Re: FpML-CD Emerging Markets Standardisation

["Ben Lis" <Ben.Lis@xxxxxxxxxx>]

Thanks for raising this to the group, Mike. 

You are right -- we need to update several FpML schemes in order to accommodate this new standardization effort.

I'll contact the ISDA Ops group to verify the new ISDA Transaction Types.

Regards,
Ben

----- Original Message -----
From: cdwg@xxxxxxxx <cdwg@xxxxxxxx>
To: cdwg@xxxxxxxx <cdwg@xxxxxxxx>
Sent: Wed Jul 15 04:49:57 2009
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>> 
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