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These values were agreed by the FpML Credit Derivatives Working Group to support Emerging Markets Standardisation. See below.
From: cdwg@xxxxxxxx [cdwg@xxxxxxxx] On Behalf Of Ben Lis [Ben.Lis@xxxxxxxxxx] Sent: Tuesday, July 28, 2009 3:11 AM To: cdwg@xxxxxxxx Subject: RE: FpML-CD Emerging Markets Standardisation -- call for comments ending August 3rd. I second Henri's proposal. If any CDWG members has objections/comments/questions regarding this proposal, please raise them on this email thread by close of business August 3rd, 2009. If no unaddressed
concerns are raised by this time, these new values will be added to the production FpML schemes.
Best Regards,
Ben Lis
From: cdwg@xxxxxxxx on behalf of Henri Pegeron Sent: Mon 7/27/2009 9:11 AM To: cdwg@xxxxxxxx Subject: RE: FpML-CD Emerging Markets Standardisation Ben/All, 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 ------------------------------------------------------------ The Depository Trust & Clearing Corporation DTCC Deriv/SERV : Business Analysis & Design 55 Water Street - New York, NY 10041 Phone: + 1 (212) 855 1682 Fax: + 1 (212) 855 1020
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. Regards, Ben ----- Original Message ----- From: cdwg@xxxxxxxx <cdwg@xxxxxxxx> To: cdwg@xxxxxxxx <cdwg@xxxxxxxx> Sent: Wed Jul 15 04:49:57 2009 Subject: FpML-CD Emerging Markets Standardisation 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 <<Emerging Markets Coupon Standardization>> This message may contain confidential information and is intended for specific recipients unless explicitly noted otherwise. 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