Andrew, See attached document with my answers. Your comments bring me two questions for the group: - Do we allow cancellations after the effective date of the event? I think we do but I'd like to confirm this. - Do we understand cancellations for immediate action? I think we do but I'd like to confirm this as well. I'd like to get feedback from members of the group. Please feel free to add your comments within the document. Best regards, Marc -----Original Message----- From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Marc Gratacos Sent: Wednesday, December 12, 2007 10:18 AM To: im-custodian@xxxxxxxx Cc: andrew.p.parry@xxxxxxxxxxxx; Karel Engelen Subject: FpML-IM-Custodian FW: Reminder RE: [fpml-coord] minutes 2007-12-03 Importance: High See attached comments from Andrew Parry regarding the introduction of the cancellation messages. I'll send my comments to this document later today. Feel free to send yours as well. Best regards, Marc -----Original Message----- From: andrew.p.parry@xxxxxxxxxxxx [mailto:andrew.p.parry@xxxxxxxxxxxx] Sent: Wednesday, December 12, 2007 5:00 AM To: Marc Gratacos Cc: Karel Engelen; matthew.d.rawlings@xxxxxxxxxxxx; tony.p.smith@xxxxxxxxxxxx Subject: RE: Reminder RE: [fpml-coord] minutes 2007-12-03 Marc Please find attached Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan "Marc Gratacos" <MGratacos@xxxxxxxx> 11/12/2007 09:03 To <andrew.p.parry@xxxxxxxxxxxx> cc "Karel Engelen" <KEngelen@xxxxxxxx> Subject RE: Reminder RE: [fpml-coord] minutes 2007-12-03 Andrew, Yes, and I think I answered your objections. What questions remain unanswered? See below. Best regards, Marc Extracted from minutes 2007-12-03 1. Cancellation of Contract events (see attached) 1.1. Andrew Parry asked about the issues that were raised in the previous Coordination Call: a. The message introduces confusion between cancellation of a message and cancellation of business event. Theoretically, in FpML you could send multiple messages for the same event. The purpose of this message is to cancel the business event. In the CUG, they are equivalent but this is not true for other implementations. Marc's Answer to a.) The proposal has been modified to specify the cancellation of a business event instead of a message. This is consistent with FpML 4.x b. There shouldn't be a single message covering all business event cancellations. In the FpML 4.x series there is a message type per business event, these cancellation messages should follow the same pattern for consistency and there should have a message per type of cancellation (ContractPartialTerminationCancelled, ContractNovationCancelled,...). Marc's Answer to b.) A message per event cancellation has been introduced. Instead of a single message, 4 cancellation messages are proposed. c. The additionalData structure is not a good construct to report the original even that is being cancelled since there isn't control over its content. The content of the business event may be referenced optionally. Marc's Answer to c.) The additionalData structure has been removed accordingly. Instead, each message includes optionally the event that is cancelled. d. The proposal should be reworked accordingly. Marc's Answer to d.) Done by the IM-Custodian Working Group. In addition, Andrew Parry asked about the definition of conversation and the use of event messages to offset transactions instead of cancellation messages. Marc's Answer to these two points: - The IM-Custodian participants use the conversation Id to link together messages for a single event. So event notifications, modifications, and cancellations are linked together by the conversation id. The concept of event id would probably be more appropriate for this usage but it was not introduced in the 4.2 messages and the IM-Custodian participants don't want to create private extensions to those messages. - The IM-Custodian WG suggests the Modeling Task Force to clearly define conversation id and event id so it gets easier to understand and implement. - The IM-Custodian participants expressed multiple times in previous working group meetings that the use of event messages to offset transactions doesn't fit their current business practices neither their current systems. The assumption that these are final state messages is not currently the case, there are multiple modifications that take place between the asset manager and the custodian. Andrew Parry asked about the transaction aspect of the messages: when a cancellation of an event can be performed? - The IM-Custodian expressed that in terms of their current implementations, initially they won't be able to process a cancellation of an event if a subsequent event has happened to the contract. - Pierre Lamy stated that the suggested approach as standard should be that cancellation of messages could happen after subsequent events have happened to the contract and that transactions should be rolled back. This feeback will be sent back to im-custodian group. -----Original Message----- From: andrew.p.parry@xxxxxxxxxxxx [mailto:andrew.p.parry@xxxxxxxxxxxx] Sent: Tuesday, December 11, 2007 3:55 AM To: Marc Gratacos Cc: Karel Engelen Subject: Re: Reminder RE: [fpml-coord] minutes 2007-12-03 Marc You received the objections on the co-ordination call, and should not now be presenting this in terms of "If no objections are received, these messages will be incorporated in the third working draft for version 4.4" Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan "Marc Gratacos" <MGratacos@xxxxxxxx> Sent by: coord@xxxxxxxx 10/12/2007 15:50 Please respond to coord@xxxxxxxx To <coord@xxxxxxxx> cc <im-custodian@xxxxxxxx>, <bpwg@xxxxxxxx> Subject Reminder RE: [fpml-coord] minutes 2007-12-03 I just want to remind the group about the call for comments for the cancellation messages of contract events. A week was given to review the proposal ending today. If no objections are received, these messages will be incorporated in the third working draft for version 4.4. Best regards, Marc -----Original Message----- From: coord@xxxxxxxx [mailto:coord@xxxxxxxx] On Behalf Of Marc Gratacos Sent: Thursday, December 06, 2007 6:41 AM To: coord@xxxxxxxx Subject: [fpml-coord] minutes 2007-12-03 Importance: High Participants: Irina Yermakova (ISDA) Brian Lynn (GEM) Lyteck Lynhiavu (ISDA) Harry McAllister (BNPParibas) Pierre Lamy (Goldman Sachs) Andrew Parry (JPMorgan) Bhavik Katira (chair Loan WG) Henri Pegeron (DTCC) Marc Gratacos (ISDA) Apologies: Ben Lis (T-Zero) Karel Engelen (ISDA) 1. Cancellation of Contract events (see attached) 1.1. Andrew Parry asked about the issues that were raised in the previous Coordination Call: a. The message introduces confusion between cancellation of a message and cancellation of business event. Theoretically, in FpML you could send multiple messages for the same event. The purpose of this message is to cancel the business event. In the CUG, they are equivalent but this is not true for other implementations. Marc's Answer to a.) The proposal has been modified to specify the cancellation of a business event instead of a message. This is consistent with FpML 4.x b. There shouldn't be a single message covering all business event cancellations. In the FpML 4.x series there is a message type per business event, these cancellation messages should follow the same pattern for consistency and there should have a message per type of cancellation (ContractPartialTerminationCancelled, ContractNovationCancelled,...). Marc's Answer to b.) A message per event cancellation has been introduced. Instead of a single message, 4 cancellation messages are proposed. c. The additionalData structure is not a good construct to report the original even that is being cancelled since there isn't control over its content. The content of the business event may be referenced optionally. Marc's Answer to c.) The additionalData structure has been removed accordingly. Instead, each message includes optionally the event that is cancelled. d. The proposal should be reworked accordingly. Marc's Answer to d.) Done by the IM-Custodian Working Group. In addition, Andrew Parry asked about the definition of conversation and the use of event messages to offset transactions instead of cancellation messages. Marc's Answer to these two points: - The IM-Custodian participants use the conversation Id to link together messages for a single event. So event notifications, modifications, and cancellations are linked together by the conversation id. The concept of event id would probably be more appropriate for this usage but it was not introduced in the 4.2 messages and the IM-Custodian participants don't want to create private extensions to those messages. - The IM-Custodian WG suggests the Modeling Task Force to clearly define conversation id and event id so it gets easier to understand and implement. - The IM-Custodian participants expressed multiple times in previous working group meetings that the use of event messages to offset transactions doesn't fit their current business practices neither their current systems. The assumption that these are final state messages is not currently the case, there are multiple modifications that take place between the asset manager and the custodian. Andrew Parry asked about the transaction aspect of the messages: when a cancellation of an event can be performed? - The IM-Custodian expressed that in terms of their current implementations, initially they won't be able to process a cancellation of an event if a subsequent event has happened to the contract. - Pierre Lamy stated that the suggested approach as standard should be that cancellation of messages could happen after subsequent events have happened to the contract and that transactions should be rolled back. Participants in the Coordination Committee felt that they needed more time to review the proposal so a week was given to send any feedback about it. If approved, these messages will be introduced in the next working draft for version 4.4. 2. Issues http://www.fpml.org/issues/view.php?id=362 The group felt that this issue should be tackled by the Credit Derivatives WG since members of that group have more busines expertise on the area. The CreditCurveCharacteristics structure from the Pricing and Risk area should be considered since it introduces some of these concepts as distinct elements. A suggested approach by Andrew Parry was to introduce new elements for tier (positiveInteger) and secured (boolean) to simplify the code composition (avoiding being a composite key) and make it more consistent with Pricing and Risk. http://www.fpml.org/issues/view.php?id=520 The id attribute in the tradeId has no usage currently in FpML so the Coordination Committee decided that it should be deprecated in the current 4.x versions and removed in the next major version. 3. Decoupling between publication of schemes and schema There was a discussion within the Credit Derivatives Working Group on whether there could be some decoupling between the publication of the schemes and the publication of the specifications. Participants were interested in the idea. Henri mentioned that he submitted a proposal to the AWG for consideration http://www.fpml.org/issues/view.php?id=283 and a paper was supposed to be published and it hasn't happened yet. Marc said that he'll put that on the agenda for the next AWG meeting. Loan Working Group Update Bhavik gave an update on the work developed by the Loan Working Group. The group has been focused on the main "pain" point in terms of automation of the Loan business which is the draw down notifications. That's why the representation of a Loan product and Loan underlyer was referred to a second phase by the working group. Andrew Parry has sent a complete set of comments to Bhavik for review with suggested solutions. Bhavik has reviewed and it will be dicussed in the next Loan Working Group. Please, let me know if I missed anything. 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