FpML-CD New iTraxx Index Tranche Trading Convention from March 22nd 2010

[ian.scott@xxxxxxxxxxxxxxxxx]

Hi All,

We are belatedly aware of the below changes to iTraxx Index Tranche 
trading convention, effective March 22nd 2010. These do not seem to have 
been widely communicated in advance (e.g. via CIG). 

As far as I know, these are not confirmably Standardised, i.e. a new type 
of ISDA Transaction Type. 

Knowing this, presumably we will not create a new brokerConfirmationType 
Coding Scheme value (as was done with StandardCDXTranche) to communicate 
the fact that these are traded in a standard form? Or should we define a 
new value and manage the confirmation aspect separately:

StandardiTraxxEuropeTranche 

Opinions sought.

Thanks,

Ian

<NewConvention>
iTraxx Tranche Trading Convention 
Starting:
Monday 22nd March
 
Coupon Structure:
Tranches will trade Full First Coupon
S9 Tranches will trade with Standard Coupons. They will start as follows, 
but may change with time.
0-3 500
3-6 500
6-9 300
9-12 100
12-22 100
22-100 25
 
Quoting Convention:
9-12/12-22/22-100 tranches will continue to be quoted as spreads 
9-12/12-22/22-100 Will have an upfront fee 
9-12 / 12-22 will use 0% recovery
22-100 will use 40% recovery

</NewConvention>


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