FpML-CD Call Reminder: Wednesday, October 10th 9am NY/2pm LDN

To: <cdwg@xxxxxxxx>
Subject: FpML-CD ABX code
From: "Marc Gratacos" <MGratacos@xxxxxxxx>
Date: Wed, 3 Oct 2007 10:06:19 -0400
Cc: "West, Steven" <Steven.West@xxxxxxxxxx>, "Karel Engelen" <KEngelen@xxxxxxxx>
Reply-to: <cdwg@xxxxxxxx>
Sender: <cdwg@xxxxxxxx>
Thread-index: AcgFxpG0EqtpuY0kRq+cf+Ybis/6bg==
Thread-topic: ABX code

Hi,

On the contractual supplement scheme http://www.fpml.org/coding-scheme/contractual-supplement-6-3.xml we have a code for the ABX Tranche Standard Supplement (ABXTranche) but we don’t have a code for the ABX Standard Supplement (untranched) http://www.markit.com/information/products/abx/documentation.html .

I’d like to propose a new code for the scheme.

<Row>
<Value>
<SimpleValue>ABX</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Standard Terms Supplement for ABX Transactions.</SimpleValue>
</Value>
</Row>

Kind Regards,

-Marc

+13472846531

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To: <cdwg@xxxxxxxx>
Subject: RE: FpML-CD CDS on MBS ISDA to FpML Translation
From: "Marc Gratacos" <MGratacos@xxxxxxxx>
Date: Fri, 5 Oct 2007 09:54:39 -0400
In-reply-to: <46CDCA2C.2010706@xxxxxxxxxxxxx>
References: <46CDCA2C.2010706@xxxxxxxxxxxxx>
Reply-to: <cdwg@xxxxxxxx>
Sender: <cdwg@xxxxxxxx>
Thread-index: AcflrwLaNrvjfBsaRcasKCO8I2nnVAhpjuwA
Thread-topic: FpML-CD CDS on MBS ISDA to FpML Translation

Title: RE: FpML-CD CDS on MBS ISDA to FpML Translation

Robert,

I agree with your questions for coupon and initial face amount. I don't
think we have a way to cover these. Coupon is a plain decimal and we
don't have an initial face amount in the Mortgage underlyer. We have a
face amount but in the Bond underlyer only.

Applicable Percentage and Reference Obligation Notional Amount seem
calculated values to me.

I am not sure about the provisions.

Kind regards,
Marc

-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Robert Stowsky
Sent: Thursday, August 23, 2007 1:56 PM
To: FpML-CD
Subject: FpML-CD CDS on MBS ISDA to FpML Translation

Hello,

I'm in the process of mapping the attached confirm to FpML. I'm not
sure where the following reference obligation values should go:

Coupon: In the confirm this is defined as 1ML + 2.85%. This may be a
bigger question as BondContent.model doesn't seem to support a coupon
that is pegged to an index.

Initial Face Amount: This is different from Original Principal Amount.

Applicable Percentage: This is a computed value that is dependent on the

Initial Face Amount.

Reference Obligation Notional Amount: This is a computed value that is
dependent on the Applicable Percentage.

In section 5 this confirm lists multiple Step-up provisions Does
inclusion of the stepUpProvision element imply the the listed
provisions?

In section 7 this confirm lists additional provisions. Is there a place

to include these?

My apologies if I'm missing something obvious.

Regards,

Robert

--
Robert Stowsky
President & CEO
Brook Path Partners, Inc.
60 State Street
Suite 700 Boston, MA 02109
Tel: 617-988-2729 Ext. 00215
Web: http://www.brookpath.com
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The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.

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