FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 08 Feb 2008

[andrew.p.parry@xxxxxxxxxxxx]

* Present

James Clark, SwapsWire
Piers Evans, SwapsWire
Marc Gratacos, ISDA
Shabbir Irfani, Goldman Sachs
Brian Lynn, Global Electronic Markets
Robert Masri, DTCC
Andrew Parry, JP Morgan ( Chair )
Irina Yermakova, ISDA

* Minutes

FpML Commodity Working Group has restarted, ISDA are arranging a face to 
face meeting. Hugh Brunswick of EFETNet is willing to contribute a 
proposal

RM attended the MTF meeting hosted by ISDA this week, PE reviewed the 
presentation

MTF scope is both product and process ( message ) inconsistencies, 
principal areas are as follows

1. General option model
2. Schema model proposal to restrict choice of underlyer
3. Remove asset class specific element name prefixes
4. Leg modelling and usage
5. Short form products ( broker, transaction supplement )

Transaction supplement is a subset of long form, following the ISDA 
documentation approach, broker form is not used by anyone at this meeting, 
and arose from an ISDA request for distinct broker documentation support

Option on Variance Swap ( with optional bounding aka conditionality ) is 
on the ISDA document standardisation list, exact development schedule is 
not known

SwapsWire expressed interest in property index derivatives ( return swap, 
forward ), which are under development by ISDA staff from the Equity 
Derivatives documentation group. Robert Stowsky of BrookPath is also 
working in this area

* Decisions

1. We will review MTF comments in future meetings
2. Next meeting 1400 LDN Friday 22 Feb 2008

* Actions

PE: contact Robert Stowsky regarding property index derivatives
PE: update group on ISDA Option on Variance Swap documentation

MG: contact Hugh Brunswick of EFETNet regarding FpML engagement and 
commodity proposal

AP: provide Robert Stowsky contact details to PE
AP: follow up with Citadel group regarding second order derivatives
AP: follow up with Goldman Sachs regarding commodity underlyer proposal


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

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