Please find the minutes from the April 7 meeting. Please let me know if
any points missed.
Participants
1.
Anil Panchal (Globeop)
2.
Charles Miller
(JPMorgan)
3.
Harry McAllister (BNP
Paribas)
4.
Irina Yermakova (ISDA)
5.
Jesse Nolan (UBS)
6.
John Straley (DTCC)
7.
Kaizad Bhathena
(Globeop)
8.
Nicole Jolliffe
(Swift)
9.
Richard Barton
(Algorithmics)
10.
Sammy Lee (Globeop)
11.
Simone Milani-Foglia
(LCH Clearnet)
12.
Vivian Wu (Goldman
Sachs)
Apologies
1.
Lyteck Lynhiavu
(SWIFT)
2.
Marc Gratacos (SWIFT)
Notes
Logistics
à Irina presented the draft roadmap for FpML 5.1
à This release is scheduled for Dec 2010 and the intention is
to include Collateral Messaging into this standard
à The first working draft of FpML is due in May, second draft
July, Last Call Aug. Therefore there is a lot of work to do to be able to meet
these timelines
MC1
à We went back to MC1 and using the SWIFT Margin Call Request
example started to compare this to the original Messaging Working Group
requirements using the mapping definition provided
à During the meeting we discussed the up to and
including the totalUpfrontMargin.
à The following changes were recommended and
comments made by the group
·
TotalMarkToMarket
split to ExposedAmountPartyA, ExposedAmountPartyB and Exposure Convention. The
split provides a differentiation as to who the exposed party was and complies
with FpML approach to avoid ambiguity and avoid use of +/- signage. Exposure
Convention is to support Gross treatment of Mark to Market. The group saw this
as a nice to have feature and there was a question as to whether we should or should
not support standard agreements terms. This generated a question as to what
was deemed standard. It was suggested that the standard should be able to
support a wide range of margin call types but that the more standard
representations should be simple to implement and use so as not to impede
takeup.
·
Remove IndependentAmountConvention
·
Change InitialMargin
to PortfolioMargin. This was to differentiate Independent Amount from
Portfolio Level Margin requirement like VaR. This recommendation is to simplify
and dispute resolution.
·
Remove InitialMarginConvention
Action Items
à Group to send examples of margin call notices
that could be used to evaluate the suggested message formats
à Group to review the remainder of the suggested
setup and provide input for next meeting
Next Meeting
à The goal is to continue through the MC1
message so that we can then tackle the rest of the margin call messages
à Wednesday 14th April 10am ET/3pm
BST
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