Harry,
Specifically on the inflation swap Fallback Bond proposal I have a
couple of comments:
The 2006 ISDA Inflation Derivatives Definitions specify a mechanism
solely for indicating that Fallback Bond is not applicable (by
specifying "Fallback Bond: Not Applicable" in the related Confirmation).
I think it would not be in keeping with the wording of the definitions
(and not backwardly compatible with existing FpML inflation swap
implementations) to introduce a mechanism that explicitly requires to
state that Fallback Bond is applicable. The definitions provide that a
bond can be specified as the "Related Bond" in the confirmation and if
no such bond is specified that the "Related Bond" shall be the "Fallback
Bond" per the definition in Section 1.3 of the Definitions. In the
current FpML Schema a specific bond to use as the Related Bond is
specified in the swap\additionalTerms\bondReference\bond structure. So
with or without the swap\additionalTerms\bondReference\bond structure
being present Fallback Bond is automatically applicable in the existing
implementation.
In summary therefore I think the proposal should be limited to defining
a mechanism for indicating that Fallback Bond is not applicable,
possibly by including an optional empty element suitably named. For
example, fallbackBondNotApplicable.
Regards
Guy
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of
Harry_MCALLISTER@xxxxxxxxxxxxxx
Sent: Friday, August 17, 2007 8:59 PM
To: irdwg@xxxxxxxx
Subject: FpML-IRD IRD Working Group candidates
I have recently received three expressions of interest in joining the
IRD
Working Group - please see bios listed below. I am confident that all
three
candidates are well qualified to contribute to the work of the Group.
Philip Leach has recently tabled a proposal to extend the inflation swap
definition to support the concept of a Fallback Bond (please see
attached).
I would like to table a meeting of the working group to consider this
proposal. We can also take the opportunity to ratify the membership of
the
new applicants - I expect this will be just a formality.
I am on vacation from now until Wednesday 29 August , so propose that we
hold a call in the following week beginning 3 September - I suggest
Thursday 6. Please indicate your availability or propose an alternative
date & time.
Best regards,
Harry McAllister
Chair, IRD-WG
+44 20 7595 3416
(See attached file: fallbackBond.doc)
Philip Leach of DTCC would like to join Interest Rate Derivatives
Working Group. Please consider his candidacy (see his short biography
below).
"Phil is currently working for DTCC as an FpML Analyst on their
DerivSERV platform. He comes from a technical background most recently
in design and implemetation roles for Morgan Stanley, BP and Prudential
Bache. He has been involved with FpML and FpML based systems for
approximately 5 years and other messaging systems and protocols for 10."
Jason Brasile from State Street would like to join Interest Rate
Derivatives Working Group. Please consider his candidacy (see Jason's
business background information below).
"I am looking expand my involvement in the FpML working groups beyond my
current participation in several industry lead initiatives included
below:
1. Co-chair of the Settlements WG within ISITC-US which coordinates
discussions on all settlement (IM-Custodian) products across the
OTC/Swaps WG and the Securities Lending WG at ISITC. Recent product
types include Bank Loan, CFD (Contract for differences), Lending and
Collateral instructions as well as the IRS/CDS Swap market practice
discussions.
2. Current participant in the Swift/FpML CUG Working Group
3. Participant in the Swift lead Harmonization group for FpL, FpML and
Swift Pre and Post trade, Settlement Working Group
4. Participant in the Swift Sub group for the future automation of Bank
Loan instruction.
Internally at State Street I am involved in the Product group
responsible for the prioritization and bringing to market of all
messaging including Swift and FpML automation for Lending, Collateral
and OTC deriviatives. This from a back office (custody) and middle
office (outsourcing) perspective.
Hope this helps and looking forward to getting more involved with the
groups."
Jorge Faleiro from Lehman would like to join Interest Rate Derivatives
Working Group as an observer. Please consider his candidacy (see Jorge's
e-mail below).
"My intent is to learn about the overall work process and to get a bit
closer understanding on their deliverables -- in the future - as I get
more familiar - I might make myself available for specific tasks.
I am coming from a diverse background in finance and technology: high
throughput trading in equities and FI, FI derivatives, prime brokerage -
specially in risk."
This message and any attachments (the "message") is intended solely for
the addressees and is confidential.
If you receive this message in error, please delete it and immediately
notify the sender. Any use not in accord with
its purpose, any dissemination or disclosure, either whole or partial,
is prohibited except formal approval.
The internet can not guarantee the integrity of this message.
BNP PARIBAS (and its subsidiaries) shall (will) not therefore be liable
for the message if modified.
Do not print this message unless it is necessary, consider the
environment.
---------------------------------------------
Ce message et toutes les pieces jointes (ci-apres le "message") sont
etablis a l'intention exclusive de ses destinataires et sont
confidentiels. Si vous recevez ce
message par erreur, merci de le detruire et d'en avertir immediatement
l'expediteur.
Toute utilisation de ce message non conforme a sa destination, toute
diffusion ou toute publication, totale ou partielle, est interdite, sauf
autorisation expresse.
L'internet ne permettant pas d'assurer l'integrite de ce message, BNP
PARIBAS (et ses filiales) decline(nt) toute responsabilite au titre de
ce message, dans l'hypothese ou il aurait ete modifie.
N'imprimez ce message que si necessaire, pensez a l'environnement.
---------------------------------------------------------------------
This is a commercial communication sent by SwapsWire Limited.
This message contains confidential information and is intended only
for the individual named. If you are not the named addressee you
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
as information could be intercepted, corrupted, lost, destroyed,
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
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.
Attachment:
fallbackBond.doc
Description: fallbackBond.doc