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RE: FpML-CD New iTraxx Index Tranche Trading Convention from March 22nd 2010
Hi,
The below is specific to iTraxx, not CDX (as far as I know).
There has been an initiative to have a Standardised CDX HY Tranche; this
was discussed at a CIG sub-WG in February and will go ahead next week.
Below are airbrushed highlights from the minutes of various CIG meetings,
circulated on 2nd Feb:
Regards,
Ian
<Highlights>
... the traders are looking to finalize their standardization of CDX HY
tranches for the March roll. (Currently, many of the tranches are trading
"standard" except they do not have full first coupons.)
The documentation type of CDXTranche covers both CDX IG and CDX HY
tranches. The documentation type of StandardCDXTranche is used ONLY for IG
currently, but could easily be expanded to cover the HY tranches. There
are certain pros and cons with having a different StandardTranche for HY
than IG. This should be discussed in the breakout session along with the
field level rejects/overwrites (see below).
<...and then....>
The group agreed to use the existing Standard CDX Tranche master document
type, currently in production and supporting Standard IG trading.
MarkitSERV will add the additional fixed rate of 0 as well as adding 4 new
attachment / detachment points to the existing template to support HY,
they are 0-15%; 15-25%; 25-35%;35-100%;
</Highlights>
Internet
victoria.maymin@xxxxxxx
Sent by: cdwg@xxxxxxxx
15/03/2010 19:16
Please respond to
cdwg@xxxxxxxx
To
cdwg@xxxxxxxx
cc
Mike.Woods@xxxxxxx
Subject
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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