FW: FpML-IRD Fw: IRD-WG Call: Wednesday 17 June

In addition to the below and following on from our last call, I have talked to our documentation team again with regard to adding the Future Value Notional and whether or not we would need to support amortising deals.

To quote directly:

“To answer your question, for the standard BRL CDI swap / swaption products, they are not amortizing as they are one payment based on a fixed notional. Outside this standard product, it would be possible to be a BRL swap with multiple payment dates which in theory could be amortizing, however we have never seen this and do not expect to in the future”

On the last call, recall Markitwire mentioning that they already have an internal modification to support Future Value Notional. Given that we are unlikely to ever need to support amortising deals (certainly not as part of 4.x) could we look to go with what they have? Could someone from Markitwire send on details of the change they have already made?

Many Thanks

Jamie

From: Orme, Jamie
Sent: Tuesday, June 16, 2009 6:17 PM
To: 'irdwg@xxxxxxxx'
Cc: 'mgratacos@xxxxxxxx'; 'iyermakova@xxxxxxxx'
Subject: RE: FpML-IRD Fw: IRD-WG Call: Wednesday 17 June

If possible would very much like to discuss Brazilian CDI Swaps and the addition of a Future Value Notional amount to the schema. As per attached, the value can be calculated from information currently available in the confirmation. However, understand that the explicit inclusion of this value is now recommended, as per ISDA best practise document (also attached). As a consequence we are starting to see clients include this value on incoming documents.

Understand it is typically represented as follows (following on from example in first attached document):

1. The terms of the Transaction to which this Confirmation relates are as follows:

Notional Amount (Trade Date Present Value Notional Amount):

[BRL 13,259,150.28]

Trade Date:

[DATE]

Effective Date:

[DATE]

Termination Date:

[DATE], unadjusted

For informational purposes only, the Termination Date Future Value Notional Amount is:

[BRL 17,300,000.00]

Has anyone else seen this requirement?

Happy to put together a proposal following meeting if everyone is in agreement that it is something we should be looking to include in the schema.

Thanks

Jamie

From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Tuesday, June 16, 2009 5:17 PM
To: irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx
Subject: FpML-IRD Fw: IRD-WG Call: Wednesday 17 June

All,

The Interest Rates Working Group will meet tomorrow, Wednesday 17 June, at 0900 New York/1400 London.

I would like to propose the following agenda:

Agenda

1.      Proposal on Digital cap/floors (Harry McAllister, BNP Paribas)

2.      Proposal on changes to the FRA model (Philip Leach, DTCC)

3.      Opportunities for extending IRD product coverage: what next?

4.      AOB

Best regards,
Harry McAllister

Chair, IRD-WG

Fixed Income Architecture
BNP Paribas
+44 20 7595 3416

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

Participant Code: 28413758
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----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 16/06/2009 17:00 -----

Harry MCALLISTER

Information Architect
Fixed Income Architecture
10 Harewood Avenue, London NW1 6AA
Phone: +44 (0)20 7595 3416

05/06/2009 19:21

To

irdwg@xxxxxxxx

cc

mgratacos@xxxxxxxx, iyermakova@xxxxxxxx

Subject

IRD-WG Call: Wednesday 17 June

All,

It is some time since the Interest Rates Working Group has held a call, and in the interim a number of issues and proposals have been raised which merit the group's attention.

In particular, I'd like the group to make a decision on the recent proposals on support for digital cap/floors, posted by DTCC and BNP Paribas.

I therefore propose to hold a call on Wednesday 17 June, at the usual time of 0900 New York/1400 London.

I would be grateful if you could indicate your availability for the call, and invite you to suggest any items you would like to see on the agenda.

Best regards,
Harry McAllister

Chair, IRD-WG

Fixed Income Architecture
BNP Paribas
+44 20 7595 3416
 
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