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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 The Goldman Sachs Group, Inc. All rights reserved. See http://www.gs.com/disclaimer/global_email
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us by reply message and we will send the contents to you. From: owner-colwg@xxxxxxxx
[mailto:owner-colwg@xxxxxxxx] On Behalf Of Lyteck Lynhiavu Please
find the minutes for today’s call. Thank you for your participation. Participants -
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) Apologies -
Vinod Jain (Headstrong) -
Richard Barton (algorithmics) Notes -
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
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