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JC: update XML sample in SwapsWire
proposal for Dividend Swaps on Japanese underlyers for business correctness The Japanese Dividend Swap Confirmation stipulates that the Cash
Settlement Payment Date should be relative to the Valuation Date.. "Cash Settlement Payment Date: In
relation to each Dividend Period, [ ] Currency Business Days after the
Valuation Date." In my previous example the Cash Settlement Payment Date was set relative
to the End Date of the respective observation period. In order to resolve this issue I propose that the
dividendPeriod/paymentDate is made relative to the dividendPeriod/valuationDate.
To facilitate this we will use the id attribute of the valuationDate sequence. The
payment date ID will be made relative to this attribute, and not the observation
period end date as it is currently. Please find an updated example trade attached. JC: explain what valuationDate means in the context of
a dividendPeriod. Annotated as "Dividend period amount valuation
date", whereas the terminology often used of "projected
dividend" vs "declared dividend" Subject to the limitations outlined in section 6.2 of the 2002 ISDA EQ.
Derviative Definitions, the valuation date for Japanese Dividend Swaps is a
date several months after (as defined by market convention) the period end date.
As this date is not concurrent with the dividend period date(s), it is recorded
separately, and the cash settlement date is an offset from this valuation date.
-----Original Message----- 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 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. 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 & 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
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Attachment:
DividendSwap.xml
Description: DividendSwap.xml