All Please find attached updated snapshot including example from Piers Evans of SwapsWire Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan ----- Forwarded by Andrew P Parry/JPMCHASE on 25/10/2007 09:03 ----- Andrew P Parry/JPMCHASE 24/10/2007 12:40 To fpml eqdwg cc Subject FpML EQD WG Agenda 1400 LDN Fri 26 Oct 2007 ( snapshot attached ) [attachment "eqdwg-4-3-lcwd-2-schema-2543.zip" deleted by Andrew P Parry/JPMCHASE] * 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. 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-schema-2568.zip
Description: Zip archive