We have recently collected confirmation
templates and sample confirmations from our participating members and from
those I can say the following:
1) Every template we have received allows
for an adjustable termination date and every example confirm has one specified.
2) No templates, or examples, contain
a calculated number of days in calculation period.
3) Spreads are included on a number
of examples, although all I have seen have been zero.
4) As you would expect ETC's are rare,
however we do have a couple of examples.
5) We have no examples of Non-deliverable
FRA's, however we felt there would be some benefit in achieving consistency
between the products.
Hope this helps,
Phil
"Guy Gurden"
<guy.gurden@xxxxxxxxxxxxx> Sent by: irdwg@xxxxxxxx
14/03/2008 16:39
Please respond to
irdwg@xxxxxxxx
To
<irdwg@xxxxxxxx>
cc
Subject
RE: FpML-IRD FRA Changes Proposal
Phil,
Please can you provide some business justification (market practice
needs) for these changes other than just pointing to the ISDA Defs
Confirm template.
For example, how many FRAs are traded with a spread? How many FRAs are
ever documented with a termination date subject to adjustment? etc.
There was a lot of discussion around the original structure based on
market practice. For example, there was good rationale for FpML using
adjusted dates in the FpML for the FRA value/maturity dates rather than
dates subject to adjustment etc.
Marisol, formerly at Mizuho, now at DTCC provided a lot of the original
input.
Thanks
Guy
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of
harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Friday, March 14, 2008 12:31 PM
To: irdwg@xxxxxxxx
Subject: Re: FpML-IRD FRA Changes Proposal
Thanks for this, Phil.
IRD-WG members: you may find that you need to save the zipped attachment
locally in order to open it (I get a "invalid or corrupted" message
when
I
try to open the attachment direct from the Issues list).
I've just raised issue http://www.fpml.org/issues/view.php?id=651.
This details some proposed change to the FRA definition to bring it
closer
to the 2006 Defs.
Comments welcome.
Thanks,
Phil
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