FpML-EQD v2 Fw: FpML EQD WG Agenda 1400 LDN Fri 20 June 2008

[andrew.p.parry@xxxxxxxxxxxx]

Goldman Sachs ( Bin Shen ) will propose
addition of Premium to Variance Swap and Equity Forward

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

----- Forwarded by Andrew
P Parry/JPMCHASE on 19/06/2008 13:12 -----

Andrew P Parry/JPMCHASE

18/06/2008 08:30

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Subject	FpML EQD WG Agenda 1400 LDN Fri 20 June 2008

* Telephone Conference

US: 1 888 481 3032
UK: 0 800 904 7961
Intl: 1 617 801 9600

Participant code: 8682747


* Agenda

1. Review actions from our last meeting


MG add value "ISDA2008EquityOptionAsiaExcludingJapan"
to master-confirmation-type scheme
MG add Swaps Wire interest leg date
proposal and DTCC compounding spread proposal to FpML-4-4
MG remove second order equity derivatives
from FpML-4-4
AP contact HMcA to discuss leg identification
AP revise EUR Var Dispersion proposal
to include leg identification
AP propose improved dividend period
handling in FpML-5-0

2. Feedback on FpML-4-4-TR-1

This Trial Recommendation is available
on the FpML website in the Specifications section at: 

http://www.fpml.org/spec/fpml-4-4-7-tr-1/

My feedback is that 

a) Ubound the number of legs in a Variance
Swap, to support EUR Var Dispersion
b) Re order the content within Variance
Swap, so that long form ( general terms ) could extend short form ( transaction
supplement )

3. Comment on recent ISDA Equity Derivative
Legal Drafting

a) EUR Var Dispersion
b) EUR Var Option
c) AEJ Open Market IS Annex
d) AEJ Open Market ISO Annex
e) Japan Client MCA Working Group

4. Proposed changes to FpML-4-4 Dividend
Swaps

Please see email from James Clark of
MarkIt dated 16 June 2008 ( extract below ) and attached "Japan Index
Div Swapfina.doc"



"ISDA have a made a number of changes
for the Japanese Index Dividend Swap Transaction Supplement (Publication
Version). I’d like to propose that fpml-dividend-swaps-4-4.xsd is updated
at the earliest possible opportunity to accommodate these changes. The
changes are as follows:
 
1)      Within DividendLeg,
the element ‘excludeSpecialDividends’ should be renamed ‘specialDividends’
in order that the element name is compatible with the equivalent term in
the transaction supplement. (Note that the previous term was ‘Exclude
special dividends and memorial dividends’, which has now been replaced
with ‘Special Dividends’.
2)      Within DividendLeg,
add a new optional element ‘materialDividend’ to correspond to the transaction
supplement field ‘Material Non-cash Dividend’. This should be a boolean
element. 
 
The schema would then appear as follows:"

5. Proposed changes to Variance Swap
and Equity Forward

Goldman Sachs ( Bin Shen ) will propose
addition of Premium to Variance Swap and Equity Forward

6. Issues

http://www.fpml.org/issues/view.php?id=760
http://www.fpml.org/issues/view.php?id=685
http://www.fpml.org/issues/view.php?id=725
http://www.fpml.org/issues/view.php?id=698
http://www.fpml.org/issues/view.php?id=684
http://www.fpml.org/issues/view.php?id=699
http://www.fpml.org/issues/view.php?id=701
http://www.fpml.org/issues/view.php?id=703
http://www.fpml.org/issues/view.php?id=295
http://www.fpml.org/issues/view.php?id=679
http://www.fpml.org/issues/view.php?id=700
http://www.fpml.org/issues/view.php?id=702
http://www.fpml.org/issues/view.php?id=682
http://www.fpml.org/issues/view.php?id=672
http://www.fpml.org/issues/view.php?id=686
http://www.fpml.org/issues/view.php?id=683
http://www.fpml.org/issues/view.php?id=675
http://www.fpml.org/issues/view.php?id=677
http://www.fpml.org/issues/view.php?id=589
http://www.fpml.org/issues/view.php?id=540
http://www.fpml.org/issues/view.php?id=539
http://www.fpml.org/issues/view.php?id=530
http://www.fpml.org/issues/view.php?id=528

7. AOB



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

---

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Attachment: Japan Index Div Swapfina.doc
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