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RE: FpML-IRD Swap Cancellable and Extendable modifications
- To: <irdwg@xxxxxxxx>
- Subject: RE: FpML-IRD Swap Cancellable and Extendable modifications
- From: "Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>
- Date: Thu, 1 Mar 2007 08:25:12 -0500
- Reply-to: irdwg@xxxxxxxx
- Sender: irdwg@xxxxxxxx
- Thread-index: AcdWpruxvUJbHrmbTXyBBSsHm+cofgFXioKQ
- Thread-topic: FpML-IRD Swap Cancellable and Extendable modifications
Robert,
The Word doc (Proposed Modifications) that you included in the zip seems
to be unreadable. Could you resend it please.
Harry - are we having a conf call today? If so, can you send the dial in
info.
Thanks
Guy
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Robert Masri
Sent: Thursday, February 22, 2007 12:21 PM
To: irdwg@xxxxxxxx
Cc: irdwg@xxxxxxxx
Subject: RE: FpML-IRD Swap Cancellable and Extendable modifications
Based on our conclusion in today WG call to use Guy's proposal for the
price source disruption, I have attached the new schemas and sample
messages.
Regards,
Robert
(See attached file: OTC IRS Proposal 2007 Q1 cancelable
nondeliverableV4.zip)
"Guy Gurden"
<guy.gurden@swaps
wire.com>
To
Sent by: <irdwg@xxxxxxxx>
irdwg@xxxxxxxx
cc
Subject
02/21/2007 06:13 RE: FpML-IRD Swap Cancellable and
PM Extendable modifications
Please respond to
irdwg@xxxxxxxx
Robert,
Based on reviewing the 1998 FX and Currency Option Definitions and some
example non-deliverable swap confirmations I do have some further
comments on the current proposal.
The 1998 Defs define "Price Source Disruption" as a disruption event
rather than "Settlement Rate Option Disruption" so I think we should
name the element priceSourceDisruption for consistency.
A 'Disruption Event' per the defs "means an event that, if applicable to
a Transaction, would give rise in accordance with an applicable
Disruption Fallback to either an alternative basis for determining the
Settlement Rate or an alternate basis for settling the Transaction".
Now the applicable Disrupton Fallback in this case is "Fallback
Reference Price" which is also a defined term in the defs.
The confirmations I have seen all look similar to the following:
Applicable Disruption Events:
Price Source Disruption: Applicable
Applicable Disruption Fallbacks: Fallback Reference Price, in the
following order:
(1) Valuation Postponement
(2) Fallback Reference Price
SFEMC KRW Indicative Survey Rate(KRW04) (this obviously varies by
currency)
(3) Fallback Survey Valuation Postponement
(4) Calculation Agent Determination of Settlement Rate
Valuation Postponement is defined within the confirmation itself and
references the term Maximum Days of Postponement. Note that Valuation
Postponement is one of the disruption fallbacks as opposed to being
something that encompasses all the disruption fallbacks so I don't think
it's correct to have a <valuationPostponementEvent> container as in your
proposal.
Fallback Survey Valuation Postponent is also defined within the
confirmation itself.
Calculaton Agent Determination of Settlement Rate is defined within the
1998 defs.
So I think the overall instance document should end up looking something
like the following (also in the attached):
<priceSourceDisruption>
<fallbackReferencePrice>
<valuationPostponement>
<maximumDaysOfPostponement>12</maximumDaysOfPostponement>
</valuationPostponement>
<fallbackSettlementRateOption>KRW.TELERATE.45644/KRW03</fallbackSettleme
ntRateOption>
<fallbackSettlementRateOption>KRW.TELERATE.45644/KRW04</fallbackSettleme
ntRateOption>
<fallbackSurveyValuationPostponenment/>
<calculationAgentDetermination>
<calculationAgentParty>AsSpecifiedInMasterAgreement</calculationAgentPar
ty>
</calculationAgentDetermination>
</fallbackReferencePrice>
</priceSourceDiscruption>
Guy
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Robert Masri
Sent: Monday, February 05, 2007 10:14 AM
To: irdwg@xxxxxxxx
Subject: Fw: FpML-IRD Swap Cancellable and Extendable modifications
Could we arrange a meeting to review this proposal for incorporation
into
the schema?
----- Forwarded by Robert Masri/DTCC on 02/05/2007 10:16 AM -----
Robert Masri/DTCC
01/29/2007 11:38
To
AM <irdwg@xxxxxxxx>
cc
Subject
Fw: FpML-IRD Swap Cancellable and
Extendable modifications
Hi Harry,
When has the next meeting been scheduled to resolve the Cancelable
Premium
and the Non Deliverable Settlement
Fallback proposal?
Thanks,
Robert
----- Forwarded by Robert Masri/DTCC on 01/29/2007 11:39 AM -----
Robert
Masri/DTCC@DTCC
Sent by:
To
irdwg@xxxxxxxx <irdwg@xxxxxxxx>
cc
01/23/2007 07:21
Subject
PM Fw: FpML-IRD Swap Cancellable and
Extendable modifications
Please respond to
irdwg@xxxxxxxx
As per our discussion in last meeting, the Cancelable premium payment
should be called "premium" because the economics of a cancelable
provision
are based on a swap with an embedded swaption that takes the opposite
view
of the swaption. When the swaption is exercised, its payments net out
the
original swap to zero. In other words, this premium payment is the
amount
paid by the buyer of the cancelable provision to the seller for the
option
to cancel.
Furthermore, I attached two proposals for Non Deliverable Settlement
Fallback provisions that both use substitution groups to strongly tie
the
event to the applicable fallback provisions. The first proposal uses
schemes which allows multiple events to use the same fallback
provisions
and the second proposal, which does not use schemes, may only have one
event per fallback provisions. I believe the second proposal is better,
but
I am not aware of all the Price Source Disruption Events.
See "Proposed Modifications.doc" for diagrams and further information.
In addition, the sample messages are in the "messages" directory.
(See attached file: OTC IRS Proposal 2007 Q1 cancelable
nondeliverableV2.zip)(See attached file: OTC IRS Proposal 2007 Q1
cancelable nondeliverableV3.zip)
Regards,
Robert
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(See attached file: OTC IRS Proposal 2007 Q1 cancelable
nondeliverableV2.zip)
(See attached file: OTC IRS Proposal 2007 Q1 cancelable
nondeliverableV3.zip)
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should not disseminate, distribute or copy this e-mail. Please
notify the sender immediately by e-mail if you have received this
e-mail by mistake and delete this e-mail from your system.
E-mail transmission cannot be guaranteed to be secure or error-free
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arrive late or incomplete, or contain viruses. The sender therefore
does not accept liability for any errors or omissions in the contents
of this message which arise as a result of e-mail transmission. If
verification is required please request a hard-copy version.
Company Details
SwapsWire Limited is regulated by the Financial Services Authority
and is entered in the FSA's Register (FSA Reference Number 207294).
SwapsWire Limited is subject to Value Added Tax
(VAT Registration No 761 4444 34).
SwapsWire Limited is registered in England at Companies House, no: 4027741.
Registered Office: One Silk Street, London, EC2Y 8HQ
Contact information
If you have any questions in relation to this policy please contact us at:
Fountain House
130 Fenchurch Street
London EC3M 5DJ
Attn: Rachel Cunningham-Day, General Counsel
Telephone: 00-44-207-071-0133
Email: Rachel.cunningham-day@xxxxxxxxxxxxx
If you currently receive marketing information from us which you would
prefer not to receive in the future please email us at info@xxxxxxxxxxxxxx
All email messages sent to and from info@xxxxxxxxxxxxx may be monitored to
ensure compliance with internal policies and to protect our business.
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