|
* Telephone Conference US: 1 888 481 3032 UK: 0 800 904 7961 Intl: 1 617 801 9600 Participant code: 8682747 * Agenda === 1. Actions from our last meeting 14:00 LDN Wed 09 Sep
2009 AP create EQD FpML-4-7 branch from current trunk AP use EQD FpML-4-7 to implement solution to i) dividend settlement currency ii) forward starting strike iii) dividend payout on underlyer vs. derivative contract CA report on meeting with legal counsel, share update legal
drafting timelines IY show group published version of FpML with FpML-4-6 and
FpML-4-7 with EQD updated IY synchronise production FpML-4-X series with experimental
FpML-5-X === 2. New Branch Created https://dedicated.fpml.org:443/svn/fpml/branches/FpML-4-7-EQD-1 from the trunk at rev. 6408 for the Equity Derivative work
we wish to be included in the first official release of FpML-4-7 in response to my actions above i) dividend settlement currency ii) forward starting strike iii) dividend payout on underlyer vs. derivative contract === 3. Naming of content model
"“ReturnSwapCurrency.model” IY has found that
"“ReturnSwapCurrency.model” containing a choice of amount
currency definition methods in FpML-5-0 is called
“CurrencyAndDeterminationMethod.model. Which of the names is the best to
keep?”" We should use the name "CurrencyAndDeterminationMethod.model" === 4. MCA Type vs. MCA Annex Type We have no way of enforcing valid combinations of MCA Type
and MCA Annex Type, these are controlled by seperate coding schemes http://www.fpml.org/coding-scheme/master-confirmation-type http://www.fpml.org/coding-scheme/master-confirmation-annex-type There is one outstanding "The value "ISDA2009EquityEuropean"
(“The ISDA 2009 Equity European Annex to the ISDA 2009 European Master Equity Derivatives Confirmation Agreement.”) was added
to “MasterConfirmationAnnexType” scheme. What is a corresponding value in the
“MasterConfirmationType” scheme? Here is Takeo’s comments: “We are not sure with the scheme value. This probably
needs discussions in the next FpML call. * The annex value
"ISDA2009EquityEuropean" does not state whether it is Index or Share. * The annotation states (“ISDA 2009 European
Master… “) but the docs heading states (“2009 European
Interdealer Master…”) * Note that the 2009 Index Annex is a client
template so comes under the 2007 MCA” === 4. FpML-4-6 and FpML-4-7 Releases The FpML 4.6 Recommendation (build 6) is published and
available for your review at: http://www.fpml.org/spec/fpml-4-6-6-rec-1/ FpML-4-7 schema/examples ( attached to IY email of 22 Sep
2009 ) with EQD updates for your review. The schema/examples will be sent to
Coordination committee for review/approval tomorrow, after EQD WG meeting.
(Note: there are two new examples in the ”equity-swaps/” folder -
eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml and
eqs-ex14-european-interdealer-share-swap-short-form.xml. ) === 5. FpML Roadmap Correction http://www.fpml.org/roadmap/roadmap.pdf should match our corrections implemented by IY as per our
last meeting IY correct EQD FpML-4-6 description in FpML roadmap as
below, add release dates for Q3 2009 Variance Swap Option EU ( Interdealer ) Index Swap US Share Swap Swap Averaging Dates IY add EQD FpML-4-7 description in FpML roadmap as below,
add release dates for Q4 2009 EU ( Interdealer ) Share Swap EU ( Client ) Index Swap PAISS US Client Option === 6. ISDA Legal Drafting Timelines, implementation consequences === 7. NY Fed OTC Commitments, Equity Trade Repository Progress update === 8. Usage of values now controlled by
determination-method coding scheme The FpML release process checks values in scheme controlled
elements. Now that we have created the determination-method coding scheme, IY
has found the found values listed below in EQD sample files which do not match http://www.fpml.org/coding-scheme/determination-method In each case we should decide a) value is correct, should be added to determination-method
coding scheme with annotation b) value is NOT correct, we should change the sample file * “PriceAtValuationTime” -
(eqs-ex01, … trs-ex01, … invalid-ref-35, ) * “HedgeUnwind” - (eqs-ex01, ...
trs-ex01,…, invalid-ref-35,) * “DividendCurrency” - (eqs-ex05,
… trs-ex01,) * “GoodFaith” (eqs-ex01, …,
invalid-ref-35,) * “PublishedIndexAtValuationTime”
(eqs-ex02, ..) * “Average price per share obtained by
Party B on Trade Date by selling 18,388,000 shares in the market, net of
commissions” - (eqs-ex05) * “At the discretion of Party A, either
(i) the amount received by Party A in selling 10,000,000 shares in the market
(net of taxes and commissions), or (ii) the amount paid by Party B in buying
10,000,000 shares in the market (net of taxes and commissions)” -
(eqs-ex05) * “Number of Shares * Initial Price”
- (eqs-ex05) === 9. Proposed new BBH representative, Christina MacDonald Please see email to the group on 22 Sep 2009 === 10. AOB 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 European legal entities. |