We (Goldman Sachs) support this proposal as the schema change is
in line with the ISDA definition change.
Thanks,
Tony Kao
Goldman Sachs & Co.
200 West Street
Derivatives Trade Processsing Technology
Tel: +1-212-357-6111
E-mail: tony.kao@xxxxxx
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On
Behalf Of harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Wednesday, September 01, 2010 11:57 AM
To: irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx
Subject: FpML-IRD Fw: Cross Currency Settlement method - proposal
I'd like to
remind the group about the recent proposal to add crossCurrencyMethod to
the "settlement method" choice group in CashSettlement (see detail
below). I don't think this proposal is controversial - it is essentially a
maintenance release necessitated by development of the ISDA Definitions, which
the FpML Standard is required to reflect.
It is clearly
desirable that any new addition to the schema is actively discussed by the
group, whose approval is required in order for the material to be incorporated
in future versions of FpML. I therefore encourage you to submit your comments
and/or criticisms on this proposal to the group mailing list.
Best regards,
Harry
McAllister
Chair, !RD-WG
__________________________________________________________________________
Harry McAllister | Information Architect | Fixed Income Architecture
| BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
tel: +44 (0)20 7595 3416 | email : harry.mcallister@xxxxxxxxxxxxxx
-----
Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 01/09/2010 16:09 -----
|
Harry
MCALLISTER Information
Architect 05/08/2010
22:39 |
|
ISDA recently
published Supplement 23 to the 2006 ISDA Definitions, which describes a new
method for calculating the cash settlement amount for cross-currency swaps in
the event of early termination (section 18.3 Cash Settlement Method).
In essence, the
new cash settlement provisions remove the assumption that cash settlement of
cross-currency swaps will only occur in one currency, and they describe an
amended methodology for treating quotes obtained from reference banks, in order
to identify and discard outlying valuations. In addition, a new cross currency
settlement matrix is published.
Much of the
detail of the settlement process will be determined by reference to the ISDA
matrix, however the possibility of settlement in two currencies implies a
change to the FpML interest rates CashSettlement model, which currently
provides for settlement in only a single currency.
I therefore
propose to update the CashSettlement complex type with the addition of a new
element, crossCurrencyMethod, to the existing choice group (please
see diagram below). A new complex type, CrossCurrencyMethod, is defined for
this element. This closely resembles the existing CashPriceMethod, but differs
in providing for a maximum of two cashSettlementCurrency elements
representing the currency, or pair of discrete currencies, in which settlement
is expected to occur. Note that a validation rule is implied to ensure that the
cash settlement currency or currencies are consistent with the currencies of
the trade.
The proposed
schema is contained in the attached zip (in order to minimise the zip file
size, I have removed the xml samples) - please refer to module
fpml-ird-4-9.xsd, complex type CashSettlement. Your comments are invited.
Best regards,
Harry
__________________________________________________________________________
Harry McAllister | Information Architect | Fixed Income Architecture
| BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
tel: +44 (0)20 7595 3416 | email : harry.mcallister@xxxxxxxxxxxxxx