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FpML-IM-Custodian Technical Teleconference 2010-04-21 minutes
WG,
A technical conf call was held on Wed Apr-21 noon Eastern.
Attendees:
Mark Reuter - SSC
Marc Gratacos - ISDA
Christian Unger - BBH
Lucio Iida - BlackRock
Regrets:
Christina MacDonald - BBH
Irina Yermakova - ISDA
Marie-Paule Dumont - SWIFT
Agenda and minutes follow. Please send your feedback on these topics.
* Review of CFD samples attached in the invite.
*** The samples are first drafts. *** Any other data needed?
1) CFD on an equity.
2) CFD on an index.
3) Fully-funded CFD on an equity.
*** Mark R passed a question from a colleague about
representation of daily calculations in FpML. Mark and Lucio will
follow up and share.
*** Marc G asked how we would distinguish between TRS and CFD.
<productType> seems to be the only available field, but there are no
standard values at this level.
Marc indicated a new optional field could be added.
* Swaption contract notifications
* "Put" and "Call" convention
*** Formally, swaptions do not not have a put/call term,
but some downstream systems need to classify them as such. The proposed
(de-facto?) convention is below.
"Put" swaption - gives buyer the right to enter into
an IRS as the fixed-receiver.
"Call" swaption - gives buyer the right to enter into
an IRS as the fixed-payer.
*** Note that <swaptionStraddle> already indicates whether
the buyer can also choose the IRS leg (fixed or floating) at exercise
time.
* Notional in life-cycle events
*** Lucio asked for viewpoints on the correct message types
to use on a swaption life-cycle events.
For example, for a partial term, implementation
options might be:
1) ContractPartialTermination - The option and
underlyer terms are viewed as a whole. Notional is just one of the
terms.
2) ContractAmended - The notional is viewed as one
of the terms of the exercisable underlyer, not of the option contract.
3) ContractTermination plus ContractCreated - They
are viewed/treated as distinct contracts.
*** Marc preferred option 1, Lucio agreed (eventually).
Option 1 is more descriptive of the event type and is probably more
aligned with current implementations.
Likewise, ContractIncreased and ContractNovated are
preferable.
* The FpML FX WG has been relaunched to update and extend product
coverage (e.g. Range Accrual options and Dual Currency Deposits).
*** See FpML website if you are interested.
*** See attached Irina's update on the recent FpML releases.
<<RE: FpML-IM-Custodian Technical Teleconference 2010-04-21>>
* FpML 5.0 LCWD release.
* FpML 4.8 WD 1 release.
* FpML 4.7 Rec build 6 release.
*** Also note that the Interval type has been replaced with two
types: Period (values D,W,M,Y) and Frequency (values D,W,M,Y,T).
This effectively removes the enumeration T where it is not
applicable, as in CDS paymentFrequency.
* AOB
*** None
* Next meeting: May 19 noon Eastern.
Thanks,
Lucio Iida
VP
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 ---
Hello Lucio,
Apologies for the meeting - I will be traveling on business.
Although Marc might be on the call, here are some updates:
- 5.0 LCWD - public, was released on March 30. The changes include:
in Business Processes-
documentation updates for Confirmation, Allocations, and Clearing processes;
in Cross-Asset- corrected some mistakes: removed the party elements specific for reporting from the confirmation view and added to the partyName and accountName elements new scheme attribute to provide the source of the data;
in All areas: Dependency issues within the subschema files have been solved and all examples and documentation has been updated.
- 4.7 REC 2 - public, was released on March 19. The rationale for re-releasing REC: The revision has been approved by the Standards Committee on March 08, 2010 to fully support EU (Client) Index Swaps in version 4.7. (Within "InterpolationPeriodEnum" simple type, added "Final" and "AnyPeriod" values)
- 4.8 WD 1 - will be published at the end of this or the beginning of the next week. The changes include: Physically-Settled Commodity Options and on Equity side - Pan-Asia Interdealer Index Swaps
Best Regards,
Irina
-----Original Message-----
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Iida, Lucio
Sent: Monday, April 19, 2010 9:58 PM
To: im-custodian@xxxxxxxx
Subject: FpML-IM-Custodian Technical Teleconference 2010-04-21
WG,
A technical call is scheduled for Wed Apr-21 at 12pm Eastern. Call number details:
US: 888 481 3032
Non US: 617 801 9600
Code: 28413758
Proposed Agenda
* Review of CFD samples (see attached)
<<cfd_contract_created_sample.xml>>
<<index_cfd_contract_created_sample.xml>>
<<fully_funded_cfd_contract_created_sample.xml>>
* Swaption contract notifications
* "Put" and "Call" convention
* Notional in life-cycle events
* FpML FX WG relaunched to update and extend coverage with, for
example, Range Accrual options and Dual Currency Deposits.
* FpML 5.0 LCWD release
* FpML 4.7 Rec build 6 release
Please let me know if you have any agenda items to add.
Thanks,
Lucio Iida
VP
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.
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 ---