FpML-CD Minutes from CDWG Meeting 11-21-2007

'“Moral Obligation Liability” means any liability of the Reference Entity that is contingent upon an appropriation being made by the governing body or other official of the Reference Entity'

We might not need the proposal. Jamie Orme is awaiting on confirmation from ISDA that it included in the definition of 'General Fund Obligation Liability' and 'Revenue Obligation Liability'.

2. Adjustment to rule cd-1b

Marc’s proposal the adjustment to rules CD-1b:

cd-1b (Mandatory)

Preconditions: CreditIndex

If creditDefaultSwap/generalTerms/effectiveDate/unadjustedDate is present, tradeHeader/tradeDate must be equal or after creditDefaultSwap/generalTerms/effectiveDate/unadjustedDate.

The rationale for this adjustment is that in some index confirms the effective date is not present since referencing the index and the series is enough to know the effective date of the index. That’s why is optional in the schema.

Henri Pegeron supported the idea. “There is no harm to add a good validation rules. “

Tony Kao raised a point that this rule indicated that the trade date cannot be earlier then the effective date. Effective date of the Contract - Effective date of the Index Contract – when the series of versions are issued. Indexes issued March and September on the 20 – effective date is that day +1.

Ben proposed to take it away and look at those days and probably give Markit partners a call.

Action: Discuss at the next meeting.

3. Scheme code change Proposals

Marc Gratacos proposed to add the CMBX code to the contractual supplement scheme to support Standard Terms Supplement for CMBX Transactions.

Marc also proposed to change the existing ABX.HH code (which is present in the broker confirmation type and the credit matrix transaction type schemes) to ABX. Henri Pegeron agree to the proposal, but would like to add ABX instead of replacing, just to make sure the old value has not been used anywhere.

Ben will research the rationale behind ABX.HH code.

DTCC proposal to add FpML support for Emerging European Corporate LPN - add EmergingEuropeanCorporateLPN value to Credit Matrix Transaction Type scheme and ISDA2007AdditionalProvisionsLPN to contractual supplement scheme.

Karel added that If you choose Credit Matrix Transaction Type for LPN, it automatically includes the provision for LPN, but if you confirming your trade, without using Matrix, you would have to specify provision for LPN as well.

The “ISDA2007AdditionalProvisionsLPN” names would need to be modified to show 2003 instead of 2007

Karel Engelen proposed to add to the contractual supplement scheme the following values:

“ISDA2003STMicroelectronicsNV” - “Additional Provisions for STMicroelectronics NV dated December 3, 2007”

ISDA2003LPNReferenceEntities2007 - “Additional Provisions for LPN Reference Entities dated December 3, 2007”

Ben Lis mentioned the importance of maintaining the consistency between Broker Confirm Type scheme and the Credit Matrix transaction scheme.

Action: Marc Gratacos will incorporate all the values into the schemes and send it to the group for review. Make sure Broker Confirmation Type and Credit Matrix Transaction Type schemes are in sync

4. Update on Trade Execution Time Proposal

The proposal was added to 4.3CLWD2 and published in October

5. CDS on MBS – issues noted by Robert Stowsky

Henri and Rupali agreed to research the issues Robert raises to see if they’ve encountered them in their organizations.

The issue will be reviewed on the next meeting

6. Open Issues:

http://www.fpml.org/issues/view.php?id=362 – Coding Scheme for Seniorities needs extending -CDWG agrees to the proposal. Moved to Coordination Committee since it is not only applicable to credit derivatives.

http://www.fpml.org/issues/view.php?id=298 - BrokerConfirmation is weakly defined. The definition needs to be reworded, but the renaming needs to be revisited in 5-0 version. There are some architectural about naming and containers that should be tackled by the Modelling Task Force. The group agree that The beauty of the name should not overweight the cost of doing that. This issue needs to be reviewed by the coord committee, when we have Matthew and Andrew Parry on the call. DTCC and T-Zero view is that it's not worth doing these changes. Need to have Matthew on the next meeting.

http://www.fpml.org/issues/view.php?id=294 – EntityName. Shouldn't this be plain "Name"? Ben feels it should be the plain name, but it falls in the same category as the previous issue. Suggestion from Ben to update EntityName and entityName annotations

http://www.fpml.org/issues/view.php?id=293 - EntityId - wrong name, missing definition. The wrong name (same category as above), missing definition need to be added. Suggestion from Ben to add annotation from element.

http://www.fpml.org/issues/view.php?id=289 – ContractualTermsSupplement - Missing documentation. Suggestion from Ben to add annotation. http://www.fpml.org/issues/view.php?id=288 - ContractualSupplement - missing documentation. Suggestion from Ben to add annotation.

http://www.fpml.org/issues/view.php?id=287 – will be take care of

http://www.fpml.org/issues/view.php?id=286-298 are duplicates. Documentation needs to be added.

7. CEN proposal

A.P will re-circulated the CEN proposal that covers the whole CEN event life cycle. DTCC established a working group that works on CEN proposal, CDWG was waiting on their work. However, the proposal from DTCC is not expected to be submitted to CDWG in the next quarter. Karel Engelen suggested to engage the JPM proposal and start incorporated it.

Henri Pegeron update– Gregg Rapaport of DTCC does have a Credit Event Life cycle proposal however, it is not ready to be presented. DTCC is proposing now to start working on the JPM proposal and DTCC’s Credit Event working group will be aware of that CDWG and then BPWG will be focusing on Credit Event Life cycle work. DTCC will be reviewing the proposal.

Action: CDWG will continue to work on the JPM proposal.

Until the next meeting, please be free to send your comments by e-mail on all submitted issues and topics.

Feel free to send your comments if I missed any points of the discussion.

Kind Regards,

Irina Yermakova