Please find the minutes from the March 17 meeting. Please let me know if any points missed.
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)
1. Harry McAllister (BNPP)
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
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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