All Please find attached This resolved EQD fixing dates vs IRD fixing dates by providing a choice between these two methods, with the equity method of adjustable dates being used in our method as advised by Piers Evans of SwapsWire Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan ----- Forwarded by Andrew P Parry/JPMCHASE on 31/10/2007 12:44 ----- Andrew P Parry/JPMCHASE 29/10/2007 13:08 To eqdwg@xxxxxxxx cc Subject Comment Re: FpML-EQD Updated release candidate Fw: FpML EQD WG Minutes 1400 LDN 26 Oct 2007 All #1 EQD fixing dates vs IRD fixing dates We should consider with care before we diverge from the IRD model of fixing dates. I would much prefer to retain the IRD model, as opposed to further divergence in the modelling of fixing dates EQD : Optional specification of fixing date either as relativeDates ( a series of date specified as some offset to another series of dates ) or adjustableDates ( a series of dates that shall be subject to adjustment ) <xsd:element name="fixingDates" type="AdjustableOrRelativeDates" minOccurs="0"> IRD : Mandatory specification of fixing date relative to the reset date in terms of business day offset <xsd:element name="fixingDates" type="RelativeDateOffset"> #2 Extra annotation on element dividendPayout "Users should note that FpML makes a distinction between the derivative contract and the underlyer of the contract. It would be better if the agreed dividend payout on a derivative contract was modelled at the level of the derivative contract, an approach which may be adopted in the next major version of FpML" Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan andrew.p.parry@xxxxxxxxxxxx Sent by: eqdwg@xxxxxxxx 29/10/2007 10:27 Please respond to eqdwg@xxxxxxxx To eqdwg@xxxxxxxx cc Subject FpML-EQD Updated release candidate Fw: FpML EQD WG Minutes 1400 LDN 26 Oct 2007 All Please find attached incorporating all agreed decisions Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan ----- Forwarded by Andrew P Parry/JPMCHASE on 29/10/2007 10:26 ----- Andrew P Parry/JPMCHASE 29/10/2007 09:00 To fpml eqdwg cc Subject FpML EQD WG Minutes 1400 LDN 26 Oct 2007 * 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 ----------------------------------------- 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. All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates. This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you. Please refer to http://www.jpmorgan.com/pages/disclosures for disclosures relating to UK legal entities.[attachment "eqdwg-4-3-lcwd-2-r2573.zip" deleted by Andrew P Parry/JPMCHASE]
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