1) Use Case reminder
We might consider excluding the parameters related to dividends but add an explanatory note that discusses the fact that forward contract holders do not benefit from dividend payments in the same way that holders of the underlying shares do, and that the dividend payments are reflected in the pricing of the forwards - see the link above for some of those details. There may be a need to account for extraordinary dividends that haven't been announced prior to the execution of the forward - see
https://community.ig.com/forums/topic/14733-do-you-receive-dividend-adjustments-when-long-equity-forward-contracts/ and https://www.merrilledge.com/investment-products/options/adjusted-options-contracts. See DER-111 for dealing with dividend adjustments, which can apply to various kinds of equity derivatives.
We agreed to attempt to complete DER-109 and DER-110 as a part of the work we finish this quarter, but to push DER-111 out to next quarter as it requires more work than we have time to complete this week.
Reminder to all - there is no DER call next week due to the OMG technical meeting - we will resume on 10/5.