The group just finished our call on this
topic and the consensus of the attending members was that we should move
forward with adding these scheme values albeit with one slight modification.
The proposed modification is to remove the suffix “Untranched” from
the scheme values. Marc Gratacos raised the point that making this change to
Henri’s proposal ensures consistency with the current scheme values. Here
is the modified proposal:
"CDX"
Standard
Terms Supplement for CDX Untranched Transactions.
"CDXEmergingMarkets"
Standard
Terms Supplement for CDX Emerging Markets Untranched Transactions.
"CDXEmergingMarketsDiversified"
Standard
Terms Supplement for CDX Emerging Markets Diversified Untranched Transactions.
If you have any further questions or
concerns regarding this proposal please raise them on this e-mail thread by the
close of business New York
on Friday, March 14th, 2008. If no unaddressed concerns are raised
by that time a new version of the contractualSupplementScheme that includes the
above values will be issued. This new version will appear in the next published
version of FpML 4.4.
Thanks,
Ben Lis
Head of Product Management &
Integration
T-Zero
212.323.6041
www.tzero.com
From: Ben Lis
Sent: Monday, March 10, 2008 3:02
PM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD CDX
Untranched Standard Terms Supplements (Proposal for
contractualSupplementScheme)
Thanks, Henri.
I will send out a meeting notice for our
usual time on Wednesday (9am NY/1pm LDN). This will be a brief meeting simply
to discuss Henri’s proposed additions to the contractualSupplementScheme.
If you have comments on this proposal,
please circulate them on this e-mail thread in advance of Wednesday’s
call. Our objective should be to come to closure on this topic this week.
Regards,
Ben Lis
Head of Product Management &
Integration
T-Zero
212.323.6041
www.tzero.com
From: cdwg@xxxxxxxx
[mailto:cdwg@xxxxxxxx] On Behalf Of Henri
Pegeron
Sent: Monday, March 10, 2008 11:11
AM
To: cdwg@xxxxxxxx
Subject: FpML-CD CDX Untranched Standard
Terms Supplements (Proposal for contractualSupplementScheme)
Ben/All,
I'd
like to add a proposal for discussion at the next CDWG. Hopefully we can
discuss this on a call this week (or soon after).
DTCC
is looking to include language for the following Credit Index Standard Terms in
FpML:
IG.HY.XO Untranched Standard Terms
EM
Untranched Standard Terms
EM
Diversified Untranched Standard Terms
To
support them, the proposal is to add the following values and descriptions to
the contractualSupplementScheme:
"CDXUntranched"
Standard
Terms Supplement for CDX Untranched Transactions.
"CDXEmergingMarketsUntranched"
Standard
Terms Supplement for CDX Emerging Markets Untranched Transactions.
"CDXEmergingMarketsDiversifiedUntranched"
Standard
Terms Supplement for CDX Emerging Markets Diversified Untranched Transactions.
These
values were based on the existing naming convention in the FpML scheme and the
term "Untranched" was taken from the current terminology used by
ISDA. However it would be beneficial to coordinate/agree upon the FpML
scheme values in sync with the publication of the actual Standard Terms docs by
ISDA to expedite support in the standard.
Regards,
Henri Pegeron
------------------------------------------------------------
The Depository Trust & Clearing Corporation
DTCC Deriv/SERV : Business Analysis & Design
55 Water Street
- New York, NY 10041
Phone: + 1 (212) 855 1682
Fax: + 1 (212) 855 1020
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