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Irina, This is to confirm I’m fine with the
below. Regards, Takeo From: 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: Next meeting will now be 14:00 LDN Wed 23 Sept 2009 From: Andrew P
Parry * Telephone Conference US: 1 888 481 3032 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
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