FpML-CD RE: creditDefultSwap - Effective Date in generalTerms

["Orme, Jamie" <jamie.orme@xxxxxx>]

Title: RE: creditDefultSwap - Effective Date in generalTerms

Can we raise this issue as part of the next WG meeting (tomorrow?).  Would be good to get a DTCC viewpoint on this.

Thanks

Jamie

_____________________________________________
From:   Orme, Jamie 
Sent:   Friday, July 06, 2007 5:18 PM
To:     'cdwg@xxxxxxxx'
Cc:     Lamy, Pierre; Parab, Rupali J.; Martensson, Bjorn
Subject:        creditDefultSwap - Effective Date in generalTerms

All,

We are seeking clarification on how the Effective Date should be represented within the General Terms on a Credit Default Swap, especially post assignment/novation.

For example:

Trade with effective date of 16th December 2005:




                    <generalTerms>
                        <effectiveDate>
                            <unadjustedDate>2005-12-16</unadjustedDate>
                            <dateAdjustments>
                                <businessDayConvention>NONE</businessDayConvention>
                                <businessCenters>
                                    <businessCenter>GBLO</businessCenter>
                                    <businessCenter>EUTA</businessCenter>
                                </businessCenters>
                            </dateAdjustments>
                        </effectiveDate>
                        ….

If the novation/assignment is effective on 15th December 2006, should the general terms be:

1) As before, with the Effective Date of 16th December 2005:




                    <generalTerms>
                        <effectiveDate>
                            <unadjustedDate>2005-12-16</unadjustedDate>
                            <dateAdjustments>
                                <businessDayConvention>NONE</businessDayConvention>
                                <businessCenters>
                                    <businessCenter>GBLO</businessCenter>
                                    <businessCenter>EUTA</businessCenter>
                                </businessCenters>
                            </dateAdjustments>
                        </effectiveDate>
                        ...

OR

2) Should the Effective Date change to reflect the new assignment effective date:

                     <generalTerms>
                        <effectiveDate>
                            <unadjustedDate>2006-12-15</unadjustedDate>
                            <dateAdjustments>
                                <businessDayConvention>NONE</businessDayConvention>
                                <businessCenters>
                                    <businessCenter>GBLO</businessCenter>
                                    <businessCenter>EUTA</businessCenter>
                                </businessCenters>
                            </dateAdjustments>
                        </effectiveDate>
                        ...

Currently our internal representation is in-line with 1), which assumes that the Fpml contains the contractual representation of the deal.  We have modelled the assignment effective date within a life-cycle event node, outside of the "main" Fpml element.

Is that correct?  Any help/guidance on this matter would be greatly appreciated.

Many Thanks

Jamie