FpML-IM-Custodian conference call minutes - 2008-02-20

["Marc Gratacos" <MGratacos@xxxxxxxx>]

Attendees
ISDA - Marc Gratacos
ISDA - Irina Yermakova
SSC - Neil Wright, co-chair
BBH - Christian Unger
BBH - James Markley
BGI - Ivan Djurkin
BGI - Lucio Iida, co-chair
Brook Path Partners - Robert Stowsky
HandCoded- Andrew Jacobs
Northern - Adam Cassavetes  ??
Northern - Scott Hyatt
SSC - Randy Magdaluyo
SSC - Norman Papazian
SSC - Jason Brasile
Swift - Hans Ellis, on behalf of Joshua Derrick
 
Agenda
0) New chairs
	Neil Wright and Lucio Iida are new co-chairs of this working
group.
1) Re-statement of scope of this WG and relationship with other FpML
WGs.
	This WG is no longer a sub-group of the BPWG.  The IM-Custodian
WG will have participation in FpML Coordination and Standards committee
and have a voice in product modeling priorities. The WG will have
control and governance of messages supporting IM-Cust processes.
2) Tax lot information in notification messages.
	From an accounting perspective there is a need to keep track of
the tax lots associated with swap lifecycle events like
increases/novations/terminations even though they can be represented as
a single swap position.  Specifically, in novations / terminations
there is a need to determine which tax lots are to be wound down.
Standard accounting methods (e.g. FIFO) could be assumed or the event
notifications could identify the affected tax lots.  A formal document
presenting the business case will be prepared by Randy Magdaluyo to help
focus the discussion going forward.
3) Adding an optional notional amount to the ContractFullTermination
message.
	It was agreed to take this back to SN FpML and ask who sponsored
it, because some call participants objected to supporting two
termination message (Full and Partial) types. The clarity provided by
the message name may not be not worth the additional processing support
and controls.
4) Christian Unger raised the issue regarding clean or dirty pricing
processing indicator in a trade notification.
	Only "clean" pricing allows interest accrual calculations at
custodians. "Dirty" pricing, for example, can relate to contracts
involving Emerging Country currencies.
	Some IM-custodian fax notifications indicate that interest
accrual calculations should not be done for the contract.  The
accounting treatment of the contract can change over its lifespan,
because there are many factors making interest accrual viable. Robert
Stowsky to present example to the WG using pricing and risk definitions.
Neil Wright commented this is a requirement of the buy-side of the
industry.  If a new FpML field is created, it should not be part of the
contract definition because it's irrelevant to the counterparty.
5) Recommended elements in a long-form contract notification.
	We did not get to this topic in the call.
6) Comment on proposal to use a fixed party->account->accountIdScheme on
SwiftNet FpML to identify the account number at the custodian.
	We did not get to this topic in the call.
7) Frequency of conference calls.
	We will meet again in two weeks, Wed Mar 5 11am-12pm EST.  Going
forward a bi-weekly schedule may work, but we need participant
agreement.
8) AOB
	None.
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