Specification for Credit Linked Note for Credit Derivative

[rajcsingh]

Hi, I wanted to knoe whether ,Fpml supports the Credit Linked Note Deals(Credit Derivative) and Money market ( Paper and CDs Deals). I went through the Credit Derivative Specification and could see the Asset Swap and the Total Return swap but could not see any thing related to CLN, can some one please help me if this is supported by Fpml. If this is currently not supported is there any way i can implement this using any of the product elements defined. Also under Non-OTC,i wanted to know do FPML support the Paper and CDs deals. It would be of very great help if someone can reply me. Thanks & Regards, Rajesh

[mgratacos]

Rajesh, I don’t think there is explicit support of Credit Linked Notes in FpML. I guess you could extend FpML to create a new product and reference the existing creditDefaultSwap within it. If you decide to do so, please report back the extension if possible so we can send it as a proposal to the working group and include it as part of the standard. FpML covers deposits through a termDeposit product. This product can be found in the fpml-fx.xsd file. Securities coverage in FpML is limited through a set of extensions. The latest version is 2.2 and its scope is described in the following page: [url=http://www.fpml.org/documents/extensions.html]http://www.fpml.org/documents/extensions.html[/url] Hope this helps. -Marc

[rajcsingh]

Hi Marc, Sure i will send it across, thanks again for all the inputs this will definetly help me alot. Thanks & Regards, Rajesh

[aravindv]

Was there any further activity re. modeling CLNs in fpml? If you did model it, can you please share? thanks.

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