FpML-EQD RE: FpML EQD WG 14:00 LDN TUESDAY 15 Dec 2009

As per my action below to add AEJ 2009 Closed Market and MEA II changes proposed by JC and TA, see attached zip file (to unzip, remove –mail extension), and additional multipleExchangeIndexAnnexScheme and settlementPriceDefaultElectionScheme coding schemes. The changes have been added to FpML 4-7-TR that is expected to be build at the end of this month.

Short overview of the changes:

1. To fully support 2009 AEJ Closed Markets MCA

1.1. Within “EquityExerciseValuationSettlement” complex type, added an optional element “settlementPriceDefaultElection” of a new scheme controlled type “SettlementPriceDefaultElection”

1.2. Created a new “settlementPriceDefaultElectionScheme” coding scheme with values of ‘Close’ and ‘Hedge Execution’

Q: What should be specified as MCA and Annex for this type of transaction since there is no “2009 AEJ Closed Markets MCA”?

- ISDA2008EquityAsiaExcludingJapanRev1 - This Revised ISDA 2008 AEJ Master Equity Derivatives Confirmation Agreement http://www.fpml.org/coding-scheme/master-confirmation-type

- AEJ Cash Settled Closed Markets Index Share Options Annex ?

2. To support Multiple Exchange Annex ( MEA ) II

2.1. Within “EquityUnderlyerProvisions.model”, created an optional sequence of an existing element “multipleExchangeIndexAnnexFallback” of type "xsd:boolean" and a new optional element “multipleExchangeIndexAnnex” of a new scheme controlled type “MultipleExchangeIndexAnnex”

2.2. Within EquityOptionTransactionSupplement, created an optional sequence of an existing element “multipleExchangeIndexAnnexFallback” of type "xsd:boolean" and a new optional element “multipleExchangeIndexAnnex” of a new scheme controlled type “MultipleExchangeIndexAnnex”

2.3. Created a new multipleExchangeIndexAnnexScheme coding scheme with values MultipleExchangeAnnex, MultipleExchangeAnnex2.

If you have any comments pleased send them to Eqd WG.

Thank you,

Irina Yermakova

From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of Andrew P Parry
Sent: Monday, December 14, 2009 3:49 AM
To: fpml eqdwg (eqdwg@xxxxxxxx)
Subject: FpML-EQD FpML EQD WG 14:00 LDN TUESDAY 15 Dec 2009
Importance: High

PLEASE NOTE : This meeting is tomorrow, to fit the diaries on many active contributors

* 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 04 Dec 2009 ===

AP contribute improved documentation for <currency> element of underlyers such as Equity

IY propose clarification of currency for various purposes on underlyer ( listing, trading )

IY propose further addition and correction of MCA and MCA Annex coding scheme values

IY add AEJ 2009 Closed Market Changes proposal from JC for FpML-4-7

IY add MEA II proposal from TA for FpML-4-7

=== 2. Proposed new representatives ===

Please review CV / Bio. information circulated to the email list

2.1 Niraj Kumar, Wipro Technologies

2.2 Imthiyaz Sikkander, Barclays Capital

2.3 Mary Kwok, MarkitSERV

New members should feel free to put questions to the group

=== 3. ISDA Legal Drafting ===

Ongoing ISDA "Legacy" Legal Drafting has several structural consequences for FpML

== 3.1 Multiple Exchange Annex ( MEA ) II Proposal : FpML-4-7, Q4 2009 ==

Open question ( IY/TA )

"The annex name is ‘Multiple Exchange Index Annex’ so the scheme values should have the word ‘Index’. As for the element and scheme names, it may not be essential to include ‘Index’ if we want to keep them short, but I’d seek WG/Andrew’s opinion"

[ AP : We should follow ISDA legal wording, they use "MultipleExchangeAnnex", so we should call the element <multipleExchangeAnnex> ]

== 3.2 EU Index ( Client ) Swap : FpML-4-8, Q1 2010 ==

3.2.1 Compounding Date

Treatment and support ( CY )

"We are finalizing business logic for Q1 deliveries. For Compounding, as of November 19th release, we added the Compounding field (you would populate the Compounding field with "Y" when it's applicable).

For Compounding Date, please confirm if the following logic works for you.

Compounding: Y

Compounding Dates: [date] [date] [date] (you will list all relevant dates)

>>> this field is required when Compounding is populated with Y.

If you are planning to have a default for Compounding Dates in GTC, then we can make this field optional. However, you still need to "list" dates when you are submitting this field.

Please kindly advise your thought on this by COB Tuesday (NY time) next week."

3.2.2 Component Security Index Annex

Not Applicable / Footnote. Could this evolve from a boolean ( Applicable / Not Applicable ) to a range of Annex values as per MEA ?

== 3.3 PAISS : FpML-4-8, Q1 2010 ==

ISDA Counsel have made intensive efforts to solicit feedback and finalise this draft

Calls are scheduled 10:00 HKG on Tue 15 Dec 2009 and Thu 17 Dec to discuss feedback

== 3.4 US ( Client ) Option : FpML-4-8, Q1 2010 ==

Pre publication draft from ISDA Legal Department on Fri 11 Dec 2009

"Attached please find the pre-publication draft (clean and marked versions) of Annex ISO to the 2009 Americas Master Equity Derivatives Confirmation Agreement.

Substantive edits to the draft have been made in respect of:

• Exchange – multiple exchange consequences have been provided for;

• Settlement Currency – specified as USD;

• Futures Price Valuation – language revised to provide for expiry dates that would fall on a Saturday;

• Latest Exercise Time – Election added to the T-Supp; provisions added w/r/t multiple exchanges and the Latest Exercise Time on an Expiration Date

• Share Adjustment Events – additional elections provided for under Cancellation and Payment;

• Stock Loan Rate – field added for Agreed Model.

Please review and provide any comments COB December 14 after which date the document will be published."

=== 4. NY Fed OTC Commitments ===

=== 5. Next Meeting ===

Propose 14:00 LDN Fri 08 Jan 2010

=== 6. Thanks from the Chair ===

Thank you all for your contributions this year, we have collaborated to deliver a very demanding book of work

=== 7. AOB ===

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