Please find the minutes from the March 17
meeting. Please let me know if any points missed.
Participants
1.
John Straley (DTCC)
2.
Anil Panchal (GlobeOp)
3.
Kaizad Bhathena
(GlobeOp)
4.
Charles Miller
(JPMorgan)
5.
Tom Brown (OMGEO)
6.
Wayne Forsythe (State
Street)
7.
Nicole Jolliffe
(Swift)
8.
Irina Yermakova (ISDA)
9.
Lyteck Lynhiavu (ISDA)
10.
Richard Barton
(Algorithmics)
Apologies
1.
Harry McAllister
(BNPP)
Notes
Margin Call Response Proposal (MC3/5/6)
à Richard walked the group through the Margin Call Response
draft data elements that showed how the proposal could be implemented to reduce
the number of messages and simplify the process of responding to a Margin Call
Request
à The group began the discussion of evaluating each data
element in detail.
à The use of Convenience and Segregated to represent the
requirements was discussed and it was suggested to use the term Netted rather
than Convenience.
à The group identified the potential for including data
elements for Portfolio Margin and Exchange Margin in addition to Independent
Amount.
à We discussed the definition and similarity between
Independent Amount and Initial Margin. It was suggested that Independent
Amount be differentiated by defining whether it is applied before or after the
Threshold and that this may be sufficient to represent the different usages of
the term. Richard noted that in Algo Collateral, as an example of a Vendor
Collateral Solution, there is the ability to define both Initial Margin and
Independent Amount. Independent Amount in this scenario is applied before the
Threshold as an exposure add on. Initial Margin is applied after the Threshold
and can be either treated as segregated or netted with Variation Margin
requirements.
à The group discussed the level of granularity required in
the calculation details. It was noted that a balance between simplicity and
details that aid comparison would be important. We discussed how simplicity
could be achieved by each users collateral systems in terms of how each message
is rendered based on organisations preferred views. The level of granularity
in the message should therefore reflect enough information to support system to
system level communication. This will enable systems to be able to identify
differences in calculation details and expedite the dispute identification.
à Noted that as we expand the definition of the Margin
Details on the Margin Call Response we will need to reflect these changes in
the Margin Call Request. An example will be distributed to reflect these
changes
à Goal of upcoming meetings to further discuss the data
elements of the Margin Call Response and look at the Collateral Proposal
Action Items
1.
Richard to send options
for alternative representations of Exchange Margin, Independent Amount and
Portfolio Margin
2.
Richard to send draft
of Collateral Proposal for review
Question for the Group
1.
Are there any
scenarios where Independent Amount would be defined before and after the
Threshold now or potentially in the future?
Next Meeting – Wednesday March 31, 2010 @ 10am NY / 3pm London time
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