FpML-EQD FpML EQD WG Minutes 1400 LDN 26 Oct 2007

[andrew.p.parry@xxxxxxxxxxxx]

* Present

Piers Evans, SwapsWire
Marc Gratacos, ISDA
Robert Masri, DTCC
Andrew Parry, JP Morgan ( Chair )
Henri Pegeron, DTCC
Alicia Syzbillo, DTCC
Irina Yermakova, ISDA


* Minutes

With the exception of action ( 1. ) the schema model is correct for the 
SwapsWire Equity Swap proposal

Where returnLegValuation.notionalReset is present and applicable, notional 
reset schedule determined is determined by equity reset.
Notional reset is handled differently in the schema model of equity swap 
when compared to interest rate swap for legitimate business
reasons, we will not change the existing modelling 

Robert Masri and Henri Pegeron will prepare a joint DTCC multiple exchange 
traded product proposal

We have no issue referring to "ISDA2007EquityFinanceSwapEuropean", since a 
path expression can be used to determine the underlyer
( single stock, index, basket ), however we note the danger of breaking 
the link between the ISDA document title and the
entry in the master confirmation scheme. We will not adopt an approach 
similar to IndexReferenceInformation elements ( indexSeries,
indexAnnexVersion, indexAnnexDate, indexAnnexSource ) seperate the 
specification of the document over several distinct elements

An updated version of the candidate release schema will be distributed on 
Mon 29 Oct 2007 for inclusion in the FpML-4-3-LCWD-2
release later in the week. This candidate release should be reviewd by all 
of this group


* Decisions

1. InterestLegResetDates elements fixingDates should offer a choice 
between offset to date ( dateRelativeTo ), and a list of dates
2. Use "ISDA2007EquityFinanceShareSwapEuropean", we should call it 
"ISDA2007EquityFinanceSwapEuropean" (without the word "Share") 
so that it more generic like the previous MCA types."
3.
3.1 <xsd:element name="numberOfOptions" type="PositiveDecimal"/>
3.2 <xsd:element name="spotPrice" type="NonNegativeDecimal"/>
3.3 <xsd:element name="optionEntitlement" type="PositiveDecimal"/>
within type Asian
3.7 <xsd:element name="frequency" type="xsd:positiveInteger">
3.8 <xsd:element name="weekNumber" type="xsd:positiveInteger" 
minOccurs="0">
within FeaturePayment
3.9 <xsd:element name="amount" type="NonNegativeDecimal">
3.10 move fxFeature to base class DirectionalLegUnderlyer as per Return 
Swap Leg approach
4. Next meeting 1400 LDN Fri 09 Nov 2007 


* Actions

MG: update master confirmation schema with value 
"ISDA2007EquityFinanceSwapEuropean"

AP: update release candidate schema with the decisions of this meeting
AP: add schema documentation regarding the difference between dividend 
payout on an underlyer, and the dividend payout
that is agreed on a derivative contract

HP/RM: multiple exchange traded product proposal

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


Regards

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

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