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FpML-CD Emerging Markets Standardisation

Title: Emerging Markets Standardisation

Hi all,
I understand the latest industry initiatives for single name standardisation has been agreed upon (see attached note from ISDA). The following products are in scope:

As far as I understand the product characteristics seem to be similar to previous implementations of SNAC / SEC. Specifically:

It appears that the work done to model previous implementations of SEC / SNAC should accommodate the above so do we just need to specify the new matrix transaction / broker conf types within FpML?

Thanks

Mike
<<Emerging Markets Coupon Standardization>>

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Title: ISDA Memorandum

ISDA®
International Swaps and Derivatives Association, Inc.


MEMORANDUM

To:                              Credit Derivatives Market Practice Committee

                                    Credit Steering Committee

                                    Operations Credit Derivatives Working Group

                                    Asia Pacific Operations Credit Derivatives Working Group

                                    Japan Operations Credit Derivatives Working Group

                                    Derivative Users Committee

 

From:                         Karel Engelen (kengelen@xxxxxxxx)

 

Date:                          July 13, 2009

                                    

Subject:                     Emerging Markets Coupon Standardization

 

A working group of industry representatives has agreed to market practice changes for Emerging Markets in Central and Eastern Europe, the Middle East, Africa and Latin America. The group agreed to adopt 100 and 500 bps as the standardized trading coupons to be implemented effective the September 20 2009 roll date. Additional coupons for trading or back-loading could be introduced at a later time if and when the need arises. In addition the group agreed to move from semi annual to quarterly payments and full first coupons at the same time. These changes, with a goal to further standardization, follow the move towards the use of quarterly rolls, which became effective on June 22, 2009. Newly formed working groups for Japan and Asia ex Japan are discussing similar standardization efforts for the APAC region. 

 

 

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