To follow on from today's call : My comments in line below [In Red]:
_________________________________________
Duncan Heilbronn
Global Operations
Credit and Equity Derivative Projects
Goldman, Sachs & Co.
85 Broad Street | New York, NY 10004 | Tel: 212.902.4461 | Fax: 646 835 3313
_________________________________________
-----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. [Duncan: This is no longer contained in the paper ISDA confirmation templates for the product so I would consider not required]
Initial Face Amount: This is different from Original Principal Amount. [Duncan: Fixed Rate Payer Calculation Amount]
Applicable Percentage: This is a computed value that is dependent on the
Initial Face Amount. [Duncan: This is confirmed in both the long and short Form as a paragraph of text as per the example. I would not recommend trying to pass as a discrete value as the text contains the words on any day?]
Reference Obligation Notional Amount: This is a computed value that is
dependent on the Applicable Percentage. [Duncan: This is confirmed in both the long and short Form as a paragraph of text as per the example. I would not recommend trying to pass as a discrete value in this case as it cannot be determined before Effective date?]
In section 5 this confirm lists multiple Step-up provisions Does
inclusion of the stepUpProvision element imply the listed provisions? [Duncan: The listed Step up provisions are standard as per the ISDA Document so the presence of the Step up provisions element implies that all of these are applicable]
In section 7 this confirm lists additional provisions. Is there a place
to include these? [Duncan: The first three paragraphs are standard as per the ISDA documents so I would suggest not required. If you wished to include the US Federal Income Tax provisions then I would suggest the General Terms Reference Information Additional Term might be the appropriate place.]
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
<<1-11-06 Deutsche - FHLT - 19599SDJ1 - 1 of 3.pdf>>
Attachment:
1-11-06 Deutsche - FHLT - 19599SDJ1 - 1 of 3.pdf
Description: 1-11-06 Deutsche - FHLT - 19599SDJ1 - 1 of 3.pdf