FpML-CD Standardized CDX Tranches

["Ben Lis" <Ben.Lis@xxxxxxxxx>]

Following today's call I contacted Tara Kruse (Chair of ISDA Cred Deriv Ops Group) and Nichole Framularo (ISDA Lead for Cred Deriv) to ensure we had the most up to date details on standardized CDX tranches.

 

Here is summary of the key characterstics of standardized CDX tranches excerpted from a recent meeting from the ops group: 

 

o    ISDA is working on a revised STS that will include the March 2009 Supplement and Auction Settlement Terms, but will also take into consideration the bifurcated approach to accrual needed to support both the old and new contracts.

o    The ISDA CDX Tranche WG decided the following:

Ø  100/500 coupons will apply to IG11 and older

Ø  Starting with IG12, the coupon on any new series going forward will match the index coupon.

Ø  All indices will be quoted upfront + X (s11 and older 0-10 +500 10-100 +100 s12 and older uf + index spread)

Ø  Running will be quoted along side the run using CDSW convention (0 recovery 0-30 40 recovery 30-100)

Roll to new quoting conventions will be May 20th; however, switch to full first coupon will be made June20th to make sure clients and DTCC are ready for the switch regardless of the quoting convention

 

 

Best Regards,

Ben