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The following questions were raised at the
meeting: “1. What things currently called credit
events, and modeled as such, are not truly credit events? 2. If credit events do not apply at the
level of reference obligation, what is the reason for the presence of reference
obligations in credit derivative contracts?” Please be free to send your comments. Thank you, Irina Yermakova From: cdwg@xxxxxxxx
[mailto:cdwg@xxxxxxxx] On Behalf Of Irina
Yermakova CD minutes from June 27, 2007 Next meeting – July 18,
2007 Present: Ben Lis (T-Zero) Andrew Parry (JPMorgan) Irina Yermakova (ISDA) Marc Gratacos (ISDA) Rupali Parab (Goldman Sachs) Apology: Meeting
agenda:
Discussion: 1. Andrew Parry
presented the differences between the current Credit Event Notification notice
and proposed process: a. The proposed
Credit Event Notice is a three step process that provides different stages for
bilateral or multilateral agreement, as opposed to the current Credit Event
Notification that is just a notification mechanism for providing a notice that
a credit event has occurred. b. The Credit
event concept in the proposed Credit Event Notice includes Reference Entity and
Reference Obligation, as opposed to only Reference Entity in the current Credit
Event Notification. Rupali
pointed out that reference obligations at GS are treated as a separate
workflow. Action: Karel will present ISDA Credit Event
documents. Action: Rupali will provide some information and
requirements from GS on “pay as you go” workflow. 2. Marc propose
the following two minor changes to the options work: a. Rename
swapCurveReference to referenceSwapCurve. b. Use the
FloatingRateIndex.model group within SwapCurveValuation to keep consistency. As
consequence, the spread will appear after the indexTenor. Action: Marc will update the model if there is
no objection raised before next Monday. Until the next meeting, please be free to
send your comments by e-mail on all submitted issues and topics. Feel free to send your comments if I
missed any points of the discussion. Kind Regards, Irina Yermakova **************************************************************************************************************************
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