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FPML-CWG RE: Collateral WG Meeting Minutes - February 24, 2010

Hi Lyteck,


Eugene and I would like to have a quick discussion with you. Do you have a number for us to call? Kindly let us know.


Thank you


Vivian Wu                          Goldman
Vice President
Derivative Operations        Sachs
Goldman, Sachs & Co.
30 Hudson Street, Jersey City, NJ 07302
Tel:  917-343-0747 | Fax: 212-428-4775

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From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of Lyteck Lynhiavu
Sent: Wednesday, February 24, 2010 3:44 PM
To: colwg@xxxxxxxx
Subject: FPML-CWG Collateral WG Meeting Minutes - February 24, 2010


Please find the minutes for today’s call. Thank you for your participation.



-          Kaizad Bhathena (GlobeOp)

-          Sammy Lee (GlobeOp)

-          Anil Panchal (GlobeOp)

-          Vivian Wu (Goldman Sachs)

-          Charles Miller (JPMorgan)

-          Harry McAllister (BNP Paribas)

-          Wayne Forsythe (State Street)

-          Tom Brown (OMGEO)

-          Lucio Iida  (Blackrock)

-          Marc Gratacos (ISDA)

-          Irina Yermakova (ISDA)

-          Lyteck Lynhiavu (ISDA)



-          Vinod Jain (Headstrong)

-          Richard Barton (algorithmics)



-          MC5 / MC6 (dispute)

·         The group agreed in principle on the need of a mechanism in the message that will convey why a margin call is being disputed and what is disputed, but the group couldn’t agree on which mechanism(s)

1.       use a free-form comment field and/or

2.       use high-level reason code(s) and/or

3.       return disputed field values (e.g., TotalMTM, as outlined in the business specs pdf p.24)

The group ultimately agreed to allow a combination of all of the above for maximum flexibility (the free-form comments field and reason codes will be optional)

·         The group discussed the list of high-level reason codes that Peter/Wayne/Harry circulated à Action item 2

-          What happens after MC12/MC13 (request portfolio)? Closing the process loop

·         Kaizad raised the concern that after the MC12/MC13 exchange, there is no provision in the PDF specs to loop the result of the portfolio reconciliation back to the margin call <please correct if needed>

·         The Dispute Resolution Process is outside the scope of the collateral messages, but from an implementation perspective, we may need a new message or fields (TBD) to tie the result back to the original margin call request à Action item 3

1.       The FpML <correlationId> mechanism will be used to correlate related messages

2.       One suggestion was to simply rescind the original call (MC2) and resend a new margin call (MC1)

3.       It was also suggested that perhaps MC12/MC13 should be integrated with MC5/MC6, earlier in the process. We should be careful however, to design messages that can be used by service providers & matching services



Action Items

1.       à Richard to circulate an example of margin call response that could model acceptance/full dispute/partial dispute (MC3/MC5/MC6) with a single message (deferred from 2/17 meeting)

2.       à ISDA will consolidate the list of generic reason codes based on everyone’s input

3.       à Everyone to think how the result of the dispute resolution process can be tied back to the margin call, if at all



Next Meeting – Wednesday March 3, 2010 @ 10am NY / 3pm London time

Draft Agenda:

-          Review margin call response example from Richard (à action item 1)

-          MC5/MC6 Dispute Reasons: review consolidated list (à action item 2)

-          Closing the process loop (à action item 3)

-          Continue reviewing data fields for MC7..MC13

-          AOB


Dial-in details and materials will follow early next week.


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