FpML-CD marketFixedRate on CDX.NA.HY Index CDS

[ian.scott@xxxxxxxxxxxxxxxxx]

Hi,

We have an issue regarding the use of feeLeg/marketFixedRate on Index CDS.

The market convention for trading CDS on the CDX.NA.HY Index is to work in 
price, rather than spread terms.  Thus, a deal "@ 85.5" is a price of 
85.5% or (alternatively) 14.5 points upfront (clean).

We at BNPP have noted that HY trades from brokers are coming in with a 
value of (e.g.) 0.00855 in the marketFixedRate element. This element is 
also used for transmitting a basis point spread on the IG series indexes; 
thus, on an IG trade, a value of 0.00855 might also be seen, but would 
mean 85.5 basis points.

Is it possible to enhance FpML schema to provide a way of indicating the 
type of value that is being transmitted? Perhaps add an additional value 
to feeLeg/quotationStyle.

Thanks,

Ian



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