- so PaymentSimple replicates the components
of Payment down to adjustedPaymentDate (not including paymentType), with
the paymentDate now of type AdjustableOrRelativeDate (formerly AdjustableDate).
I propose that the cancelable/extendible
initialFee should therefore be declared as type PaymentSimple, and that
we recommend this for inclusion in the next draft of the standard.
Do we have any further observations
on the other part of Robert's proposal (NonDeliverableSettlement/priceSourceDisruption/fallbackReferencePrice),
following last week's discussion and publication of the resulting amendments
- if not, then can we consider this component also finalised?
Best regards,
Harry
"Orme, Jamie"
<jamie.orme@xxxxxx> Sent by: irdwg@xxxxxxxx
RE: 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
To
<irdwg@xxxxxxxx>
cc
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:
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):
-----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.
-----------------------------------------
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(See attached file: OTC IRS Proposal 2007 Q1 cancelable
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nondeliverableV3.zip)
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If you have any questions in relation to this policy please contact us
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verification is required please request a hard-copy version.
Company Details
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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:
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130 Fenchurch Street
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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
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