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RE: FpML-CD New iTraxx Index Tranche Trading Convention from March 22nd 2010
Hi All,
Our expectation is that those are CDX HY Tranches that are "added" to
the existing standard tranche type,
so we do not expect to add a new type, rather we'll see more tranches
that are considered "standard tranche".
When "standard tranche" type was introduced last year, this type only
included IG CDX tranches as standard.
Please confirm you agree.
Regards
Victoria Maymin
UBS, Data IT
-----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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