Guy
We are already using the approach you suggest below in house, where we
extend Swap in our own namespace as follows
ref="FpML:underlyingAsset" is used to allow reference to a variety of in
house types which extend FpML:UnderlyingAsset
Regards
<!-- lives in another namespace, so no name collision -->
<xsd:complexType name="Swap">
<xsd:complexContent>
<xsd:extension base="FpML:Swap">
<xsd:sequence>
<xsd:element name="creditCost"
type="CreditCost" minOccurs="0"/>
<xsd:element ref="FpML:underlyingAsset"
minOccurs="0">
<xsd:annotation>
<xsd:documentation
xml:lang="en">
Underlying
securities associated with any asset backed swap
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
"Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>
08/06/2005 02:17
Please respond to astf
To: <ird@xxxxxxxxxxxxxxxxxxxxxx>, <astf@xxxxxxxxxxxxxxxxxxxx>
cc: "Weir, John" <john.weir@xxxxxx>, "Bouklieva, Milla"
<Milla.Bouklieva@xxxxxx>, "Burbano, Esteban" <Esteban.Burbano@xxxxxx>,
"Fahy, Tom" <tom.fahy@xxxxxx>
Subject: FpML-ASTF RE: FpML-IRD40 RE: FpML-ASTF next meeting
>> Indeed, it would be inappropriate to conclude that an asset swap is an
ird object that has the bond extension, because a number of dealers appear
to be trading asset swaps without referencing explicitly the bond.
Given the above aren't we concluding that an asset swap is nothing more
than a regular swap with particular stream conventions to mirror a bond.
Why the need therfore to identify it as a special species. For the dealer
that doesn't want to explicitly reference the bond why would it make sense
to have this product in a separate FpML product ? wouldn't the existing
swap product suffice?
Guy
From: Lamy, Pierre [mailto:pierre.lamy@xxxxxx]
Sent: Tuesday, June 07, 2005 8:45 PM
To: 'astf@xxxxxxxxxxxxxxxxxxxx'; 'ird@xxxxxxxxxxxxxxxxxxxxxx'
Cc: Weir, John; Bouklieva, Milla; Burbano, Esteban; Fahy, Tom
Subject: FpML-IRD40 RE: FpML-ASTF next meeting
As a follow-up from the initial discussion that we had a couple of months
back when reviewing the proposal developed by the IRD Working Group, and
in preparation of the further review that we have scheduled for Thursday,
here are my observations on this proposal (which I attach to this email):
1. I think that there is consensus that the asset swap product should be
based upon the ird schema.
2. As part of the ASTF discussions, we have identified the following required
extensions:
The optional bond underlyer
an element to specify whether an adjustment has been made to the leg
schedule that references the bond (isCustomizedPaymentSchedule in our
current internal representation here at Goldman Sachs)
a flag to indicate whether the bond that is referenced is a zero-coupon
bond, in which case there is a one-off payment (excellent suggestion from
Jean Chouraki, at BNPP)
3. John Weir and I are of the opinion that positioning these features through
the ird schema presents two downsides:
It weakens the schema, as each standard interest rate swap can then have
an associated bond;
It makes more difficult the formal identification of the asset swaps.
Indeed, it would be inappropriate to conclude that an asset swap is an ird
object that has the bond extension, because a number of dealers appear to
be trading asset swaps without referencing explicitly the bond. Also, the
suggestion of identifying those through the productId/productType does not
seem necessarily appropriate, because FpML does not provide any guideline
(in terms of scheme, etc.) on how those elements should be used.
Let me know what you think, and let's discuss this coming Thursday. I
hope that we will reach consensus, as this would be a good addition to the
set of FpML products.
From: Karel Engelen [mailto:KEngelen@xxxxxxxx]
Sent: Saturday, June 04, 2005 3:21 PM
To: astf@xxxxxxxxxxxxxxxxxxxx
Subject: FpML-ASTF next meeting
All,
The next meeting will be on Thursday June 9 at 8:30 NY time. The meeting
will be together with the meeting of the IRD working group.
Attached is the original document with an update from our last meeting. A
document with the proposed changes to the Equity Swap structure will be
distributed beginning next week together with the analysis for the Asset
Swap.
Karel
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