FpML-BP Meeting Minutes 2010-07-02

[Lyteck Lynhiavu <LLynhiavu@xxxxxxxx>]

Please find the minutes for today’s July 2 meeting. Let me know if I missed anything.

 

Participants

1.       Brian Lynn (GEM)

2.       Sreedhar Segu (DTCC)

3.       Tom Brown (OMGEO)

4.       John Avery (Sungard)

5.       Chris Funck (Chatham)

6.       Marc Gratacos (ISDA)

7.       Irina Yermakova (ISDA)

8.       Lyteck Lynhiavu (ISDA)

 

Apologies:

1.       Matt Simpson (CME)

 

 

DTCC's proposal (Cash flow matching for multiple trades)

• Sreedhar added new sample messages based on previous group discussions:

• messages for Credit and Equity (see Marc’s zip sent 7/02)
• sample for multiple trades/multi-currency trades: can express one message for each currency or multiple currencies in the same message. The model is flexible and can accommodate different implementations (including single or multiple products).

• Marc added the schema and example messages to the FpML subversion repository

• The \trunk is now updated for FpML 4.9
• Note the distributed schema does not contain the usual -4-9 in the filename as it was taken directly from the \source
• For consistency, added a couple of messages which were already in the cashflows but added them to the netted cashflows for multiple trades: NettedTradeCashflowsAsserted contains one or many tradeIdentifyingItems can be referenced in grossCashflow.

·         The proposal can be published in 4.9 WD1 before the end of July pending the à completion of additional sample response messages (results, assertion) and the creation of documentation around messages (Action Item)

• 4.9 and 5.1 will be in sync. à Marc will add the proposal to 5.1
• 4.9 Recommendation is planned towards the end of 2010

CME's proposal

• Brian discussed the analysis he sent 6/23 around the existing payment types (SimplePayment, PaymentMatching) and how they could be modified accommodate CME’s proposal.

o    It seems feasible to be able to combine the existing content of the types using xsd:group to create a model for the CME proposal.

o    There are several implementation options which Brian outlined in his email (see 3.a and 3.b)

o    Another option included making use of type restriction (create a base type with optional paymentDate and restrict the model in PaymentMatching) but it is not recommended in the FpML Architecture Specification. (not all binding frameworks support restriction and break when creating jar from the schema)

• à We’ll need to discuss whether we want to make the proposed date adjustable There would be advantages to have consistency between the SimplePayment and PaymentMatching types

• We’ll wait until Matt Simpson can be on the call to discuss implementation further

 

Upcoming work

·         the group will focus on Option Exercise/Expiry after the DTCC and CME proposals are implemented.

 

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