FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 30 Nov 2007

[andrew.p.parry@xxxxxxxxxxxx]

* Present

Jim Brous, Metro Solutions
James Clark, SwapsWire
Piers Evans, SwapsWire
Marc Gratacos, ISDA
Andrew Parry, JP Morgan ( Chair )
Alicia Szybillo, DTCC
Irina Yermakova, ISDA

* Minutes

Actions against Shabbir Irfani of Goldman Sachs are obsolete, and have 
been removed from the action list

FpML-4-4-WD-2 has been published on schedule, the FpML roadmap as a whole 
remains on schedule

FpML Co Ordination Committee response to the Multiple exchange traded 
proposal from the DTCC was in summary
to add the concept "constituent exchange id" to an index

SOTF changes in the area of option features are around encapsulation, 
where they use a container for all features.
We should be aware not to introduce features which are schema legal, but 
have not business sense

We have decided on simplified business rules for Multiple Exercise 
following issues raised by Andrew Jacobs

calculationAgentParty IS-A CalculationAgentPartyEnum is present to allow 
the definition of a calculation agent
in a Master Agreement, rather than the transactional view supported by 
FpML. This means that rule eqd-21 is incorrect,
because it requires that the Calculation Agent Party always be present in 
the transactional FpML document


* Decisions

1. Deprecate element equityFeatures
2. Adopt business rules for complex type EquityMultipleExercise
a) "you cannot exercise more than the number of options you have"
maxiumumNumberOfOptions <= numberOfOptions
b) "maximum number of options to exercise must be greater than or equal to 
minimum number of options to exercise"
maxiumumNumberOfOptions >= minimumNumberOfOptions
c) "when integral multiple exercise is present, minimum and maximum number 
of options exercised must be a positive integer multiple"
( minimumNumberOfOptions / integralMultipleExercise ) IS-A Positive 
Integer 
( maximumNumberOfOptions / integralMultipleExercise ) IS-A Positive 
Integer
3. Remove business rule eqd-21
4. Addition of observers
a) Igor Sukhov of nabCapital
b) Catherine Napolitano of White & Case LLP
5. Next meeting 1400 LDN Fri 11 Jan 2008

* Actions

MG: to determine publication schedule for decisions

AP: create more samples for newer products
AP: improve annotation of second order derivatives

IY: add  Igor Sukhov of nabCapital and Catherine Napolitano of White & 
Case LLP as observers on the mailing list


Regards

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

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