FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 01 Aug 2008

[andrew.p.parry@xxxxxxxxxxxx]

* Present

Mark Addison, JP Morgan
Takeo Asakura, MarkIt
James Clark, MarkIt
Krishna Devabhaktuni, Citadel Group
Vinod Jain, Headstrong Consulting
Shabbir Irfani, Goldman Sachs
Lyteck Lynhiavi, ISDA
Robert Masri, DTCC
Andrew Parry, JP Morgan
Irina Yermakova, ISDA

* Minutes

No unplanned model changes are required
to support ISDA EQD Ops WG top 5 list of products, which are

- European Emerging Market Underlier
Coverage
- Baskets 
- Options on Variance
- Dispersion Variance Swaps
- Coverage for BRIC40 Index

We have already scheduled Option on
Variance Swap for inclusion in FpML-4-5

ISDA legal drafting roadmap provides
a high level view, detailed discussion of legal drafting will continue
as a standing agenda item

Within the FpML XML Schema set, indirect
inclusion paths to required types is viewed as XML Schema legal by the
AWG, vendor tools
which require direct inclusion paths
should be remediated

When commenting on the European Dispersion
Variance Swap General Terms Confirmation I stated

"Katherine, Rosario

Exhibit A includes the column "Weight"
linked to the footnote "Insert if specified in the term sheet"
which is language often associated with relative or absolute basket weights,
whereas the "covered transaction" is comprised of the Index Variance
Swap "IVS" transaction, and several Share Variance Swap "SVS"
transactions, rather than an Index Variance Swap and a Basket Variance
Swap"

which is the same issue noted by James
Clark of MarkIt. The FpML model follows the "covered transaction"
definition, where the notional amount may differ per leg

Publication of XML Schema and Coding
Scheme values will be separated in FpML-4-5 onwards

* Decisions

Add value "ISDA2008EquityOptionJapan"
to master confirmation type scheme

Next meeting 1400 LDN Fri 15 Aug 2008

* Actions

All provide Variance Dispersion Confirmation
samples
IY add value "ISDA2008EquityOptionJapan"
to master confirmation type scheme as proposed by James Clark of MarkIt

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

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