RE: FpML-IM-Custodian Technical Teleconference 2009-04-08

Attaching the updated CDS Index factor fields proposal.

From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Iida, Lucio BGI SF
Sent: Tuesday, April 07, 2009 1:29 PM
To: im-custodian@xxxxxxxx
Cc: Ben Lis
Subject: FpML-IM-Custodian Technical Teleconference 2009-04-08

WG members,

A technical call is scheduled for Wed Apr-8 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 suggestions.

Update on ISITC OTC Derivatives meeting in Boston.

Presentation on SNAC CDS -- driver, characteristics, effect on FpML <initialPayment> and <singlePayment>.
Presentation on proposed payment component breakdown.
Presentation on CDS Index factor and factored notional proposal.
Need for discussion on FpML version support in the SwiftNet Derivatives Users Group.

Feedback from the FpML CDWG on the CDS Index factor and factored notional proposal.

Version effective date not needed.

Agreement on index factor.

Pros/cons of factored notional.

The TradeCashflowsAsserted message in the FpML cashflow matching space was suggested to notify of payments related to a CDS Index factor change. Further research and discussion is needed. A question from the FpML MTF is timely (see below) -- it may lead to a more appropriate solution.

FpML Modeling Task Force (MTF) questions:

Is there a need for message(s) to notify custodians on the effect on contract terms by non-trade events like credit events on CDS Indexes and corporate actions?
Is there a need for a bi-lateral amendment notification?

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

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