FpML-IRD RE: Non-deliverable settlement on interest rate swaps

["Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>]

Does anybody have any views on this?

Thanks
Guy

-----Original Message-----
From: Guy Gurden 
Sent: Tuesday, March 18, 2008 10:13 AM
To: 'irdwg@xxxxxxxx'
Cc: Andrew Szwagrzak; Jonathan Elliott
Subject: Non-deliverable settlement on interest rate swaps

Hi,

Back in 2005 when introduction of the swSettlementProvision structure
into the swapStream element was discussed I recall we had some
discussion as to whether this element should be included within both
fixed and floating streams on a non-deliverable swap or whether it was
sufficient to include in just one of the streams and use the repeating
element
swSettlementProvision\nonDeliverableSettlement\fxFixingDate\dateRelative
ToPaymentDates\paymentDatesReference to reference the paymentDates
structure across both streams.

As we discussed at the time typically the settlement provision
information is typically written only once on a paper confirmation and
relates to both the fixed and floating streams.

Does anybody have any experience of doing it this way? This seems
cleaner in that it avoids unnecessary duplication of the
settlementProvision structure across both streams.

For example,

<swap>

 <swapStream id="fixedLeg">
  ...
  <paymentDates id="fixedPaymentDates">
   ...
  </paymentDates>
  ...
  <settlementProvision>
   ...
   <nonDeliverableSettlement>
    ...
    <fxFixingDate>
     ...
     <dateRelativeToPaymentDates>
      <paymentDatesReference href="fixedPaymentDates" /> 
      <paymentDatesReference href="floatingPaymentDates" /> 
     </dateRelativeToPaymentDates>
    </fxFixingDate>
    ...
   </nonDeliverableSettlement>
   </settlementProvision>

  </swapStream>

  <swapStream id="floatingLeg">
    ...
    <paymentDates id="floatingPaymentDates">
     ...
    </paymentDates>
    ...
  </swapStream>  

</swap>

Thanks
Guy
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