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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