Pierre,
Regarding the proposed element (1) calculationPeriodDates\stubPeriodType, I
suggest to specify for each stream of an asset-swap having an upfront stub
period, if this stub period was built from a 'short', 'long' or 'full'
coupon.
Only the value 'full' should be specific & limited to the fixed leg of an
asset-swap.
E.g.:
Considering an asset-swap having a tenor of 10 year & 2 month, a fixed leg
frequency yearly, a float leg Euribor12M index (both fixing & payment
frequencies = 12 month), an upfront stub period of 2 month &:
(a) the fixed leg has a full first coupon, i.e. a 12 month interest paid at
the end of the 2 month stub period, to replicate the underlying bond being
paid at any point in time with a dirty price (accrued interests included)
& therefore a full coupon received at the end of the 2 month stub,
(b) the float leg has a short coupon, i.e. an interest based on a 2 month
initial period.
In that case, my suggestion would be that:
(a) the asset-swap stream representing the fixed leg would have an element
stubPeriodType = 'Full'
(b) the asset-swap stream representing the float leg would have an element
stubPeriodType = 'Short'
But I agree with you that the values 'short' & 'long' could also be
relevant to any vanilla swap with a stub period, so as to explicit how the
stub period coupon, part of the swap parameters negociated, has generated
the 1st period of each leg schedule.
Re-using above example, a stubPeriodType = 'Long' on a given stream would
explain a leg schedule having a 1st period of 14 month.
Regards,
Jean
Extranet
pierre.lamy@xxxxxx - 19/04/2005 22:08
Veuillez répondre à astf@xxxxxxxxxxxxxxxxxxxx
Pour : astf
cc :
Objet : RE: FpML-ASTF Réf. : FpML-ASTF Asset swap/total return swap
Jean,
I was looking at your note ahead of tomorrow's meeting, and my
understanding
is that the first suggestion is not specific to the asset swap, i.e. to the
case where the stream of the fixed leg mimics the schedule of a bond. Am I
correct?
Would you have an example that you could provide for the meeting?
-----Original Message-----
From: jean.chouraki@xxxxxxxxxxxxxx [mailto:jean.chouraki@xxxxxxxxxxxxxx]
Sent: Friday, April 15, 2005 1:30 PM
To: astf@xxxxxxxxxxxxxxxxxxxx
Subject: FpML-ASTF Réf. : FpML-ASTF Asset swap/total return swap
Karel & all,
Agreed for the conference call on Wednesday April 20th noon to 1pm NY time
(
5pm to 6pm London time ) I've reviewed the proposal attached in your email
&
here are a few first comments for discussion on the Asset-Swap (not on
Total
return Swap) As I was unavailable for the 2 previous meetings, I hope they
are not too redundant with your previous discussions.
Your proposal seems globally in line with the way we've represented
asset-swap in BNPP, where we kept unchanged the swap stream & only added a
few fields in an additional datamodel. Concerning the stubPeriodType (or
coupon ?) & the zeroCoupon cases, I think that the parametric elements of
FpML could be more explicit (though the schedule elements might allow to
infer some missing parameters):
(1) calculationPeriodDates\stubPeriodType
I noticed this new element (assuming it does not exist in the swapstream of
FpML 4.0) I do agree that we need to represent more comprehensively the
trade details related to the stub period coupon. Quick summary of my
terminology: short coupon = the stub period is between effective date &
firstRegularPeriodStarDate long coupon = the stub period is between
effective date & the end of the first regular period full coupon = to mimic
the underlying bond of an asset-swap, a full interest is paid at the end of
an interest period equivalent to a short coupon.
1st solution: stubPeriodType with 3 possible values = Short, Long or Full
2nd solution: assuming a combination of Long + Full would be relevant, then
2 new elements:
(a) stubPeriodType = Short or Long
(b) fullFirstCoupon = True or False
(2) Flag zeroCoupon = true or false
For the asset-swap fixed leg replicating the one-off payment of a
Zero-coupon underlying bond of an asset-swap, a flag could be created. Even
if a zero coupon swap might be simulated through the existing FpML
compounding elements, it would seem better to show explicitely the actual
deal parameter.
Please note that for both stubPeriodType & zeroCoupon, the same discussion
could occur regarding the swap stream. Regards Jean
Extranet
KEngelen@xxxxxxxx - 13/04/2005 20:53
Veuillez répondre à astf@xxxxxxxxxxxxxxxxxxxx
Pour : astf
cc :
Objet : FpML-ASTF Asset swap/total return swap
Attached documents give an overview of the points discussed in the 2
meetings with the group. At the last call the discussion was taken in the
direction of representing the Total Return type of swaps within the Equity
structure and create a separate structure for asset swaps. The second
document contains the asset swap proposal starting from the proposal GS
submitted to the task force. It would be helpful to get feedback from the
institutions not present at the last call on the approach taken.
I would like to organize a next meeting, Wednesday April 20th at 10:30
a.m.NY time to confirm the approach, go over the outstanding questions and
talk about the next steps for the proposal to the Standards Committee.
Please let me know if date and time work for you.
Karel
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