
CDS on an index tranche
I
CDS on an index
W
Swaps
M
Others (Miscellaneous)
2nd attribute of group HC : Option style and type
Possible values are:
A
European Call
B
American Call
C
Bermudan Call
D
European Put
E
American Put
F
Bermudan Put
G
European Chooser
H
American Chooser
I
Bermudan Chooser
3rd attribute of group HC : Valuation method or trigger
Possible values are:
V
Vanilla
A
Asian
D
Digital (Binary)
B
Barrier
G
Digital barrier
L
Lookback
P
Other path dependent
M
Others (Miscellaneous)
4th attribute of group HC : Delivery
Possible values are:
C
Cash
P
Physical
E
Elect at Exercise