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ekeenan81
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Posts: 44
Joined: May 4th, 2009, 11:59 am

General Question with SNAC EUR/USD CDS Deals

June 23rd, 2010, 7:35 pm

For the Standard European Corporate and North American Corporate CDS SNAC deals - Business Day Calendar explanation is very general.For example Business Day Calendar is 'Currency Dependent' so where:EUR: LONDON & TARGETGBP: LONDONCHF: LOND & ZURICHUSD: LONDON & NEW YORKMy question is business day calendar currency dependent on ccy of deal, ccy of reference entity, or both?For example say I have a CDS deal denominated in USD but there is a EUR underlying reference obligation specified.Do I observe LONDON & NEW YORK & TARGET (EUROPE), or just LONDON & NEW YORK?Along similar lines if I have a EUR deal with a USD underlying reference obligation specified, which business days would I observe?
 
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frattyquant
Posts: 362
Joined: March 4th, 2010, 8:10 am

General Question with SNAC EUR/USD CDS Deals

July 7th, 2010, 6:26 am

QuoteFor example say I have a CDS deal denominated in USD but there is a EUR underlying reference obligation specified.Do I observe LONDON & NEW YORK & TARGET (EUROPE), or just LONDON & NEW YORK?Actually its usually just London. QuoteAlong similar lines if I have a EUR deal with a USD underlying reference obligation specified, which business days would I observe?This almost never happens, but you would observe Target for such a deal. Rather than looking at things this way, its much much easier to just figure out what calendar was specified in the confirm.
 
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dvl84
Posts: 14
Joined: July 6th, 2010, 1:01 pm

General Question with SNAC EUR/USD CDS Deals

July 7th, 2010, 5:30 pm

CDS is all OTC so if you wanna trade TOKYO calendar, there will most likely be someone to quote you that...
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