FpML-CD CDX Untranched Standard Terms Supplements (Proposal for contractualSupplementScheme)

[Henri Pegeron <hpegeron@xxxxxxxx>]

Ben/All,
I'd like to add a proposal for discussion
at the next CDWG.  Hopefully we can discuss this on a call this week
(or soon after).

DTCC is looking to include language
for the following Credit Index Standard Terms in FpML:

IG.HY.XO Untranched Standard Terms
EM Untranched Standard Terms
EM Diversified Untranched Standard Terms

To support them, the proposal is to
add the following values and descriptions to the contractualSupplementScheme:

"CDXUntranched"
Standard Terms Supplement for CDX Untranched
Transactions. 

"CDXEmergingMarketsUntranched"
Standard Terms Supplement for CDX Emerging
Markets Untranched Transactions. 

"CDXEmergingMarketsDiversifiedUntranched"
Standard Terms Supplement for CDX Emerging
Markets Diversified Untranched Transactions. 

These values were based on the existing
naming convention in the FpML scheme and the term "Untranched"
was taken from the current terminology used by ISDA.  However it would
be beneficial to coordinate/agree upon the FpML scheme values in sync with
the publication of the actual Standard Terms docs by ISDA to expedite support
in the standard.


Regards,
Henri Pegeron
------------------------------------------------------------
The Depository Trust & Clearing Corporation 
DTCC Deriv/SERV : Business Analysis & Design
55 Water Street - New York, NY 10041
Phone: + 1 (212) 855 1682
Fax: + 1 (212) 855 1020



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