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=== Add to determination-method
coding scheme === 1. "ValuationTime"
described as "Price determined at valuation time" NOTE context is always explicit,
since within <rateOfReturn> we have <initialPrice>,
<valuationPriceInterim>, <valuationPriceFinal> 2. "HedgingParty"
described as "Determined by the Hedging Party" 3. "DividendCurrency"
described as "Determined by the Currency of Equity Dividends" 4. "CalculationAgent"
described as "Determined by the Calculation Agent" === Remove from
determination-method coding scheme === 1. "None" since in
makes no business sense to use the element <determinationMethod> with
this value 2. "HedgeExecution"
since this could mean "putting hedge in place" and should be replaced
by "HedgePartyDetermination" NOTE sample value
"HedgeUnwind" could mean "removing hedge" and should be
replaced by "HedgePartyDetermination" === Changes to samples === 1.
"PriceAtValuationTime" to "ValuationTime" 2. "HedgeUnwind" to
"HedgingParty" 3. "GoodFaith" to
"CalculationAgent" === Approach to free text within
<determinationMethod> === Users should SHOULD NOT use free
text within this element Users MAY provide their own over
ride coding scheme From: Andrew P Parry * Present ISDA: Irina Yermakova DTCC: Robert Masri, Chise Yamamoto JPM: Andrew Parry ( Chair ) MarkIt: Takeo Asakura Omgeo: Tom Brown * Minutes Last standards committee meeting minutes contained a policy statement
on the approach to FpML-4-x and FpML-5-x which will be circulated to this group AP telephone TA prior to this meeting for a Q&A session
on forward starting support for swaps. The answers were satisfactory, and the
wider group has reached consensus TA will propose solution to clearly separate MCA and MCA
Annex values in support of "The ISDA 2009 Equity European Annex to the
ISDA 2009 European Master Equity Derivatives Confirmation Agreement" FpML Roadmap update has been completed as per our request,
but has not yet been uploaded to the FpML website US Client Option legal draft will be published soon, also
PAISS, PAISS ( Interdealer ) Index is the next schedule FpML side is on target to meeting NY Fed Commitments, delays
are from legal drafting, we need to keep communicating to the EIG and Swap WG
that we need lead time to develop FpML to match legal drafts Swap WG working on H1 2010 commitments Equity Trade Repository presentations made last week, we are
now in the 2nd round We need to correct the population of determination-method
coding scheme, and usage of these values in sample files, at first pass 1) “PriceAtValuationTime” --> may be ambiguous,
consider initial, final and interim, need to check each context 2) “HedgeUnwind” vs. HedgeExecution --> may be ambiguous 3) “DividendCurrency” multiple implementation methods, such
as currencyReference ( link to div currency ), also consider if this is implemented on the transaction
supplement 4) “GoodFaith” values in sample should be changed to
"CalculationAgent" 5) “PublishedIndexAtValuationTime” values in samples should
be changed to “PriceAtValuationTime” since this is applicable to all underlyer types Free text values with <determinationMethod> should
over ride the default coding scheme * Decisions 1. We accept the proposal for forward starting support
contained in the branch "FpML-4-7-EQD-1" 2. "ReturnSwapCurrency.model" should be named
"CurrencyAndDeterminationMethod.model" in line with FpML-5-x 3. We should continue to clearly separate MCA and MCA Annex
values 4. Free text entries within element
<determinationMethod> should always over ride default coding scheme 5. Change value "GoodFaith" within
<determinationMethod> element to "CalculationAgent" within
samples 5. We welcome Christina MacDonald of BBH as a new observer
to the group 6. Next meeting 14:00 LDN Friday 02 Oct 2009 * Actions TA propose solution for MCA and MCA Annex values ( recap
follows below ) "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” IY rename "ReturnSwapCurrency.model" to
"CurrencyAndDeterminationMethod.model" in FpML-4-x series IY upload updated roadmap to FpML website IY add Christina MacDonald of BBH as a new observer to the
group IY within EQS sample files change
<determinationMethod> values as follows 1) “GoodFaith” values in sample should be changed to
"CalculationAgent" 2) “PublishedIndexAtValuationTime” values in samples should
be changed to “PriceAtValuationTime” CY ISDA legal drafting update AP propose determination-method coding scheme values, and
usage in sample files 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. |