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FpML-IM-Custodian Technical Teleconference 2010-01-27 minutes
The WG held a technical conference call on Wed Jan 27 noon Eastern.
Attendees:
Scott Hyatt - Northern
Mark Reuter - SSC
Marie-Paule Dumont - SWIFT
Jeff Souza - SSC
Irina Yermakova - ISDA
Steve White - SSC
Marc Gratacos - ISDA
Tom Duffy - Northern
Christina McDonald - BBH
Lucio Iida - Blackrock
Agenda and minutes:
1) FpML 5.0 update.
a) WD4 was published on Jan 25.
http://www.fpml.org/spec/fpml-5-0-5-wd-4
b) There will be a presentation call on Thu Feb-4 10am Eastern. See
the attached announcement.
<<FpML-IM-Custodian FpML 5.0 Teleconference>>
2) SWIFT Derivatives Service release 3.0.
a) Marie-Paule provided highlights of the release.
- Support for FpML 4.2, 4.4, and 4.6.
- Support for ContractAmended and ContractChanged messages.
- Support for MX Payment messages.
b) Release 3.0 is mandatory by April 12, 2010. Depending on their
SAA versions, implementations may still work without installing 3.0, but
upgrading is recommended.
c) There is no plan to remove support for FpML 4.2 nor 4.4.
d) Implementation details are available in the swiftcommunity site or
by contacting Marie-Paule.
e) The SWIFT Support Center can also provide details and assistance.
3) Brief update on block level swap ids research.
a) The original business driver was to allow servicers to streamline
pricing of contracts from the same block trade since the economic terms
are the same.
b) Another driver could emerge from the move to Central
Counterparties. The CME's futures trading model would allow a single
CDS trade
to change a position from long to short, which would require two
contract notification messages: a termination and a creation.
The servicer would need an id to associate the two notifications.
c) Given the above, where do we render a block id or a common id?
o Marc mentioned linkId in partyTradeIdentifier as a candidate.
But it may not be available in some cases, e.g. if already being used to
link associated bond and CDS trades.
o A blockTradeId is another possibility, as already modeled in
5.0.
o There may be a way to express a blockTradeId in existing 4.x
releases. Marc to provide a sample.
4) Product implementations to focus on next (other than IRS, CDS, CDS
Index).
a) The group thought that swaptions and TRS would be good products
to focus on next, due to high volume. Attached are two swaption
examples.
b) There has been interest in CFDs recently. Marc provided a sample
message.
<<ird_ex15_amer_swaption.xml>> <<swaption_sample.xml>>
<<eqs-ex17-cfd.xml>>
5) AOB
None.
6) Next meeting Wed Feb-24 at noon Eastern.
Please send me any corrections or additions to the minutes.
Thanks,
Lucio Iida
Vice President
BlackRock
Tel +1 415 670 2288
lucio.iida@xxxxxxxxxxxxx
THIS MESSAGE AND ANY ATTACHMENTS ARE CONFIDENTIAL, PROPRIETARY, AND MAY BE PRIVILEGED. If this message was misdirected, BlackRock, Inc. and its subsidiaries, ("BlackRock") 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 BlackRock, unless the author is authorized by BlackRock 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 BlackRock. Although BlackRock operates anti-virus programs, it does not accept responsibility for any damage whatsoever caused by viruses being passed.
--- Begin Message ---
ISDA will organize an open conference call to introduce the new changes in FpML version 5.0 (version available at http://www.fpml.org/spec/fpml-5-0-5-wd-4/) on Thursday February 04 at 10:00 a.m. New York time / 3:00 p.m. London time.
Content includes:
· Revamped reporting view
· New approach
· New fields
· New reports
· New messaging framework
· New message correlation mechanism
· Generic business processes
· Current status and next steps for 5.0
Dial in details:
INTERNATIONAL DIAL-IN: 617 801 9600
US DIAL-IN: 1 888 481 3032
UK: 0 800 904 7961
Participant Code: 751365
Materials: a Powerpoint presentation will be distributed prior to the meeting.
________________________________
The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.
--- End Message ---
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<account id="CUSTACCT">
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<party id="CPTY">
<partyId>CPTYHKHH</partyId>
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</FpML>
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<exchangeId exchangeIdScheme="MARKET_ID">NYSE</exchangeId>
</equity>
<openUnits>48000</openUnits>
<dividendPayout>
<dividendPayoutRatio>1.0</dividendPayoutRatio>
</dividendPayout>
</singleUnderlyer>
</underlyer>
<valuation>
<initialPrice>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>0.0</commissionAmount>
<currency>USD</currency>
</commission>
<grossPrice>
<amount>80.000000</amount>
<priceExpression>PercentageOfNotional</priceExpression>
</grossPrice>
<netPrice>
<amount>80.000000</amount>
<priceExpression>PercentageOfNotional</priceExpression>
</netPrice>
<fxConversion>
<fxRate>
<quotedCurrencyPair>
<currency1>USD</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>1.0</rate>
</fxRate>
</fxConversion>
</initialPrice>
<equityNotionalReset>false</equityNotionalReset>
<valuationPriceFinal>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>0.0</commissionAmount>
<currency>USD</currency>
</commission>
<determinationMethod>HedgeUnwind</determinationMethod>
<equityValuation>
<valuationDate id="FinalValuationDate__CFD123456789">
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</equityValuation>
</valuationPriceFinal>
<equityPaymentDates id="N10004">
<equityPaymentDateFinal>
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>US-USD</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</equityPaymentDateFinal>
</equityPaymentDates>
</valuation>
<notional>
<notionalAmount>
<currency>USD</currency>
<amount>3840000.000000</amount>
</notionalAmount>
</notional>
<equityAmount>
<paymentCurrency id="settlementCurrency">
<currency>USD</currency>
</paymentCurrency>
<referenceAmount>StandardISDA</referenceAmount>
<cashSettlement>true</cashSettlement>
</equityAmount>
<return>
<returnType>Total</returnType>
<dividendConditions>
<dividendReinvestment>false</dividendReinvestment>
<dividendEntitlement>ExDate</dividendEntitlement>
<dividendPaymentDate>
<dividendDateReference>AdHocDate</dividendDateReference>
</dividendPaymentDate>
<dividendPeriodEffectiveDate href="TradeDate__CFD123456789"/>
<dividendPeriodEndDate href="FinalValuationDate__CFD123456789"/>
<paymentCurrency>
<currency>USD</currency>
</paymentCurrency>
<dividendFxTriggerDate>
<dividendDateReference>ExDate</dividendDateReference>
</dividendFxTriggerDate>
</dividendConditions>
</return>
<notionalAdjustments>Standard</notionalAdjustments>
<fxFeature>
<referenceCurrency id="ReferenceCurrency">USD</referenceCurrency>
<crossCurrency/>
</fxFeature>
</equityLeg>
<interestLeg legIdentifier="FI__CFD123456789">
<payerPartyReference href="CROSS" />
<receiverPartyReference href="PRIMARY" />
<interestLegCalculationPeriodDates id="InterestLegPeriodDates-1">
<effectiveDate>
<adjustableDate>
<unadjustedDate>2009-10-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate>
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<interestLegResetDates>
<calculationPeriodDatesReference href="InterestLegPeriodDates-1" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
</interestLegResetDates>
<interestLegPaymentDates>
<adjustableDates>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>ZA-JNBE</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDates>
</interestLegPaymentDates>
</interestLegCalculationPeriodDates>
<notional>
<notionalAmount>
<currency>USD</currency>
<amount>3840000.000000</amount>
</notionalAmount>
</notional>
<interestAmount>
<paymentCurrency>
<currency>USD</currency>
</paymentCurrency>
<referenceAmount>ISDA Standard</referenceAmount>
</interestAmount>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>125.0</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
</interestLeg>
</equitySwap>
<documentation>
<masterAgreement>
<masterAgreementType>ISDA</masterAgreementType>
</masterAgreement>
</documentation>
</trade>
<party id="PRIMARY">
<partyId>0987654321</partyId>
</party>
<party id="CROSS">
<partyId>1234567890</partyId>
</party>
</FpML>