Please find the minutes from the June 16 meeting.
1. Anil Panchal (GlobeOp)
2. Kaizad Bhathena (GlobeOp)
3. Sammy Lee (GlobeOp)
4. Simone Milani-Foglia (LCH Clearnet)
5. Chip Miller (JPMorgan)
6. Irina Yermakova (ISDA)
7. Lyteck Lynhiavu (ISDA)
8. Richard Barton (Algorithmics)
1. Jesse Nolan (UBS)
2. Lucio Iida (Blackrock)
3. Tom Brown (OMGEO)
4. Olivia Moy (Societe Generale)
5. Evelyne Piron (Swift)
6. Harry McAllister (BNP Paribas)
7. Marc Gratacos (ISDA)
· Deliverables: the objective is to publish the draft margin call process messages for public review in FpML 5.1 Working Draft 1 (scheduled for publication end of June). We need to finalize the schema, document the schema, create XML examples and documentation. à Action Items # 1 and #2
· collateral proposal (MC3c) The group discussed the <security> structure that captures securities-related information.
· securities (<assetReference href="" references the underlyer e.g., <bond id=”xyz”>) Kaizad commented that the split of the securities details in the XML instance (i.e., partially defined in <security> (e.g., value date, dirty price…) and also in <movement> (e.g., CUSIP, description, maturity…) can make it difficult to read the proposed collateral message in its XML representation. Richard noted the systems may format/represent the XML in a layout optimized for human consumption.
· <letterOfCredit> is a new container which extends the LcSummary type created by the Loan WG (4.7) and provides another type of proposed collateral (in addition to cash, bond, equity…) à Action Item # 3
· <cash> is a new container which contains the details when cash is proposed as collateral. Irina noted <cash> is already an FpML underlyer and could be used the same way as <bond>, <equity> (other FpML underlyers) within <security> (instead of creating a new <cash> structure)
· <movement> is a new container which holds the definitions of securities (e.g., CUSIP, description, maturity…). The proposed name may not be adequate. Suggestions are welcome. à Action Item # 4
· 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.
· MC7 and MC8 messages should avoid combining partial acceptance or partial rejection as this conflicts with the name of the message.
· The use of the basket in the MC8 example is incorrect as it should at least contain 2 underlyers (Irina)
· Message Names: The names of the collateral messages (root elements) will change to comply to FpML message naming patterns. à Action Item # 5
Pending 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. Irina will inquire with the Loan WG if letter of credits and guarantees are the same thing
4. All to suggest a better name for the new <movement> container
5. Simone and Lyteck will suggest new collateral messages that comply to FpML message naming patterns
Next Meeting – Wednesday June 23, 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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