FpML Issues Tracker

168: Add Factor to Bond or Underlying

April 18, 2006

closed

Minor

Always

Schema

Admin

mgratacos

Summary

I have an urgent request to add Factor to the FpML:bond or possibly FpML:Underlying.

The factor is defined as the percentage of the original face value that remains outstanding.

For repos, factor is used to calculate the settlement money for the "on-leg" of a repo ((price * quantitiy * factor) / haircut).

For buy/sells, factor is used to calculate the accrued coupon interest (clean price & quantitiy * factor)

Is this sufficient or do you require anything else?

Thanks for your help.

Best Regards, Tony Smith

Notes:

  • apparry

    04/18/07 1:17 pm

    Please see

    tag: FpML-4-3-2
    file: fpml-asset.xsd
    line: 494
    type: Mortgage

  • apparry

    05/22/07 7:42 am

    Please review usage of AssetPool in the FpML trunk. ISDA will provide guidance on release dates and versions

    1. Mortgage element pool IS-A AssetPool created for CDS on MBS usage
    2. BondPriceAndYield.model element pool IS-A AssetPool created for Repo Usage

    We do not yet have general ABS/MBS support in FpML. If you require this, we would welcome your proposal.

  • apparry

    08/08/07 12:51 pm

    Please provide a proposal document, modified schema, and validating samples

  • mgratacos

    08/24/07 2:03 pm

    Marc will contact Tony Smith to get more background for this.

  • mgratacos

    05/23/08 9:02 am

    Email sent to Tony Smith asking for more background.

  • mgratacos

    06/17/08 2:42 pm

    No response from Tony Smith. The issue is closed due to lack of input reporting the issue.

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