Calculation period in CDS

[kintzicl]

Hi, I am trying to find a place to put the calculation period information in the element in the FpML 4.3 recommendation. Initially, I thought that calculation periods are not relevant for CDS/CDI since the protection fee is usually fixed and should not change depending on the adjusted calculation period dates. The default leg doesn’t need it either obviously. However, upon looking at the 2003 ISDA Credit Derivatives Definitions, I did find a provision for a fixed rate payer calculation period (Section 2.9) for which I now can’t find the equivalent in FpML. Thank you very much for any input you can provide!

[mgratacos]

Hi, The structure to represent the fixed payments for CDS/CDI is the feeLeg. Please look at section 6.4 of the specification for the different types of payments that can be represented. The section also includes snippets with examples of the different fixed payments. Hope this helps. -Marc

[kintzicl]

Hi Marc, thanks for replying. Unfortunately, I am not looking for the payment dates but the calculation dates. In the element used for IRS/INF, there are different structures for these. I am unable to find the equivalent for . There is a in the , but I would also need something like a . Regards, Claude

[mgratacos]

Hi Claude, In credit derivatives, the calculation is embedded within the Fee Leg. The protection fee is a fixed payment and the total length of the leg is specified by the Effective Date and the Termination Date of the transaction. Look at the snippets I pointed out before to see the different types of fixed payments that can be represented. The firstPeriodStartDate element is normally used in case of Novations. When there is a novation, the start date of the initial calculation period is not equal to the trades effective date. But in general, the calculation period start date corresponds to the effectiveDate and the calculation period end date corresponds to the terminationDate of the transaction. Hope this helps. -Marc

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