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RE: FpML-CD fpml sample of standard tranche trades

Title: Re: FpML-CD fpml sample of standard tranche trades

Attached an attempt for fpml structure of a standard CDX Tranche

 

Example Trade: CDX.NA.IG.9-V3 10Y Tranche: 3-7% Notional: 10MM Traded@: 500bps+ 25%

Trade Date: 28 May 2009 Maturity Date: 20 Dec 2017

 

my main questions relate to the fee leg block.

 

1) should fixedRate element show the Fixed Rate of Tranche (100=0.01 and 500= 0.05) or the fixedRate of the underlying index?

2) should marketFixedRate element show the Fixed Rate of Tranche or the traded% level in bps?

 

<feeLeg>
                <initialPayment>
                    <payerPartyReference href=""/>
                    <receiverPartyReference href=""/>
                    <paymentAmount>
                        <currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</currency>
                        <amount>2,380,000</amount> [NB: guestimated amount as no access to calculator]
                    </paymentAmount>
                </initialPayment>

                <periodicPayment>
                    <paymentFrequency>
                        <periodMultiplier>3</periodMultiplier>
                        <period>M</period>
                    </paymentFrequency>
                    <firstPaymentDate>2009-06-20</firstPaymentDate> Pay Date immediately following T+1
                    <rollConvention>20</rollConvention>
                    <fixedAmountCalculation>
                        <fixedRate>0.05</fixedRate>    Question1)                
                </fixedAmountCalculation>
                </periodicPayment>
                <marketFixedRate>0.0025</marketFixedRate> Question2)
    </feeLeg>

 
 
 

Sabine Davies
Product Management - STP
T +44 (0)20 7422 1005

 

From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Ben Lis
Sent: 04 June 2009 04:51
To: cdwg@xxxxxxxx
Subject: Re: FpML-CD fpml sample of standard tranche trades

This is a good idea, Sabine.

Any volunteers to take the first stab on this?

Regards,
Ben

----- Original Message -----
From: cdwg@xxxxxxxx <cdwg@xxxxxxxx>
To: cdwg@xxxxxxxx <cdwg@xxxxxxxx>
Sent: Wed Jun 03 11:44:42 2009
Subject: FpML-CD fpml sample of standard tranche trades

Hello,

Will you make a sample fpml available for standard tranche trades?

Regards



Sabine Davies
Product Management - STP
GFI Group
1 Snowden Street, London, EC2A 2DQ
T +44 (0)20 7422 1005 | M +44 (0) 7834 863131
www.GFIgroup.com <http://www.gfigroup.com/> 
Inter-dealer brokerage | Market Data | Analytical Software



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Attachment: fpml attempt standard IG tranche 03-07%.doc
Description: fpml attempt standard IG tranche 03-07%.doc