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FpML-IM-Custodian Technical Teleconference 2010-02-25

To: <im-custodian@xxxxxxxx>
Subject: FpML-IM-Custodian Technical Teleconference 2010-02-25
From: "Iida, Lucio" <Lucio.Iida@xxxxxxxxxxxxx>
Date: Mon, 22 Feb 2010 18:57:29 -0800
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Thread-topic: FpML-IM-Custodian Technical Teleconference 2010-02-25

WG members,

A technical call is scheduled for Wed Feb-25 at 12pm Eastern. Call number details:

US: 888 481 3032

Non US: 617 801 9600

Code: 28413758

Proposed agenda:

Feedback from WG on swaption and CFD samples (attached).

FpML 5.0 Working Draft 4 presentation of Feb-4.

Presentation link http://www.fpml.org/documents/FpML%20Version%205%20WD%204%20Changes.ppt
Audio link http://www.fpml.org/documents/FpML-Version-5-WD-4-Changes-20100204.mp3
Differences with FpML 4.x that are especially relevant to this WG.

AOB

Please forward other topics for the agenda.

Thanks,

Lucio Iida
Vice President
BlackRock
Tel +1 415 670 2288
lucio.iida@xxxxxxxxxxxxx

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    == A copy of this license is available at http://www.fpml.org/license/license.html
-->
<FpML xmlns="http://www.fpml.org/2009/FpML-4-7"; xmlns:fpml="http://www.fpml.org/2009/FpML-4-7"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; version="4-7" xsi:type="DataDocument" xsi:schemaLocation="http://www.fpml.org/2009/FpML-4-7 ../../schema/fpml-main.xsd http://www.w3.org/2000/09/xmldsig# ../../schema/xmldsig-core-schema.xsd">
      <trade>
         <tradeHeader>
            <partyTradeIdentifier>
               <partyReference href="PRIMARY" />
               <tradeId tradeIdScheme="http://www.primarybank.com/trade-id";>CFD123456789</tradeId>
            </partyTradeIdentifier>
            <partyTradeIdentifier>
               <partyReference href="CROSS" />
               <tradeId tradeIdScheme="http://www.crossbank.com/tradeId";>CFD123456789</tradeId>
            </partyTradeIdentifier>
            <tradeDate id="TradeDate__CFD123456789">2009-09-30</tradeDate>
         </tradeHeader>
         <equitySwap>
            <productType productTypeScheme="http://www.primarybank.com/productType";>EQCFD</productType>
            <equityLeg legIdentifier="EQ__CFD123456789">
               <payerPartyReference href="PRIMARY" />
               <receiverPartyReference href="CROSS" />
               <effectiveDate id="EffectiveDate__CFD123456789">
                  <adjustableDate>
                     <unadjustedDate>2009-10-07</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>NotApplicable</businessDayConvention>
                     </dateAdjustments>
                  </adjustableDate>
               </effectiveDate>
               <terminationDate id="TerminationDate__CFD123456789">
                  <adjustableDate>
                     <unadjustedDate>2019-10-01</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>NotApplicable</businessDayConvention>
                     </dateAdjustments>
                  </adjustableDate>
               </terminationDate>
               <underlyer>
                  <singleUnderlyer>
                     <equity>
                        <instrumentId instrumentIdScheme="RIC">XYZ.N</instrumentId>
                        <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>

References:
- FpML-IM-Custodian Technical Teleconference 2009-06-03
  - From: Iida, Lucio BGI SF
- FpML-IM-Custodian Technical Teleconference 2009-06-17
  - From: Iida, Lucio BGI SF
- FpML-IM-Custodian Technical Teleconference 2009-08-23
  - From: Iida, Lucio BGI SF
- FpML-IM-Custodian Technical Teleconference 2009-09-23
  - From: Iida, Lucio BGI SF
- FpML-IM-Custodian Technical Teleconference 2009-10-21
  - From: Iida, Lucio BGI SF
- FpML-IM-Custodian Technical Teleconference 2010-01-27
  - From: Iida, Lucio

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