FpML-EQD FpML EQD WG 1400 LDN Fri 20 June 2008

[andrew.p.parry@xxxxxxxxxxxx]

* Present

Mark Addison, JP Morgan
Takeo Asakura, MarkIt
James Clark, MarkIt
Krishna Devabhaktuni, Citadel Group
Marc Gratacos, ISDA
Rajan Khorana, Citadel Group
Lyteck Lynhiavi, ISDA
Andrew Parry, JP Morgan ( Chair )
Sreedhar Segu, DTCC 
Bin Shen, Goldman Sachs
Irina Yermakova, ISDA

* Apologies

Marc Teichman, DTCC

* Minutes

AP contacted HMcA and BL regarding leg
identification, but has not yet received a response

Improved dividend period modelling will
be included in FpML-5

Goldman Sachs representatives have a
standing meeting at this time every week, they will try to alternate, to
ensure that Goldman Sachs are represented at every meeting

Product models are developed to support
ISDA legal definitions, in the case of Variance Dispersion this means that
the "covered transaction" may have many legs

We wish to develop Variance Option as
our next product model

Dividend Swap revisions are required
to support ISDA changes for the Japanese Index Dividend Swap Transaction
Supplement (Publication Version)

Exact release date of FpML-4-4-TR-2
will be confirmed at the FpML Co Ordination Meeting on Monday 23 June

Proposal to add premium to Variance
Swap will be refined, and presented at our next meeting

Validation Working group are refining
the way that business rules should be documented, and should complete this
work in the week beginning Mon 30 June, which will allow EQD business rule
issues to be closed. If this work is not released with FpML-4-4-TR-2, it
will be release with FpML-4-4-REC-1. Remaining EQD issues are related to
modelling in FPML-5


* Decisions

1. Adopt Variance Dispersion proposal
for FpML-4-4-TR-2 to support EUR Var Dispersion
2. Adopt Dividend Swap proposal for
FpML-4-4-TR-2 to support Japanese IDS TS Pub. Ver.
3. Next meeting 1400 LDN THURSDAY 03
JULY 2008 ( US Public Holiday on 04 July ) 

* Actions

JC consider version being mandatory
on leg identifier
MG merge Variance Dispersion proposal
for FpML-4-4-TR-2 to support EUR Var Dispersion
MG merge Dividend Swap proposal for
FpML-4-4-TR-2 to support Japanese IDS TS Pub. Ver.
MG close EQD business rule issues (
685, 698, 684, 699, 701, 703, 679, 700, 702, 682, 672, 686, 683, 675, 677
)
BS circulate adding premium to Variance
Swap proposal document, schema, and XML samples
BS contact JC to discuss dding premium
to Variance Swap proposal
IY add Krishna Devabhaktuni as an observer
to the email list

Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan

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