RE: FPML-CWG Collateral WG Meeting Minutes

Please find the minutes from the April 21 meeting. Please let me know if any points missed.

Participants

1. Anil Panchal (Globeop)

2. Charles Miller (JP Morgan)

3. Ellie Wardley (Bank of America Merrill Lynch)

4. Harry McAllister (BNP Paribas)

5. Jesse Nolan (UBS)

6. Kaizad Bhathena (Globeop)

7. Lucio Lida (Black Rock)

8. Marc Gratacos (ISDA)

9. Nicole Joliffe (Swift)

10. Richard Barton (Algorithmics)

11. Sammy Lee (Globeop)

12. Simone Milani-Foglia (LCH Clearnet)

13. Vivian Wu (Goldman Sachs)

14. Wayne Forsythe (State Street)

Apologies

1. Chetan Joshi (Bank of America Merrill Lynch)

2. Lyteck Lynhiavu (ISDA)

Notes

The meeting covered the MC1 Message and MC3a,b, MC5, MC6 . We further discussed options for Total Upfront Margin and went through the construction of the Margin Call Response which follows the receipt of the MC1 Margin Call Request. Kaizad presented four examples of margin calls which we discussed in relation to the proposed MC1 message. These covered calls with Segregated Independent Amount and Variation Margin, Margin Recall, Margin Call with both VaR and Initial Margin elements and finally one with Netted Independent Amount.

MC1

à We discussed the comments from the previous meeting about usage of terms Independent Amount. We discussed whether more granular breakdown definitions i.e. VaR vs Portfolio Margin could be used. Takeaway was to come back with a couple of suggestions on how to represent this one being straight Independent Amount, being a summation of all IA values for the agreement i.e. trade level and agreement level the other being a more flexible and granular definition where it would be possible to specify IA amounts with a type or description. The sum of these values would equate to the equivalent of the Total Upfront Margin in the original ISDA requirements. An draft example is attached based on FpML type syntax.

à A question was raised as to whether there was support for margin terms such as MTA and Rounding that would relate to segregated IA this was confirmed to be in the MC1 proposal and illustrated within the Segregated Independent Amount Margin Terms section

à Discussed the Requested Collateral Type and suggested a way of expanding this definition so that you could request more than one type of collateral. We discussed whether this should be free format or a combination of types and descriptions. We discussed whether there would be a common set of types that could be referenced.

MC3a,b,MC5, MC6

à We discussed the Margin Call Response utilizing the Margin Call Detail syntax developed in MC1.

à A question was brought up about showing the Valuation Date in the response so that you could reflect dispute based on not seeing the call as being valid for the current day

à We also discussed calls being received after the notification time and whether these are treated as being invalid calls and handled in the next day’s calculation or still valid for the current day.

Action Items

à Group to send examples of margin call notices that could be used to evaluate the suggested message formats (Additional example received from Globeop and BNPP)

à Need to update the descriptions/definitions of each message element (looking for assistance)

à Send out example of the Collateral Proposal

Next Meeting

à The goal is to discuss Independent Amount options and start to discuss the Collateral Proposal

à Wednesday 28^th April 10am ET/3pm BST

Dial in Details:

US Dial-in: 888-481-3032

UK Toll Free: 0800 904 7961

International Dial-in: 617-801-9600

Passcode: 8682747

Attachments

à Working spreadsheet based on feedback to date for MC1 (Margin Call Request), MC3a,b,MC5,MC6 (Margin Call Proposal) and starting point for Collateral Proposal (MC3a,c MC6)

à Example of working draft of conversion of spreadsheet to FpML syntax showing upfront margin options for discussion. Please note this is currently non-valid fpML syntax and is to illustrate the concepts only

The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.

This email and any files transmitted with it are confidential and proprietary to Algorithmics Incorporated and its affiliates ("Algorithmics"). If received in error, use is prohibited. Please destroy, and notify sender. Sender does not waive confidentiality or privilege. Internet communications cannot be guaranteed to be timely, secure, error or virus-free. Algorithmics does not accept liability for any errors or omissions. Any commitment intended to bind Algorithmics must be reduced to writing and signed by an authorized signatory.

RE: FPML-CWG Collateral WG Meeting Minutes - Apr 21, 2010