On today’s call the
CDWG moved to add the ISDA2003CreditFixedRecoverySwap value to the
contractualSupplementScheme. The new version of this scheme will appear in the
next published version of the FpML schema.
Thanks for your help
in moving this forward in a timely manner.
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 Ben Lis
Sent: Friday, July 11, 2008 7:15
PM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD Fixed Recovery Swaps
- additional scheme value : CALL FOR
COMMENTS
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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