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- Guy had tried to get a structure that would ensure that the mandatory elements could not be included in a document with the optional ones. ACTION: Marc to look at possible ways of achieving this --
The solution is a little bit complicated but it solves the problem of a non-deterministic model. Let me know if you have comments/questions.
Here it is:
<choice> <choice> mandatoryEarlyTermination <sequence> mandatoryEarlyTerminationDateTenor mandatoryEarlyTermination (minOccurs=”0”) </sequence> </choice> <choice> optionalEarlyTermination <sequence> optionalEarlyTermination optionalEarlyTerminationParameters (minOccurs=”0”) </sequence> <choice> </choice>
First, you can choose between mandatory or optional elements. Let's say that we choose "the mandatory elements". Then, the structure supports the idea of choosing mandatoryEarlyTermination OR mandatoryEarlyTerminationDateTenor OR BOTH together.
The same applies to the optional elements.
The implementation:
<xsd:complexType name="EarlyTerminationProvision"> <xsd:annotation> <xsd:documentation xml:lang="en">A type defining an early termination provision for a swap. This early termination is at fair value, i.e. on termination the fair value of the product must be settled between the parties.</xsd:documentation> </xsd:annotation> <xsd:choice> <xsd:choice> <xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination"> <xsd:annotation> <xsd:documentation xml:lang="en">A mandatory early termination provision to terminate the swap at fair value.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:sequence> <xsd:element name="mandatoryEarlyTerminationDateTenor" type="Interval"> <xsd:annotation> <xsd:documentation xml:lang="en"/> </xsd:annotation> </xsd:element> <xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination" minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">A mandatory early termination provision to terminate the swap at fair value.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:choice> <xsd:choice> <xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination"> <xsd:annotation> <xsd:documentation xml:lang="en">An option for either or both parties to terminate the swap at fair value.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:sequence> <xsd:element name="optionalEarlyTerminationParameters" type="OptionalEarlyTerminationParameters"> <xsd:annotation> <xsd:documentation xml:lang="en"/> </xsd:annotation> </xsd:element> <xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination" minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">An option for either or both parties to terminate the swap at fair value.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:choice> </xsd:choice> <xsd:attribute name="id" type="xsd:ID"/> </xsd:complexType>
-----Original Message-----
Minutes of WG meeting held on Thursday 30th September
Attendees: Steven Lord John Aldridge Jeff Valentino (for Keri Jackson) Guy Gurden Bob Green Marc Gratacos
RelativeSwap Proposal There was general agreement that the proposal was ok. The changes that Guy suggested via email should be incorporated.
Early Termination Provision Proposal Guy talked the group through his proposal. - If the optionalEarlyTerminationParameters element is included it is assumed to be a mutual put - Guy had tried to get a structure that would ensure that the mandatory elements could not be included in a document with the optional ones. ACTION: Marc to look at possible ways of achieving this - There was agreement that this structure covered the use case that prompted it - namely Broker Confirmations - There was some discussion around whether these additional parameters combined with the existing elements would be sufficient for confirmations that include this parameterised view. ACTION: Bob to look at how confirmation examples will fit into this structure.
Bond Reference Proposal Bob talked the group through his proposal. It was clarified that these parameters were included for two purposes: 1. They indicated that the swap transaction was contingent on this bond issue being completed 2. If the swap parameters differed from the bond then the bond would take precedence. There was alot of discussion around where this element should be placed - there was agreement on the usefulness of including it. The agreement was that it should be placed on the swap as this best reflected the wording in a confirmation. It was agreed that a more generic structure should be put in place to allow for over such contingencies to be included. ACTION: Bob to revamp proposal reflect the above and circulate to the group for discussion at the next meeting.
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