Re: FpML-EQD Updates to master confirmation type scheme

[andrew.p.parry@xxxxxxxxxxxx]

Robert

Thank you, I will add this to the agenda

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




Robert Masri <rmasri@xxxxxxxx> 
Sent by: eqdwg@xxxxxxxx
08/01/2008 21:05
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Subject
FpML-EQD Updates to master confirmation type scheme







We  would like to add the value "ISDA2004VarianceSwapAmericasInterdealer"
to the master-confirmation-type.xml to specifically note that it is a
variance swap annex which would be in line with the
ISDA2007EquityFinanceSwapEuropean value and would follow the naming
standard of all the other variance swap MCAs:
ISDA2006VarianceSwapJapaneseInterdealer, ISDA2006VarianceSwapJapanese,
ISDA2007VarianceSwapAmericas, ISDA2007VarianceSwapAsiaExcludingJapan,
ISDA2007VarianceSwapEuropean.


2004 American Variance Swap Interdealer
    <Row>
         <Value>

<SimpleValue>ISDA2004VarianceSwapAmericasInterdealer</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Variance Swap Annex to the ISDA 2004 Americas
Interdealer Master Equity Derivatives Confirmation Agreement
applies.</SimpleValue>
         </Value>
  </Row>



2007 European Equity Finance Swap
  <Row>
         <Value>
            <SimpleValue>ISDA2007EquityFinanceSwapEuropean</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The EFS (Equity Share Finance Swap) Annex to the
ISDA 2007 European Master Equity Derivatives Confirmation Agreement
applies.</SimpleValue>
         </Value>
 </Row>



Furthermore, we have previously agreed to add the value
"ISDA2006VarianceSwapJapanese" to support the ISDA 2006 Variance Swap
Japanese Client MCA, which is attached below.  However, it does not appear
in the master-confirmation-type.xml file.

ISDA2006VarianceSwapJapanese
   <Row>
         <Value>
            <SimpleValue>ISDA2006VarianceSwapJapanese</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>ISDA 2006 Variance Swap Japanese Confirmation
Agreement applies.</SimpleValue>
         </Value>
      </Row>

(See attached file: Variance-Japan-generic.doc)


Regards,
Robert

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