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



Hi Vivian, Eugene, I left the office early today, but I should be back in the office tomorrow morning 212-901-6010 provided there's no snow storm in new York otherwise my cell 212-913-0400... feel free to call anytime... Thanks, Lyteck
________________________________________
From: owner-colwg@xxxxxxxx [owner-colwg@xxxxxxxx] On Behalf Of Wu, Vivian [vivian.wu@xxxxxx]
Sent: Wednesday, February 24, 2010 4:36 PM
To: colwg@xxxxxxxx
Cc: Sirota, Yevgeny (Eugene)
Subject: 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
vivian.wu@xxxxxx
The Goldman Sachs Group, Inc. All rights reserved.
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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.

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

3.       --> 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 (--> action item 1)

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

-          Closing the process loop (--> 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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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.

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