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Re: FpML-CD minutes 2007-07-25
Marc
You should include the discussion we had regarding types of credit
underlyers
#1 The base type of credit underlyer in FpML is Bond
#2 Convertible Bond extends Bond to include underlying equity and
redemption date
#3 Distinct credit underlyer types such as Loan and Mortgage have been
introduced to support credit derivatives on these types. These types
extend the base class UnderlyingAsset rather than Bond
#4 Discussion of the extreme case of everything being untyped and just
identified, which would result in a "run time" identification of type by
each message endpoint that was able to look up reference data for that
identifier
#5 We will adhere to the current practice of type and identification being
the minimum content, other optional information which is not strictly
transactional may be carried, such as borrower, lien, ... which may be
carried on a Loan
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
"Marc Gratacos" <MGratacos@xxxxxxxx>
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26/07/2007 09:06
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Subject
FpML-CD minutes 2007-07-25
Participants
Ben Lis (T-Zero), chair
Rupali Parab (Goldman Sachs)
Andrew Parry (JPMorgan)
Derek Kleinbauer (JPMorgan)
Karel Engelen (ISDA)
Marc Gratacos (ISDA)
Henri Pegeron (DTCC)
Andy Byatt (DTCC)
1. Overview of Credit Event Notice Timeline and Documentation
March/April 2006 ISDA looked at doing an RFP (Request For Proposal)
process to cover credit events. This was deferred until December since the
settlement protocol took priority. In December the RFP was reopened
focusing on credit event notices. The figure of a central event
administrator was discussed. However, the RFP was not implemented since
the Senior Operations representatives wanted to cover this in DTCC. Since
then, there have been discussions to incorporate a messaging service for
credit event notices at DTCC, not linked with the trade warehouse for the
moment. Some of the topics of discussions are the inclusion of the
publicly available information and whether it would available for request.
In terms of the description of the business process, DTCC is drafting a
service description for how this process will work in the warehouse. This
will be reviewed by the legal experts and the FpML community. It is
expected that DTCC will submit a proposal to the FpML CDWG based on the
service description. There is a proposal available in FpML for credit
events.
2. Mortgage Credit Events & Floating Rate Payment Events
Rupali went through her presentation.
3. Validation rules
There was a joint session with the Validation WG to review the rules and
add support for the new products. There were some questions for the group:
Description of Pre-Conditions:
- SingleName:
creditDefaultSwap/generalTerms/referenceInformation/referenceObligation/bond
or
creditDefaultSwap/generalTerms/referenceInformation/referenceObligation/convertibleBond
- Loan:
creditDefaultSwap/generalTerms/referenceInformation/referenceObligation/loan
- ABS/MBS:
creditDefaultSwap/generalTerms/referenceInformation/referenceObligation/mortgage
cd-1: Loan prerequisite needs to be added: new rule cd-1c with Loan
prerequisite.
cd-2: It applies to all products. Is AsSpecifiedInMasterAgreement enough
to identify the party?
Do we need to specify a short/long form for cds on loans/mortgages? We got
agreement that the group needs to spend more time on this reviewing
existing definitions and looking at new rules of loans and mortgages. In
addition it would be good to publish some of these rules
4. LCDX tranches
Clients have asked DTCC to add support for LCDX tranches. Add a scheme
value ‘LCDXTranche’. Henri will send an e-mail proposing this.
AOB
For mortgage products, would the effective date of the new trade change in
respect to the original trade? Karel will check if there is an exception
for mortgages but as default the effective date of the new trade should be
the effective date of the original trade.
Roadmap. The current coverage for version 4.4 seems to be adequate in
terms of agenda for the group.
Let me know if I missed anything.
Kind Regards,
-Marc
+13472846531
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