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At the Coordination Committee on Monday there was a discussion around the indexFactor/factoredNotional Proposal. There were some objections to include these fields as part of the product description.
Extracted from the minutes:
- Credit Derivatives question: addition of factoredNotional (see below) The Coordination Committee was against the addition of indexFactor and factoredCalculationAmount inside the creditDefaultSwap product representation in FpML 4.6. The reasons for the position against the proposal were: · These parameters are not known at the time of confirmation of the transaction · They are linked to a specific event, credit event in this case, which is a separate business process from the confirmation · There is no notion of as of which date the changes in notional come to effect
DTCC has taken a different approach including the factor and as part of their payment message, which uses the FpML observation structure (cash flow matching). It includes the index, weight, and the original notional.
After some discussion, the group suggested putting these data into a message, enhancing the Credit event notice, maybe expanding its scope to include the index factor and the factored notional or creating a new message for this purpose.
Action: report these objections to the CDWG. From: coord@xxxxxxxx [coord@xxxxxxxx] On Behalf Of Marc Gratacos [MGratacos@xxxxxxxx] Sent: Tuesday, May 19, 2009 11:56 AM To: 'coord@xxxxxxxx' Subject: [fpml-coord] minutes teleconference 2009-05-18 Participants Matthew Rawlings (JPMorgan) Lyteck Lynhiavu (ISDA) Irina Yermakova (ISDA) Henri Pegeron (DTCC) Andrew Parry (JPMorgan) Harry McAllister (BNPParibas) Marc Gratacos (ISDA)
Regrets Owen King (Markit) Pam Field-Webber (Progress) Andrew Jacobs (HandCoded)
- 4.6 Progress: dates for Last Call Working Draft (LCWD) The Working Draft number 3 for version 4.6 was published on the website. The review checklist spreadsheet includes progress for the 4.6 release. It will be sent to the Coordination group before any meeting to make contents of the release and checkpoints explicit. The expected publication of the LCWD is the first week of June. Additional work on physical commodities (coal) is expected. The loan group is working on defining trading objects but not sure whether they will be finished by the LCWD or it will go to 4.7. There are some proposals on the IRDWG but they won't be ready by June. It will go into 4.7.
- Credit Derivatives question: addition of factoredNotional (see below) The Coordination Committee was against the addition of indexFactor and factoredCalculationAmount inside the creditDefaultSwap product representation in FpML 4.6. The reasons for the position against the proposal were: · These parameters are not known at the time of confirmation of the transaction · They are linked to a specific event, credit event in this case, which is a separate business process from the confirmation · There is no notion of as of which date the changes in notional come to effect
DTCC has taken a different approach including the factor and as part of their payment message, which uses the FpML observation structure (cash flow matching). It includes the index, weight, and the original notional.
After some discussion, the group suggested putting these data into a message, enhancing the Credit event notice, maybe expanding its scope to include the index factor and the factored notional or creating a new message for this purpose.
Action: report these objections to the CDWG.
- Payment Breakdown Proposal (see schemas, doc, and .xml) A few more samples were requested to show usage of the payment details structure in this context. Action: all members of the coordination committee should review the proposal and send feedback. The aim of the IM-Custodian WG is to include these adjustments to the existing messages in the LCWD.
- Frequency vs. Offset Analysis (see PeriodEnum.xls file) Harry McAllister made some corrections and comments.
Action: Marc should update the spreadsheet.
-AOB None.
Please let me know if I missed anything.
Thanks, Marc
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