An additional scheme to represent the
status of the net payments once the matching is performed. Values: Matched,
Unmatched, Mismatched.
Best Regards,
-Marc
+1-212-901-6028
From: Lamy, Pierre
[mailto:pierre.lamy@xxxxxx]
Sent: Wednesday, January 18, 2006
4:03 PM
To: 'bp@xxxxxxxxxxxxxxxxxxxx'
Subject: RE: FpML-BP minutes meeting
2006-01-12
As a follow-up
from this past meeting, I developed the following items:
- An updated
version of the asset-measure scheme, to which I have added the following 2
elements: TransactedNetPrice and TransactedGrossPrice. I have updated
the partial termination example to make use of the former when applicable.
- Initial scheme
proposals for the cashflow and product typologies. If we retain
the terminology proposed in this schema, I would have to make a
couple of adjustments to some of the examples.
Unfortunately, I
have not yet been able to identify an averaging swap that would be suitable for
our purpose.
On the other
hand, I have been following on this question of reconciling unknown
cashflows. The feedback that I have obtained yet from our product lines
is that the focus should be on known cashflows: reconciling cashflow components
before they are known is not a priority in the view of the people that I have
talked to.
Also, a further
thought that I have on this topic is that this current schema that we have
developed so far could easily be adjusted to reconcile unknown cashflow if this
becomes a focus at a later point: we would adjust it so that it can accommodate
an 'unknown' net cashflow element, and the initial reconciliation stages would
then focus on the gross cashflow components until the net element get
passed as an actual value.
I hope that we
can find the time to discuss those points tomorrow.
From: Marc
Gratacos [mailto:MGratacos@xxxxxxxx]
Sent: Tuesday, January 17, 2006
6:02 PM
To: bp@xxxxxxxxxxxxxxxxxxxx
Subject: FpML-BP minutes meeting
2006-01-12
2006-01-12
Participants:
Pierre Lamy
Brian Lynn
Andrew Jacobs
Marc Teichman
Henri Pegeron
Marc Gratacos
Regrets:
Mike Maranhas
Bela Maranhas
Angela Lannin
Discussion Cash flow Matching:
We went
through the remaining examples.
Actions:
- We need an example of an averaging deal.
- We need to give directions on the usage of some
of these elements. For example, we would need a scheme value to indicate a
final price (TransactedPrice value was suggested).
- We still need to develop scheme values for
cashflowType and productType.
- We need an optional notional on the
calculationPeriod structure.
- Put guidelines/documentation together.
We had the discussion again about the approach we are taking
matching the net cash flows and the flexibility of the schema. All members of
the group agreed that the schema is flexible enough. It's not clear about the
level of details that implementation would require in order to match the cash
flows. Members saw feasible that implementations would use a subset of the
elements expressed in the calculationDetails structure in order to perform cash
flow matching. FpML will define a standard way to do it using examples for
different products but implementations may choose a simpler approach using
fewer fields.
Best Regards,
-Marc
+1-212-901-6028
From: Marc Gratacos [mailto:MGratacos@xxxxxxxx]
Sent: Wednesday, January 11, 2006
1:35 PM
To: bp@xxxxxxxxxxxxxxxxxxxx
Subject: FpML-BP meeting Thursday
2006-01-12 at 10:00AM
The next BPWG meeting will be tomorrow Thursday 2006-01-12 from 10:00 AM to 11:00 New York Time.
Agenda:
------------
-Cash flow matching examples
-Generic Short-form representation.
-Defaulting
-AOB
Call details:
US: 1 888 481 3032
Intl: 1 617 801 9600
Code: 8682747
Best Regards,
-Marc