Total Return Swap with Fpml4-1

[mhsarker]

Currently, we are in FpML-4-1 and we have a requirement to implement “Total Return Swap” which is not available in FpML-4-1. We have already implemented CreditDefaltSwap which is readily available in FpML4-1. Given the current situation, it is not an option to switch to FpML4-2. We have merged some 4-2 files with 4-1 to create some sort of hybrid Fpml spec to implement the Total Return Swap. However, we are not sure if this is a correct approach. It will be appreciated if the fpml community can share some idea/best practices about it. Regards, Mahbubul

[mgratacos]

I think that in FpML 4.1 the equitySwap product element, even though it is named equity swap, should be able to represent return type swaps. The element was renamed in FpML 4.2 to returnSwap but its content model didn’t change much from 4.1 to 4.2. Actually, the element was renamed because there was a mismatch between content and product name. As I said, the element was named equitySwap in 4.1 but it was actually representing a return swap. So take a look at the equitySwap element in FpML 4.1 because besides the difference in product name, it may be able to cope with your requirements. Hope this helps. -Marc

[mhsarker]

Thanks much for the suggestion. It helps. -Mahbubul

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