|
Participants
=======
Brian Lynn (GEM)
Lyteck Lynhiavu (ISDA)
Francoise Massin (SWIFT)
Christian Nentwich (Model2Zero)
Christian Unger (BBH)
Marc Gratacos (ISDA)
1. Option Exercise/Expiry
=====
Marc walked through the proposal.
Brian requested the addition of sequence diagrams to clarify the process. Participants agreed to include that as part of the final proposal.
It was clarified that option expiry is a separate process, consisting of a single 1 way notification message.
Participants agreed to send this to the Coordination Committe and publish it in the first working draft for version 4.6.
2. Leg Partial Termination Proposal
=====
Christian walked through the proposal.
Participants agreed that option 2 (using model groups) is the preferred approach.
Brian brought the topic about partially exercise a swap with amortizing notional ("unbalanced notional"). The proposal doesn't cover this case but with option 2 it shouldn't be difficult to extend the choice and add
the structure to support it. The same applies to support other asset classes such as commodity options.
Participants agreed to send this to the Coordination Committe and publish it in the first working draft for version 4.6.
Please let me know if I missed anything.
Kind regards,
Marc
The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution. |