FpML-FXWG-Legacy Fwd: RE: Date adjustments

["Danielle Cauthen" <dcauthen@xxxxxxxx>]

--- In fpml-fx@xxxxxxxxxxxxxxx, steven.lord@... wrote:

I do think we should be careful introducing into an electronic 
standard 
known cases where manual negotiation will be required. Ideally once 
an 
FpML trade is exchanged it should not require re-negotiation.
 
Looking at the ISDA terminology (very similar to that for IRD) it 
would 
seem that some specification of business day convention (it made no 
reference to which holiday calendars - is it defaulted ?) would be 
appropriate. If there is a standard default value then in the 
description of the element that could be specified - this was why in 
the documentation there is a file for entity specific usage - this 
allows the documentation to say 'when dateAdjustments is used in 
FpML_SomeFXEntity then the standard market practise is to use 
FOLLOWING 
however the FpML standard allows for other conventions to specified 
(see ISDA section x.x.x)'
 
Steven
 
-----Original Message-----
From: rick.schumacher 
Sent: 07 January 2002 18:44
To: fpml-fx
Cc: rick.schumacher; Lord, Steven
Subject: Date adjustments



One final issue that we need to debate as a group, which we've 
discussed before but has come up again in light of my completing 
various examples for non-deliverables.  This has to do with the 
subject 
of whether we should allow dates for FX to be adjusted per standard 
business day convention rules.

As we've discussed before, IRD allows for this, but this is more 
important in IRD, because not every date is agreed upon in many 
contracts (e.g., you'll agree to a 5-year quarterly reset swap 
resetting on the 15th, using modified following as a date adjustment 
convention for weekends and holidays ... this way, you don't have to 
specify 20 specific dates).

For FX, there are only a few dates to contend with (for standard FX, 
one ... the value date; for standard FX options, three ... premium 
payment date, expiry date, and value date).  We have discussed this 
before, but the standard response from various members of the group 
has 
been that if any unscheduled holiday falls on one of these dates, 
then 
this is typically negotiated.

I spent a lot of time reviewing ISDA documents last week, and I'm 
concerned that this may not be the case.  I have attached a Word 
document (called "Date Adjustments.doc") that explains this issue in 
more detail ... I'm hoping each of you can review this and feed 
comments to the site or at least review it by the time of the 
meeting 
... we need to come to a decision by Thursday's meeting.  I have 
also 
attached a couple of sample confirmations that highlight this as 
well.

Opinions encouraged.

Regards,
Rick

<<Date Adjustments.doc>> <<NetMatch - Trade Detail (NDO).htm>> 
<<IDR.doc>> 



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