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

Hi Duncan,

Quick question: What do you mean when you say “This is no longer contained in the paper ISDA confirmation templates for the product so I would consider not required”? Does it mean that it would be part of the master confirmation you have in place for the product with the counterparty and it would not be part of the actual confirm?

Thanks in advance,

Marc

From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Heilbronn, Duncan
Sent: Wednesday, November 28, 2007 10:37 AM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD CDS on MBS ISDA to FpML Translation

To follow on from today's call : My comments in line below [In Red]:

_________________________________________
Duncan Heilbronn
Global Operations
Credit and Equity Derivative Projects
Goldman, Sachs & Co.
85 Broad Street | New York, NY 10004 | Tel: 212.902.4461 | Fax: 646 835 3313
_________________________________________

-----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. [Duncan: This is no longer contained in the paper ISDA confirmation templates for the product so I would consider not required]

Initial Face Amount: This is different from Original Principal Amount. [Duncan: Fixed Rate Payer Calculation Amount]

Applicable Percentage: This is a computed value that is dependent on the
Initial Face Amount. [Duncan: This is confirmed in both the long and short Form as a paragraph of text as per the example. I would not recommend trying to pass as a discrete value as the text contains the words on any day?]

Reference Obligation Notional Amount: This is a computed value that is
dependent on the Applicable Percentage. [Duncan: This is confirmed in both the long and short Form as a paragraph of text as per the example. I would not recommend trying to pass as a discrete value in this case as it cannot be determined before Effective date?]

In section 5 this confirm lists multiple Step-up provisions Does
inclusion of the stepUpProvision element imply the listed provisions? [Duncan: The listed Step up provisions are standard as per the ISDA Document so the presence of the Step up provisions element implies that all of these are applicable]

In section 7 this confirm lists additional provisions. Is there a place
to include these? [Duncan: The first three paragraphs are standard as per the ISDA documents so I would suggest not required. If you wished to include the US Federal Income Tax provisions then I would suggest the General Terms Reference Information Additional Term might be the appropriate place.]

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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