FpML-BP Meeting Minutes 2010-07-16

[Lyteck Lynhiavu <LLynhiavu@xxxxxxxx>]

Please find the minutes for today’s July 16 meeting. Let me know if I missed anything.

 

Participants

1.       Brian Lynn (GEM)

2.       Peter Stockman (DTCC)

3.       Sreedhar Segu (DTCC)

4.       Tom Brown (OMGEO)

5.       Jonathan Viljoen (Standard Bank)

6.       Chris Funck (Chatham)

7.       Joe (ADP Software)

8.       Marc Gratacos (ISDA)

9.       Irina Yermakova (ISDA)

10.   Lyteck Lynhiavu (ISDA)

 

Apologies:

1.       John Avery (Sungard)

 

 

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

• Marc distributed the final schema/examples and documentation (Marc email 7/15).
• The group reviewed the draft documentation

Action Items:

-          Sreedhar will review the coding scheme values

-          Marc will complete the documentation

-          The proposal will be included in 4.9 WD1 and 5.1 WD1 (ISDA will build the specs the week of July 26^th)

-          Peter will develop a proposal to indicate how the netting for multiple trades is being done, e.g., by unit (commodity trades), by currency, by counterparty …(Brian suggested looking at the ReportContents type)

 

 

CME's proposal

 

à Brian will follow up with Matt Simpson

• 7/02 we discussed implementation options: 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 proposal is published and CME proposal is implemented.

·         Next meeting: July 30^th, 2010

---

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.