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FPML-CWG Collateral WG Meeting: Wed 24 February 2010



We’ll meet tomorrow Wednesday as usual. Additional materials will follow separately.

 

Wednesday February 24, 2010 @ 10am NY / 3pm London time (1h30)

 

Dial in Details:

      US Dial-in:             888-481-3032

      UK Toll Free:           0800 904 7961

      International Dial-in:  617-801-9600

      Passcode:               8682747

 

Agenda:

-    Review MC3 examples from Richard (accept call & propose collateral) (PDF p.18-19)

-    Continue discussion on MC5 (full dispute) & MC6 (partial dispute) (p.22-24)

o   Review draft list of Dispute Reasons (attached email)

-    We’ll continue the review of other messages that complete the Margin Call Process picture:

o   MC5 (full dispute) > MC11 (acknowledge dispute) > MC12 (request portfolio) > MC13 (Portfolio sent) (p.31-32)

o   MC6 (partial dispute) > Undisputed Amount > MC7 > MC8 > MC9 > MC10 (accept/reject/counter propose collateral) (p.25-30)

è Please come prepared  and review the data elements for these messages beforehand

 

Thanks, Lyteck

 

(Ref: http://www.isda.org/c_and_a/pdf/Electronic-Messaging.pdf)



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.

Attachment: electronic-messaging-pdf_MarginCallProcess.jpg
Description: electronic-messaging-pdf_MarginCallProcess.jpg

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Peter put together an initial list of dispute reasons for MC5 and MC6. Please review. We’ll discuss tomorrow.

 

From: Walsh, Peter R [mailto:PRWalsh@xxxxxxxxxxxxxxx]
Sent: Monday, February 22, 2010 10:14 AM
To: Lyteck Lynhiavu; harry.mcallister@xxxxxxxxxxxxxxxxx
Cc: Forsythe, James
Subject: RE: Collateral WG action item: list of dispute reason codes

 

Hello Lyteck,

 

We discussed the dispute reasons internally and agreed to limit the initial dispute reasons to maximize the automation of them into our respective collateral management platforms.  I do not see a need for two lists as we all agreed the resolution of the disputes fall outside of these messages

 

Below is a proposed short list of initial (high level) dispute reasons;

 

  • Initial Margin (IM) /Independent Amount (IA) discrepancy
  • MTM Discrepancy
  • Collateral Balance Discrepancy
  • Agreement parameter discrepancy
    • MTA
    • Threshold
    • Rounding Logic
  • Agreement Not Active

 

 

Peter Walsh • Vice President• State Street Corporation
1776 Heritage Drive, Adams 2NE, North Quincy, MA 02171 T :( 617) 985-2124 F: (617) 769 - 6848 E: prwalsh@xxxxxxxxxxxxxxx

The
information contained in this email and any attachments have been classified as limited access and/or privileged State Street information/communication and are intended solely for the use of the named addressee(s).  If you are not an intended recipient or a person responsible for delivery to an intended recipient, please notify the author and destroy this email.  Any unauthorized copying, disclosure, retention or distribution of the material in this email is strictly forbidden. - Thank you.


From: Lyteck Lynhiavu [mailto:LLynhiavu@xxxxxxxx]
Sent: Monday, February 22, 2010 10:00 AM
To: Walsh, Peter R; harry.mcallister@xxxxxxxxxxxxxxxxx
Subject: Collateral WG action item: list of dispute reason codes

 

Peter, Harry:

 

At the last meeting the group discussed using a combination of free-form comment field and/or reason code(s) to capture the reason why a margin call is being disputed.

 

I have you down for an action item to put together a draft list of generic reason codes for the MC5 (Full Dispute) & MC6 (Partial Dispute) messages; one or more standard reason codes would be used in these messages. (Do you foresee the need for 2 lists/schemes for full and partial disputes?)

 

You may reply to me (I can bundle your input) or directly to the group; it could be presented to the group on Wednesday.

 

Thanks, Lyteck



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 ---