FpML Issues Tracker

1341: creditDefaultSwap/generalTerms/scheduledTerminationDate

January 4, 2024

closed

Tweak

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Schema

5.11 Recommendation (Build 6)

none

MAZA

None

Summary

Good day.

Why according to the scheme "creditDefaultSwap" the element scheduledTerminationDate  is not mandatory?
If it is not mandatory, which element may be used as the identifier of the end of the term of the credit swap contract?
Thank you.
Regards,
Maksym

 

Notes:

  • jbaserba

    03/25/24 12:27 pm

    It is mandatory for most products, it is kept optional for some very specific cases.

     

    Harry McAllister:

    No, nothing to do with the maturity of the trade. From the online documentation:

    Figure 3: generalTerms Element

    The effectiveDate element represents the Effective Date term. In order to optionally allow the explicit specification of a particular business day convention per the 2003 Definitions this element is of type AdjustableDate2. The effectiveDate is optional for the transaction supplement representation of some credit default swap indices.

    The scheduledTerminationDate element represents the Scheduled Termination Date term. This element can be specified as either an adjustable date or a relative date. For confirmation and transparency purposes a specific date will always be specified. Again, the AdjustableDate2 type allows the parties to explicitly specify a particular business day convention per the 2003 Definitions. The Interval type (e.g. 5 Y for a five year deal) is included because this way of expressing a scheduled termination date is quite commonly used in historical price databases. The scheduled termination date is optional for the transaction supplement representation of some credit default swap indices. The effectiveDate and scheduledTerminationDate should always be included for a credit default swap.

    In practice, we expect both elements always to be present.

    Guy Gurden:

    Certainly for all the vanilla cases I can think of, for both single name trades and indices, the scheduled termination date is required. As Harry has pointed out when we set that optionality originally there must have been an example somebody cited where the scheduled termination date wasn’t specified in the transaction supplement (the per transaction confirmed set of data) and was being inferred by other means, e.g. either via a unique additional RED identifier or similar, or else was defined via language in a master confirmation or STS.
    For the main indices such as iTraxx and CDX for a given index series and version there is a common RED 9 identifier across the different maturity dates so the scheduled termination date is required to differentiate transactions maturing on different dates. Below is the Index Annex header from the newly trading iTraxx Europe Series 41 (From https://www.markit.com/Documentation/Product/ITraxx under Index Annexes). Note the common Index RED Code 2I666VDJ1

     

     

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