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Please find the minutes from the June 2 meeting. Let me know if I missed anything. Participants 1.
Stephanie Grateloup (Societe Generale) 2.
Anil Panchal (GlobeOp) 3.
Sammy Lee (GlobeOp) 4.
Kaizad Bhathena (GlobeOp) 5.
Harry McAllister (BNP Paribas) 6.
Lucio Iida (Blackrock) 7.
Simone Milani-Foglia (LCH Clearnet) 8.
Tom Brown (OMGEO) 9.
Irina Yermakova (ISDA) 10.
Marc Gratacos (ISDA) 11.
Lyteck Lynhiavu (ISDA) Apologies:
1.
Jesse Nolan (UBS)
2.
Richard Barton (Algorithmics) Summary ·
Deliverables: the immediate objective is to publish a first set of draft collateral messages for public review in FpML 5.1 Working Draft 1 currently scheduled for publication at the end of June. ·
The group went through a recap of the XML examples for margin call request (MC1), margin call acceptance (MC3b), full dispute (MC5), partial dispute (MC6). Dispute reason codes are captured in an external coding scheme (collateral-reason-code-1-0.xml) ·
The group reviewed a draft message for collateral proposal (MC3c) (which includes a proposed <security> structure that needs to be refined.) Notes/Feedback ·
<marginTerm> (MC1): Harry questioned whether <marginTerm> should be captured inside the CSA structure with the opportunity to populate the margin term information for both parties (TBD).
·
<variation> vs <variationMargin> (MC1/MC3c): The use of <variation> or <variationMargin> should be consistent. Harry would prefer <variationMargin> ·
Message Names: The names of the collateral messages may change to comply to new FpML message naming patterns. We will propose new names within the next few weeks. ·
MC3c propose collateral
o
<security>: the proposed model that captures specific security details needs to be discussed and improved. relationships between elements should be made more apparent, e.g., haircut and collateral value, or dirty price
* nominal = marketValue, for example. It is also unclear what data elements should be part of or overlap with the FpML bond model.
o
Harry pointed to the existing models (<Collateral> and <bondContract>) that may contain interesting structures. There are existing issues with the current FpML bond model (re: parValue…) that will need to be corrected.
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Simone suggested that perhaps the definition of the security/bond model should be defined by a different working group than the collateral WG
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Harry questioned the need for the <proposedCollateral> container that should be discarded since we already are in the context of a <proposeCollateral> message
à Lyteck to remove if unecessary ·
Misc Schema:
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Harry noted an minor issue with a type “variationProposedCollateral” starting with lower cap instead of initial cap
à Lyteck fixed
o
The ReasonCode should be made optional by creating a new Reason type
à Lyteck to add
o
containers that have two optional elements should be remodeled to avoid empty containers
à Lyteck to fix Action Items / To do 1.
All firms to validate the schema/content model by creating their own XML examples based on the included MC1 XML template (msg-ex-MC1-request-margin-call_Template.xml) or by providing margin call examples which we can translate to XML. 2.
GlobeOp / Richard to put together a list of definitions (i.e., glossary of collateral terms) that will be used to document the schema. Next Meeting – Wednesday June 9, 2010
@ 10am New York / 3pm London (1h30) Going forward, we will use remote web sessions to make it easier to review the schema and examples during the calls. Please note you may need to install a small
module to view the meeting. Those who can’t install the module can also follow by opening the XML files directly (zip to follow). 1. Please join the web presentation: https://www2.gotomeeting.com/join/503667291 Meeting ID: 503-667-291 2. Join the conference call: US Dial-in: 888-481-3032 UK Toll Free: 0800 904 7961 International Dial-in: 617-801-9600 Passcode: 8682747 Ref:
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