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