Please find enclosed the JPMorgan Proposal for Repos. The model covers - Repos on one or more pieces of collateral - Regular Repos, Security vs Fee, Buy/Sell Back with a per-coupon reinvestment rate, - the underlying asset(s) can be any FpML:underlyingAsset (meaning bond, equity ... ); - Fixed Rate and Floating rate repos - Mid life events ( rate changes, cash repricing / nominal repricing, substitution, interest payout , coupon events for BuySellBacks, rate observations for index repos) - transfers (the equivalent of the explicit cashflow representation for interest rate streams, where each cash and asset movement is explicitly described with settlement instructions - attributions, i.e. breakdowns of settlement amounts into principal, interest, taxes, etc. (See attached file: RepoContract.v.3.0.doc) (See attached file: repoSamples.zip) and the schema changes (See attached file: modifiedSchema.zip) please note that the schema changes suggested above may not be perfectly synchronized with the FpML4-2 TR as the mods were done a while ago - this does not have any effect on the proposed repo model. regards, Sylvain Benoist 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.
Attachment:
RepoContract.v.3.0.doc
Description: MS-Word document
Attachment:
repoSamples.zip
Description: Zip archive
Attachment:
modifiedSchema.zip
Description: Zip archive