FpML-IM-Custodian Technical Teleconference 2009-10-21 minutes

["Iida, Lucio BGI SF" <Lucio.Iida@xxxxxxxxxxxxxxxxxx>]

WG members,

Apologies for the lateness of the minutes.  A technical call was held on
Wed Oct-21 at 12pm Eastern.

Attendees:
Jim Margulies - BBH
Christina McDonald - BBH
Marie-Paule Dumont - SWIFT
Marc Gratacos - ISDA
Irina Yermakova - ISDA
Jessica Chang - Western
Naveen Kahosla - Western
Fernando Kang - Western
Mike Dever - State Street

Agenda:
1) Allocation and block level swap ids.  See discussion links below.
   http://www.fpml.org/_wgmail/_im-custodianmail/msg00186.html
   http://www.fpml.org/_wgmail/_im-custodianmail/msg00185.html
   http://www.fpml.org/_wgmail/_im-custodianmail/msg00022.html
*	The group had a lively discussion.  We had general agreement
there is a business case for communicating swap ids at the allocation
and block levels in our use space.  Allocation level ids are needed, for
example, to identify portfolio/fund positions.  Block ids enable single
pricing for multiple allocations by the accounting servicer.
*	However, the notification of allocation and/or block ids in
<contractId> is not being implemented uniformly.  The following methods
were mentioned in the discussion:
		1) A <contractId> for allocation id.  No block id.
		2) A <contractId> for block id.  No allocation id.
		3) A <contractId> for allocation id that contains a
block id inside it.
		4) A <contractId> for allocation id and a separate
<contractId> for block id, each distinguished by its contractIdScheme.
*	The group debated a new optional explicit block id element.
Marc and Lucio mentioned FpML 5.0 is moving in this direction.  However,
the group reached no consensus in this call and we agreed interested
parties should present a formal business case.
*	Two issues were brought up by the group while discussing the
above ids.
		1) Possible use of <contractId> when two allocations of
the same block trade to the same counterparty need to be merged.  It was
suggested either an increase or a full novation contract notification be
used.  Jim -- We can discuss this further in the next call if you wish.
		2) An id that ties a payment related to an event on the
contract, e.g. credit event, lifecycle event, or even a periodic
payment.  This was not directly related to the agenda topic so it was
not fully discussed in this call.  Mike -- Likewise, we can discuss this
further in the next call if you wish.
2) Brief FpML 5.0 update from Marc
*	Aiming for WD 4 in Nov.
*	Products mostly unchanged except for equity.
*	Restructuring of messages into more consistent and uniform
patterns.
*	Identification of differences being prepared by Irina.
*	Irina is also working with Lucio on examples of migration from
4.x to 5.0.
*	Modeling Task Force is working with CME to create new message
types and adding block ids in support of the Central Counterparty
clearing initiatives.
3) AOB
*	Marc indicated there is good progress on modeling CFDs using the
existing return swap FpML product structures.  A new long position on
basket field may be needed.  The initial and final prices of the
underlyer can be placed in the equity leg.

Next meeting will be on Wed Nov-18 noon Eastern.

Please send me your corrections / additions to the minutes.

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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