FpML Issues Tracker

651: FRA Changes Proposal

March 14, 2008

Normal

assigned

Major

Always

Interest Rate Derivatives

philipleach

h_mcallister

Summary

Attached is a proposal to bring the FpML FRA model into line with the ISDA 2006 Definitions.

Attachments

  • FRA Proposal.zip
  • Notes:

  • mgratacos

    02/06/20 1:07 pm

    AWG 2020-02-06

    • We need to check with Harry on the FRA proposal since the attachments are not accessible anymore.
  • mgratacos

    10/26/20 7:55 am

    AWG 2020-10-15

    Agreement not to move this issue to the XAPWG.
    We looked in detail at the proposal and we think most of the proposed changes are already covered or are not required from a business perspective.
    • It doesn’t make sense for a Forward Rate Agreement to support a Spread.
    • Usually FRAs are six or nine month contracts so there is no need to specify the termination date as an unadjusted date.
    • The group didn’t see a need to have Non Deliverable Settlement in FRAs.
    There are two outstanding actions triggered from the proposal:
    • Make fra/calculationPeriodNumberOfDays optional – the group never understood why this element was required originally.
    • Check with Guy Gurden whether Markit sees any Early Termination Clause in FRAs.
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