FpML-CD CDS meeting summary -- Wednesday June 27th

["Irina Yermakova" <IYermakova@xxxxxxxx>]

CD minutes from June 27, 2007

Next meeting    – July 18, 2007

 

Present:

Ben Lis (T-Zero)

Andrew Parry   (JPMorgan)

Irina Yermakova (ISDA)

Marc Gratacos (ISDA)

Rupali Parab (Goldman Sachs)

 

Apology:

 

Meeting agenda:

1. CEN proposal revisions from Andrew Parry (attachment has been sent out earlier)
2. Marc’s questions around the bond and cds options proposal
3. All other business

 

Discussion:

 

1.      Andrew Parry presented the differences between the current Credit Event Notification notice and proposed process:

a.      The proposed Credit Event Notice is a three step process that provides different stages for bilateral or multilateral agreement, as opposed to the current Credit Event Notification that is just a notification mechanism for providing a notice that a credit event has occurred.

b.      The Credit event concept in the proposed Credit Event Notice includes Reference Entity and Reference Obligation, as opposed to only Reference Entity in the current Credit Event Notification.

Rupali pointed out that reference obligations at GS are treated as a separate workflow.

 

Action: Karel will present ISDA Credit Event documents.

Action: Rupali will provide some information and requirements from GS on “pay as you go” workflow.

 

2.      Marc propose the following two minor changes to the options work:

a.      Rename swapCurveReference to referenceSwapCurve.

b.      Use the FloatingRateIndex.model group within SwapCurveValuation to keep consistency. As consequence, the spread will appear after the indexTenor.

Action: Marc will update the model if there is no objection raised before next Monday.

 

Until the next meeting, please be free to send your comments by e-mail on all submitted issues and topics. 

 

Feel free to send your comments if I missed any points of the discussion.

 

Kind Regards,

Irina Yermakova

 

 

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