RE: FpML-CD FpML-Contingent Credit Spread Transaction (formerly Fixed Recovery Swap)

All,

Discussions on the legal side, particularly with regard to treatment of the new transactions resulting from portfolio compression under the bankruptcy regime, have led to a redefinition of the new trade to CCST: Contingent Credit Spread Transaction. The legal documentation is still being drafted and discussions are still ongoing, particularly on the accounting side, but at this point it is clear that the new transactions will NOT be documented as Fixed Recovery Swaps.

Given the aggressive timeframe to start the compression exercise, I propose the new scheme values below and would like the group to give any comments by COB tomorrow as this value will be distributed to the institutions so that they can make the necessary changes in their systems before August 15, the current tentative starting date.

I propose as well to remove the previously defined scheme value for Fixed Recovery. There was ultimately no legal supplement published for this value.

New proposed value:

Code: ISDA2003ContingentCreditSpreadTransaction

Source: FpML

Description: Additional Provisions for Contingent Credit Spread Transactions dated [August 15, 2008]

Note that there is no notion of fixed recovery anymore under this new transaction (100% or other)

Regards,

Karel

From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Ben Lis
Sent: Wednesday, July 16, 2008 3:28 PM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD Fixed Recovery Swaps - additional scheme value : ADOPTED

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 16^th. 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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