FpML-FXWG-Legacy Fwd: RE: [fpml-fx] Date adjustments

["Danielle Cauthen" <dcauthen@xxxxxxxx>]

--- In fpml-fx@xxxxxxxxxxxxxxx, "Frank Smith" <frank.smith@...> 
wrote:

Date adjustmentsRick,
Can you give me the complete text of 1.24?  Can I get the complete 
document
from a website?
I really do need to understand the ramifications of any decision, 
one way or
the other.
The way that the market operates right now is important and it 
probably
contravenes strict ISDA but...
Any change in value date can have serious ramifications on pricing 
of short
date forwards, especially for the minor currencies typically.
Regards
Frank
  -----Original Message-----
  From: Davanzo, Marcello [mailto:marcello.davanzo@...]
  Sent: 08 January 2002 13:27
  To: fpml-fx@xxxxxxxxxxxxxxx
  Subject: RE: [fpml-fx] Date adjustments


  Rick,

  As a principle should we not always opt for the most flexible 
choice? Who
knows what we might have to adjust in the future?

  Regards Marcello.
  -----Original Message-----
  From: Rick Schumacher [mailto:rick.schumacher@...]
  Sent: Monday, January 07, 2002 6:44 PM
  To: fpml-fx@xxxxxxxxxxxxxxx
  Cc: Steven Lord (E-mail)
  Subject: [fpml-fx] 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>>



  To unsubscribe from this group, send an email to:
  fpml-fx-unsubscribe@xxxxxxxxxxxxxxx



  Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service.


  Email Disclaimer

  The information in this email is confidential and may be legally
privileged.
  It is intended solely for the addressee. Access to this email by 
anyone
else
  is unauthorised.
  If you are not the intended recipient, any disclosure, copying,
distribution
  or any action taken or omitted to be taken in reliance on it, is
prohibited
  and may be unlawful. When addressed to our clients any opinions or 
advice
  contained in this email are subject to the terms and conditions 
expressed
in
  the governing KPMG client engagement letter.

  To unsubscribe from this group, send an email to:
  fpml-fx-unsubscribe@xxxxxxxxxxxxxxx



  Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service.

--- End forwarded message ---



-------------------------------------------------------------------------------
To unsubscribe: Email majordomo@xxxxxxxx with a blank subject line
In the body include the line: unsubscribe fxwglegacy youremail@address
To view archives: http://www.fpml.org/_wgmail/_fxwglegacymail/threads.html