FpML-EQD v2 Fw: FpML EQD WG Minutes 1400 LDN Fri 02 May 2008

[andrew.p.parry@xxxxxxxxxxxx]

Apologies from James Clark of SwapsWire
now entered below

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

----- Forwarded by Andrew
P Parry/JPMCHASE on 06/05/2008 13:13 -----

Andrew P Parry/JPMCHASE

06/05/2008 09:58

To	fpml eqdwg
cc	Matthew D Rawlings/JPMCHASE@JPMCHASE, Mark A Addison/JPMCHASE@JPMCHASE
Subject	FpML EQD WG Minutes 1400 LDN Fri 02 May 2008

* Present

Mark Addison, JP Morgan
Takeo Asakura, ISDA
Jim Brous, Metro Solutions
Karel Engelen, ISDA
Piers Evans, SwapsWire
Lyteck Lynhiavu, ISDA
Andrew Parry, JP Morgan ( Chair )
Robert Masri, DTCC
Matthew Rawlings, JP Morgan
Irina Yermakova, ISDA


* Apologies

James Clark, SwapsWire
Marc Gratacos, ISDA


* Minutes

Issue 666 should be resolved with the
implementation proposed. Alternative implementations are welcome

New coding scheme values are being added
in the file "master-confirmation-5-7.xml" which is in the trunk
of FpML Subversion Source Control

We are challenged by master confirmation
agreements ( MCA ) to make the FpML models suitable for usage both with
an MCA and Without an MCA.  For usage without an MCA, many terms could
be omitted, or made optional, which would be mandatory where an MCA was
not in place. We cannot assume that all processing systems will have access
to a machine readable form of the MCA to allow each transaction to be processed,
and so have to accept some possible degree of duplication 

Andrew Jacobs continues to study the
implications of separating schema and coding scheme releases

ISDA AGM in Vienna was focussed on Operational
Issues and the current Credit environment. Presentations are available
on the ISDA website

ISDA will not longer release softcopy
legal definitions for transactions without matching FpML models. We welcome
this development, but note that the legal drafting needs be "computer
friendly" and we need to provided feedback during the legal drafting
process, so that the consequences of legal drafting choices on automated
processing are better understood

Equity Derivative drafting is a particular
source of complexity, as there is a diversity of Products, which are defined
in four geographic zones ( Americas, Europe, Japan, Asia ex Japan ), producing
numerous combinations which must be supported in FpML. One example of this
is the diversity of cash and non cash dividend treatment required for Dividend
Swaps

"ISDA on Demand" was well
received at the ISDA AGM, although participants in this call ( AP, RM )
were not able to get the demonstration video to play within Internet Explorer

Job posting section of ISDA web site
remains in progress

Credit support proposal from MG is ready
for release in FpML-4-4 as per issue 521


* Decisions

1. add optional element relevantJurisdiction
IS-A Country on type EquitySwapTransactionSupplement, with annotation as
per "2008 AEJ EFS FpML proposal.doc" from Robert Masri, DTCC
2. add “ISDA2008EquityFinanceSwapAsiaExcludingJapan”
scheme should be added to "master-confirmation-type.xml", with
annotation as per "2008 AEJ EFS FpML proposal.doc" from Robert
Masri, DTCC  
3. make element notionalReset IS-A xsd:boolean
optional on type ReturnLegValuation
4. make element settlementType optional
within OptionSettlement.model
5. add optional element nonCashDividend
IS-A xsd:boolean as the last child of type DividendLeg
   

* Actions

KE provide ISDA perspective on what
is driving the complexity of the legal drafting process

AP arrange ISDA conference call line
with multiple access points, including domestic US
AP make schema changes for FpML-4-4
release within branch "FpML-4-4-5-LCWD-1-EQD" created from tag
"FpML-4-4-5-LCWD-1-EQD"
AP review ReturnSwap element naming
and complex types to progress MTF work

RM determine treatement of linear interpolation


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

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