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RE: FPML-CWG Collateral WG Meeting Minutes - Apr 28, 2010



Hi Richard,
 
I can't join the call tomorrow, please advise if there are any update.
 
Thanks
 
Sam


From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of richard.barton@xxxxxxxxxxxxxxxx
Sent: Wednesday, May 05, 2010 9:04 AM
To: colwg@xxxxxxxx
Subject: FPML-CWG Collateral WG Meeting Minutes - Apr 28, 2010

Please find the minutes from the April 28 meeting.   Please let me know if any points missed.   

 

Participants

1.       Charles Miller (JP Morgan)

2.       Harry McAllister (BNP Paribas)

3.       Kaizad Bhathena (Globeop)

4.       Lucio Lida (Black Rock)

5.       Lyteck Lynhiavu (ISDA)

6.       Marc Gratacos (ISDA)

7.       Mike Rouse (BNP Paribas)

8.       Nicole Joliffe (Swift)

9.       Richard Barton (Algorithmics)

10.   Sammy Lee (Globeop)

11.   Simone Milani-Foglia (LCH Clearnet)

12.   Vivian Wu (Goldman Sachs)

 

Apologies

None

 

Notes

 

In this meeting we went through the formation of the FpML syntax for the MC1 message.  This included definition of MtM and Total Upfront Margin.  For Total Upfront Margin 3 FpML type syntax messages were presented and discussed.  Sammy walked us through some further examples of Margin Calls he had collected that showed a call related to a Long Netting Agreement which had Independent Amount values for Trade, NOP and Rules of the Road and a call where the Independent Amount was netted before threshold.  We also looked at two examples of where Independent Amount is Netted after Threshold.  We also started to discuss the Collateral Proposal (MC3a,c MC6) message.

 

 

MC1

à We discussed the MtM FpML syntax example and there was a preference to represent this by presenting in each element explicitly who the exposed party was and who was the obligated party, previously only the exposed party was referenced.  – Changed in latest word document

à 3 Independent Amount potential models were presented.  Of the three the group had a preference for the more granular definition that allowed for the definition of multiple independent amount values and types.  A preference was made to not have a type within the element but to incorporate in the name of the element i.e. IndependentAmountVaR vs. Independent Amount type= VaR.  We discussed the potential types and whether there was a way to support extendable type definitions.  The preference was to err towards explicit types – Changed in latest word document

à In the discussion of the support for the IndependentAmountConvention we discussed whether this should be within separate from each IndependentAmount type i.e. one overall treatment or within the definition of each type.  It was noted that by putting it within types then it would allow for scenarios where there is IA applied against MTM and Segregated.  Also we discussed the example provided by one of the organisations where Independent Amount is netted against variation margin but applied after the threshold.  It was noted that although less common these types of agreements do exist and could be supported easily by extending the Netted option in the element IndependentAmountConvention to be Netted Before Threshold and Netted After Threshold – Changed in latest word document

à Harry raised concern of using the Payer/Receiver reference for Independent Amount and thought that this should not reuse the existing FpML definition as this is used for actual payments.  It was suggested to not reuse this component but to create something explicit for this instance – a couple of alternative have been added to the latest word document for the group to review

 

MC3a,c, MC6

à We briefly walked through the Collateral Proposal and agreed to look at it in more detail in the next meeting when the participants have had additional time to review it.

 

Action Items

à Group to send examples of margin call notices that could be used to evaluate the suggested message formats

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

à Send out update of the MC1 FpML draft with revisions for MTM and Total Upfront Margin

 

Next Meeting

à The goal is to finalise Independent Amount options and continue discussion of the Collateral Proposal

à Need to get volunteers to review existing descriptions and provide descriptions for each missing message element

à Discussion points from joint coordination meeting between FIX, FpML, Swift for comment back to that group

·         Use of SSIs in Collateral Proposal

·         Definition of Security Identifiers

à Timelines for deliverables of messages

à Wednesday 5h May 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 for MC1 (Margin Call Request), MC3a,b,MC5,MC6 (Margin Call Proposal) and starting point for Collateral Proposal (MC3a,c, MC6), Collateral Proposal Response (MC7, 8, 9, 10)

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

à Initial review of Collateral Proposal (MC3a,c, MC6) including research done on FpML existing syntax (Collateral Proposal FpML Syntax.doc) that could be considered

à Consolidated spreadsheet with the examples of Margin Calls received to date

 

 

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