Hi Valerie:
One additional point I should have added here::
FpML's guidance to use the unadjusted date is meant for the case where you are communicating with external systems. In this case, the accepted practice has always been to use the unadjusted date of the 20th, with the understanding that the date is subject to further adjustment for a good business day.
Thanks,
Ben
----- Original Message -----
From: Ben Lis
To: Ben Lis
Sent: Sun Jun 28 12:49:03 2009
Subject: FW: FpML-CD SEC trades: <firstPaymentDate>
________________________________
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Ben Lis
Sent: 28 June 2009 14:03
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD SEC trades: <firstPaymentDate>
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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