FpML-IM-Custodian Technical Teleconference 2009-07-15 minutes

The WG held a conference call on Wed July 15 noon Eastern.

Attendees:

Irina Yermakova - ISDA

Marie-Paule Dumont - SWIFT

Robert Dawson - BNY Mellon

Mark Soussan - Western

Christian Unger - BBH

Lucio Iida - BGI

Agenda and minutes:

Update on the Payment Breakdown proposal.
- The proposal was distributed and reviewed by the FpML Coordination Committee on June 15. The recommendations were applied to the proposal, effectively keeping the component amounts, but removing any observation and calculation details.
Update on FpML 4.6 LCWD.
- Irina the FpML 4.6 LCWD is will be published today.
- It includes the payment breakdown and contract change and amendment messages.
- Full Recommendation is expected in early Aug.
- Marie-Paule indicated this fits the SwiftNet Derivatives service's tentative schedule based on the above timeline. This schedule is a topic in tomorrow's Users Group call.
Brief update on the ISITC IM-Third Party Contract Notification Market Practice.
The document is in the final stages of publication.
An enhancement is already planned. Best practices around Swaptions and Equity swaps will be added. Other enhancement suggestions are welcome.
Update on message samples in FpML 4.6.
- New Contract message samples will be included in FpML 4.6.
AOB

Lucio indicated that looking forward to implementers' migration from 4.x to 5.0, the SwiftNet Derivatives Users Group and the FpML Modeling Task Force will work to create a collection of messages in these FpML versions. They will be used to illustrate the changes needed to implement 5.0 and the associated processing.
Marie-Paule indicated Francoise Massin has created three 5.0 samples without issues. They are in tomorrow's User Group discussion agenda.
Irina suggested we list the contract messages in 4.x and 5.0 (see below).

ContractCreated -- contractCreated
ContractCancelled -- contractCancelled

ContractIncreased -- contractIncreased

ContractIncreasedCancelled -- contractIncreasedCancelled

ContractNovated -- contractNovated

ContractNovatedCancelled -- contractNovatedCancelled

ContractFullTermination -- contractFullTermination
ContractFullTerminationCancelled -- contractFullTerminationCancelled
ContractPartialTermination -- contractPartialTermination

ContractPartialTerminationCancelled -- contractPartialTerminationCancelled

ContractChanged -- contractChanged (proposed)

ContractChangedCancelled -- contractChangedCancelled (proposed)

ContractAmended -- contractAmended (proposed)

ContractAmendedCancelled -- contractAmendedCancelled (proposed)

Next call July 29 noon Eastern.

Please let me know of any errors or omissions.

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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