March 24, 2005
Attendees
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Kedhar Kodlapur (Lehman)
Ira Fuchs (XML Associates)
Brock Arnason (Morgan Stanley)
Marc Teichman (DTCC)
Matthew Rawlings (JP Morgan)
Robert Stowsky (BrookPath)
Henri Pegeron (ISDA)
Marc Gratacos (ISDA)
Message Header Extensions
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Marc said that with the reorganization of the messaging working group, the
business process working group will look at the actual business content
and choreography of the messages while the architecture working group will
control technical aspects of the messages. Matthew’s proposal will be
discussed in the next Architecture Working Group meeting.
“Short-form” Allocations Proposal
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Brock presented his proposal on short-form allocations. People agreed on
the business content. Marc asked about representing this model as FpML
message. Brock said that he didn’t want to restrict that model using it
into a single message structure. He said that this short form
representation is being used more and more for valuation and confirmation
purposes. He said that it’s were the market is going.
After some discussion, the group agreed on two principles:
* There are three ways to represent a trade:
1. Full trade representation.
2. Partial trade - collection of some elements that requires
matching.
3. Trade reference - correlate through id.
The first principle is that models should always provide the
option to correlate by identifier or by the entire trade but never a
partial trade that requires matching.
* The second principle is that the “short-form” representation of
allocations should be possible in post-trade messages.
Within the Messaging part of the specification, Marc will create a new
section on design principles.
Marc will update Brock’s proposal trying to accomplish both principles.
Examples for Trade Side Proposal
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Marc didn’t have time to submit the examples proposal. He’ll send it to
the mailing list.
AOB
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Matthew said that he was working in a proposal for modeling option
exercises. He’ll submit it to the group for review.
Actions
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- Marc will create some examples to show tradeSide proposal.
- Marc will update Brock’s allocation proposal.
- Marc will update documentation incorporating design principles.
- Matthew will submit Option Exercise proposal.
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Let me know if you have comments.
Best regards,
-Marc
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