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Hi Marc
I
looked into the option expiry a bit more and am worried about having the
underlying/settlement details within the message. Looking at the Swaptions for
example, the cash settlement of the swaption is not simply cash but is the complex type
of CashSettlement. This is just one example of complexity I noticed I am sure
there are some more. If we were to include such information in the exercise
message then the exercise message would need to handle all of the complexity of
the swaps/underlying instruments which I fear would make it rather complicated.
It also feels like a duplication of effort, as this was already defined in the
original trade.
Thanks,
Paul From: bpwg@xxxxxxxx [mailto:bpwg@xxxxxxxx] On Behalf Of Marc Gratacos Sent: 13 August 2010 17:21 To: 'bpwg@xxxxxxxx' Cc: Lyteck Lynhiavu; Irina Yermakova Subject: FpML-BP minutes today's call 2010-08-13 Please find the
minutes for today?s 8/13 meeting. Let me know if I missed anything. Participants 1.
Brian
Lynn (GEM) 2.
John
Avery (Sungard) 3.
Paul
(RBC) 4.
Marc Gratacos
(ISDA) 5.
Irina
Yermakova (ISDA) 6.
Lyteck
Lynhiavu (ISDA) Apologies 1.
Chris
Funck (Chatham) 2.
Peter
Stockman (DTCC) Notes ·
DTCC's
Gross Cash Flow proposal -
The
schema, examples and documentation was published in 4.9WD1 last week. It will be
published in 5.1WD1 mid August. -
Marc
noted some minor issues with the naming patterns that may need correction.
à Marc will send an
email to the group. ·
CME's
proposal on payment calculations for reporting -
Brian
reviewed the proposed schema structures (PositionPayment,
TradeCashflowsAsserted, ReportedPosition) (see Marc?s email 8/10 ?Position
Report Payment report enhancement?). Comments were positive. -
We will
commit the schema and examples into subversion next week (for publication in
5.1WD2) after we finish building FpML 5.1WD1. ·
Option
Exercise/Expiry -
Marc
circulated the original ISDA Operations Committee requirements developed in 2003
related to Options Exercise (BPDocOptionsExercise.doc) -
Marc
discussed the Option Exercise/Expiry proposal he circulated including some
examples. -
More
input is needed to carify the data needed in the messages. It's not clear the
value of having the underlying asset or the settlement type as part of the
message content. à Marc will follow up
with some of the interested parties in having Option/Exercise in
FpML. à Marc will create
Option Exercise/Expiry flows to illustrate scenarios 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. _______________________________________________________________________ This email is intended only for the use of the individual(s) to whom it is addressed and may be privileged and confidential. Unauthorised use or disclosure is prohibited. If you receive this e-mail in error, please advise immediately and delete the original message without copying, using, or telling anyone about its contents. This message may have been altered without your or our knowledge and the sender does not accept any liability for any errors or omissions in the message. This message does not create or change any contract. Royal Bank of Canada and its subsidiaries accept no responsibility for damage caused by any viruses contained in this email or its attachments. Emails may be monitored. RBC Capital Markets is a business name used by branches and subsidiaries of Royal Bank of Canada, including Royal Bank of Canada, London branch and Royal Bank of Canada Europe Limited. In accordance with English law requirements, details regarding Royal Bank of Canada Europe Limited are set out below: ROYAL BANK OF CANADA EUROPE LIMITED Registered in England and Wales 995939 Registered Address: 71 Queen Victoria Street, London, EC4V 4DE. Authorised and regulated by the Financial Services Authority. Member of the London Stock Exchange |