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Sorry Richard, I would be unable to attend today’s
meeting due to clashing client meeting Thanks Kaizad Bhathena Phone : (91-22) - 40948636 From:
owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of richard.barton@xxxxxxxxxxxxxxxx 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 ( 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
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