FpML-CD Fixed Recovery Swaps - additional scheme value

["Karel Engelen" <KEngelen@xxxxxxxx>]

All,

 

In order to allow the proper documentation of a fixed recovery swaps under the ISDA physical settlement matrix, ISDA will shortly publish additional provisions to the 2003 definitions that will allow for cash settlement of these trades (based on the recovery value specified). In addition ISDA will publish a new version of the Physical Settlement Matrix and form of Confirmation, which allows for optional incorporation of these additional provisions for each of the Transaction types (the provisions will be “not applicable unless otherwise specified in the relevant confirmation”). Finally, the provisions will be drafted such that the Recovery value is 100 unless otherwise specified. The reason for this last point is to allow documenting these trades (under the matrix) for purposes of the portfolio compression exercise, where recovery value is always 100, with minimal impact on existing systems.

 

In order to represent these additional provisions, I propose the addition of the following value to the contractualSupplementScheme:

Code: ISDA2003CreditFixedRecoverySwap

Source: FpML

Description: Additional Provisions for Fixed Recovery Credit Derivative Transactions dated [August 1, 2008]

 

 

Regards,

Karel

212 901 6012

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