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FPML-CWG Collateral WG Meeting Minutes - May 12, 2010



 

Please find the minutes from the May 12 meeting.   Please let me know if any points missed.   

 

Participants 

  1.  Charles Miller (JP Morgan)
  2. Harry McAllister (BNP Paribas)
  3. Irina Yermakova (ISDA)
  4. Jesse Nolan (UBS)
  5. Lucio Lida (Black Rock)
  6.  Marc Gratacos (ISDA)
  7. Richard Barton (Algorithmics)
  8. Robert Cardell (Metlife)
  9. Simone Milani-Foglia (LCH Clearnet)

Apologies

1.       Lyteck Lynhiavu (ISDA)

2.       Nicole Joliffe (Swift)

3.       Vivian Wu (Goldman Sachs) 

Notes

 

In this meeting we completed going through the MC1 message.  This included reviewing the remaining pieces of the MC1 message Margin Terms, Collateral, Margin Requirements, Margin Results and Expected Collateral.

 

We agreed on the terminology for Collateral Held and Pending Party References

 

In Margin Terms we discussed the Rounding changes required based on the existing FpML definition of Rounding that is used for decimal places.

 

For Margin Requirements we looked at two options for definition and selected the second option which was more in line with the overall structure related to Segregated and Non Segregated Independent Amount Margin Calls.  We also agreed on the Party Reference terms

 

We reviewed the Expected Collateral section and discussed whether to use a simple type and description or support the ability to define based on the requirement type i.e.  for returns reference known collateral but for deliveries support more general type and description as the other parties collateral holdings are not known by the calling party.

 

 

Action Items

·         Send out the draft XSD for the MC1 message (fpml-collateral-processes.xsd in the FpML_collateral_xml.zip file)

 

Next Meeting

·         Walk through MC1 XSD to understand how the definition we have worked on to date has been translated

·         Get volunteers to help review the existing element descriptions and provide descriptions for each missing ones

·         Wednesday 19th May 11am ET/4pm 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

·         FpML_collateral_xml.zip

·         the zip contains a working draft FpML schema with collateral support for MC1/MC2 (fpml-collateral-processes.xsd) and valid XML examples for MC1 (based on cleaned up doc, the values aren't realistic) and MC2 (Rescind).  This is an early draft version which needs to be reviewed and requires optimization. It does allow people to build MC1 and variations as agreed in the word document

 

 

 

 

 

 

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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.

Attachment: FpML_collateral_xml.zip
Description: FpML_collateral_xml.zip