From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Tom Duffy
Sent: Wednesday, September 30, 2009 6:41 AM
To: im-custodian@xxxxxxxx
Subject: RE: FpML-IM-Custodian Block trade ids
Lucio
You can identify all like instruments / allocations of the same block trade by sorts on the pertinent terms in your price file for each product type . You send a representative trade for each block trade to your vendor, and on return allocate pricing to all constituents of the block trade. Don't see this needs to be handled in FpML. Appreciate that different IMs have used the contractId field differently, most use it for identifying uniquely the allocation, but others are using it to identify the block trade. This dis-juncture in terms of the use of the contractId field should probably be addressed.
Regards
Tom
_______________________________________________________________________________
Tom
Duffy | Vice President - Consultant, Derivatives | OT - Derivatives
801 Sth. Canal St., C1S, Chicago, IL
60607 | phone 312 557-6072 | td6@xxxxxxxx
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| "Dever, Michael J"
<mjdever@xxxxxxxxxxxxxxx> Sent by: <im-custodian@xxxxxxxx> 09/30/2009 08:25 AM
|
|
Lucio
Isn't the block ID today from asset managers being put in the contract
ID field? Why do we need another field? Custodians today use the asset
manager contract ID field to cross reference to their internal security
master data. This is also used for reconciliation and pricing. What
does the asset manager plan on putting in the contract ID field?
Michael Dever
Vice President
Global Services/Derivative Operations
T: 1-617-985-2041
-----Original Message-----
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of
Iida, Lucio BGI SF
Sent: Tuesday, September 29, 2009 8:56 PM
To: im-custodian@xxxxxxxx
Subject: FpML-IM-Custodian Block trade ids
WG,
An asset manager is looking to send a block trade id in addition to the
allocation-level id to its custodians in the Contract messages. The
block id would allow the custodians to price once at the block level.
The Contract messages do not have a field defined explicitly for this
purpose. I propose we add an optional field. And if necessary in the
interim, there are two places that could be used for the block id:
1) Another instance of <contractId> with an agreed-to contractIdScheme.
2) Not sure about <productId>, but we should discuss and determine if
this proposed usage is correct.
Please send your thoughts on this.
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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