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Re: FpML-IM-Custodian Reminder teleconference 2008-02-20
Norm, how are you? I asked Randy this same question, are we seeing this swap increase from mgrs other than Pimco? I thought this a Pimco requirement.
Regards,
Mark
_________________________
Mark A. Reuter, Vice President
Global Product Management
State Street Corporation
(917) 790-4174
(617) 786-2105 fax
mareuter@xxxxxxxxxxxxxxx
----- Original Message -----
From: im-custodian@xxxxxxxx <im-custodian@xxxxxxxx>
To: im-custodian@xxxxxxxx <im-custodian@xxxxxxxx>
Sent: Mon Mar 03 16:56:48 2008
Subject: RE: FpML-IM-Custodian Reminder teleconference 2008-02-20
Randy / All – see my comments below regarding the Lot Level processing
After reviewing this document regarding Identifying Swaps at the Lot Level, I do not believe that the process you describe warrants identifying Swaps at the lot level. This is simply an increase to the original contract.
Some questions/comments to several of the points within the document -
Narrative point #6 - references the use of a ContractCreate. The ContractIncrease event/message is more appropriate, as you indicate that all of the Swaps attributes are consistent with the original ContractCreate. IM should send a ContractIncrease message here.
Narrative point #7 - here you indicate the dealer is assigning a new ID to the allocation (123001 in your example). To me this is inconsistent use of the data point. In Narrative point #3, the dealer is creating ids in their system at the Allocation level, and is assigning their own Contract ID, which is understood. But in point #7, it seems the dealer is needing to separate this transaction/event from the original, and is trying to do it with a new Contract ID. But the Contract ID is not changing here. If the dealer needs to recognize this event as a new event ("transaction") on the internal systems, the dealer should reference the versioned contract id to recognize this as a new event on the existing contract. They should not create a new contract id here.
One note on the Assertions: As a general question - in a perfect world - after a contract has been created, and subsequently had an increase event...upon the next payment period, wouldn't there still be only one payment made at the allocation level between counterparties?
Thus regarding assertion #2 - Why would two payments be made here for Fund A?
All comments welcome.
Norman Papazian
State Street Corporation
p 617-937-6430 c 617-888-2012
norman.papazian@xxxxxxxxxxxxxxx
________________________________
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Magdaluyo, Randy C
Sent: Monday, February 25, 2008 8:49 PM
To: im-custodian@xxxxxxxx
Subject: RE: FpML-IM-Custodian Reminder teleconference 2008-02-20
All,
Per item #2, here is a write-up that explains the tax lot issue. First, if we understand and agree the need to identify swaps at the lot level, then later we can focus on the solution – i.e., how the contractId should be represented, whether the FpML schema should be extended, whether recipients should convert the sender’s contractId of any length, and what the downstream impact would be on operations and systems.
This will also be posted in the SWIFTNet FpML space on swiftcommunity.net. Please have a look so we can discuss at the 5 March meeting.
Regards,
___________________________
Randy C. Magdaluyo
Vice President
Investor Technology Services
State Street Corporation
Irvine, CA
W: +1.949.932.1644
M: +1.949.232.5330
E: rcmagdaluyo@xxxxxxxxxxxxxxx
________________________________
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Marc Gratacos
Sent: Wednesday, February 20, 2008 4:11 AM
To: im-custodian@xxxxxxxx
Subject: FpML-IM-Custodian Reminder teleconference 2008-02-20
Importance: High
Us: 888 481 3032
Non US: 617 801 9600
Code: 28413758
Agenda
======
0) New chairs
1) Re-statement of scope of this WG and relationship with other FpML WGs.
2) Tax lot information in notification messages.
3) Adding an optional notional amount to the ContractFullTermination message
4) 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 Developing Country currencies.
5) Recommended elements in a long-form contract notification.
6) Comment on proposal to use a fixed party->account->accountIdScheme on SwiftNet FpML to identify the account number at the custodian.
7) Frequency of conference calls.
8) AOB
________________________________
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Marc Gratacos
Sent: Friday, February 08, 2008 3:46 AM
To: im-custodian@xxxxxxxx
Subject: FpML-IM-Custodian IM-Custodian teleconference 2008-02-20
Importance: High
Dial in details for the meeting on Wednesday February 20 at 11:00 a.m. New York Time:
Us: 888 481 3032
Non US: 617 801 9600
Code: 28413758
Agenda
======
9) New chairs
10) Re-statement of scope of this WG and relationship with other FpML WGs.
11) Tax lot information in notification messages.
12) Adding an optional notional amount to the ContractFullTermination message.
13) Frequency of conference calls.
14) AOB
Best Regards,
-Marc
+13472846531
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