Markit is looking to publish another
CDX index in September covered under a new set of CDX LATAM Standard Terms
(as a regular supplement to the 2003 ISDA Def). DTCC has run some
initial analysis on the new STS and it appears that FpML will only need
to support a new value to the contractualSupplementScheme to cover CDX.LATAM
indices (no additional fields or elements at this time).
I'd like to propose that the CDWG start
to consider adding a value to the contractualSupplementScheme to support
the STS.
An initial proposal:
Code: CDXLATAM
(or possibly LATAMX) Source: FpML Description: Standard
Terms Supplement for CDX LATAM
LATAM appears to have been baselined
from the CDX EM STS, which would support going with a CDXLATAM value in
FpML, however the documentation is referenced as both "CDX LATAM"
and "LATAMX".
I'll look to the group on which value
would be a better fit in the scheme for FpML.
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
"Ben Lis" <Ben.Lis@xxxxxxxxx> Sent by: cdwg@xxxxxxxx
Agenda: 1. Add entityType for Single
Name CDS
2. Adjusted/Unadjusted Exercise
Date for IRD/CD Options
3. Optional Boolean fields for
review
4. AOB
Regards,
Ben Lis Head of Product Management
& Integration
T-Zero
212.323.6041
www.tzero.com
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