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RE: FpML-CD New iTraxx Index Tranche Trading Convention from March 22nd 2010
Hi Ian:
The creation of new documentation-oriented scheme values in CDS, even
for broker confirm codes, has always been driven by publically available
legal documentation. Since we don't have those docs here, I wouldn't be
in favor of adding a new code.
On the other hand, if there is a strong feeling in favor of creating a
new code amongst CDWG members, I wouldn't object either.
Best Regards,
Ben Lis - Head of Product Management and Integration
ICE Processing
875 Third Avenue | New York, NY 10002
Tel: 212.323.6041
Ben.Lis@xxxxxxxxxx
-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of
ian.scott@xxxxxxxxxxxxxxxxx
Sent: Monday, March 15, 2010 2:51 PM
To: cdwg@xxxxxxxx
Subject: FpML-CD New iTraxx Index Tranche Trading Convention from March
22nd 2010
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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