FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 09 Nov 2007

[andrew.p.parry@xxxxxxxxxxxx]

* Present

James Clark, SwapsWire
Piers Evans, SwapsWire
Marc Gratacos, ISDA
Robert Masri, DTCC
Andrew Parry, JP Morgan ( Chair )
Irina Yermakova, ISDA

* Apologies

Shabbir Irfani, Goldman Sachs
Henri Pegeron, DTCC

* Minutes

We should try to minimise changes to schema models during the LCWD phase, 
in order to minimise impact on implementers

DTCC expressed interest in adding Contracts for Difference and Basket 
Swaps to FpML next year

DTCC, SwapsWire, and JP Morgan wish to continue with the FpML-4-x series

Robert Masri attended an ISDA conference on handling disruption. The DTCC 
multiple exchange traded instrument proposal is consistent with ISDA best 
practice. Multiple exchange identifiers should be used for index 
underlyers, only one exchange would be listed for shares

JP Morgan are using FpML with synthetic underlyers ( formula driven ), 
which do not have a distinct FpML type. Basket containing a basket is not 
currently support, price and payout expressions also require review

JP Morgan, Goldman Sachs, and DTCC are opposed to any move away from the 
open source model of FpML-4-x. This issue will be discussed at the FpML 
Standards Committee on Monday 12 Nov 

Equity Notional Reset has a high economic importance, but no MCA would 
ever require it to be populated

Second order derivatives use Security Option Task Force base classes, and 
Goldman Sachs simple payment proposal, further annotation and exampleswill 
be created

* Decisions

1. Advance DTCC multiple exchange traded instrument proposal to FpML Co 
Ordination Committee
2. Equity Notional Reset will not be changed in FpML-4-3, we will review 
usage for FpML-4-4
3. Second order derivatives should be included in FpML-4-4
4. Next Meeting 1400 LDN Fri 30 Nov 2007


* Actions


SI: review SwapsWire ISDA 2007 Equity Finance Share Swap proposal with 
Pierre Lamy
SI: follow up with Bin Shen regarding what information other that the 
existing element exchangeTradedContractNearest IS-A boolean may be 
required

RM: provide summary and presentation from ISDA conference on handling 
disruption

AP: propose support for basket underlyer within basket
AP: create more samples for newer products
AP: improve annotation of second order derivatives


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

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