I second Karel’s proposal.
Given the time critical nature of this
addition to the scheme, I ask that anyone with questions or concerns regarding
this proposal to please raise them on this e-mail list prior to 9am NY time/2pm
LDN time, Wednesday July 16th. We will hold a meeting of the CDWG at
that time to move to adopt this change unless there are unaddressed objections.
Thanks,
Ben Lis
Head of Product Management &
Integration
T-Zero
212.323.6041
www.tzero.com
p.s. There are a couple of other
items for us to discuss on Wednesday’s call. I will circulate an agenda
and the dial-in details on Monday.
From: cdwg@xxxxxxxx
[mailto:cdwg@xxxxxxxx] On Behalf Of Karel
Engelen
Sent: Friday, July 11, 2008 7:00
PM
To: cdwg@xxxxxxxx
Subject: FpML-CD Fixed Recovery
Swaps - additional scheme value
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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