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.
________
Answer: You should keep your usage of fixed rate for standard tranche should be the same as your current tranche usage.
As mentioned on the call today it has recently become clear that there are two different usages of the fixed rate element on the FpML tranche today: the fixed rate of the tranche or the fixed rate of the index. This is unfortunate - we may want to determine a best practice as a group at some point in the future (though the point may be rendered moot by further standardization of the product). Therefore, the guidance for the present is to continue what you've been doing to date.
________
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?
________
Answer:
2. The standard tranches will always be quoted and traded with points upfront.
Note, as in 1 above, that if fixedRate contains the published fixed rate of the index, then marketFixedRate should contain the 100/500 standard coupon of the tranche. Otherwise, it should not be required.
________
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
________
Answer: Initial points should always be provided in a broker FpML representation.
________
4) <QuotationStyle>: is it required to add Q.S. element to show "pointsUpFront" or "TradedSpread".
________
Answer: Quotation style will always be "pointsUpFront" for standardized tranches. Since standard tranches are always quoted as PointsUpFront, the field does not really add much. Therefore, you may alternately leave the quotationStyle null.
________
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
**********************************************************************
This email and any files transmitted with it are confidential and
intended solely for the use of the individual or entity to whom they
are addressed. If you have received this email in error please notify
the system manager.
Communications sent from our London offices are, unless stated otherwise, sent on behalf of
GFI Holdings Limited, a limited company registered in England and Wales with registered
office located at 1 Snowden Street, London EC2A 2DQ and registered number 03405222
This footnote also confirms that this email message has been swept by
MIMEsweeper for the presence of computer viruses.
www.mimesweeper.com
**********************************************************************