FpML-IM-Custodian Technical Teleconference 2009-01-28 minutes

["Iida, Lucio BGI SF" <Lucio.Iida@xxxxxxxxxxxxxxxxxx>]

> A technical call was held on Wed Jan-28 at 12pm Eastern.
> 
Attendees:
> ISDA - Marc Gratacos
SWIFT - Francoise Massin
> State Street - Randy Magdaluyo
State Street - Curtis Cook
BGI - Lucio Iida


Agenda and minutes
> *	Review of proposals for providing payment components, like
> interest and value, in FpML Contract messages
	We agreed on requirements:
> *	Provide the ability to render the payment components that
> contribute to a single netted amount.  e.g. accrued interest and
> market value.
> *	Find a way to provide the above detail in a standard location,
> as a peer of <party>, <contract>, <novation>, <increase>, etc in the
> Contract messages
> *	Try to reuse existing FpML components, preferably with minimal
> or no change to other messages that use them.  The CalculationDetails
> type or its components candidates.
> *	We need a way to associate a principal <party> to the custodian
> <party> that will act on its behalf.  This would help recipients to
> determine this without having to refer to other internal sources.
> *	Provide the ability to further break down the payment components
> by leg, e.g. in an IRS, floating-interest, floating-value?,
> fixed-value, fixed-interest.  Could be helpful in cross-currency IRS.
> *	Marc suggested we should not over-engineer the enhancements, so
> instead of CalculationDetails we may want to use its components
> instead.  Marc also suggested the enhancements contain supplementary
> payment information, such as the component breakdown and perhaps
> <settlementInformation> for the benefit FpML payment structures that
> do not include it.  The supplementary information would be linked by
> reference (href) to the related payment.
	Steps to move this forward:
> *	We need to prepare a business requirement document (Randy)
> *	We need to prepare FpML model change proposals per the
> requirements (Marc/Lucio to begin work)
> *	When the above is done, raise proposal to the FpML Coordination
> Committee, which would send back with comments, approve, or reject.
> *	Handling of CDS Index factor changes due to credit events in
> contract messages
> *	We agreed to research the feasibility of messaging the credit
> event notice, the post-auction notional or index factor, and possibly
> the associated payment amount.
*	Marc will research prior work and status.
*	During the call Marc forwarded a sample creditEventNotice for a
Single Name CDS.
> *	Curtis mentioned that some instruments (possibly ABX) may have
> factor increases, not just decreases.
> *	Given that there are several milestones related to a single
> credit event, we agreed to collect available information to determine
> what can be distilled into requirements for FpML.
> 	Randy to forward documentation obtained from ISITC.
> *	The Termination message was suggested as a way to decrease the
> notional, but there were some objections:
> *	The original contract notional does not really change, so using
> a termination message is questionable.
> *	Francoise mentioned that in the SwiftNet CUG, it has been stated
> that each Contract message must relate to a real lifecycle event.
> *	Lucio suggested that since the Redcode changes affect the
> economic terms, it may be notified in a (new) contract adjustment
> message.  It was also noted the Index name and series will not change,
> but the version will.
> *	FpML Modeling Task Force (MTF)
> *	Marc mentioned that this working group is preparing major
> changes to FpML that will probably have an effect on Contract
> messages.
		For example, the identification of objects (events,
contracts, correlations) is being reviewed.
> *	Recommendations will be implemented in 5.0 and future releases.
> *	Next meeting
> Feb 25 12pm Eastern
> 
Please let me know if we need any additions/corrections to the minutes.

Thanks

Lucio Iida 
Principal 
Design and Development Technologist

TEL 415 597 2288
CELL 415 717 9261
FAX 415 618 1667
lucio.iida@xxxxxxxxxxxxxxxxxx

Barclays Global Investors 400 Howard Street San Francisco, CA 94105



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