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#1 AP review usage of
UnderlyingAsset re: Identified Currency Proposal UnderlyingAsset is the base of
the types listed below, which are all in the file "fpml-asset.xsd",
where we need to consider the impact of the element UnderlyingAsset/currency
changing to type IdentifiedCurrency as proposed <xsd:complexType
name="Deposit"> <xsd:complexType
name="ExchangeTraded" abstract="true"> <xsd:complexType
name="FxRateAsset"> // How does currency of asset relate to
<quotedCurrencyPair> ? <xsd:complexType
name="Loan"> <xsd:complexType
name="Mortgage"> <xsd:complexType
name="MutualFund"> <xsd:complexType
name="RateIndex"> // What sense does a currency have for a Rate
Index ? I would expect Basis Point, or Percentage <xsd:complexType
name="SimpleCreditDefaultSwap"> // Currency of what ? credit name
underlying the CDS ? <xsd:complexType
name="SimpleFra"> // What sense does a currency have for a Forward
Rate Agreement ? I would expect Basis Point, or Percentage <xsd:complexType
name="SimpleIRSwap"> // Currency of Notional Amount ? Payoff
Currency ? I cannot see any adverse impact
to using IdentifiedCurrency as proposed for any of these types We should forward the questions
I raise above to the relevant asset class Working Groups #2 AP review Dividend Settlement
Currency question raised by TA "During the 2009
Interdealer SS discussions, the recommendation was that
<currencyReference> could point to a relevant element elsewhere, so that
SettlementCurrency and IssuerPaymentCurrency as determinationMethod scheme
values were not necessary. (This also relates to the
question of ambiguity as to what the <currency> element signifies – e.g.
reference currency or settlement currency.) Now I have confirmed, during
discussions relating to another implementation, that the dividend payment
currency could be different from the underlier’s native currency or the
settlement currency. (A common example given is HSBC stock listed in London -
the underlier currency is GBP, may be settled in EUR, and the dividends will
then be paid in HKD.) So for the currencyReference to
point to such currency, it has to exist somewhere but currently it is not
explicitly defined in any Swap MCA. (As an aside, FpML wise dividendPayment
under singleUnderlyer/dividendPayout contains <currency> but it cannot be
specified independently of <amount>.) If my above understandings are
correct, I feel the simplest solution to this is again to have
SettlementCurrency and IssuerPaymentCurrency as determinationMethod scheme
values. So we don’t need to know what the actual currency is." Q1. "...ambiguity as to
what the <currency> element signifies" A1. We are using a model where
the position of the element has significance, in this case within
<dividendConditions> which are clearly documented as
<xsd:element
name="dividendConditions" type="DividendConditions"
minOccurs="0"> <xsd:annotation> <xsd:documentation
xml:lang="en">Specifies the conditions governing the payment of
the dividends to the receiver of the equity return. With the exception of the
dividend payout ratio, which is defined for each of the underlying
components.</xsd:documentation> </xsd:annotation> </xsd:element> giving the mean "curreny of
dividend payment to the receiver of the equity return" Q2. "I feel the simplest
solution to this is again to have SettlementCurrency and IssuerPaymentCurrency
as determinationMethod scheme values. So we don’t need to know what the actual
currency is" Q2. Understood, also consider
that the IdentifiedCurrency proposal ( above ) supports use of
<currencyReference> if desired, as it provides an identified currency to
reference From: Andrew P Parry PLEASE NOTE : 4 hour time offset between NYC and LDN this
week * Telephone Conference US: 1 888 481 3032 UK: 0 800 904 7961 Intl: 1 617 801 9600 Participant code: 8682747 * Agenda 1. Action items from our last meeting 14:00 LDN Fri 16 Oct
2009 AP review usage of UnderlyingAsset re: Identified Currency
Proposal AP review Dividend Settlement Currency question raised by TA RM gather DTCC view on FpML-4-7 and FpML-4-8 release dates 2. Master Confirmation Annex Type scheme Please see the email sent by AP to the group on Tue 27 Oct
2009 which responds to IY questions 3. Proposed Oracle Representative, Venkat Krishnamurthy Please see the email AP forwarded to the group on Tue 27 Oct
2009 4. ISDA Legal Drafting 5. NY Fed OTC Commitments 6. 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. |