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RE: FpML-CD Meeting Notice: Wednesday, March 13th (9am NY/1pm LDN)
Given the late notice for the meeting and Andrew's absence, it's best
for us not to advance the MTF issues on this call.
Also, I believe that we still need to wait for further guidance from the
MTF on one of the two issues assigned to us. Just to refresh everybody's
memory, here are those two items:
5) Consolidate singlePayment and initialPayment
20b) Eliminate use of optional empty element as synonym for Boolean
Item (5) we can progress discussion of this one without further
guidance. However, item (20b) I believe still requires some design
guidelines.
You'll recall the slightly tricky aspect of item (20b). Let's say the
credit event is failure to pay and the minimum payment amount is $1M.
Well, if failure to pay is FALSE, minimum payment amount should be
empty. That validation is enforced by the schema today. If we switch to
Boolean (which I personally see as reasonable), how do we enforce this
validation?
If I'm mistaken and we can advance (20b) straight away, I would suggest
we meet on Wednesday the 20th to discuss the MTF issues. Also, it
probably makes most sense for Brian to join the call we have to discuss
these issues.
Thanks,
Ben Lis
Head of Product Management & Integration
T-Zero
212.323.6041
www.tzero.com
-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: Tuesday, March 11, 2008 3:59 AM
To: cdwg@xxxxxxxx
Subject: Re: FpML-CD Meeting Notice: Wednesday, March 13th (9am NY/1pm
LDN)
Apologies, due to late notice I will be unlikely to join
MTF issues should be discussed
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
matthew.d.rawlings@xxxxxxxxxxxx
Sent by: cdwg@xxxxxxxx
10/03/2008 19:58
Please respond to
cdwg@xxxxxxxx
To
"cdwg" <cdwg@xxxxxxxx>
cc
Subject
Re: FpML-CD Meeting Notice: Wednesday, March 13th (9am NY/1pm LDN)
Shouldn't we also discuss the MTF issues assigned to us?
Matthew +44 7917596827
----- Original Message -----
From: "Ben Lis" [Ben.Lis@xxxxxxxxx]
Sent: 03/10/2008 03:42 PM AST
To: <cdwg@xxxxxxxx>
Subject: 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:
1. CDX Untranched Standard Terms Supplements (Proposal for
contractualSupplementScheme) - see below
2. 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
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The Depository Trust & Clearing Corporation
DTCC Deriv/SERV : Business Analysis & Design
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Phone: + 1 (212) 855 1682
Fax: + 1 (212) 855 1020
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