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Re: FpML-CD Emerging Markets Standardisation
Hi All,
With EMK Standardisation, it might be opportune for the WG to review the
following element:
FpML/trade/creditDefaultSwap/protectionTerms/creditEvents/restructuring/multipleHolderObligation
type="Empty" minOccurs="0"
Documentation:
"In relation to a restructuring credit event, unless multiple holder
obligation is not specified restructurings are limited to multiple holder
obligations. A multiple holder obligation means an obligation that is held
by more than three holders that are not affiliates of each other and where
at least two thirds of the holders must agree to the event that
constitutes the restructuring credit event. ISDA 2003 Term: Multiple
Holder Obligation."
The issue is that MHO is applicable to the vast majority of Single Name
CDS yet we never see it on the incoming FpML that we receive from brokers.
This is because MHO is intrinsic to the matrix transaction types and has
no financial impact, I assume. A strict FpML processor should create such
trades without MHO being applicable, which would consequently take them
out of short form confirmation.
With the EMK transaction types, MHO does not normally apply except in
certain cases, where the Obligation is a Loan rather than a Bond. It would
be good if this could be reasonably easily transmitted in FpML.
My suggestion would be a new optional element :
FpML/trade/creditDefaultSwap/protectionTerms/creditEvents/restructuring/noMultipleHolderObligation
this recognises that MHO "applicable" is de facto the normal case and
allows us to manage by exception.
This is all very low priority from BNPP's point of view but may be more of
interest to other institutions.
Regards,
Ian
Internet
Mike.Woods@xxxxxxx
Sent by: cdwg@xxxxxxxx
15/07/2009 09:49
Please respond to
cdwg@xxxxxxxx
To
cdwg@xxxxxxxx
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Subject
FpML-CD 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:
Emerging Market Corporate
Emerging Market Sovereign
Latin American Corporate
Latin American Sovereign
CDX Emerging Market Index
As far as I understand the product characteristics seem to be similar to
previous implementations of SNAC / SEC. Specifically:
Payment Frequency: Change from Semi-Annual to Quarterly
Fixed Spreads of 100 or 500
Upfront fee to settle the traded spread / up-front points and accrued
interest
Full First Coupon
Standard maturity Date (Mar-20, Jun-20, Sep-20, Dec-20).
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>>
----- Message from <lsmith@xxxxxxxx> on Mon, 13 Jul 2009 22:23:44 +0100
-----
To:
<Ben.Lis@xxxxxxxxxx>
Subject:
Emerging Markets Coupon Standardization
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.
NEW YORK • LONDON • SINGAPORE • TOKYO • HONG KONG • BRUSSELS •
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