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FpML-IM-Custodian Technical Teleconference 2009-05-06

 
WG members,
 
A technical call is scheduled for Wed May-6 at 12pm Eastern.  Call number details are below.  The attachments are for the payment component breakdown discussion.
 
 US: 888 481 3032
Non US: 617 801 9600
Code: 28413758
 
 
The tentative agenda is below.  Please forward any suggestions.
  • Confirmation type values proposed in CDWG for Standard European CDS, Standard CDX Tranche, and Standard LCDS.
  • Update on CDS Index factor and factored notional proposal.
  • Review of draft proposal document for representation of payment component breakdown in Contract notifications.
  • Update on Contract update messages for non-trading events.
  • Update on bilateral amendment messages proposal document.
    • 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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    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.

    Attachment: Payment Breakdown Proposal.doc
    Description: Payment Breakdown Proposal.doc

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<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>
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			<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>