Brock: We actually haven't gotten many (any?) questions regarding cash settled trades on the mailing list over the years. However, since we do support the ISDA long form, we do support the representation of cash settlement terms. I think we should take a look at the element creditDefaultSwap/cashSettlementTerms/cashSettlementAmount. Here's how we define this element in the schema: "The amount paid by the seller to the buyer for cash settlement on the cash settlement date. If not otherwise specified, would typically be calculated as 100 (or the Reference Price) minus the price of the Reference Obligation (all expressed as a percentage) times Floating Rate Payer Calculation Amount. ISDA 2003 Term: Cash Settlement Amount" This seems pretty similar to the usage you are proposing for fixedRecoveryPercent. Granted, it's not a percent but an actual amount, but since you have the calculation amount you should be to convert to an amount. What do you think? Ben Lis Deputy CTO creditex, Inc. 212-633-7277 -----Original Message----- From: Arnason, Brock (FID) [mailto:Brock.Arnason@xxxxxxxxxxxxxxxxx] Sent: Wednesday, February 09, 2005 7:54 AM To: cd@xxxxxxxxxxxxxxxxxxxxxx Subject: RE: FpML-CD40 Proposal to extend CDS message to include fixedRecoveryPercent field. Agree, for consistency we should opt for fixedRecoveryRate and represent as 0.4. We've been having a fun time tracking down documentation examples. Near as I can tell, the field does NOT appear in standard ISDA long form documentation; it appears to trigger manual confirmation and insertion of a specific clause. Sincerely, Brock -----Original Message----- From: Guy Gurden [mailto:guy.gurden@xxxxxxxxxxxxx] Sent: Wednesday, February 09, 2005 7:44 AM To: cd@xxxxxxxxxxxxxxxxxxxxxx Subject: RE: FpML-CD40 Proposal to extend CDS message to include fixedRecoveryPercent field. I'm not going to be able to attend the meeting today. One small suggestion. From a naming consistency perspective may be better to call this element fixedRecoveryRate. A value of 40% would be represented as 0.4 (same as how other rates are represented in FpML). Is there a corresponding ISDA-defined term for this? Regards Guy -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation. Morgan Stanley may deal as principal in or own or act as market maker for securities/instruments mentioned or may advise the issuers. This is not research and is not from MS Research but it may refer to a research analyst/research report. Unless indicated, these views are the author's and may differ from those of Morgan Stanley research or others in the Firm. We do not represent this is accurate or complete and we may not update this. Past performance is not indicative of future returns. For additional information, research reports and important disclosures, contact me or see https://secure.ms.com/servlet/cls. You should not use e-mail to request, authorize or effect the purchase or sale of any security or instrument, to send transfer instructions, or to effect any other transactions. We cannot guarantee that any such requests received via e-mail will be processed in a timely manner. This communication is solely for the addressee(s) and may contain confidential information. We do not waive confidentiality by mistransmission. Contact me if you do not wish to receive these communications. In the UK, this communication is directed in the UK to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules). --------------------------------------------------------------------- To unsubscribe, e-mail: cd-unsubscribe@xxxxxxxxxxxxxxxxxxxxxx For additional commands, e-mail: cd-help@xxxxxxxxxxxxxxxxxxxxxx This email and any files transmitted with it are intended solely for the person(s)to whom it is addressed. If you are not the intended recipient, please delete the message and all copies of it from your system, and destroy any hardcopies of it and contact the sender of the email. --------------------------------------------------------------------- To unsubscribe, e-mail: cd-unsubscribe@xxxxxxxxxxxxxxxxxxxxxx For additional commands, e-mail: cd-help@xxxxxxxxxxxxxxxxxxxxxx
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