CDWG,
We would like to update
the creditDefaultSwap schema to fully support Fixed Recovery
swaps.
Currently the cashSettlementTerms only allows for
Fixed Recovery where an amount is specified:
<cashSettlementTerms>
<cashSettlementAmount>
<currency>USD</currency>
<amount>1500.0</amount>
</cashSettlementAmount>
</cashSettlementTerms>
We
would like to extend this so that a "recovery factor", if applicable, could be
included instead. The factor is a fraction that will then be used to
calculate the amount of recovery on a Credit Event.
Within our paper
flows, we currently confirm this as follows:
1.Settlement Terms:
Terms Relating to Cash
Settlement:
Settlement Method: Cash Settlement
Settlement
Currency: The currency of denomination of the Floating Rate Payer Calculation
Amount
Recovery Factor [0.50]
Cash Settlement Amount (1 minus the
Recovery Factor) multiplied by the Floating Rate Payer Calculation
Amount
Therefore, we propose to use a
new 'FixedRecovery.model' group that
will provide a choice between a fixed settlement amount or a recovery
factor:
Based on our confirm "snippet", this would then be modelled in FpML as follows:
<cashSettlementTerms>
<recoveryFactor>0.5</recoveryFactor>
</cashSettlementTerms>
To
see this change in context, please see the attached schema
change.
Could we get together to discuss
the above?
Many
Thanks
Jamie
Attachment:
fpml-cd-4-4.xsd
Description: fpml-cd-4-4.xsd