Andrew, I have updated the attached swap example from the last 4.3 release to include some fixing days and to use the SharePayment / paymentDateOffset items within dividendConditions. This is based on my understanding of the points agreed on the last call and may need a little further tweaking. For example, I have followed your suggestion that the proposed interestLegFixingDates node be renamed fixingDates and included within the interestLegResetDates element. However, our proposal also used the node fixingDates to wrap the actual fixing dates within the new type. In the example, I have just changed the name to adjustableDates, but we may want to settle on a more meaningful name? We will probably need to think about how to describe the paymentDateOffset in the schema too... i.e. the description must say it is a number of currency business days relative to the dividendPaymentDate or else we should make it a relativeDate and give dividendPaymentDate an id for it to reference? Thanks, Piers Evans -----Original Message----- From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of andrew.p.parry@xxxxxxxxxxxx Sent: 24 October 2007 12:40 To: eqdwg@xxxxxxxx Subject: FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 26 Oct 2007 ( snapshot attached ) Importance: High * Telephone Conference Access Number: +44 20 8328 1756 Participant Code: *3039* * Agenda 1. Action Items from our last meeting 1400 LDN Fri 12 Oct 2007 PE: compare IRD ResetDates where fixingDates are a child element vs proposal where interestLegFixingDates are proposed to be added at a peer level to interestLegResetDates MG: confirm that all enhanced documentation has been carried over from branches MG,IY: Ensure strikeDeterminationDate is merged into FpML-4-3-LCWD-2 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 RM: provided documentation for data type of elements within type EquityOptionTransactionSupplement <xsd:element name="multiplier" type="xsd:PositiveDecimal"> RM: if returnLegValuation.notionalReset is present and applicable, how is the notional reset schedule determined ? using notionalAdjustements IS-A NotionalAdjustmentEnum vs notionalSchedule IS-A Notional in IRD ? should element notionalAdjustements also be made optional ? CM: review data type choices for Correlation Swap and Variance SWap CM: should the choice group ( initialLevel, closingLevel, expiringLevel ) be accessible for both Variance and Correlation ? CM: should fxFeature be accessible for both Variance and Correlation ? AP,HP,JC: propose business rules for Variance Swap, Correlation Swap, and Dividend Swap AP: update schema with data type decisions and Return Swap Enhancement proposal from SwapsWire AP: compare DividendPaymentDate additional element dividendPercentage vs basketConstituent.dividendPayout vs passThrough AP: determine what branch strikeDeterminationDate was created in HP: multiple exchange traded product proposal 2. Multiple Exchange Handling Email from Robert Masri ( DTCC ) dated 22 Oct 2007 [ first paragraph ] "In regards to multiple exchanges, We should reconsider the proposal to include multiple exchanges for the following reasons: a) On page 3 of the 2002 ISDA Equity Derivatives Definitions, the definition of "Exchange" allows for multiple exchanges on the transaction supplement. b) Market practice is to list the exchanges for the underlying shares on the transaction supplement, which may be 20 exchanges. c) Disruption events for an index are different than disruption events for an exchange. For example, early closure is a disruption event for an exchange but not for an index (S&P 500)." 3. Dividend Treatment 3.1 Email from Robert Masri ( DTCC ) dated 22 Oct 2007 [ first paragraph ] "In regards to dividendPayout, it is available to singleUnderlyer (singleUnderlyer.dividendPayout.dividendPayoutRatio) which would make it accessible to index, single stocks and .. Furthermore, this is how the sample messages use this field; please see eqs-ex01-single-underlyer-execution-long-form.xml" 3.2 Email from Piers Evans ( SwapsWire ) dated 22 Oct 2007 "We will use this in that case so no need to put in dividendPercentage as per our swaps proposal version 2." 3.3 AP if we are discussing a property of the derivative contract it is wrong to put it at the level of the underlyer 4. New ISDA Equity Swap MCA's ( DTCC, SwapsWire ) Email from Robert Masri ( DTCC ) dated 22 Oct 2007 "Are you aware of any new Equity Swaps MCAs that ISDA plans to publish that would conflict with the EFS? I would like to get a better idea of our approach to naming MCAs or Annexes in the future. Furthermore, if we use "ISDA2007EquityFinanceShareSwapEuropean", we should call it "ISDA2007EquityFinanceSwapEuropean" (without the word "Share") so that it more generic like the previous MCA types." Email from Piers Evans ( SwapsWire ) dated 22 Oct 2007 "The ISDA document is called the 'Equity Finance Share Swap General Terms Confirmation'. If we take out 'Share' then it isn't clearly referring to that document. In my opinion, this is not a good idea as identifying the documentation in use is key to being able to validate the message - later versions of documents do quite often contain features that are not supported by their predecessors, for example. It is my understanding that ISDA are going to publish more documentation to deal with indices once this can be agreed. They are also apparently working on a non-finance swap annex." 5. Review of FpML-4-3-LCWD-2 Candidate To make the release task easier I have prepared a release candidate ( attached ) so that all EQD material may be merged into the release from one location 5.1 strikeDeterminationDate merged from branch "dividend-protection" to branch "eqdwg-4-3-lcwd-2" 5.2 Dividend Protection merged from branch "dividend-protection" to branch "eqdwg-4-3-lcwd-2" 5.3 SwapsWire Equity Swap Proposal 5.3.1 NOTE PE action above regarding ResetDates ( IRD ) vs InterestLegResetDates ( TRS ) I propose that we follow the IRD pattern and add fixingDates as an optional element of Interest Leg Reset Dates 5.3.2 Added values ( SharePayment, CashSettlementPaymentDate, FloatingAmountPaymentDate ) to DividendDateReferenceEnum 5.3.2 Added optional element paymentDateOffset IS-A Offset to type DividendPaymentDate Further proposed changes 5.4 <xsd:element name="numberOfOptions" type="PositiveDecimal"/> 5.5 <xsd:element name="spotPrice" type="NonNegativeDecimal"/> 5.6 <xsd:element name="optionEntitlement" type="PositiveDecimal"/> within type Asian 5.7 <xsd:element name="frequency" type="PositiveDecimal"> 5.8 <xsd:element name="weekNumber" type="xsd:positiveInteger" minOccurs="0"> within FeaturePayment 5.9 <xsd:element name="amount" type="PositiveDecimal"> I have also updated all of the documentation within the EQD area 5.10 FX Conversion Optional explicit FX Conversion using the FxFeature is now consistently available FxFeature provides referenceCurrency, and a choice between composite, quanto, and crossCurrency 6. FpML-4-4 Working Drafts All materials for the EQD scope of FpML-4-4 are also within the "eqdwg-4-3-lcwd-2" 6.1 Option on Correlation Swap 6.2 Option on Dividend Swap 6.3 Option on Variance Swap and should be included in the FpML-4-4 Working Drafts 7. Discussion of Issue #465 ( Marc Gratacos ) http://www.fpml.org/issues/view.php?id=465 8. AOB 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. 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Attachment:
fixing dates + dividend payment dates test trade.xml
Description: fixing dates + dividend payment dates test trade.xml