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FPML-CWG Collateral WG Meeting Minutes - May 19, 2010



Please find the minutes from the May 19 meeting.   Please let me know if any points missed.   

 

Participants 

  1. Anil Panchal (Globeop)
  2. Charles Miller (JP Morgan)
  3. Irina Yermakova (ISDA)
  4. Jesse Nolan (UBS)
  5. Marc Gratacos (ISDA)
  6. Richard Barton (Algorithmics)
  7. Sammy Lee (Globeop)
  8. Simone Milani-Foglia (LCH Clearnet)

Apologies

  1. Harry McAllister (BNP Paribas)

2.       Nicole Joliffe (Swift)

3.       Vivian Wu (Goldman Sachs) 

Notes

 

In this meeting we reviewed the draft XSD for the MC1 message.  This represents the interpretation of the work we have done in the previous weeks to translate to FpML syntax. 

 

We discussed how FpML already contains definitions of Collateral and IndependentAmount and that the current definitions are not suitable for the Margin Messages.  This will require communication with the FpML Coordination Committee and a proposal to change or use of different terms in the Margin Messages.  The existing IndependentAmount definition is based on trade level IA for an individual trade.  For the Margin Messages IA contains the ability to define the aggregated trade level IA requirement as one element.  For the time being IndependentAmount for the Margin Messages have been changesd to be AggregatedIndependentAmount.  This included reviewing the remaining pieces of the MC1 message Margin Terms, Collateral, Margin Requirements, Margin Results and Expected Collateral.

 

Collateral has IndependentAmount as its sub element in the existing definition there are no more elements. Therefore it too relates to trade level definition of IA.  For now in the MarginMessages this has been changed to CollateralBalance.

 

We also looked at an example of an xml message that was based on the new xsd for a simple delivery scenario. As a take away for the group we agreed to start to build out some test examples to validate the schema based on the msg-ex-MC1-request-margin-call_Template.xml. 

 

Action Items

·         Send out an updated draft XSD for the Margin Call Request (MC1) message and updates for Margin Call Response (MC3/5/6) -  (fpml-collateral-processes.xsd in the FpML_collateral_xml.zip file)

 

Next Meeting

·         Walk through Margin Call Response schema and XML example to understand how the definition we have worked on to date has been translated.  Discuss suggestion to call the message MarginCallStatus

·         Review xml examples the group have been able to provide

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

·         Wednesday 26th 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

·         FpML_collateral_xml_20100526.zip

·         the zip contains a working draft FpML schema with collateral support for MC1/MC2/MC3/MC5/MC6 (fpml-collateral-processes.xsd) and XML examples for MC1 (for many of the scenarios in the Margin Call Examples spreadsheet) and MC2 (Rescind), MC3/MC5/MC6 (Margin Call Response). 

·         Updated Margin Call Examples based on two new scenarios from the group

 

 

 

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Attachment: FpML_collateral_xml_20100526.zip
Description: FpML_collateral_xml_20100526.zip

Attachment: Margin Call Examples.xls
Description: Margin Call Examples.xls