Hello Andrew,
DTCC was hoping to also add the "Multiple Exchange Traded Proposal"
resolution from the Nov 19 2007 Coordination Committee back to this weeks
agenda (see 3rd item below from the 11/30/2007 minutes).
I'm attaching a revised fpml-asset schema
and sample xml file reflecting the proposed constituentExchangeId element
as an extension to ExchangeIdentifier.model.
From the fpml-asset-4-3.xsd schema: <xsd:group name="ExchangeIdentifier.model">
<xsd:sequence>
<xsd:element
name="constituentExchangeId" type="ExchangeId" minOccurs="0"
maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation
xml:lang="en">A short form unique identifier to be used when
the underlying instrument is traded on multiple exchanges. The term "Exchange"
is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives
Definitions.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element
name="relatedExchangeId" type="ExchangeId" minOccurs="0"
maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation
xml:lang="en">A short form unique identifier for a related
exchange. If the element is not present then the exchange shall be the
primary exchange on which listed futures and options on the underlying
are listed. The term "Exchange" is assumed to have the meaning
as defined in the ISDA 2002 Equity Derivatives Definitions.</xsd:documentation>
<xsd:documentation
xml:lang="de">Eindeutiges Kürzel einer relevanten Börse. Fehlt
dieses Element, gilt die Hauptbörse, an der börsengehandelte Futures- und
Optionskontrakte auf den Basiswert notiert sind, als "Börse"
im Sinne der ISDA-Definitionen zu Aktienderivaten von 2002.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element
name="optionsExchangeId" type="ExchangeId" minOccurs="0"
maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation
xml:lang="en">A short form unique identifier for an exchange
on which the reference option contract is listed. This is to address the
case where the reference exchange for the future is different than the
one for the option. The options Exchange is referenced on share options
when Merger Elections are selected as Options Exchange Adjustment.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
Regards,
Henri Pegeron
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DTCC Deriv/SERV : Business Analysis & Design
55 Water Street - New York, NY 10041
Phone: + 1 (212) 855 1682
Fax: + 1 (212) 855 1020
----- Forwarded by Henri
Pegeron/DTCC on 01/09/2008 03:51 PM -----
andrew.p.parry@xxxxxxxxxxxx Sent by: eqdwg@xxxxxxxx
FpML-EQD FpML EQD WG Minutes 1400 LDN
Fri 30 Nov 2007
* Present
Jim Brous, Metro Solutions
James Clark, SwapsWire
Piers Evans, SwapsWire
Marc Gratacos, ISDA
Andrew Parry, JP Morgan ( Chair )
Alicia Szybillo, DTCC
Irina Yermakova, ISDA
* Minutes
Actions against Shabbir Irfani of Goldman
Sachs are obsolete, and have
been removed from the action list
FpML-4-4-WD-2 has been published on
schedule, the FpML roadmap as a whole
remains on schedule
FpML Co Ordination Committee response
to the Multiple exchange traded
proposal from the DTCC was in summary
to add the concept "constituent exchange id" to an index
SOTF changes in the area of option features
are around encapsulation,
where they use a container for all features.
We should be aware not to introduce features which are schema legal, but
have not business sense
We have decided on simplified business
rules for Multiple Exercise
following issues raised by Andrew Jacobs
calculationAgentParty IS-A CalculationAgentPartyEnum
is present to allow
the definition of a calculation agent
in a Master Agreement, rather than the transactional view supported by
FpML. This means that rule eqd-21 is incorrect,
because it requires that the Calculation Agent Party always be present
in
the transactional FpML document
* Decisions
1. Deprecate element equityFeatures
2. Adopt business rules for complex type EquityMultipleExercise
a) "you cannot exercise more than the number of options you have"
maxiumumNumberOfOptions <= numberOfOptions
b) "maximum number of options to exercise must be greater than or
equal to
minimum number of options to exercise"
maxiumumNumberOfOptions >= minimumNumberOfOptions
c) "when integral multiple exercise is present, minimum and maximum
number
of options exercised must be a positive integer multiple"
( minimumNumberOfOptions / integralMultipleExercise ) IS-A Positive
Integer
( maximumNumberOfOptions / integralMultipleExercise ) IS-A Positive
Integer
3. Remove business rule eqd-21
4. Addition of observers
a) Igor Sukhov of nabCapital
b) Catherine Napolitano of White & Case LLP
5. Next meeting 1400 LDN Fri 11 Jan 2008
* Actions
MG: to determine publication schedule
for decisions
AP: create more samples for newer products
AP: improve annotation of second order derivatives
IY: add Igor Sukhov of nabCapital
and Catherine Napolitano of White &
Case LLP as observers on the mailing list
Regards
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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