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FpML 4.7
First
Working Draft can be published as soon as the group agrees on the open issues we had. Please review the issues
and Andrew’s change
and get back to us ASAP. If the changes are not agreed by next Wednesday, then we'll relase 4.7 without them.
As per changes in the branches/
FpML-4-7-EQD-1/ at rev.6410 1.
dividend settlement currency.
This change is an improvement of the existing structure. It has been
committed to the trunk/ (4-7). o
Created "ReturnSwapCurrency.model" group model containing a choice of return swap amount currency definition methods. o
Within "DividendConditions"and "LegAmount" complex types replaced existing optional choice of return swap amount currency definition methods with ref to "ReturnSwapCurrency.model"
. A.P. comments:” model group "ReturnSwapCurrency.model" is optional ( this supports the choice between currency ( explicit
instance ), determination method, and currency refence ( to an instance elsewhere ). This defines the currency of the leg. We have fxFeature currency translation” 2.
forward starting strike change. o
Earlier proposed and agreed optional element “strikePrice” within “ReturnLegValuation” is not going to the trunk (4-7). It needs group approval . It can be discussed
on Wednesday or re-discussed in the following EQDWG meetings and added if needed to 4-7 at the next stage. o
An optional element "strikeDate" of type “AdjustableOrRelativeDate” is added within “ReturnSwapLegUnderlyer” on the same level as “effectiveDate” and “terminationDate”.
We think that the earlier agreed change was supposed to place "strikeDate" of type “AdjustableDateOrRelativeDateSequence” within initialPrice/valuationRules/. This change needs group approval. A.P. comments: “I strongly think it is the better option, and clearly follows the approach of effective date and termination
date, and permits population of "initalPrice" when known” Thank you, Irina Yermakova From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx]
On Behalf Of Andrew P Parry Next meeting will now be 14:00 LDN Wed 23 Sept 2009 From: Andrew P Parry
* Telephone Conference US: 1 888 481 3032 UK: 0 800 904 7961 Intl: 1 617 801 9600 Participant code: 8682747 * Agenda === 1. Actions from our last meeting 14:00 LDN Wed 09 Sep 2009 AP create EQD FpML-4-7 branch from current trunk AP use EQD FpML-4-7 to implement solution to
i) dividend settlement currency ii) forward starting strike iii) dividend payout on underlyer vs. derivative contract CA report on meeting with legal counsel, share update legal drafting timelines IY show group published version of FpML with FpML-4-6 and FpML-4-7 with EQD updated IY synchronise production FpML-4-X series with experimental FpML-5-X === 2. New Branch Created https://dedicated.fpml.org:443/svn/fpml/branches/FpML-4-7-EQD-1 from the trunk at rev. 6408 for the Equity Derivative work we wish to be included in the first official release of FpML-4-7 in response to my actions above i) dividend settlement currency ii) forward starting strike iii) dividend payout on underlyer vs. derivative contract === 3. FpML-4-7 Release Timelines ISDA staff update === 4. FpML Roadmap Correction http://www.fpml.org/roadmap/roadmap.pdf should match our corrections implemented by IY as per our last meeting IY correct EQD FpML-4-6 description in FpML roadmap as below, add release dates for Q3 2009 Variance Swap Option EU ( Interdealer ) Index Swap US Share Swap Swap Averaging Dates IY add EQD FpML-4-7 description in FpML roadmap as below, add release dates for Q4 2009
EU ( Interdealer ) Share Swap EU ( Client ) Index Swap PAISS US Client Option === 5. ISDA Legal Drafting Implementation consequences === 6. NY Fed OTC Commitments, Equity Trade Repository Progress update === 7. AOB This communication is for informational purposes only. It is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction.
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