FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 07 March 2008

[andrew.p.parry@xxxxxxxxxxxx]

* Present

Jim Brous, Metro Solutions
James Clark, Swaps Wire
Marc Gratacos, ISDA
Robert Masri, DTCC
Andrew Parry, JP Morgan ( Chair )
Matthew Rawlings, JP Morgan ( Observer )
Irina Yermakova, ISDA

* Minutes

Jim Brous of Metro Solutions would like to join the next FpML Standards 
Committee meeting as an observer, and will consider joining ISDA so that 
Metro Solutions could fully participate

Joshua Derrick of SWIFT has not yet provided a CV or Short Bio. for 
consideration by the group, but is actively engaged with ISDA/FpML as the 
SWIFT Standards Committee representative, and through the SWIFT FpML CUG

Within the Exercise refactoring proposal, element automaticExercise should 
be made optional, since this is commonly specified in the Master 
Confirmation Agreement ( MCA ). We should provide access to content which 
is specified in master agreements unless this is required in long form 
confirmation. A choice has been provided between specific times such as 
"1700 GMT" and symbolic times, such as "Close" which require that all 
underlyers are transacted on one exchange

We walked through all Money and Payment usage in Equity Derivative types 
to determine business correct usage, our decisions on each usage are 
recorded below

To avoid a lengthy gap over Easter we will meet again next week

* Decisions

1. Welcome Vinod Jain of Headstrong, Sam Twum from Blue Tawny, and Takeo 
Asakura of SWaps Wire to the group as observers
2. Consensus in favour of exercise refactoring proposal, with element 
automaticExercise made optional
3. Consensus in favour of Money ( NonNegativeMoney, PositiveMoney ) and 
Payment ( NonNegativePayment, PositivePayment ) proposal

3.1 fpml-dividend-swaps.xsd

FixedPaymentAmount.paymentAmount IS-A PositiveMoney

3.2 fpml-eq-shared.xsd

Correlation.notionalAmount IS-A PositiveMoney
DividendPeriodDividend.dividend IS-A NonNegativeMoney
EquityPremium EXTENDS NonNegativePayment
EquityPremium.pricePerOption IS-A NonNegativeMoney
NonNegativePaymentFormula EXTENDS NonNegativePayment
PrincipalExchangeAmount.principalAmount IS-A NonNegativeMoney
ReturnSwap.additionalPayment IS-A NonNegativePaymentFormula
ReturnSwap.notionalAmount IS-A PositiveMoney
Variance.varianceAmount IS-A PositiveMoney

3.3 fpml-eqd.xsd

EquityOption.notional IS-A PositiveMoney
EquityForward.forwardPrice IS-A PositiveMoney
EquityForward.prePayment IS-A NonNegativePayment
EquityOptionTermination IS-A NonNegativeMoney

3.4 fpml-option-shared.xsd

ClassifiedPayment EXTENDS NonNegativePayment
FeaturePayment EXTENDS NonNegativePayment

4. Next meeting 1400 LDN Fri 14 March 2008 

* Actions

MG arrange for Jim Brous to attend FpML Standards Committee on Monday 10 
March as an observer
MG provide Jim Brous with rate card for Metro Solutions to join ISDA
MG commit resolution of issues 553, 554, 555, 556, 557 to FpML-4-4 and 
FpML-5-0

AP update decision on issue 295 within the issue tracking system
AP update branch FpML-5-0-EQD-1 will all decided schema changes 

IY Vinod Jain of Headstrong, Sam Twum from Blue Tawny, and Takeo Asakura 
of SWaps Wire to the group as observers

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

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