Hi Valerie:
Yes, you are correct, the old “30
day rule” for determining first payment goes away with both SNAC and SEC.
In both your examples below the <firstPaymentDate> element should contain
the Monday date (22nd June, 21st Sep).
Thanks,
Ben
From:
cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On
Behalf Of Valerie Delaby
Sent: 25 June 2009 12:47
To: cdwg@xxxxxxxx
Subject: FpML-CD SEC trades:
<firstPaymentDate>
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”
(http://www.cdsmodel.com/information/cds-model/contentParagraphs/01/text_files/file63/Standard%20Corporate%20CDS%20Contract%20Specification%20-%20May%2012,%202009.pdf)
In the FpML specification, it says:
“<firstPaymentDate> xsd:date
</firstPaymentDate> [0..1] : 'The first UNadjusted fixed rate payer
payment date.”
http://www.fpml.org/spec/fpml-4-6-3-wd-3/html/schemaRef/fpml-cd-4-6.xsd.html_type_PeriodicPayment.html
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!
Best Regards
Valerie
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