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RE: FpML-IM-Custodian Technical Teleconference 2009-03-11 - UPDATED

Additional information for the discussion on 100/500 CDS.
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Iida, Lucio BGI SF
Sent: Tuesday, March 10, 2009 3:27 PM
To: im-custodian@xxxxxxxx
Cc: hpegeron@xxxxxxxx; Andrew Jacobs; Ben Lis; Irina Yermakova; Karel Engelen
Subject: FpML-IM-Custodian Technical Teleconference 2009-03-11 - UPDATED

UPDATES:
 
1) Added a tentative agenda item.
2) Attached snapshots for discussion of payment components
 
-----------------------------------------------------------------------------------------
 
 
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.
  • Tentative Item:  Short discussion of 100/500 CDS contracts.  http://www.fpml.org/_wgmail/_cdwgmail/docSpJfImUWOc.doc
  • Update on payment components work for FpML contract messages.  See attached mockups and FpML structure snapshots. 
  • 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

 

Attachment: 03022009FAQ100500andAuctionHardwiring26Feb.doc
Description: 03022009FAQ100500andAuctionHardwiring26Feb.doc

<?xml version="1.0" encoding="UTF-8"?><!--
  == Copyright (c) 2002-2009. All rights reserved.
  == Financial Products Markup Language is subject to the FpML public license.
  == A copy of this license is available at http://www.fpml.org/license/license.html
  -->
<FpML xmlns="http://www.fpml.org/2009/FpML-4-6"; xmlns:fpml="http://www.fpml.org/2009/FpML-4-6"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; version="4-6" xsi:type="DataDocument" xsi:schemaLocation="http://www.fpml.org/2009/FpML-4-6 ../../schema/fpml-main.xsd http://www.w3.org/2000/09/xmldsig# ../../schema/xmldsig-core-schema.xsd">
   <trade>
      <tradeHeader>
         <partyTradeIdentifier>
            <partyReference href="party1"/>
            <tradeId tradeIdScheme="http://www.xyzbank.com/cd-trade-id";>xyz1234</tradeId>
         </partyTradeIdentifier>
         <partyTradeIdentifier>
            <partyReference href="party2"/>
            <tradeId tradeIdScheme="http://www.abcbank.com/cd-trade-id";>abc1234</tradeId>
         </partyTradeIdentifier>
         <tradeDate>2009-03-25Z</tradeDate>
      </tradeHeader>
      <creditDefaultSwap>
         <generalTerms>
            <effectiveDate>
               <unadjustedDate>2009-03-26Z</unadjustedDate>
            </effectiveDate>
            <scheduledTerminationDate>
               <adjustableDate>
                  <unadjustedDate>2014-06-20Z</unadjustedDate>
               </adjustableDate>
            </scheduledTerminationDate>
            <sellerPartyReference href="party2"/>
            <buyerPartyReference href="party1"/>
            <referenceInformation>
               <referenceEntity id="referenceEntity">
                  <entityName>TENET HEALTHCARE CORPORATION</entityName>
                  <entityId entityIdScheme="http://www.fpml.org/spec/2003/entity-id-RED-1-0";>8G836J</entityId>
               </referenceEntity>
               <referenceObligation>
                  <bond>
                     <instrumentId instrumentIdScheme="http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0";>8G836JAF2</instrumentId>
                  </bond>
               </referenceObligation>
            </referenceInformation>
         </generalTerms>
         <feeLeg>
            <initialPayment>
               <payerPartyReference href="party1"/>
               <receiverPartyReference href="party2"/>
               <adjustablePaymentDate>2009-03-28Z</adjustablePaymentDate>
	       <adjustedPaymentDate>2009-03-30Z</adjustedPaymentDate>
               <paymentAmount>
                  <currency>USD</currency>
                  <amount>1000</amount>
               </paymentAmount>
            </initialPayment>
            <periodicPayment>
               <paymentFrequency>
                  <periodMultiplier>3</periodMultiplier>
                  <period>M</period>
               </paymentFrequency>
	       <firstPeriodStartDate>2009-03-20Z</firstPeriodStartDate>
               <firstPaymentDate>2009-06-20Z</firstPaymentDate>
               <rollConvention>20</rollConvention>
               <fixedAmountCalculation>
                  <fixedRate>0.01</fixedRate>
               </fixedAmountCalculation>
            </periodicPayment>
            <marketFixedRate>0.02</marketFixedRate>
         </feeLeg>
         <protectionTerms>
            <calculationAmount>
               <currency>USD</currency>
               <amount>5000000</amount>
            </calculationAmount>
         </protectionTerms>
      </creditDefaultSwap>
      <documentation>
         <contractualMatrix>
            <matrixType>StandardNorthAmericanCorporate</matrixType>
         </contractualMatrix>
      </documentation>
   </trade>
   <party id="party1">
      <partyId>XYZBICXXX</partyId>
      <partyName>XYZ Bank</partyName>
   </party>
   <party id="party2">
      <partyId>ABCBICXXX</partyId>
      <partyName>ABC Bank</partyName>
   </party>
</FpML>