Re: FpML-CD proposal for impliedWritedown elements for CDS on CDO confirmation

Thanks for circulating your proposal, Tony. I ask the other CDWG members to post any comments on it via this email thread.

We will add a discussion of this proposal as an agenda item for our next CDWG meeting.

From: cdwg@xxxxxxxx <cdwg@xxxxxxxx>
To: cdwg@xxxxxxxx <cdwg@xxxxxxxx>
Cc: Giridharan, Narendhiran <Narendhiran.Giridharan@xxxxxx>; Wong, Cindy (Technology) <Cindy.X.Wong@xxxxxx>
Sent: Wed Sep 30 19:29:47 2009
Subject: FpML-CD proposal for impliedWritedown elements for CDS on CDO confirmation

Hi all,

We would like to propose a change to the Credit FpML schema to support Implied Writedown Credit Event and Floating Rate Payment Event. Implied Writedown is already defined in the ISDA doc to support confirmation for CDS on CDO.

Please find attached the proposal document as well as updated 4.6 FpML schema with the proposed changes.

Proposed changes:

<<impliedWritedown proposal to support CDS on CDO.doc>>

FpML 4.6 Schema with the proposed changes:

<<fpml-option-shared-4-6.xsd>> <<fpml-cd-4-6.xsd>>

Here is a link to ISDA doc on CDS on CDO:

http://www.isda.org/publications/isdacredit-deri-def-sup-comm.aspx#rc

Please let us know if you need more information.

Thanks,

Tony Kao

Goldman, Sachs & Co.

85 Broad Street | New York, NY 10004

Tel: +1 (212) 357-6111

Email: tony.kao@xxxxxx

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