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FpML-IRD BRL CDI - Brazil Business Day definition

Pierre,

I'd appreciate your views on a related BRL CDI question and its impact
on how we represent these trades in FpML

Per the EMTA/ISDA Market Practice statement
http://www.isda.org/publications/pdf/SwapsCDsMP1.pdf the definition of a
Brazil Business Day is very specific and defined as follows:

Brazil Business Day means a business day in any of Sao Paulo, Rio de
Janeiro or Brasilia not otherwise declared as a financial market holiday
by the BM&F.

The point to note is that it's a business day in any of Sao Paulo OR Rio
de Janeiro OR Brasilia rather than it needing to be a business day in
ALL 3 financial centres. Typically when we represent a collection of
business centre codes in FpML it's assumed that it must be business day
in all the listed centres.

Additionally, the relevant cities for Business Day for BRL/USD Valuation
Dates for these BRL CDI trades is defined as Brazil Business Day AND New
York

So my question is whether you think we should create a specific FpML
business centre scheme code to signify Brazil Business Day rather than
just list the existing 3 centres, i.e. 

The following really means Sao Paulo AND Rio de Janeiro AND Brasilia:

<businessCenters>
  <businessCenter>BRSP</businessCenter>
  <businessCenter>BRRJ</businessCenter>
  <businessCenter>BRBR</businessCenter>
</businessCenters>

and similarly the following means Sao Paulo AND Rio de Janeiro AND
Brasilia AND New York:

<businessCenters>
  <businessCenter>BRSP</businessCenter>
  <businessCenter>BRRJ</businessCenter>
  <businessCenter>BRBR</businessCenter>
  <businessCenter>USNY</businessCenter>
</businessCenters>

whereas potentially what we want is something like:

<businessCenters>
  <businessCenter>BRBD</businessCenter>
  <businessCenter>USNY</businessCenter>
</businessCenters>

where BRBD means Brazil Business Day and would be defined in FpML per
the market practice statement above. This additionally would allow the
reference to '...not otherwise declared as a financial market holiday by
the BM&F' to be included too in the definition.

We already have precedents in the business centre coding scheme for
non-cities, for example, the codes EUTA (Target Busines Day), NYFD (New
York Fed Business Day), NYSE (New York Stock Exchange Business Day),
USGS (US Govt Secs Business Day) and ESAS (ESAS Settlement Day) have all
been created to specifically to mimic similar ISDA definitions.

I would appreciate your thoughts.

Thanks
Guy


-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Lamy, Pierre
Sent: Monday, August 18, 2008 11:11 AM
To: irdwg@xxxxxxxx; harry.mcallister@xxxxxxxxxxxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx; Ruperto, Daniel; Thangaraj,
Asokumar
Subject: RE: SPAM WARNING!: FpML-IRD RE: FpML IRD-WG: Dial-in details:
*Today* 0900 NY/1400 LON

As a follow-up from this past meeting, here Dan Ruperto's feedback on
the 2 follow-up items that we had:

1. Brazil CDI template is a work-in-progress. EMTA has not set any date
for it's publication as of yet. As soon as I know, I'll forward it on.

2. CONFIRMED: In practice, the certain date for the Valuation (Fixing)
Date for CDI Swaps will be 1 business day before the "Termination Date"
(not settlement date) for a Bullet (single Calculation Period) Swap. The
Settlement Date for these Bullets will be two NY days following the
Valuation Date (as to be in-sync with NDF Fixing and Settlement).

UNCONFIRMED (but proposed): the certain date for the Valuation (Fixing)
Date for CDI Swaps will be 1 business day before the each "Period End
Date" (not each payment date) for multiple Calculation Period Swaps.
These will most likely employ "Delayed Payment Dates" being two NY days
following each Valuation Date. The market is still working this out.

-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Lamy, Pierre
Sent: Wednesday, July 30, 2008 9:59 AM
To: harry.mcallister@xxxxxxxxxxxxxxxxx; irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx; Ruperto, Daniel; Thangaraj,
Asokumar
Subject: SPAM WARNING!: FpML-IRD RE: FpML IRD-WG: Dial-in details:
*Today* 0900 NY/1400 LON

IRD members,

Thank you for your time and insight in today's call.  Here is the
adjusted proposal following the remarks made in the call.
I will also get back to the group (probably next week, as our
documentation expert is out this week) on the 2 other follow-ups noted:
(i) confirm the ETA for the Brazil CDI template and see if we can get a
draft version of it, and (ii) confirm that in practice the certain date
will be 1 business day before settlement date.


-----Original Message-----
From: harry.mcallister@xxxxxxxxxxxxxxxxx
[mailto:harry.mcallister@xxxxxxxxxxxxxxxxx]
Sent: Wednesday, July 30, 2008 8:36 AM
To: irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx; Lamy, Pierre; Ruperto,
Daniel; Thangaraj, Asokumar
Subject: FpML IRD-WG: Dial-in details: *Today* 0900 NY/1400 LON

--- Dial-in details--------
US: 888 481 3032
Intl: 617 801 9600
UK: 0800 904 7961

Participant Code: 28413758
-----------------------------
----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 30/07/2008 13:34
-----
 

           Harry

           MCALLISTER

 
To 
           Information            irdwg@xxxxxxxx

           Architect
cc 
           Fixed Income           mgratacos@xxxxxxxx,
iyermakova@xxxxxxxx, 
           Architecture           pierre.lamy@xxxxxx,

           10 Harewood            daniel.ruperto@xxxxxx,

           Avenue, London         Asokumar.Thangaraj@xxxxxx

           NW1 6AA
Subject 
           Phone: +44             *** RESCHEDULE ***: FpML-IRD NDS
clause  
           (0)20 7595             extension - Schedule of fixing dates

           3416

 

           25/07/2008

           15:45

 

 




Guy Gurden has pointed out that the proposed time for this call clashes
with an OTCDerivNet meeting on Tuesday, so I propose to re-schedule to:

      *Wednesday 30* July at 0900 New York/1400 London.

(In fact, this is the time slot we should be using for IRD-WG meetings
in general).

Agenda as before.

Apologies for any inconvenience.

Best regards,

Harry McAllister
Chair, IRD-WG


----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 25/07/2008 15:29
-----
 

           Harry

           MCALLISTER

 
To 
           Information            irdwg@xxxxxxxx

           Architect
cc 
           Fixed Income           mgratacoas@xxxxxxxx,

           Architecture           iyermakova@xxxxxxxx,
pierre.lamy@xxxxxx, 
           10 Harewood            daniel.ruperto@xxxxxx,

           Avenue, London         Asokumar.Thangaraj@xxxxxx

           NW1 6AA
Subject 
           Phone: +44             Fw: FpML-IRD NDS clause extension -

           (0)20 7595             Schedule of fixing dates

           3416

 

           24/07/2008

           17:32

 

 




I would like to call a meeting of the Interest Rates Working Group for
next Tuesday 29 July, at 0900 New York/1400 London.

Agenda

   Proposal on Fixing Date Schedule extension to
NonDeliverableSettlement
   provisions (Pierre Lamy, Goldman Sachs)
   AOB

Please see proposal materials, attached.

I appreciate that this is relatively short notice, however this is our
best opportunity to discuss the proposal from Goldman Sachs in the short
term (I am on vacation the following week, beginning 4 August).
I would be grateful if you could indicate your availability to attend
Tuesday's call in advance.

Call in details to be notified.

Best regards,

Harry McAllister
Chair, IRD-WG

Fixed Income Architecture
BNP Paribas
+44 20 7595 3416



----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 24/07/2008 17:20
-----
 

           Internet

           pierre.lamy@gs

           .com
To 
                                  irdwg@xxxxxxxx

           Sent by:
cc 
           irdwg@xxxxxxxx         daniel.ruperto@xxxxxx,

                                  Asokumar.Thangaraj@xxxxxx

           23/07/2008
Subject 
           16:21                  FpML-IRD NDS clause extension -
Schedule 
                                  of fixing dates

 

           Please respond

                 to

           irdwg@xxxxxxxx

 

 





Harry,


Goldman Sachs would like to propose an extension to the NDS clause to
provide the ability to support a schedule of fixing dates.


<<NDS Extension - Valuation Date.doc>>


Can you please let us know whether this could be discussed in a very
near future, as we have an urgent implementation need to align our
confirmation process with what is currently the most common practice.


Regards,


Pierre(See attached file: NDS Extension - Valuation Date.doc) This
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