WG
members,
A technical call was
held on Wed May-6 at 12pm
Eastern. Apologies for the late
minutes.
Attendees:
Irina
Yermakova - ISDA
Christina MacDonald -
BBH
Nicole Jolliffe
-SWIFT
Francoise Massin -
SWIFT
Robert Stowsky -
Progress
Christina MacDonald - BBH
David Friskics - Western
Asset
Agenda and
minutes
Confirmation type values proposed in CDWG for Standard
European CDS, Standard CDX Tranche, and Standard
LCDS.
- This CDWG meeting was held
on Thu Apr 30.
- Marc gave a
detailed description of the new CDS types and their
characteristics. Highlights:
- Planned launch is
June 20.
- Includes CDS and some CDX
Tranches.
- Limited number of
coupon levels, 4 primary and 2 for portfolio
compression.
- No schema changes
are necessary, but new transaction
types will be added.
- Have simple standard characteristics, just like
SNAC
CDS.
- Irina mentioned that an audio recording of the session is
available in the FpML web home
page.
Update on CDS Index
factor and factored notional
proposal.
- This
proposal was approved in the CDWG meeting of Thu Apr 6. It will be
presented to the Coordination Committee.
Review of draft proposal document for representation
of payment component breakdown in Contract notifications.
Marc suggested
creating a paymentDetails/paymentReference/@href element in lieu of paymentDetails/@href.
Lucio to update
the proposal, schemas, and samples.
Update on
Contract update messages for non-trading
events.
- Raised in FpML Modeling Task Force
(MTF).
- Initially it would address defaults on CDS Index
constituents and the resulting factor change and
payment.
- Dave volunteered to forward information on other events with similar effects such
as:
- Factor
adjustment of asset-backed underlyers due to paydowns or writedowns.
- Resets on equity TRS.
Update on bilateral amendment messages proposal
document.
- The Swift CUG had
debated the need for this message
and decided against it in FpML 4.2
since a termination/rebooking sequence would be sufficient.
- But some
implementations cannot use the above method and are awkwardly using the
ContractCreated to
amend.
- The
group agreed to go forward with the proposal.
- Lucio to follow up in FpML
MTF.
AOB.
- Marc mentioned
the growing interest in CFD (Contracts for Difference) coverage/implementation
in
FpML.
Next meeting May 20,
noon Eastern.
Please let me know of any innacuracies or
ommissions. 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
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