Venue
EDX London
131 Finsbury Pavement
London EC2A 1NT
Telephone Conference
Dial : +44 20 8413 8196
I will enter a PIN to open the call
1. Equity Swap
Based on the attached documents supplied by Keith Whelan of ML
'Model'
1.1 Is extraordinaryEvents equally suitable for both Equity Derivatives
and Equity Swap ?
1.1.1 'long form' Equity Swap includes 'Partial Termination for Baskets',
which is not supported in our AdditionalDisruptionEvents
1.1.2 'long form' Equity Swap includes 'Eligible Contract Participant',
which is not supported in our Representations
1.2 equityLeg and interestLeg are both inherited from the original 'long
form' model of Equity Swap donated by GS
Are they suitable for 'short form' ? Points below support the case that
they are suitable for 'short form'
'Equity Amount'
1.3 Equity Swap 2004 Americas Interdealer master has Averaging Dates - at
present we only support these for Equity Derivatives, where they are used
as part of type 'Asian'
'Floating Amount'
1.4 'Designated Maturity' is indexTenor, 'Spread' is spreadSchedule
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0050</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
'Other Provisions'
1.5 This is a very open range of possible provisions
'Appendix'
1.6 Allow indices comprising the basket ( index, exchange(s), relative
weight ) to be stated as per long form
2. Equity Forward 'short form'
This potential requirement was raised by Paul Bachler of JPM ( Equity
Derivatives Working Group )
Do any of you have examples of 'short form' equity forwards, either as
broker confirms, or transaction supplements ?
3. Possible Data Gaps
Following the last meeting Henrik Jarl briefly presented a data gap
analysis between OM groups reading of ISDA documentation, and what was
present in our FpML work in progress
I believe most of these can be explained, such as extraordinaryEvents now
being supported for Equity Swaps, but they should all be responded to
4. Documentation
We need to update the documentation for 4.1 WD#3
I will be able to update the technical aspects, such as the rationale for
the new class hierarchy, but would welcome assistance on the more business
oriented aspects of the documentation
5. AOB
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Kind regards
Andrew Parry
Deutsche Bank AG London
Direct Line +44 20 7545 8778
Fax +44 20 7545 1430
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Attachment:
March 2004CanadianSupptoAmericasIdEMC1.pdf
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Attachment:
2004AmericasInterdealMEDCAgreement1.pdf
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Attachment:
ATT38415.txt
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