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FpML-CD proposal for impliedWritedown elements for CDS on CDO confirmation

Title: FpML-CD proposal for impliedWritedown elements for CDS on CDO confirmation

Hi all,

We would like to propose a change to the Credit FpML schema to support Implied Writedown Credit Event and Floating Rate Payment Event. Implied Writedown is already defined in the ISDA doc to support confirmation for CDS on CDO.

Please find attached the proposal document as well as updated 4.6 FpML schema with the proposed changes.

Proposed changes:

<<impliedWritedown proposal to support CDS on CDO.doc>>

FpML 4.6 Schema with the proposed changes:

<<fpml-option-shared-4-6.xsd>> <<fpml-cd-4-6.xsd>>

Here is a link to ISDA doc on CDS on CDO:

http://www.isda.org/publications/isdacredit-deri-def-sup-comm.aspx#rc

Please let us know if you need more information.

Thanks,

Tony Kao

Goldman, Sachs & Co.

85 Broad Street |  New York, NY 10004

Tel: +1 (212) 357-6111

Email: tony.kao@xxxxxx

Attachment: impliedWritedown proposal to support CDS on CDO.doc
Description: impliedWritedown proposal to support CDS on CDO.doc

Attachment: fpml-option-shared-4-6.xsd
Description: fpml-option-shared-4-6.xsd

Attachment: fpml-cd-4-6.xsd
Description: fpml-cd-4-6.xsd