Please find the minutes from the June 9 meeting.
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)
1. Anil Panchal (GlobeOp)
2. Kaizad Bhathena (GlobeOp)
3. Lucio Iida (Blackrock)
4. Tom Brown (OMGEO)
· 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)
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).
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