RE: FpML-CD CDX Untranched Standard Terms Supplements (Proposal for contractualSupplementScheme) - Last Call for Comments

[Henri Pegeron <hpegeron@xxxxxxxx>]

Ben,
Apologies for not being able to attend.  I appreciate you moving forward
with this proposal and discussing it on the call.  

As for the removal of "Untranched",
Marc's point is valid and I agree with the change.

Regards, Henri
------------------------------------------------------------
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

"Ben Lis" <Ben.Lis@xxxxxxxxx>
Sent by: cdwg@xxxxxxxx

03/12/2008 09:48 AM

Please respond to
cdwg@xxxxxxxx

To	"Ben Lis" <Ben.Lis@xxxxxxxxx>, <cdwg@xxxxxxxx>
cc
Subject	RE: FpML-CD CDX Untranched Standard Terms Supplements (Proposal for contractualSupplementScheme) - Last Call for Comments

The group just finished our
call on this topic and the consensus of the attending members was that
we should move forward with adding these scheme values albeit with one
slight modification. The proposed modification is to remove the suffix
“Untranched” from the scheme values. Marc Gratacos raised the point that
making this change to Henri’s proposal ensures consistency with the current
scheme values. Here is the modified proposal:
 
"CDX"
Standard Terms Supplement for CDX Untranched Transactions. 

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

"CDXEmergingMarketsDiversified"
Standard Terms Supplement for CDX Emerging Markets Diversified Untranched
Transactions. 
 
If you have any further questions
or concerns regarding this proposal please raise them on this e-mail thread
by the close of business New York on Friday, March 14th, 2008.
If no unaddressed concerns are raised by that time a new version of the
contractualSupplementScheme that includes the above values will be issued.
This new version will appear in the next published version of FpML 4.4.
 
Thanks,
 
Ben Lis
Head of Product Management
& Integration
T-Zero
 
212.323.6041
www.tzero.com

---

From: Ben Lis 
Sent: Monday, March 10, 2008 3:02 PM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD CDX Untranched Standard Terms Supplements (Proposal
for contractualSupplementScheme)
 
Thanks, Henri. 
 
I will send out a meeting notice
for our usual time on Wednesday (9am NY/1pm LDN). This will be a brief
meeting simply to discuss Henri’s proposed additions to the contractualSupplementScheme.

 
If you have comments on this
proposal, please circulate them on this e-mail thread in advance of Wednesday’s
call. Our objective should be to come to closure on this topic this week.
 
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 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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