The group held a conference call on Apr 8 noon
Eastern.
Attendees:
Marie-Paule
Dumont - SWIFT
Christian Unger - BBH
Scott Hyatt -
Northern
Jason Brasile -
SSC
Irina Yermakova -
ISDA
Lucio Iida -
BGI
Agenda and
minutes:
- Update on ISITC OTC Derivatives meeting in
Boston.
Presentation on SNAC CDS --
driver,
characteristics, effect on FpML <initialPayment> and
<singlePayment>.
- This topic
was presented and discussed at the ISITC
conference.
- The practice
on non-Standard Single Name CDS (non-SNAC CDS)
is to use <singlePayment> when the
upfront payment is from buyer to seller. For SNAC CDS, the practice
being proposed is to always use <initialPayment>, because it can
explicitly state whether the payment is from buyer-to-seller or
seller-to-buyer. In this call, Irina stated that FpML 4.6 Working
Draft 2, released on Mar-27 has removed business validation rule cd-43 in
support of the proposed new practice.
- A
discussion on how CDS implementations can deal with these changes will be
started in the Swift Derivatives Users call next
week.
- Presentation on proposed payment
component breakdown.
- This topic
was presented at the ISITC conference.
Participants' feedback was
requested.
- Presentation on CDS Index factor and
factored notional proposal.
- This topic
was presented at the ISITC conference as a preview of the upcoming
proposal to the FpML CDWG. No modifications were
suggested.
- Need for discussion on FpML version support in the SwiftNet
Derivatives Users Group.
- In this call, Marie-Paule and
Francoise indicated FpML 4.6 will be supported in the Derivatives Service,
along with 4.2 and 4.4.
Message types could be supported in more than one
FpML version. For example, the Service could be modified to support
ContractCreated in both 4.2 and 4.4 (and presumably in 4.6 when this
release is available).
If a bi-lateral amendment notification
will be added to FpML 5.x, Marie-Paule suggested adding it to FpML 4.6 as
well.
The above will be topics in the
Derivatives User call next week.
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.
- Lucio indicated
the TradeCashflowsAsserted message supports the matching step in the
cashflow confirmation process. In the IM-Custodian space there
is a need to notify a non-trade event and the single adjustment
payment when the associated new economic terms become effective.
Francoise confirmed that the Swift Derivatives User Group had agreed to
use Contract messages only for traded events. So, new message
types may be needed. Lucio to raise this in the FpML
MTF.
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?
- The group agreed to explore this
(see action item
above).
- Is there a need for a bi-lateral amendment notification?
- The group agreed that if they are
added in 5.x, that they should be added to 4.6 as
well.
AOB
- Next meeting
Apr 22 noon Eastern.
Please let me know if the minutes need
corrections/additions.
Thanks,
Lucio Iida
Principal
Software Engineering
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
--
This message and any attachments are confidential, proprietary, and may be privileged. If this message was misdirected, Barclays Global Investors (BGI) does not waive any confidentiality or privilege. If you are not the intended recipient, please notify us immediately and destroy the message without disclosing its contents to anyone. Any distribution, use or copying of this e-mail or the information it contains by other than an intended recipient is unauthorized. The views and opinions expressed in this e-mail message are the author's own and may not reflect the views and opinions of BGI, unless the author is authorized by BGI to express such views or opinions on its behalf. All email sent to or from this address is subject to electronic storage and review by BGI. Although BGI operates anti-virus programs, it does not accept responsibility for any damage whatsoever caused by viruses being passed.
|