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Hello, Few clients raised a concern about the firstPaymentDate provided
in the FpML for SEC trades. With the standardisation initiative, we understand that the
first payment date should always be the next Quarterly Date, and that it should
not be pushed to the second quarterly date when the trade is done within 30
days of the next quarterly date. Eg: trade date = 15Jun09 -> first payment date = 20Jun09 Does this apply to both SNAC and SEC? My other question is about adjusted or unadjusted first
payment date. In ISDA Standard European CDS Contract specification, it
says: “First Coupon Payment Date: earliest Adjusted CDS Date after T+1
calendar” In the FpML specification, it says: “<firstPaymentDate> xsd:date
</firstPaymentDate> [0..1] : 'The first UNadjusted fixed rate payer
payment date.” What should we provide in the < firstPaymentDate> field? Trade Date 18th June = 20th June (Saturday) First payment
date, or 22th June (Monday) ? trade date 19th June = 20th Sep (Sunday) first payment date,
or 21th Sep (Monday) ? Thanks for your help! Valerie This communication and all information contained in or attached to it (including, but not limited to market prices/levels and market commentary) (the "Information") is for informational purposes only, is confidential, may be legally privileged and is the intellectual property of one of the companies of ICAP plc group ("ICAP") or third parties. The Information is subject to ICAP's terms of business as published or communicated to clients from time to time and is directed to Eligible Counterparties and Professional Customers only and is not intended for Retail Clients (as each term is defined by the rules of the Financial Services Authority ("FSA"). The Information is not, and should not be construed as, an offer, bid, recommendation or solicitation in relation to any financial instrument or investment or to participate in any particular trading strategy. The Information is not to be relied upon and is not warranted, including, but not limited, as to completeness, timeliness or accuracy and is subject to change without notice. All representations and warranties are expressly disclaimed. Access to the Information by anyone other than the intended recipient is unauthorised and any disclosure, copying or redistribution is prohibited. ICAP Securities Limited and certain of its affiliates are authorised and regulated by the FSA. For further regulatory information and our terms of business, please see www.icap.com. If you receive this message in error, please immediately delete all copies of it and notify the sender. We have taken precautions to minimise the risk of transmitting software viruses, but we advise you to carry out your own virus checks on any attachment to this message. We cannot accept liability for any loss or damage caused by software viruses. |