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RE: FpML-CD marketFixedRate on CDX.NA.HY Index CDS
Hi,
I agree with Ben. Two different data types shouldn't be expressed in the same element. They should be in two distinct elements. A choice between the two pricing elements may be also recommended since they represent two different formats of the same data.
Thanks,
-Marc
________________________________________
From: cdwg@xxxxxxxx [cdwg@xxxxxxxx] On Behalf Of Ben Lis [Ben.Lis@xxxxxxxxx]
Sent: Saturday, July 11, 2009 12:54 AM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD marketFixedRate on CDX.NA.HY Index CDS
Thanks for raising this point, Ian.
What does the WG think about adding a separate price element to
accommodate the HY trades?
This approach would seem to be most consistent with the schema in so far
as we already have separate elements for marketFixedRate and
initialPoints. It also avoids passing what is really two different data
types "price expressed in basis points" and "price as a % of face value
(bond pricing)" in the same element.
The QuotationStyle element is meant to document the quotation method
used and that could be updated with an additional value as Ian suggests.
Let us know your thoughts.....
Regards,
Ben Lis
Head of Product Management & Integration
T-Zero
212.323.6041
www.tzero.com
-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of
ian.scott@xxxxxxxxxxxxxxxxx
Sent: Thursday, July 09, 2009 1:43 PM
To: cdwg@xxxxxxxx
Subject: FpML-CD marketFixedRate on CDX.NA.HY Index CDS
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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