RE: FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 26 Oct 2007 ( snapshot attached )

["James Clark" <james.clark@xxxxxxxxxxxxx>]

Andrew,

My apologies, I will not be able to attend this call as I will be out of
the office on Friday.

Regards,

James Clark
Swapswire Ltd.

-----Original Message-----
From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: 24 October 2007 12:40
To: eqdwg@xxxxxxxx
Subject: FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 26 Oct 2007 ( snapshot
attached )
Importance: High

* Telephone Conference

Access Number:  +44 20 8328 1756
Participant Code:       *3039*

* Agenda


1. Action Items from our last meeting 1400 LDN Fri 12 Oct 2007

PE: compare IRD ResetDates where fixingDates are a child element vs 
proposal where interestLegFixingDates are proposed to be added at a peer

level to interestLegResetDates

MG: confirm that all enhanced documentation has been carried over from 
branches
MG,IY: Ensure strikeDeterminationDate is merged into FpML-4-3-LCWD-2

SI: review SwapsWire ISDA 2007 Equity Finance Share Swap proposal with 
Pierre Lamy
SI: follow up with Bin Shen regarding what information other that the 
existing element exchangeTradedContractNearest IS-A boolean may be 
required

RM: provided documentation for data type of elements within type 
EquityOptionTransactionSupplement <xsd:element name="multiplier" 
type="xsd:PositiveDecimal">
RM: if returnLegValuation.notionalReset is present and applicable, how
is 
the notional reset schedule determined ? using notionalAdjustements IS-A

NotionalAdjustmentEnum vs notionalSchedule IS-A Notional in IRD ? should

element notionalAdjustements also be made optional ?

CM: review data type choices for Correlation Swap and Variance SWap
CM: should the choice group ( initialLevel, closingLevel, expiringLevel
) 
be accessible for both Variance and Correlation ?
CM: should fxFeature be accessible for both Variance and Correlation ?

AP,HP,JC: propose business rules for Variance Swap, Correlation Swap,
and 
Dividend Swap
AP: update schema with data type decisions and Return Swap Enhancement 
proposal from SwapsWire 
AP: compare DividendPaymentDate additional element dividendPercentage vs

basketConstituent.dividendPayout vs passThrough
AP: determine what branch strikeDeterminationDate was created in

HP: multiple exchange traded product proposal

2. Multiple Exchange Handling

Email from Robert Masri ( DTCC ) dated 22 Oct 2007 [ first paragraph ]

"In regards to multiple exchanges, We should reconsider the proposal to 
include multiple exchanges for the following reasons:

a) On page 3 of the 2002 ISDA Equity Derivatives Definitions, the 
definition of "Exchange" allows for multiple exchanges on the
transaction 
supplement.
b) Market practice is to list the exchanges for the underlying shares on

the transaction supplement, which may be 20 exchanges.
c) Disruption events for an index are different than disruption events
for 
an exchange. For example, early closure is a disruption event for an 
exchange but not for an index (S&P 500)."

3. Dividend Treatment

3.1 Email from Robert Masri ( DTCC ) dated 22 Oct 2007 [ first paragraph
]

"In regards to dividendPayout, it is available to singleUnderlyer 
(singleUnderlyer.dividendPayout.dividendPayoutRatio) which would make it

accessible to index,  single stocks and .. Furthermore, this is how the 
sample messages use this field; please see 
eqs-ex01-single-underlyer-execution-long-form.xml"

3.2 Email from Piers Evans ( SwapsWire ) dated 22 Oct 2007

"We will use this in that case so no need to put in dividendPercentage
as 
per our swaps proposal version 2."

3.3 AP if we are discussing a property of the derivative contract it is 
wrong to put it at the level of the underlyer

4. New ISDA Equity Swap MCA's ( DTCC, SwapsWire )

Email from Robert Masri ( DTCC ) dated 22 Oct 2007

"Are you aware of any new Equity Swaps MCAs that ISDA plans to publish 
that would conflict with the EFS? I would like to get a better idea of
our 
approach to naming MCAs or Annexes in the future.

Furthermore, if we use "ISDA2007EquityFinanceShareSwapEuropean", we
should 
call it "ISDA2007EquityFinanceSwapEuropean" (without the word
"Share") so that it more generic like the previous MCA types."

Email from Piers Evans ( SwapsWire ) dated 22 Oct 2007

"The ISDA document is called the 'Equity Finance Share Swap General
Terms 
Confirmation'. If we take out 'Share' then it isn't clearly referring to

that document. 

In my opinion, this is not a good idea as identifying the documentation
in 
use is key to being able to validate the message - later versions of
documents do quite often contain features that are not supported by
their 
predecessors, for example.

It is my understanding that ISDA are going to publish more documentation

to deal with indices once this can be agreed. They are also apparently 
working on a non-finance swap annex."

5. Review of FpML-4-3-LCWD-2 Candidate

To make the release task easier I have prepared a release candidate ( 
attached ) so that all EQD material may be merged into the release from 
one location

5.1 strikeDeterminationDate merged from branch "dividend-protection" to 
branch "eqdwg-4-3-lcwd-2"
5.2 Dividend Protection merged from branch "dividend-protection" to
branch 
"eqdwg-4-3-lcwd-2"
5.3 SwapsWire Equity Swap Proposal
5.3.1 NOTE PE action above regarding ResetDates ( IRD ) vs 
InterestLegResetDates ( TRS )
I propose that we follow the IRD pattern and add fixingDates as an 
optional element of Interest Leg Reset Dates
5.3.2 Added values ( SharePayment, CashSettlementPaymentDate, 
FloatingAmountPaymentDate ) to DividendDateReferenceEnum
5.3.2 Added optional element paymentDateOffset IS-A Offset to type 
DividendPaymentDate

Further proposed changes

5.4 <xsd:element name="numberOfOptions" type="PositiveDecimal"/>
5.5 <xsd:element name="spotPrice" type="NonNegativeDecimal"/>
5.6 <xsd:element name="optionEntitlement" type="PositiveDecimal"/>

within type Asian

5.7 <xsd:element name="frequency" type="PositiveDecimal">
5.8 <xsd:element name="weekNumber" type="xsd:positiveInteger" 
minOccurs="0">

within FeaturePayment

5.9 <xsd:element name="amount" type="PositiveDecimal">

I have also updated all of the documentation within the EQD area

5.10 FX Conversion 

Optional explicit FX Conversion using the FxFeature is now consistently 
available 

FxFeature provides referenceCurrency, and a choice between composite, 
quanto, and crossCurrency

6. FpML-4-4 Working Drafts

All materials for the EQD scope of FpML-4-4 are also within the 
"eqdwg-4-3-lcwd-2"

6.1 Option on Correlation Swap
6.2 Option on Dividend Swap
6.3 Option on Variance Swap

and should be included in the FpML-4-4 Working Drafts 

7. Discussion of Issue #465 ( Marc Gratacos )

http://www.fpml.org/issues/view.php?id=465

8. AOB



Regards

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


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