RE: FpML-BP minutes today's call 2010-08-13

I agree.

From: bpwg@xxxxxxxx [bpwg@xxxxxxxx] On Behalf Of Chellingworth, Paul [Paul.Chellingworth@xxxxxxxxx]
Sent: Monday, August 16, 2010 4:51 PM
To: bpwg@xxxxxxxx
Subject: RE: FpML-BP minutes today's call 2010-08-13

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

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