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Hi Bhavik, There were a couple of items related to
the loan work discussed yesterday in the coordination committee.
Best regards, Marc From: Participants Andrew Parry (JPMorgan) Lyteck L. (ISDA) Brian Lynn (GEM) Robert Stowsky (Brook Path) Karel Engelen (ISDA) Harry McAllister (BNPParibas) Marc Gratacos (ISDA) 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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