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FPML-CWG Collateral WG Meeting Minutes - Apr 7, 2010



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

 

Attachments

None


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