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FpML-IM-Custodian Technical Teleconference 2009-03-11

WG members,
 
A technical call is scheduled for Wed  Mar-11 at 12pm Eastern.  Call number details:
 
US: 888 481 3032
Non US: 617 801 9600
Code: 28413758
 
The tentative agenda is below.  Please forward any additions/changes.
  • Update on payment components work for FpML contract messages.  See attached mockups.
    •
  • Update on joint work with FpML CDWG relating to CDS Index factor and factored notional.
  • AOB
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

 
<?xml version="1.0" encoding="UTF-8"?>
<FpML xmlns="http://www.fpml.org/2009/FpML-4-6"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; xsi:type="ContractNovated" version="4-6">
	<header>
		<conversationId conversationIdScheme="http://www.imgr.com/schemes/conversation-id";>001</conversationId>
		<messageId messageIdScheme="http://www.imgr.com/schemes/message-id";>IRS04013-070523080309789</messageId>
		<sentBy>IMGRUS6S</sentBy>
		<sendTo>CUSTUS3T</sendTo>
		<creationTimestamp>2007-05-23T08:03:09.000-08:00</creationTimestamp>
	</header>
	<novation>
		<oldContract>
			<header>
				<identifier>
					<partyReference href="_fund"/>
					<versionedContractId>
						<contractId contractIdScheme="http://www.swift.com/coding-scheme/contract-id";>CONTR3457</contractId>
						<version>24</version>
					</versionedContractId>
					<versionedContractId>
						<contractId contractIdScheme="http://www.imgr.com/schemes/contract-id";>CONTR3457</contractId>
						<version>24</version>
					</versionedContractId>
				</identifier>
				<contractDate>2007-05-23</contractDate>
			</header>
			<swap>
				<productType>IRS</productType>
				<swapStream id="floatingLeg">
					<payerPartyReference href="_broker"/>
					<receiverPartyReference href="_fund"/>
					<calculationPeriodDates id="floatingCalcPeriodDates">
						<effectiveDate>
							<unadjustedDate>2006-12-14</unadjustedDate>
							<dateAdjustments>
								<businessDayConvention>NONE</businessDayConvention>
							</dateAdjustments>
						</effectiveDate>
						<terminationDate>
							<unadjustedDate>2009-12-14</unadjustedDate>
							<dateAdjustments>
								<businessDayConvention>MODFOLLOWING</businessDayConvention>
								<businessCenters id="primaryBusinessCenters">
									<businessCenter>DEFR</businessCenter>
								</businessCenters>
							</dateAdjustments>
						</terminationDate>
						<calculationPeriodDatesAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCentersReference href="primaryBusinessCenters"/>
						</calculationPeriodDatesAdjustments>
						<calculationPeriodFrequency>
							<periodMultiplier>6</periodMultiplier>
							<period>M</period>
							<rollConvention>14</rollConvention>
						</calculationPeriodFrequency>
					</calculationPeriodDates>
					<paymentDates>
						<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
						<paymentFrequency>
							<periodMultiplier>6</periodMultiplier>
							<period>M</period>
						</paymentFrequency>
						<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
						<paymentDatesAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCentersReference href="primaryBusinessCenters"/>
						</paymentDatesAdjustments>
					</paymentDates>
					<resetDates id="resetDates">
						<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
						<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
						<fixingDates>
							<periodMultiplier>-2</periodMultiplier>
							<period>D</period>
							<dayType>Business</dayType>
							<businessDayConvention>NONE</businessDayConvention>
							<businessCenters>
								<businessCenter>GBLO</businessCenter>
							</businessCenters>
							<dateRelativeTo href="resetDates"/>
						</fixingDates>
						<resetFrequency>
							<periodMultiplier>6</periodMultiplier>
							<period>M</period>
						</resetFrequency>
						<resetDatesAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCentersReference href="primaryBusinessCenters"/>
						</resetDatesAdjustments>
					</resetDates>
					<calculationPeriodAmount>
						<calculation>
							<notionalSchedule>
								<notionalStepSchedule>
									<initialValue>50000000.00</initialValue>
									<currency currencyScheme="http://www.fpml.org/ext/iso4217";>EUR</currency>
								</notionalStepSchedule>
							</notionalSchedule>
							<floatingRateCalculation>
								<floatingRateIndex>EUR-LIBOR-BBA</floatingRateIndex>
								<indexTenor>
									<periodMultiplier>6</periodMultiplier>
									<period>M</period>
								</indexTenor>
							</floatingRateCalculation>
							<dayCountFraction>ACT/360</dayCountFraction>
						</calculation>
					</calculationPeriodAmount>
				</swapStream>
				<swapStream id="fixedLeg">
					<payerPartyReference href="_fund"/>
					<receiverPartyReference href="_broker"/>
					<calculationPeriodDates id="fixedCalcPeriodDates">
						<effectiveDate>
							<unadjustedDate>2006-12-14</unadjustedDate>
							<dateAdjustments>
								<businessDayConvention>NONE</businessDayConvention>
							</dateAdjustments>
						</effectiveDate>
						<terminationDate>
							<unadjustedDate>2009-12-14</unadjustedDate>
							<dateAdjustments>
								<businessDayConvention>MODFOLLOWING</businessDayConvention>
								<businessCentersReference href="primaryBusinessCenters"/>
							</dateAdjustments>
						</terminationDate>
						<calculationPeriodDatesAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCentersReference href="primaryBusinessCenters"/>
						</calculationPeriodDatesAdjustments>
						<calculationPeriodFrequency>
							<periodMultiplier>1</periodMultiplier>
							<period>Y</period>
							<rollConvention>14</rollConvention>
						</calculationPeriodFrequency>
					</calculationPeriodDates>
					<paymentDates>
						<calculationPeriodDatesReference href="fixedCalcPeriodDates"/>
						<paymentFrequency>
							<periodMultiplier>1</periodMultiplier>
							<period>Y</period>
						</paymentFrequency>
						<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
						<paymentDatesAdjustments>
							<businessDayConvention>MODFOLLOWING</businessDayConvention>
							<businessCentersReference href="primaryBusinessCenters"/>
						</paymentDatesAdjustments>
					</paymentDates>
					<calculationPeriodAmount>
						<calculation>
							<notionalSchedule>
								<notionalStepSchedule>
									<initialValue>50000000.00</initialValue>
									<currency currencyScheme="http://www.fpml.org/ext/iso4217";>EUR</currency>
								</notionalStepSchedule>
							</notionalSchedule>
							<fixedRateSchedule>
								<initialValue>0.06</initialValue>
							</fixedRateSchedule>
							<dayCountFraction>30E/360</dayCountFraction>
						</calculation>
					</calculationPeriodAmount>
				</swapStream>
			</swap>
		</oldContract>
		<transferor href="_fund"/>
		<transferee href="_broker2"/>
		<remainingParty href="_broker"/>
		<novationDate>2007-05-24</novationDate>
		<novationContractDate>2007-05-23</novationContractDate>
		<novatedAmount>
			<currency>EUR</currency>
			<amount>7000000</amount>
		</novatedAmount>
		<payment id="NOVATION_FEE">
			<payerPartyReference href="_broker2"/>
			<receiverPartyReference href="_fund"/>
			<paymentAmount>
				<currency>EUR</currency>
				<amount>5500.00</amount>
			</paymentAmount>
			<adjustedPaymentDate>2007-08-24</adjustedPaymentDate>
			<paymentType>Novation Fee</paymentType>
		</payment>
	</novation>
	<paymentDetails href="NOVATION_FEE">
		<calculationDetails>
			<grossCashflow>
				<cashflowId cashflowIdScheme="http://www.imgr.com/schemes/cashflow-id";>CONTR3457-24-FIXED</cashflowId>
				<payerPartyReference href="_fund"/>
				<receiverPartyReference href="_broker2"/>
				<cashflowAmount>
					<currency>EUR</currency>
					<amount>7500.00</amount>
				</cashflowAmount>
				<cashflowType cashflowTypeScheme="http://www.fpml.com/coding-scheme/cashflow-type-2-0";>InterestReturn</cashflowType>
			</grossCashflow>
		</calculationDetails>
		<calculationDetails>
			<grossCashflow>
				<cashflowId cashflowIdScheme="http://www.imgr.com/schemes/cashflow-id";>CONTR3457-24-FLOATING</cashflowId>
				<payerPartyReference href="_broker2"/>
				<receiverPartyReference href="_fund"/>
				<cashflowAmount>
					<currency>EUR</currency>
					<amount>12500.00</amount>
				</cashflowAmount>
				<cashflowType cashflowTypeScheme="http://www.fpml.com/coding-scheme/cashflow-type-2-0";>InterestReturn</cashflowType>
			</grossCashflow>
		</calculationDetails>
	</paymentDetails>
	<party id="_fund">
		<partyId>IMGRUS6S</partyId>
		<partyName>INVEST MGR</partyName>
		<account id="_FUNDACCT">
			<accountId accountIdScheme="http://www.imgr.com/schemes/account-id";>FUND100</accountId>
		</account>
	</party>
	<party id="_broker">
		<partyId>BROKUS33</partyId>
		<partyName>BROKER 33</partyName>
	</party>
	<party id="_broker2">
		<partyId>BROKGB2L</partyId>
		<partyName>BROKER 53</partyName>
	</party>
	<party id="_cust">
		<partyId>CUSTUS3T</partyId>
		<partyName>Custodian</partyName>
		<account id="_CUSTACCT">
			<accountId accountIdScheme="http://www.custodian.com/account-id";>98765</accountId>
		</account>
	</party>
</FpML>

<?xml version="1.0" encoding="UTF-8"?>
<FpML xmlns="http://www.fpml.org/2009/FpML-4-6"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; xsi:type="ContractPartialTermination" version="4-6">
	<header>
		<conversationId conversationIdScheme="http://www.imgr.com/schemes/conversation-id";>001</conversationId>
		<messageId messageIdScheme="http://www.imgr.com/schemes/message-id";>IRS04013-070321210309789</messageId>
		<sentBy>IMGRUS6S</sentBy>
		<sendTo>CUSTUS3T</sendTo>
		<creationTimestamp>2007-03-21T21:03:09.000-08:00</creationTimestamp>
	</header>
	<termination>
		<contractReference>
			<identifier>
				<partyReference href="_fund"/>
				<versionedContractId>
					<contractId contractIdScheme="http://www.swift.com/coding-scheme/contract-id";>CONTR2345</contractId>
					<version>27</version>
				</versionedContractId>
				<versionedContractId>
					<contractId contractIdScheme="http://www.imgr.com/schemes/contract-id/BRS";>CONTR2345</contractId>
					<version>27</version>
				</versionedContractId>
			</identifier>
		</contractReference>
		<date>2007-09-17</date>
		<effectiveDate>2007-09-18</effectiveDate>
		<payment id="TERMINATION_FEE">
			<payerPartyReference href="_broker"/>
			<receiverPartyReference href="_fund"/>
			<paymentAmount>
				<currency>USD</currency>
				<amount>5000.00</amount>
			</paymentAmount>
			<adjustedPaymentDate>2007-09-18</adjustedPaymentDate>
			<paymentType>Termination Fee</paymentType>
		</payment>
		<changeInNotionalAmount>
			<currency>USD</currency>
			<amount>6000000</amount>
		</changeInNotionalAmount>
		<outstandingNotionalAmount>
			<currency>USD</currency>
			<amount>39000000</amount>
		</outstandingNotionalAmount>
	</termination>
	<paymentDetails href="TERMINATION_FEE">
		<calculationDetails>
			<grossCashflow>
				<cashflowId cashflowIdScheme="http://www.imgr.com/schemes/cashflow-id";>CONTR2345-27-INTEREST</cashflowId>
				<payerPartyReference href="_fund"/>
				<receiverPartyReference href="_broker"/>
				<cashflowAmount>
					<currency>USD</currency>
					<amount>7500.00</amount>
				</cashflowAmount>
				<cashflowType cashflowTypeScheme="http://www.fpml.com/coding-scheme/cashflow-type-2-0";>InterestReturn</cashflowType>
			</grossCashflow>
		</calculationDetails>
		<calculationDetails>
			<grossCashflow>
				<cashflowId cashflowIdScheme="http://www.imgr.com/schemes/cashflow-id";>CONTR2345-27-VALUE</cashflowId>
				<payerPartyReference href="_broker"/>
				<receiverPartyReference href="_fund"/>
				<cashflowAmount>
					<currency>USD</currency>
					<amount>12500.00</amount>
				</cashflowAmount>
				<cashflowType cashflowTypeScheme="http://www.fpml.com/coding-scheme/cashflow-type-2-0";>Fee</cashflowType>
			</grossCashflow>
		</calculationDetails>
	</paymentDetails>
	<party id="_fund">
		<partyId>FUNDUS6S</partyId>
		<partyName>INVEST MANAGER</partyName>
		<account id="_FUNDACCT">
			<accountId accountIdScheme="http://www.imgr.com/schemes/account-id";>FUND300</accountId>
		</account>
	</party>
	<party id="_broker">
		<partyId>BROKUS33</partyId>
		<partyName>BROKER</partyName>
	</party>
	<party id="_cust">
		<partyId>CUSTUS3T</partyId>
		<partyName>Custodian</partyName>
		<account id="_CUSTACCT">
			<accountId accountIdScheme="http://www.custodian.com/account-id";>76543</accountId>
		</account>
	</party>
</FpML>