From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of andrew.p.parry@xxxxxxxxxxxx
Sent: Monday, June 09, 2008 3:56 AM
To: eqdwg@xxxxxxxx
Subject: FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 06 June 2008
Importance: High
* Present
Takeo Asakura, Swaps Wire
Mark Addison, JP Morgan
James Clark, Swaps Wire
Marc Gratacos, ISDA
Vinod Jain, Headstrong Consulting
Lytech Lynhiavi, ISDA
Andrew Parry, JP Morgan ( Chair )
Henri Pegeron, DTCC
Matthew Rawlings, JP Morgan
Marc Teichman, DTCC
Irina Yermakova, ISDA
* Apologies
Jim Brous, Metro Solutions
* Minutes
At the most recent FpML Co Ordination Meeting, Goldman Sachs raised concerns that the Swaps Wire interest leg date type proposal did not meet market practice, but they have not yet come back to this group to explain their concerns. Consensus view of this group is that it should be included in FpML-4-4
MTF view exercise re factoring ( Issue #295 ) as a question for this group. From our perspective, we have completed this issue
FpML-4-4-TR-1 is being prepared for release in the week starting Mon 09 June 2008
FpML-4-5 will be released by the end of 2008
XQuery implementation of business rules are now hosted on the FpML website
Seperation of XML Schema and coding scheme values will be implemented for FpML-4-5, together with canonical coding schemes as proposed by DTCC. At present XML Schema and coding scheme are released together for convenience. There is not automated link between coding schemes in a release and coding schemes hosted on the FpML website ( http://www.fpml.org/coding-scheme/ )
Second order derivatives ( Option on Variance Swap, Option on Correlation SWap, Option on Dividend Swap ) will be removed from FpML-4-4 to allow time for finalised ISDA documentation, and more input from the group
JP Morgan EUR Var Dispersion Proposal correctly reflects the ISDA legal definition, we will further consider leg identification, given that these transactions typically compose of 1 IVS and 50 SVS ( dispersion of index vs dispersion of constituents )
MG recorded our issue decisions in the online tracking system. Thanks to the Val WG for their guidance in how the business rules should be expressed
Dividend Periods in Dividend Swaps may not overlap ( Issue #725 Disjoint Dividend Periods ), they may have gaps between them, market practice is that they are adjacent
* Decisions
1. Swaps Wire interest leg date type proposal will be included in FpML-4-4
2. Swaps Wire "ISDA2008EquityOptionAsiaExcludingJapan" will be added to master-confirmation-type scheme, with
a revised text description to omit "The Cash-settled" from the start of the description
3. DTCC compounding spread proposal will be included in FpML-4-4
4. Remove second order derivatives from FpML-4-4 ( Option on Variance Swap, Option on Correlation SWap, Option on Dividend Swap )
5. Approve JP Morgan EUR Var Dispersion proposal subject to revision to included leg identification
6. Issue decisions as recorded by MG in the online tracking system
7. Next meeting 1400 LDN Fri 20 June 2008
* Actions
MG add value "ISDA2008EquityOptionAsiaExcludingJapan" to master-confirmation-type scheme
MG add Swaps Wire interest leg date proposal and DTCC compounding spread proposal to FpML-4-4
MG remove second order equity derivatives from FpML-4-4
AP contact HMcA to discuss leg identification
AP revise EUR Var Dispersion proposal to include leg identification
AP propose improved dividend period handling in FpML-5-0
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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