FW: FpML-CD CDS on MBS ISDA to FpML Translation

["Ben Lis" <Ben.Lis@xxxxxxxxx>]

What we are talking about now on the call....

Ben Lis
Head of Product Management & Integration
T-Zero
 
212.323.6041
www.tzero.com
 
 
 
 

-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Marc Gratacos
Sent: Friday, October 05, 2007 9:55 AM
To: cdwg@xxxxxxxx
Subject: RE: FpML-CD CDS on MBS ISDA to FpML Translation

Robert,

I agree with your questions for coupon and initial face amount. I don't
think we have a way to cover these. Coupon is a plain decimal and we
don't have an initial face amount in the Mortgage underlyer. We have a
face amount but in the Bond underlyer only.

Applicable Percentage and Reference Obligation Notional Amount seem
calculated values to me.

I am not sure about the provisions.

Kind regards,
Marc

-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Robert Stowsky
Sent: Thursday, August 23, 2007 1:56 PM
To: FpML-CD
Subject: FpML-CD CDS on MBS ISDA to FpML Translation

Hello,

I'm in the process of mapping the attached confirm to FpML.  I'm not 
sure where the following reference obligation values should go:

Coupon:  In the confirm this is defined as 1ML + 2.85%.  This may be a 
bigger question as BondContent.model doesn't seem to support a coupon 
that is pegged to an index.

Initial Face Amount:  This is different from Original Principal Amount.

Applicable Percentage: This is a computed value that is dependent on the

Initial Face Amount.

Reference Obligation Notional Amount:  This is a computed value that is 
dependent on the Applicable Percentage.

In section 5 this confirm lists multiple Step-up provisions Does 
inclusion of the stepUpProvision element imply the the listed
provisions?

In section 7 this confirm lists additional provisions.  Is there a place

to include these?

My apologies if I'm missing something obvious.


Regards,

Robert

-- 
Robert Stowsky
President & CEO
Brook Path Partners, Inc.
60 State Street
Suite 700 Boston, MA 02109
Tel: 617-988-2729  Ext. 00215
Web: http://www.brookpath.com
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