All Please find updated implementation attached for my action "consider implementation of Index Constituent proposal from DTCC" which contains proposal document "DisruptionHandlingV2.doc" and schema files Regards Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan ----- Forwarded by Andrew P Parry/JPMCHASE on 21/01/2008 15:45 ----- Andrew P Parry/JPMCHASE 15/01/2008 13:51 To fpml eqdwg cc Subject FpML EQD WG Minutes 1400 LDN Fri 11 Jan 2008 * Present James Clark, SwapsWire Piers Evans, SwapsWire Ayesh Khanna, DTCC Robert Masri, DTCC Andrew Parry, JP Morgan ( Chair ) Irina Yermakova, ISDA * Apologies Jim Brous, Metro Solutions Marc Gratacos, ISDA Shabbir Irfani, Goldman Sachs Henri Pegeron, DTCC * Minutes Adoption of our business rules for complex type EquityMultipleExercise is pending implementation by the Validation Working Group Valuation date is relative to payment date within Short Form Dividend Swaps, this is made explicit in the Japanese transaction supplements Basket on Basket support is logically correct, fully backwardly compatible, and avoids the need to flatten basket weights and lose structural relationships We will not address the issue that FpML was designed for first order derivatives at this time, and makes a distinction between first class derivative products, and second class underlyers Depository Receipts do not require any structural changes to the the FpML Schema, we will add values to contractural-supplement.xml coding scheme following ISDA documents "2007 Full Lookthrough Depository Receipt Supplement to the 2002 Equity Derivative Definitions" and "2007 Partial Lookthrough Depository Receipt Supplement to the 2002 Equity Derivative Definitions" Master confirmation coding schema value ""ISDA2004VarianceSwapAmericasInterdealer" is a variance swap annex which is in line with ISDA2007EquityFinanceSwapEuropean value and would follow the naming standard of all the other variance swap MCAs: ISDA2006VarianceSwapJapaneseInterdealer, ISDA2006VarianceSwapJapanese, ISDA2007VarianceSwapAmericas, ISDA2007VarianceSwapAsiaExcludingJapan, ISDA2007VarianceSwapEuropean. Index constituent proposal from DTCC was motivated by need to remove any ambiguity from Index Disruption, following ISDA guidelines. ISDA do not release conference materials, so we have been unable to review materials from the ISDA Disruption handling conference attended by Robert Masri. The response from the FpML Co Ordination Committee to the first version of the proposal from the DTCC in their minutes of 19 Nov 2007 are as follows " Multiple exchange traded instrument proposal (See Proposal Multiple exchangeId.zip and original e-mail below) a. Andrew Parry described the proposal from DTCC to allow multiple exchange Id for equity indices. For equity indices, exchangeId indicates the exchanges from which valuation/price of each constitutent will be based in case of disruption. b. Participants felt this was overloading the use of exchangeId, which is meant to represent the exchange where a stock is traded. c. It was suggested to add an additional element within the index underlyer called constituentExchangeId (optional, multiple occurrence) to support the business requirement but distinguish it from exchangeId. d. FpML underlyers should be refactored in 5.0 to make sure that elements present in an underlyer have sense from a business perspective." The updated proposal from DTCC adds the element constituentExchangeId IS-A ExchangeId ( zero to unbounded ) to model group "ExchangeIdentifier.model", which is used in the base class "ExchangeTraded", meaning that it is used in complex types ( Bond, EquityAsset, ExchangeTradedContract, ExchangeTradedFund, Future, Index ), which are far beyond the intended, for example a single Equity trades on single identified exchange, so the implementation requires further consideration * Decisions 1. Consensus in favour of SwapsWire proposal for Short Form Dividend Swap for Japanese Underlyers 2. Consensus in favour of Basket proposal 3. Consensus in favour of scheme values for Depository Receipts to "contractural-supplement.xml" 3.1 ISDA2007FullLookthroughDepositoryReceiptSupplement 3.2 ISDA2007PartialLookthroughDepositoryReceiptSupplement 4. Consensus in favour of scheme value addition to "master-confirmation.xml" 4.1 ISDA2004VarianceSwapAmericasInterdealer 5. Element equity IS-A EquityAsset should be used to represent Depository Receipts 6. Next meeting 1400 LDN Fri 25 Jan 2008 * Actions JC: update XML sample in SwapsWire proposal for Dividend Swaps on Japanese underlyers for business correctness JC: explain what valuationDate means in the context of a dividendPeriod. Annotated as "Dividend period amount valudation date", whereas the terminology often used of "projected dividend" vs "declared dividend" MG: timetable to schedule seperation of publishing coding schemes and XML Schema MG: merge SwapsWire proposal for Short Form Dividend Swap for Japanese Underlyers for FpML-4-4 MG: merge Basket on Basket proposal for FpML-4-4 MG: merge coding scheme values to files "contractural-supplement.xml" and "master-confirmation.xml" AP: contact Conor Mongey of the Citadel Group for annotation and examples for second order derivatives AP: consider implementation of Index Constituent proposal from DTCC IY: add Igor Sukhov of nabCapital and Catherine Napolitano of White & Case LLP as observers on the mailing list Andrew Parry +44 20 7325 1486 Exotics and Hybrids Architecture JP Morgan ----------------------------------------- This communication is for informational purposes only. 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disruption-r3156.zip
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