RE: FpML-IRD Swap Cancellable and Extendable modifications

To: <irdwg@xxxxxxxx>

Subject: RE: FpML-IRD Swap Cancellable and Extendable modifications

From: "Orme, Jamie" <jamie.orme@xxxxxx>

Date: Thu, 1 Mar 2007 14:05:00 -0000

Cc: <iyermakova@xxxxxxxx>, <mgratacos@xxxxxxxx>, <guy.gurden@xxxxxxxxxxxxx>, "Lamy, Pierre" <pierre.lamy@xxxxxx>

In-reply-to: <OFB5309BD6.79EB0753-ON80257291.004AB52E-80257291.004BD70C@xxxxxxxxxxxx>

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Thread-topic: FpML-IRD Swap Cancellable and Extendable modifications

I have spoke to Pierre about the 'Simple Payment' type. It is part of the latest option proposal submitted a couple of weeks ago. It's in fpml-shared-4.2.xsd (I have attached it here in case you don't have access to the original).

From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of harry.w.mcallister@xxxxxxxxxxxx
Sent: Thursday, March 01, 2007 1:48 PM
To: irdwg@xxxxxxxx
Cc: iyermakova@xxxxxxxx; mgratacos@xxxxxxxx; guy.gurden@xxxxxxxxxxxxx
Subject: RE: FpML-IRD Swap Cancellable and Extendable modifications

I think the problem is that the Word user scratch file has been included, rather than the original doc.

Robert's modified schema looks to be consistent with our discussion last week (change of container name to priceSourceDisruption, change of content model to an ordered series of optional fallback provisions).

No call today - I have yet to catch up with Pierre on the "Simple Payment" type for the CancelableProvision "initialFee" - I'll arrange a call as soon as I have done so.

Best regards,
Harry

+44 (0)20 7325 9046

"Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>
Sent by: irdwg@xxxxxxxx

01/03/2007 13:25

Please respond to
irdwg@xxxxxxxx

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Subject	RE: 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 ----------------------------------------- ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. 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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. ------------------------------------------------------------------------------- To unsubscribe: Email majordomo@xxxxxxxx with a blank subject line In the body include the line: unsubscribe irdwg youremail@address To view archives: http://www.fpml.org/_wgmail/_irdwgmail/threads.html

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Attachment: fpml-shared-4-2.xsd
Description: fpml-shared-4-2.xsd