Re: FpML-CD RE: creditDefultSwap - Effective Date in generalTerms

["Marc Teichman" <Marc.Teichman@xxxxxxxxx>]

Hi Jamie,

The old trade between the Transferor and Remaining Party should retain
the original effective date. The new trade between the Transferee and
the Remaining Party should have the new effective date.

The Novation type in FpML has explicit newTransaction and oldTransaction
elements that contain the old and new trades respectively. 

In regards to your question about DTCC, the Deriv/SERV implementation is
in line with the above in that the old trade retains the original
effective date while the new trade assumes the new effective date.

Regards,
Marc Teichman

Product Manager
T-Zero
T: +1-212-323-6045
marc.teichman@xxxxxxxxx

www.tzero.com
________________________________

From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Orme, Jamie
Sent: Tuesday, July 10, 2007 2:29 PM
To: cdwg@xxxxxxxx
Cc: Lamy, Pierre; Parab, Rupali J.; Martensson, Bjorn
Subject: FpML-CD 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 


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