Re: FpML-CD Meeting Notice: Wednesday, March 13th (9am NY/1pm LDN)

Sorry for the very late notice but we would like to settle on these scheme values quickly so electronic support can be added as close to the publication of the docs as possible.

Time:

9:00 – 10:00AM, NY

1:00 – 2:00PM , LDN

Don’t think we will take anywhere near the full time! Please note the 1pm start time in London because of the four hour time difference this week.

Call-In details:

US: 1 888 - 481 – 3032

Intl: 1 617- 801- 9600

UK: 0800- 904-7961

Part. Code: 52016709

Agenda:

CDX Untranched Standard Terms Supplements (Proposal for contractualSupplementScheme) – see below
All other business

Ben Lis

Head of Product Management & Integration

T-Zero

212.323.6041

www.tzero.com

From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Henri Pegeron
Sent: Monday, March 10, 2008 11:11 AM
To: cdwg@xxxxxxxx
Subject: FpML-CD CDX Untranched Standard Terms Supplements (Proposal for contractualSupplementScheme)

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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