FpML-EQD FpML EQD WG Minutes 1400 LDN Fri 28 Sep 2007

[andrew.p.parry@xxxxxxxxxxxx]

* Present

Jim Brous, Metro Solutions
James Clark, SwapsWire
Marc Gratacos, ISDA
Shabbir Irfani, Goldman Sachs
Henri Pegeron, DTCC
Andrew Parry, JP Morgan ( Chair )
Irina Yermakova, ISDA

* Apologies

Piers Evans, SwapsWire
Conor Mongey, Citadel Group


* Minutes

SwapsWire are content with the current BuyerSeller.model within Return 
Swaps, this should not be deprecated until an alternative is provided for 
single leg ( netted ) Products

Any currency conversion within a Dividend Swap Transaction Supplement on 
Settlement Day is determined by the Calculation Agent

SwapsWire ISDA 2007 Equity Finance Share Swap proposal identifies business 
needs which are not supported by the current Return SWap model ( fixing 
dates vs payment dates, values in DividendDateReferenceEnum, dividend 
payment date currency business days )

No further feedback from group members on FpML-4-3-LCWD-1

Presentation of Products to complete our current scope for both FpML-4-3 
and FpML-4-4, focus on the need to provide both correct schema models and 
business rules

Review of schema packaging, which provides obvious location for products 
such as "fpml-dividend-swap.xsd", and straightforward include patterns 
amongst the schema files

Our thanks to Andrew Jacobs for the donation of a schema circular include 
checker 


* Decisions

1. Remove Dividend Swap Transaction Supplement validation rule that 
Settlement Currency must equal Underlyer Currency
2. Accept SwapsWire proposal of value 
"ISDA2007EquityFinanceShareSwapEuropean" within master-confirmation-type 
scheme
3. Accept Business Case for SwapsWire ISDA 2007 Equity Finance Share Swap 
proposal
4. Accept Correlation Swap and Variance Swap Products for FpML-4-3
5. Accept Option on Correlation Swap, Option on Dividend Swap, and Option 
on Variance Swap for FpML-4-4
6. Next meeting 1400 LDN Fri 12 October 2007


* Actions

JC: confirm that Calculation Agent determines FX conversion on Dividend 
Swap Transation Supplement

SI: review SwapsWire ISDA 2007 Equity Finance Share Swap proposal with 
Pierre Lamy

AP,HP,JC: propose business rules for Variance Swap, Correlation Swap, and 
Dividend Swap

HP: multiple exchange traded product proposal

MG: communicate location of schema circular include checker donated by 
Andrew Jacobs
MG: add value "ISDA2007EquityFinanceShareSwapEuropean" within 
master-confirmation-type scheme
MG: confirm that all enhanced documentation has been carried over from 
branches

SI: follow up with Bin Shen regarding what information other that the 
existing element exchangeTradedContractNearest IS-A boolean may be 
required

Regards

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


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