Yes – apologies for not making that clear in my original reply.
From: harry.mcallister@xxxxxxxxxxxxxxxxx
[mailto:harry.mcallister@xxxxxxxxxxxxxxxxx]
Sent: Friday, September 04, 2009 11:00 AM
To: Orme, Jamie
Cc: irdwg@xxxxxxxx; iyermakova@xxxxxxxx; mgratacos@xxxxxxxx
Subject: RE: FpML-IRD BRL CDI Swaps - Future Value Notional
Hi Jamie,
Thanks for
following this up. Can I take it that we agree to make these properties
mandatory (i.e. calculationPeriodNumberOfDays and valueDate)?
Best regards,
Harry
|
Internet
Sent by:
irdwg@xxxxxxxx 03/09/2009
12:23
|
|
Apologies for the delay on this. Finally spoken with our documentation
team and they are in agreement with the revised approach below from Harry (that
is to specify calculationPeriodNumberOfDays and valueDate
in addition to amount and currency).
Is this something we can look to adopt via email, or do we need another
meeting?
Thanks
Jamie
From: Orme, Jamie
Sent: Wednesday, August 12, 2009 6:57 PM
To: 'irdwg@xxxxxxxx'
Cc: 'mgratacos@xxxxxxxx'; 'iyermakova@xxxxxxxx'
Subject: RE: FpML-IRD BRL CDI Swaps - Future Value Notional
Thanks
Harry.
Following
up on this internally and will revert shortly.
Thanks
Jamie
From: irdwg@xxxxxxxx
[mailto:irdwg@xxxxxxxx] On Behalf Of harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Saturday, August 08, 2009 12:39 AM
To: irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx
Subject: Re: FpML-IRD BRL CDI Swaps - Future Value Notional
Jamie,
Thanks for putting this proposal together.
Reading the ISDA/EMTA document, I suspect that that a couple more properties
may be required to support the recommendation fully.
Point 3 of the recommendation states (my highlighting):
3. Contracts for BRL CDI Swaps should replicate the
onshore BMF contract in order to reduce market risk. To implement this approach
in a uniform manner for the market, contracts for BRL CDI Swaps shall specify
values for present notional amounts (as of the trade date of the contract),
future value notional amounts (as of the
termination date of the contract) as well as a fixed rate day count
fraction that reflects a set number of calculation
days for the transactions fixed as at the trade date.
This suggests to me that a complete implementation should contain currency
and amount as per your proposal, but also the calculation period
daycount (i.e. numerator in the day count fraction) and possibly also the value
date for the future notional amount (taking the FpML approach of being
completely explicit, instead of leaving the value date to be assumed from the
context).
We could create a complex type, called (for the sake of argument)
FutureValueAmount, which extends FpML Money with the addition of calculationPeriodNumberOfDays
and valueDate:
Then the futureValueNotional element would become an instance of this
type; calculationPeriodNumberOfDays would contain the daycount
between the (adjusted) effective and termination dates, while valueDate would
contain the (adjusted) termination date.
The other aspect of the proposal which needs careful consideration is the
positioning of the futureValueNotional . I agree that it doesn't seem
appropriate to introduce new content within notionalSchedule. The new
element will be used exclusively with BRL-CDI swaps, and given that these
products are exclusively non-deliverable (?), I wondered if it might fit
alongside settlementProvision (again, I don't think it would be
appropriate to add the element within the SettlementProvision type). However on
reflection, I think that Calculation is the correct location for the futureValueNotional
- the case becomes more compelling if the calculation period daycount is
added to its content; then proximity to dayCountFraction becomes
important.
I would like us to be in a position to confirm adoption of this change by the
next meeting of the Working Group, currently scheduled for Wednesday 26th
August - therefore please submit your comments and/or suggestions on the
proposal to the irdwg mailing list in the interim.
· I
will be on vacation next week (10-14 August), returning to the office on Monday
17.
Best regards,
Harry McAllister
Chair, IRD-WG
Fixed Income Architecture
BNP Paribas
+44 20 7595 3416
· Please
see attached a modifed version of the proposed ird schema, for demonstration
purposes only, which implements the extended type for futureValueNotional and
shows the element co-located with settlementProvision, as well as in
Calculation ...
|
Internet
Sent by:
irdwg@xxxxxxxx 06/08/2009
10:08
|
|
IRD WG,
Please
find attached proposal to support the Future Value Notional for BRL CDI Swaps:
<<fpml-ird-4-6.xsd>>
Rather
than introducing a new
element within the notionalSchedule, have added a new optional element
called futureValueNotional (of type Money) to the end
of calculation:
All
discussion to date on this topic is attached here for reference:
<<FW:
FpML-IRD Fw: IRD-WG Call: Wednesday 17 June>>
Harry
– unless anyone has any
objections, could we look to adopt this via email approval rather than having
another meeting on this? Our internal
documentation team would like
to get this change adopted ASAP.
Many
Thanks
Jamie
[attachment
"ole1.bmp" deleted by Harry MCALLISTER/UK/EUROPE/GROUP] [attachment
"fpml-ird-4-6.xsd" deleted by Harry MCALLISTER/UK/EUROPE/GROUP]
----- Message from "Orme, Jamie" <Jamie.Orme@xxxxxxxxxxxxxxx> on
Tue, 28 Jul 2009 18:23:51 +0100 -----
|
To: |
"irdwg@xxxxxxxx"
<'irdwg@xxxxxxxx'> |
|
Subject: |
FW: FpML-IRD Fw: IRD-WG Call: Wednesday 17 June |
Hi
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: |
|
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
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