FpML-EQD Fw: European Dispersion Variance Swap General Terms Confirmation

[andrew.p.parry@xxxxxxxxxxxx]

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

----- Forwarded by Andrew
P Parry/JPMCHASE on 01/08/2008 14:14 -----

Andrew P Parry/JPMCHASE

10/06/2008 14:09

To	kdarras@xxxxxxxx, rchiarenza@xxxxxxxx
cc
Subject	Re: European Dispersion Variance Swap General Terms ConfirmationLink

Katherine, Rosario

Exhibit A includes the column "Weight"
linked to the footnote "Insert if specified in the term sheet"
which is language often associated with relative or absolute basket weights,
whereas the "covered transaction" is comprised of the Index Variance
Swap "IVS" transaction, and several Share Variance Swap "SVS"
transactions, rather than an Index Variance Swap and a Basket Variance
Swap

Regards 

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

"ISDA Legal Department" <Shunte@xxxxxxxx>

06/06/2008 15:39

Please respond to
Shunte@xxxxxxxx

To	andrew.p.parry@xxxxxxxxxxxx
cc
Subject	European Dispersion Variance Swap General Terms Confirmation

REMINDER:  Please provide comments by June 11.
 Please see full details below.

-----Original Message-----
From: ISDA Legal Department  
Sent: Friday, May 30, 2008 11:30 AM
To: 
Subject: European Dispersion Variance Swap General Terms Confirmation


ISDA ® International Swaps and Derivatives Association, Inc.

360 Madison Avenue

16th floor

New York, NY 10017

U.S.A.

 

                    
 M E M O R A N D U M

 

TO:   European Equity Documentation Working Group; Equity Operations
Working Group


FROM: Rosario Chiarenza


DATE: May 30, 2008


RE:   European Dispersion Variance Swap General Terms Confirmation

 


Attached please find a revised draft of a Dispersion Variance Swap General
Terms Confirmation/Annex DVS to the Revised 2007 European Variance Swap
Master Confirmation Agreement. In addition to the comments incorporated
into the draft, we would appreciate feedback regarding an issue a member
raised concerning the consequences of IVS Cancellation and Payment. 


The member suggests that if IVS Cancellation and Payment applies to the
index component, then the whole Transaction should terminate. In such circumstances,
should we incorporate language clarifying that the Equity Amount owed is
the aggregate of (i) the IVS Cancellation and Payment Amount and (ii) the
SVS Cancellation and Payment Amounts in respect of each individual share
variance swap?


Please provide comments by COB June 11 to Katherine Darras (kdarras@xxxxxxxx)
and Rosario Chiarenza (rchiarenza@xxxxxxxx). We will schedule a call the
week of June 16th to finalize the document.
[attachment "Euro DVS.doc" deleted by Andrew P Parry/JPMCHASE]

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