As a follow up from the meeting this morning, I checked with the
documentation people. The documentation will be finalized by the end of next
week. Given the current draft documentation, I am in favor of the values
proposed by Henri, with the addition of "Untranched Transactions" to
the description. Any views if LATAM should be all caps?
updated proposal:
Code:
CDXLATAM (or CDXLatam?)
Source: FpML
Description: Standard Terms Supplement for CDX
LATAM Untranched Transactions
Regards,
Karel
From: cdwg@xxxxxxxx
[mailto:cdwg@xxxxxxxx] On Behalf Of Henri Pegeron
Sent: Tuesday, August 26, 2008 1:39 PM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD Next Meeting: August 27th - CDX.LATAM / LATAMX
Ben,
Current draft docs for CDX LATAM attached.
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
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"Ben
Lis" <Ben.Lis@xxxxxxxxx>
Sent by:
cdwg@xxxxxxxx
08/25/2008
03:57 PM
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Subject
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RE:
FpML-CD Next Meeting: August 27th - CDX.LATAM / LATAMX
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Sounds
good, Henri.
For
sake of completeness, can you please also circulate the draft docs associated
with this new index?
Thanks,
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, August 25, 2008 3:41 PM
To: cdwg@xxxxxxxx
Subject: Re: FpML-CD Next Meeting: August 27th - CDX.LATAM / LATAMX
Ben/All,
An "AOB" item for this weeks agenda.
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
08/25/2008
09:17 AM
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FpML-CD
Next Meeting: August 27th, 9am NY/2pm LDN
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Here are the details for our call on Wednesday:
Time:
9:00 – 10:30AM, NY
2:00 – 3:30PM, LDN
Call-In details:
US: 1 888 - 481 – 3032
Intl: 1 617- 801- 9600
UK: 0800- 904-7961
Part. Code: 52016709
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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