RE: FpML-IRD BRL CDI Swaps - Future Value Notional

[Philip Leach <pleach@xxxxxxxx>]

Harry,

Should we be adding a validation rule
to restrict the usage of the futureValueAmount to the fixed leg ?

Regards,

Phil

harry.mcallister@xxxxxxxxxxxxxxxxx
Sent by: irdwg@xxxxxxxx

04/09/2009 11:00

Please respond to
irdwg@xxxxxxxx

To	Jamie.Orme@xxxxxx
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  
Jamie.Orme@xxxxxx

Sent by: irdwg@xxxxxxxx

03/09/2009 12:23

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To	irdwg@xxxxxxxx
cc	mgratacos@xxxxxxxx, iyermakova@xxxxxxxx
Subject	RE: FpML-IRD BRL CDI Swaps - Future Value Notional

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  
Jamie.Orme@xxxxxx

Sent by: irdwg@xxxxxxxx

06/08/2009 10:08

Please respond to
irdwg@xxxxxxxx

To	'irdwg@xxxxxxxx'
cc
Subject	FpML-IRD BRL CDI Swaps - Future Value Notional

 

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:	[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


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