RE: MTF issues for CDWG

Ben –

As requested, we discussed this at today’s MTF.

We recommend adding a Boolean element named “applicable” to those credit event structures that contain content other than simple applicability. See attached for an example with failureToPay.

The MTF also recommended today that as part of this change, you should create business rules that specify which of the credit event elements should be included for short and long forms of each of the different types of products that you support, e.g. single name CDS, index, CDS on loans, CDS on mortgages, etc.

Regards,

Brian Lynn

From: Ben Lis [mailto:Ben.Lis@xxxxxxxxx]
Sent: Tuesday, March 11, 2008 11:33 PM
To: Brian Lynn
Subject: RE: MTF issues for CDWG

Hi Brian:

Very happy to progress this one. Now looking at these issues

• 5) Consolidate singlePayment and initialPayment

• 20b) Eliminate use of optional empty element as synonym for boolean

5 we can progress this one, no problem. However, 20b, can the MTF provide design guidelines on the Boolean issue? You’ll recall the slightly trick aspect of this one. Let’s say the credit event is failure to pay and the minimum payment amount is $1M. Well, if failure to pay is FALSE, minimum payment amount should be empty (or not appear in the document at all).

Ben Lis

Head of Product Management & Integration

T-Zero

212.323.6041

www.tzero.com

From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Friday, March 07, 2008 12:44 PM
To: Ben Lis
Subject: MTF issues for CDWG

Ben –

I wanted to follow up on the status of the recommendations that the modeling task force raised against a couple of items in the credit derivatives area.

I understand that the CDWG hasn’t met for some time, perhaps partly due to the market turmoil. I was wondering what the status of those items was, and whether there was any expectations that they would be addressed in the relatively near future.

Best regards,

Brian Lynn