Please
review the attached schema zip file (to unzip the attachment, first rename it
from xml.doc to xml.zip) that holds the changes for the fixed recovery factor support
(fpml-cd-4-4.xsd) and an example (cd-ex16-short-us-corp-fixreg-recovery-factor.xml).
Thank
you,
Irina
Yermakova
From: cdwg@xxxxxxxx
[mailto:cdwg@xxxxxxxx] On Behalf Of Ben Lis
Sent: Wednesday, June 18, 2008 10:31 AM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD Adding support for Fixed Recovery Swaps -- Call for
Comments Closes Monday, June 23rd
We discussed support for Fixed Recovery Swaps on today’s CDWG
call.
The consensus on that call was that we should move forward in an
expedited manner with the proposal that Jamie has submitted to the CDWG (see
first mail on the stream below). To the point that Henri raises, the consensus
of the members on the call was to go with option (1) making it explicit in the
annotation that the currency will be derived from the Floating Rate Payer
Calculation Amount.
Pending Coordination Committee approval, we will publish this
change out in the second trial recommendation of FpML 4.4
If you have outstanding questions or concerns on the proposal for
adding support for Fixed Recovery Swaps, please raise them on this e-mail
stream before close of business Monday, June 23rd 2008. If no
unaddressed concerns are raised by this time, we will move forward with this
change.
Thanks,
Ben Lis
Head of Product Management & Integration
T-Zero
212.323.6041
www.tzero.com
From: cdwg@xxxxxxxx
[mailto:cdwg@xxxxxxxx] On Behalf Of Henri Pegeron
Sent: Tuesday, June 10, 2008 10:03 PM
To: cdwg@xxxxxxxx
Subject: Re: FpML-CD Adding support for Fixed Recovery Swaps
Jamie,
This proposal looks good - DTCC has also gotten feedback that CDS Recovery
Swaps will need to be supported in FpML and this field would allow users to
submit confirms with a fixed recovery as opposed to an explicit cash settlement
amount.
One comment I have is around the existing "currency" component of the
cashSettlementAmount. Right now, FpML is allowing the
cashSettlementAmount to have a currency that is different than that of the
Notional amount. If we allow a choice between the amount or a fixed
recovery factor, we should consider either:
- making
it explicit in the annotation that the currency will also be derived from
the Floating Rate Payer Calculation Amount.
- making
"recoveryFactor" a complexType and include both the rate and the
currency.
I believe option one would be easier to
implement and probably less contentious (since the 2nd would involve making or
reusing a type).
Any thoughts?
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
|
"Orme,
Jamie" <Jamie.Orme@xxxxxx> 06/10/2008
03:44 PM
|
|
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
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