Thanks & Regards
Anil Panchal
Phone : (91-22) -
40948635
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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