Matthew,
I assume that by HFDSWG you are referring to the draft release of the
version 1 of the DSWG standard, which includes the 'option on asset swaps'
in its scope'.
At this point, the design approaches are very different... because we are
not talking about the same products, I am afraid.
Karel's definition is right to the point regarding the product that we are
aiming to represent as part of the ASTF: "A swap agreement where one leg
mimics the return of the underlying asset. No transfer of asset takes
place. (sometimes the sale of the bond is included in the "asset swap
construct")" (My only minor suggested adjustment is to replace the last
sentence with "(sometimes the explicit reference to the bond is included
in the asset swap construct)".
Regarding the DSWG product extension, I was on a call with some of the
hedge fund participants as well as Brian Lynn in the course of next week,
for the purpose of clarifying the exact features of this 'option of asset
swap'. The conclusion is that some follow-up was still required to
clarify this product, as it appears to be confirmed under different names
according to the dealers. Here is what one of the participants indicated
to me following this discussion, as she was sending me an example of
trades done between our respective institutions (which had been confirmed
as 'bond option transactions'): "as Brian Weigus said there really isn't a
perfect name for these. We do similar type transactions with many dealers
and they are referred to as Bond Options or Asset Swaps. On one of our
dealers docs it actually states it as a Convertible Bond Call and Notional
Swap Transaction."
I have a further meeting with Citadel tomorrow morning to discuss some
feedback that we did provide on their proposal for the new release. I
will let you know what comes out regarding this specific point.
-----Original Message-----
From: matthew.d.rawlings@xxxxxxxxxxxx [mailto:matthew.d.rawlings@jpmchase.
com]
Sent: Tuesday, April 19, 2005 5:05 PM
To: astf@xxxxxxxxxxxxxxxxxxxx
Subject: Re: FW: FpML-ASTF Asset swap/total return swap
How consistent is the HFDSWG asset swap proposal with the ASTF proposal?
I'm being asked to implement HFDSWG for clients and my concern is that the
two are aligned.
Matthew Rawlings
Prime Brokerage Strategy & Architecture
+44 791 539 7824
"Karel Engelen" <KEngelen@xxxxxxxx>
19/04/2005 21:01
Please respond to astf
To: <astf@xxxxxxxxxxxxxxxxxxxx>
cc:
Subject: FW: FpML-ASTF Asset swap/total return swap
Reminder - the next meeting is Wednesday April 20th 12:00 pm to 1:00 pmNY
time/ 5:00 pm to 6:00 pmLondontime
Call in details
US: 1888 481 3032
Intl: 617 801 9600
code: 751365
Karel
-----Original Message-----
From: Karel Engelen [mailto:KEngelen@xxxxxxxx]
Sent: Wednesday, April 13, 20052:53 PM
To: astf@xxxxxxxxxxxxxxxxxxxx
Subject: 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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#### Asset Swap Task Force.doc has been removed from this note on April 19
2005 by Matthew D Rawlings
#### AssetSwapProposal_v10.doc has been removed from this note on April 19
2005 by Matthew D Rawlings
#### ATT4692614.txt has been removed from this note on April 19 2005 by
Matthew D Rawlings
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