FpML-IM-Custodian Technical Teleconference 2010-02-24 minutes

["Iida, Lucio" <Lucio.Iida@xxxxxxxxxxxxx>]

The WG held a technical conference call on Wed Feb-24 at 12pm Eastern.

Attendees
Marc Gratacos - ISDA
Irina Yermakova - ISDA
Marie-Paule Dumont - SWIFT
Jeff Souza - SSC
Mark Reuter - SSC
Christina MacDonald - BBH
Lucio Iida - BlackRock

Agenda
*	Feedback from WG on swaption and CFD samples
	*** Mike Dever indicated by email to Marc the CFD sample is good
for margin CFDs.  Lucio will follow up with Mike on the fully-funded CFD
attributes to create a sample message. 
	*** The CFD sample is a DataDocument type with a <trade> event.
An equivalent 4.2 ContractCreated sample could not be created because an
@id attribute on contractDate is needed to define the effective start
date of the dividend period.
	*** NOTE - A little research after the conf call revealed FpML
4.6 has a contractDate/@id.
*	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
	*** ISDA is asking for feedback.
	*** Differences with FpML 4.x that are especially relevant to
this WG:
		o We should use the 5.0 confirmation view for product
structure schema validation.  In the reporting view almost all
elements/attributes are optional.
		o The <FpML> root element of the messages has been
replaced with process-specific root elements.  There is a new consistent
message framework for all processes supported by FpML. 
		o The 4.x contract notifications are replaced with
<executionAdvice> and <executionAdviceRetracted> messages. 
		o The event type is defined by the presence of child
element <trade>, <novation>, <increase>, <amendment>, <termination>. 
		o The 4.x conversationId has been replaced with
correlationId. 
		o Message corrections are indicated with a "true" value
in <isCorrection>, a new required boolean element. 
		o The optional element <onBehalfOf> enables the receiver
to identify which party and account the sender is representing in the
message.
		o The <account> element has been moved outside of
<party>.  They are now sibling elements. 
		o The CDS structure has larger changes.  The
protectionTerms->creditEvents structure now has optional boolean
elements to specify the credit events of the contract.
		o Other product structures have been modified slightly.
e.g. dates now have a consistent structure.
		o Irina has created many <executionAdvice> message
samples with embedded annotations indicating where 4.x to 5.0 changes
have occurred.  We are planning to go over these in a separate
presentation session.
	*** New FX and Loan product structures are planned for 5.1.
FpML 5.0 release is planned for mid-year. 
	*** Marie-Paule indicated a business case would be needed for
FpML 5.0 in the SWIFT Derivatives service.  The community should express
the need in advance.
	*** Marc indicated the FpML Modeling Task Force (MTF) which
modeled 5.0 has been a closed group so far.  An open WG is needed to
support its implementation.  The FpML Standards Committee is debating
whether to create a new WG or restart the BP WG.  A call for
participation will be issued once the outcome is known.
*	AOB
	*** None
*	Next call in 5 weeks, on Mar-31 noon Eastern.

Please review this and let me know if corrections/additions are needed.

Thanks,
Lucio Iida
VP
BlackRock
Tel +1 415 670 2288
lucio.iida@xxxxxxxxxxxxx


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