Based on the current scope of new Standard
templates for September - DTCC proposes adding the following values added
to FpML:
New MCAs http://www.fpml.org/coding-scheme/master-confirmation-type
ISDA2004StandardCreditSovereignEmergingEuropeanAndMiddleEastern
Dummy MCA value mirroring the matrix
term value StandardEmergingEuropeanAndMiddleEasternSovereign.
ISDA2004StandardCreditSovereignLatinAmerican
Dummy MCA value mirroring the matrix
term value StandardLatinAmericaSovereign.
ISDA2003StandardCreditAustraliaNewZealand
Dummy MCA value mirroring the matrix
term values StandardAustraliaCorporate/Sovereign and StandardNewZealandCorporate/Sovereign
.
New Matrix Terms http://www.fpml.org/coding-scheme/credit-matrix-transaction-type http://www.fpml.org/coding-scheme/broker-confirmation-type
StandardEmergingEuropeanCorporateLPN
Matrix Transaction Type of STANDARD
EMERGING EUROPEAN CORPORATE LPN
StandardEmergingEuropeanCorporate
Matrix Transaction Type of STANDARD
EMERGING EUROPEAN CORPORATE
StandardLatinAmericaCorporateBond
Matrix Transaction Type of STANDARD
LATIN AMERICA CORPORATE B
StandardLatinAmericaCorporateBondOrLoan
Matrix Transaction Type of STANDARD
LATIN AMERICA CORPORATE BL
StandardLatinAmericaSovereign
Matrix Transaction Type of STANDARD
LATIN AMERICA SOVEREIGN
StandardEmergingEuropeanAndMiddleEasternSovereign
Matrix Transaction Type of STANDARD
EMERGING EUROPEAN AND MIDDLE EASTERN SOVEREIGN
StandardAustraliaCorporate
Matrix Transaction Type of STANDARD
AUSTRALIA CORPORATE
StandardAustraliaSovereign
Matrix Transaction Type of STANDARD
AUSTRALIA SOVEREIGN
StandardNewZealandCorporate
Matrix Transaction Type of STANDARD
NEW ZEALAND CORPORATE
StandardNewZealandSovereign
Matrix Transaction Type of STANDARD
NEW ZEALAND SOVEREIGN
Regards,
Henri Pegeron
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<Mike.Woods@xxxxxxx> Sent by: cdwg@xxxxxxxx
07/27/2009 07:38 AM
Please respond to
cdwg@xxxxxxxx
To
<cdwg@xxxxxxxx>
cc
Subject
RE: FpML-CD Emerging Markets Standardisation
Hi Ben
Did you have a chance to verify the new Transaction Types with the ISDA
Ops group?
In addition, I believe that Australia / NZ Corporates and Australia / NZ
Sovereigns are also in scope for standardisation in September now as
well.
Thanks
Mike
-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Ben Lis
Sent: 16 July 2009 15:04
To: cdwg@xxxxxxxx
Subject: Re: FpML-CD Emerging Markets Standardisation
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.
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
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