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RE: SPAM WARNING!: FpML-IRD RE: FpML IRD-WG: Dial-in details: *Today* 0900 NY/1400 LON
As a follow-up from this past meeting, here Dan Ruperto's feedback on
the 2 follow-up items that we had:
1. Brazil CDI template is a work-in-progress. EMTA has not set any date
for it's publication as of yet. As soon as I know, I'll forward it on.
2. CONFIRMED: In practice, the certain date for the Valuation (Fixing)
Date for CDI Swaps will be 1 business day before the "Termination Date"
(not settlement date) for a Bullet (single Calculation Period) Swap. The
Settlement Date for these Bullets will be two NY days following the
Valuation Date (as to be in-sync with NDF Fixing and Settlement).
UNCONFIRMED (but proposed): the certain date for the Valuation (Fixing)
Date for CDI Swaps will be 1 business day before the each "Period End
Date" (not each payment date) for multiple Calculation Period Swaps.
These will most likely employ "Delayed Payment Dates" being two NY days
following each Valuation Date. The market is still working this out.
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Lamy, Pierre
Sent: Wednesday, July 30, 2008 9:59 AM
To: harry.mcallister@xxxxxxxxxxxxxxxxx; irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx; Ruperto, Daniel; Thangaraj,
Asokumar
Subject: SPAM WARNING!: FpML-IRD RE: FpML IRD-WG: Dial-in details:
*Today* 0900 NY/1400 LON
IRD members,
Thank you for your time and insight in today's call. Here is the
adjusted proposal following the remarks made in the call.
I will also get back to the group (probably next week, as our
documentation expert is out this week) on the 2 other follow-ups noted:
(i) confirm the ETA for the Brazil CDI template and see if we can get a
draft version of it, and (ii) confirm that in practice the certain date
will be 1 business day before settlement date.
-----Original Message-----
From: harry.mcallister@xxxxxxxxxxxxxxxxx
[mailto:harry.mcallister@xxxxxxxxxxxxxxxxx]
Sent: Wednesday, July 30, 2008 8:36 AM
To: irdwg@xxxxxxxx
Cc: mgratacos@xxxxxxxx; iyermakova@xxxxxxxx; Lamy, Pierre; Ruperto,
Daniel; Thangaraj, Asokumar
Subject: FpML IRD-WG: Dial-in details: *Today* 0900 NY/1400 LON
--- Dial-in details--------
US: 888 481 3032
Intl: 617 801 9600
UK: 0800 904 7961
Participant Code: 28413758
-----------------------------
----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 30/07/2008 13:34
-----
Harry
MCALLISTER
To
Information irdwg@xxxxxxxx
Architect
cc
Fixed Income mgratacos@xxxxxxxx,
iyermakova@xxxxxxxx,
Architecture pierre.lamy@xxxxxx,
10 Harewood daniel.ruperto@xxxxxx,
Avenue, London Asokumar.Thangaraj@xxxxxx
NW1 6AA
Subject
Phone: +44 *** RESCHEDULE ***: FpML-IRD NDS
clause
(0)20 7595 extension - Schedule of fixing dates
3416
25/07/2008
15:45
Guy Gurden has pointed out that the proposed time for this call clashes
with an OTCDerivNet meeting on Tuesday, so I propose to re-schedule to:
*Wednesday 30* July at 0900 New York/1400 London.
(In fact, this is the time slot we should be using for IRD-WG meetings
in general).
Agenda as before.
Apologies for any inconvenience.
Best regards,
Harry McAllister
Chair, IRD-WG
----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 25/07/2008 15:29
-----
Harry
MCALLISTER
To
Information irdwg@xxxxxxxx
Architect
cc
Fixed Income mgratacoas@xxxxxxxx,
Architecture iyermakova@xxxxxxxx,
pierre.lamy@xxxxxx,
10 Harewood daniel.ruperto@xxxxxx,
Avenue, London Asokumar.Thangaraj@xxxxxx
NW1 6AA
Subject
Phone: +44 Fw: FpML-IRD NDS clause extension -
(0)20 7595 Schedule of fixing dates
3416
24/07/2008
17:32
I would like to call a meeting of the Interest Rates Working Group for
next Tuesday 29 July, at 0900 New York/1400 London.
Agenda
Proposal on Fixing Date Schedule extension to
NonDeliverableSettlement
provisions (Pierre Lamy, Goldman Sachs)
AOB
Please see proposal materials, attached.
I appreciate that this is relatively short notice, however this is our
best opportunity to discuss the proposal from Goldman Sachs in the short
term (I am on vacation the following week, beginning 4 August).
I would be grateful if you could indicate your availability to attend
Tuesday's call in advance.
Call in details to be notified.
Best regards,
Harry McAllister
Chair, IRD-WG
Fixed Income Architecture
BNP Paribas
+44 20 7595 3416
----- Forwarded by Harry MCALLISTER/UK/EUROPE/GROUP on 24/07/2008 17:20
-----
Internet
pierre.lamy@gs
.com
To
irdwg@xxxxxxxx
Sent by:
cc
irdwg@xxxxxxxx daniel.ruperto@xxxxxx,
Asokumar.Thangaraj@xxxxxx
23/07/2008
Subject
16:21 FpML-IRD NDS clause extension -
Schedule
of fixing dates
Please respond
to
irdwg@xxxxxxxx
Harry,
Goldman Sachs would like to propose an extension to the NDS clause to
provide the ability to support a schedule of fixing dates.
<<NDS Extension - Valuation Date.doc>>
Can you please let us know whether this could be discussed in a very
near future, as we have an urgent implementation need to align our
confirmation process with what is currently the most common practice.
Regards,
Pierre(See attached file: NDS Extension - Valuation Date.doc) This
communication is confidential, may be privileged and is meant only for
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