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FPML-CWG Collateral WG Meeting Minutes - March 03, 2010

Please find the minutes from the 3/03 meeting.



-        Richard Barton (algorithmics)

-        Anil Panchal (GlobeOp)

-        Sammy Lee (GlobeOp)

-        Vivian Wu (Goldman Sachs)

-        Charles Miller (JPMorgan)

-        Peter Walsh (State Street)

-        Nicole Jolliffe (Swift)

-        Ronak Shah (Citadel)

-        Tom Brown (OMGEO)

-        Lucio Iida  (Blackrock)

-        Karel Engelen (ISDA)

-        Marc Gratacos (ISDA)

-        Irina Yermakova (ISDA)

-        Lyteck Lynhiavu (ISDA)



-        Harry McAllister (BNP Paribas)

-        Kaizad Bhathena (GlobeOp)



Commitment Letter Update

-        Karel Engelen gave an update on the latest commitments made by the OTC derivatives industry to regulators.

-        http://www.ny.frb.org/newsevents/news/markets/2010/ma100301.html (Press Release)

-        http://www.ny.frb.org/newsevents/news/markets/2010/100301_letter.pdf (March 1 Letter to the regulators)

·        There are 5 areas of commitments (transparency, central clearing, standardization, bilateral collateralization, infrastructure)

·        Annex E (pages 14-15) outlines the collateral commitments

-        Roadmap à Action item # 1

-        Portfolio Reconciliation

-        Dispute Resolution

-        http://www.ny.frb.org/newsevents/news/markets/2010/100301_table.pdf (March 1 commitment summary table)

·        Page 12 outlines the collateral commitments, status and timetable (including prior commitments made in the first June 2009 letter)

-        Electronic messaging is not included as a specific commitment made to the regulators. However, one of the 5 areas of commitment is around “electronification” and the industry will have to define a more detailed timetable.


Margin Call Response Proposal (MC3/5/6)

-        Richard discussed the proposal he sent 2/25 which aims at reducing the number of messages and simplifying the process. Emphasis would be on the message content as opposed to the system/UI/rendition.

-        Richard will expand his Excel proposal with examples for MC3/5/6 à Action item # 2


Dispute Resolution/Portfolio Reconciliation (Beyond MC12/13)

-        The ISDA document starts to get in the dispute process but didn't want to venture too far in the dispute process itself. Additional work may be required. Richard noted any additional message that we define would have to support multiple scenarios (internal reconciliation, bilateral reconciliation services (agree to a reconciliation service))


Accept Notification of Collateral/Reject/Counter proposal (MC7/8/9/10)

-        Richard believes these messages can also be consolidated. He will distribute examples of Accepting/Rejecting Collateral messages à Action item # 3

-        The group had discussions around the rejection and counter proposal processes.


Action Items

1.      à ISDA to invite speakers that will give an overview on the ISDA Independent Amount Whitepaper and the ISDA Market Review of OTC Derivative Bilateral Collateralization Practices

2.      à Richard to expand Margin Call Response proposal to include examples of MC3/MC5/MC6

3.      à Richard to distribute examples of  Accepting/Rejecting Collateral (MC7/8/9/10)



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

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