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FpML-EQD Fw: [fpml-coord] minutes 2007-11-19
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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"Marc Gratacos" <MGratacos@xxxxxxxx>
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Subject
[fpml-coord] minutes 2007-11-19
Participants
Irina Yermakova (ISDA)
Andrew Parry (JPMorgan)
Lyteck L. (ISDA)
Brian Lynn (GEM)
Pierre Lamy (Goldman Sachs)
Robert Stowsky (Brook Path)
Karel Engelen (ISDA)
Harry McAllister (BNPParibas)
Marc Gratacos (ISDA)
Andrew Jacobs (HandCoded)
Apologies
Simon Heinrich (IONA)
1. Multiple exchange traded instrument proposal (See Proposal
Multiple exchangeId.zip and original e-mail below)
a. Andrew Parry described the proposal from DTCC to allow multiple
exchange Id for equity indices. For equity indices, exchangeId indicates
the exchanges from which valuation/price of each constitutent will be
based in case of disruption.
b. Participants felt this was overloading the use of exchangeId,
which is meant to represent the exchange where a stock is traded.
c. It was suggested to add an additional element within the index
underlyer called constituentExchangeId (optional, multiple occurrence) to
support the business requirement but distinguish it from exchangeId.
d. FpML underlyers should be refactored in 5.0 to make sure that
elements present in an underlyer have sense from a business perspective.
Further points from Andrew Parry were discussed:
1.1 Loan WG work extends neither FpML:Product nor FpML:Underlyer. A
single message type "LoanServicingNotification" is used with a choice
group to select the business process, which is the functional equivalent
of not using the messaging framework. See file "fpml-loan.xsd" in branch
"loan", snapshot of schema directory attached
Coord feedback: We’ll need to check with Bhavik but from a business
perspective, the working group felt that the first priority should be to
develop the notices in FpML instead of a loan model.
Coord feedback: Regarding the messaging, the feedback will be send to the
group.
Commodity WG update.We have mixed equity / commodity baskets, support for
commodity underlyers in public FpML would be welcome.
Coord feedback: The Commodity Working Group hasn’t met for a while. Elaine
is very busy and we may have to look for a new chair. It would be good to
have support for commodity underlyers. In addition, the commodity
underlyers should have enough granularity to identify different basket
components.
1.3 Basket nesting. We do not allow basket nesting at present, so we
cannot have a basket which contains a basket, and can only support cases
such as the above, where all baskets are "flattened"
Coord feedback: Agreement to welcome proposals on this. Andrew
Parry is working on a proposal to support basket nesting.
1.4 Synthetic underlyers. These are underlyers whose payoff is determined
by a formula, mutualFund is the closest present FpML type. How do other
group members handle synthetic underlyers and other private funds?
Coord feedback: Robert said that he used mutualFund as well to
represent such underlyers.
2. Cancellation of Contract events. Coord feedback:
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.
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,…).
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.
d. The proposal should be reworked accordingly.
Please, let me know if I missed anything.
Kind Regards,
-Marc
+13472846531
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