Please find the minutes from the June 9 meeting.
Participants
1.
Jesse Nolan (UBS)
2.
Sammy Lee (GlobeOp)
3.
Harry McAllister (BNP Paribas)
4.
Simone Milani-Foglia (LCH Clearnet)
5.
Chuck Miller (JPMorgan)
6.
Irina Yermakova (ISDA)
7.
Marc Gratacos (ISDA)
8.
Lyteck Lynhiavu (ISDA)
9.
Richard Barton (Algorithmics)
Apologies:
1. Anil
Panchal (GlobeOp)
2. Kaizad
Bhathena (GlobeOp)
3. Lucio
Iida (Blackrock)
4. Tom
Brown (OMGEO)
Summary
·
Deliverables: the objective is to publish the draft margin call process
messages for public review in FpML 5.1 Working Draft 1 (currently scheduled for
publication at the end of June).
·
collateral
proposal (MC3c) The group discussed the refactoring of the <security>
structure that we plan to use to capture securities-related information, when
securities are proposed as collateral.
·
The group reviewed
existing structures from FpML <bond> underlyer,
<CollateralValuation> (FpML Repo extension 2.2) and <BondContract>
(JPMorgan model in FpML extension 1.0)
·
<currency>: <bond> already contains a <currency> which
might be different than the currency of the proposed delivery. The group discussed
whether the exchange rate information would be needed in addition to fully
understand the relationship between the values. It was decided to leave it
out in line with the ISDA working group requirements
·
<valueDate>: the collateral transfer date is different than the date the
market value / collateral value are calculated. This could result in the
collateral value being different at the time the collateral is exchanged.
It was agreed that it was not necessary to include the date on which the prices
of the bonds defined in the movements were valued as per the original ISDA
working group requirements. The value date was pointed out to be the date
on which the movements were expected to Settle.
·
The most important
<security> fields are the instrument identifier, direction and nominal.
The other fields could be more regarded as FYI for the other party to better
understand how the sending party valued the collateral. This could avoid
an email or phone call if the other parties queries the collateral or market
value.
·
Harry suggested that the
definition of the <bond> static data should be moved outside of the
<security> structure and referenced each time that bond is used in a
movement. This would avoid the stating of repeating data if a bond was
used as both a deliver and return or for both segregated independent amount and
variation margin movements.
·
We will develop a new
security model based on the discussion for the next meeting
·
Simone suggested the
new definition of the security/bond model should be defined in a separate
schema than the collateral xsd so the model can be reused by other
products/processes(e.g., shared xsd)
·
Richard explained the
rationale for the movement structure of the movement definition i.e. segregated
IA and VM followed by direction rather than direction followed by segregated IA
and VM being because this followed the structure of the previous messages where
the IA is shown as segregated from VM and the proposed structure aims to
maintain that relationship
·
Accept proposed
collateral (MC7) / Reject proposed
collateral (MC8)
·
The group discussed 2
modeling options: one combined MC7/MC8 message OR two distinct MC7 and MC8
messages.
·
The content model
allows the acceptance or rejection of the proposed collateral for <variationMargin>
and <segregatedIndependentAmount> independently (using Boolean
flags)
·
Examples will be developed further for
discussion and decision in the next meeting
·
Misc Schema feedback:
o
The reason code inside specific collateral
reasons to be made generic (<reasonCode>) rather
than collateralProposalReasonCode
o
Boolean values should be expressed as true/false
and not 1/0
Action
Items / To do
1.
All firms to validate the schema/content model by
creating their own XML examples (e.g., 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.
3.
Message Names/root elements: 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.
Next
Meeting – Wednesday June 16, 2010 @
10am New York / 3pm London (1h30)
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