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Please find the minutes for today’s 7/30 meeting. Let me know if I missed anything. Participants 1.
Tom Brown (OMGEO) 2.
Brian Lynn (GEM) 3.
Sreedhar Segu (DTCC) 4.
Chris Funck (Chatham) 5.
John Avery (Sungard) 6.
Steven White (State Street) 7.
Marc Gratacos (ISDA) 8.
Irina Yermakova (ISDA) 9.
Lyteck Lynhiavu (ISDA) Notes ·
DTCC's Gross Cash Flow proposal -
Marc completed the documentation. The schema and examples will be published in 4.9WD1 after review from the Standards Committee next week. It will be followed by
5.1WD1. -
There is a pending action with Peter to 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 earlier suggested looking at the
ReportContents type). That proposal will be deferred to a later working draft -
4.9 REC and 5.1 REC are planned for the end of the year. ·
CME's proposal on payment calculations for reporting -
Brian implemented the proposal by creating a new model group and type from 2 existing types (SimplePayment and PaymentMatching). He developed examples integrating
Matt’s example. -
Brian’s implementation is awaiting feedback from Matt and Marc and can be shared with the group barring unexpected issues. ·
Option Exercise/Expiry -
Marc discussed an early draft of the Option Exercise/Expiry proposal (attached png and xsd) which is based on another longstanding proposal that was developed years
ago before a messaging framework was introduced. The original interest came from LCH and Blackrock. Some requirements (e.g., underlyer) also came from a paper developed by the ISDA Operations WG. -
The group discussed whether additional elements needed to be included in the model (e.g., who owns the option, who wrote it, counterparty…). That may vary depending
on the asset class. Another approach would be to reference the original trade. -
Diagrams that show how the process flows, scenarios and sample message would help. Brian remembers light diagrams that could be used as a start. Marc will create
examples to illustrate various scenarios. Action Items 1.
Marc to distribute an early preview of 4.9WD1 schema and examples including DTCC’s proposal 2.
CME proposal: Marc/Brian to distribute Brian’s draft implementation 3.
Marc to circulate the original ISDA Operations WG requirements related to Options Exercise 4.
Marc will create Option Exercise/Expiry examples to illustrate scenarios 5.
Marc will circulate sequence diagrams that were discussed in the original proposal a few years back. Next Meeting Friday, August 13th 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. |