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

Please find attached proposal to support the Future Value Notional for BRL CDI Swaps:

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:

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.

[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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