Ben,
As per your request I put my questions re content of various fpml elements for Standard CDX tranches in writing.
Below questions are based on the assumption that Standard CDX tranches can be quoted both spread and upfront. It would be useful to get this confirmed or dismissed.
1) a) <fixedRate>: should it show value of fixed rate of underlying index
b) <fixedRate>: or should it show the fixed rate of the tranche (100 or 500 bps)?
NB: For series 12 and on, the tranche's fixed rate will be the same as the FR of underlying Index but for earlier series that is not the case.
2) a) <MarketFixedRate>: should it show the traded level of tranche ?
i) for spread quoted tranches, is the spread value displayed ii) for upfront quoted tranches, is the implied par spread (does that exist for tranches?) or the traded % level (which will be shown as bps) displayed?
b) <MarketFixedRate>: or should it show the fixed rate of the tranche?
3) <InitialPoints>: if MFR element for upfront quoted tranches is to display the implied par spread as per point 2aii is it required to add initialpoint element to fpml structure to display the traded % level which will be shown as bps
4) <QuotationStyle>: is it required to add Q.S. element to show "pointsUpFront" or "TradedSpread".
As I stressed during the call, we need to have answers for the above in the next day or two as we have to supply clients with correct fpml set up in a test environment prior to go live.
I am looking forward to hearing from you.
Kind regards
Sabine
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
Inter-dealer brokerage | Market Data | Analytical Software
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