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FPML-CWG Collateral WG Meeting Minutes - June 23, 2010

 

Please find the minutes from the June 23 meeting. The attached zip contains updates to the schema and examples based on the meeting discussions.

 

Participants

  1. Anil Panchal (GlobeOp)
  1. Kaizad Bhathena (GlobeOp)
  1. Sammy Lee (GlobeOp)
  1. Jesse Nolan (UBS)

5.       Tom Brown (OMGEO)

  1. Simone Milani-Foglia (LCH Clearnet)

7.       Evelyne Piron (Swift)

  1. Chip Miller (JPMorgan)
  1. Irina Yermakova (ISDA)

10.    Marc Gratacos (ISDA)

  1. Lyteck Lynhiavu (ISDA)
  1. Richard Barton (Algorithmics)

 

Apologies:

  1. Harry McAllister (BNP Paribas)

  

Summary

·         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/early July). 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 agreed to rename <movement> to <assets>: the container which holds the definitions of securities (e.g., CUSIP, description, maturity…)

·         <cash> is a new container which contains the details when cash is proposed as collateral

·         <cash> already exists in FpML as an underlyer. It is unclear if it can be reused; It is unclear what the mandatory <InstrumentId> inside the <cash> underlyer should contain:

                                       <cash id="cash01">
                                            <instrumentId instrumentIdScheme="?????">?????</instrumentId>
                                            <currency>USD</currency>
                                       </cash>

 à Richard/Lyteck to seek guidance from Coordination Committee

·         <cash> usually does not have a haircut but we should have the option to specify market value, haircut and collateral value (similar to a security) as participants noted they do have agreements where cash does have a haircut applied.

·         <currency> should be specified inside the FpML underlyer (e.g., inside <equity> or <bond> within <assets>) and not inside <security>, for consistency.

·         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 group selected the combined MC7/MC8 message.

·         Acknowledge Dispute Notifcation (MC11)

·         à We will develop a draft MC11 message for next meeting (the response to the full dispute (MC5) / partial dispute (MC6))

·         Request Portfolio (MC12/MC13)

·         à Richard will clarify the different process options around dispute resolution and portfolio reconcilation. This will help to consider the content of these messages in terms of reconciliation options i.e. unilateral reconciliation with portfolio exchange vs. bilateral reconciliation where there are proactive and reactive scenarios and choice of reconciliation service providers.

  

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.

5.       Simone and Lyteck will suggest new collateral messages that comply to FpML message naming patterns

 

 

Next Meeting – Wednesday June 30, 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/428595714

Meeting ID: 428-595-714

 

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: http://www.isda.org/c_and_a/pdf/Electronic-Messaging.pdf

 

 

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