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FPML-CWG Collateral WG Meeting: Wed July 7, 2010 @ 10am New York / 3pm London



We’ll have a meeting Wednesday at the usual time:

 

Next Meeting– Wednesday July 7, 2010 @ 10am New York / 3pm London

 

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 (see attached zip; rename .zip-email extension to .zip).

 

1.  Join the web presentation:

https://www2.gotomeeting.com/join/428595714

Meeting ID: 428-595-714

 

2.  Dial-in details:

US Dial-in:                        888-481-3032

UK Toll Free:                    0800 904 7961

International Dial-in:     617-801-9600

Passcode:                         8682747

  

Agenda

·         FpML 5.1 Working Draft 1 Deliverable (schema, examples, schema documentation, documentation)

·         Acknowledge Dispute Notification (MC11), Discuss draft implementation of MC11, the response to the full dispute (MC5) / partial dispute (MC6) (see msg-ex-MC11-acknowledge-dispute.xml)

<disputeAcknowledgement …>

<variationMargin>
          <disputedAmount>
                    <currency>USD</currency>
                              <amount>
200000</amount>
          </disputedAmount>

         
<disputeDate>2010-06-30</disputeDate>
         
<disputeResolutionMethod>
                   
<resolutionMethodCode>ReconcilePortfolio</resolutionMethodCode>
                    <description>reconcile using TriOptima for valuation date</description> 
          </disputeResolutionMethod>
         
<disputeResolutionMethod>
                    <resolutionMethodCode>ReconcileCollateral</resolutionMethodCode>
                   
<description>please send collateral statement in Excel format</description> 
         
</disputeResolutionMethod>
</variationMargin>

·         Request Portfolio (MC12/MC13) Discuss implementation of MC12/MC13 and the different process options around dispute resolution and portfolio reconciliation. 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.

 

Action Items / To do

1.       All firms to validate the schema/content model by creating their own XML examples 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.       Renaming of collateral messages to comply to FpML message naming patterns

 

 

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

 

Thanks, Lyteck



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Attachment: FpML_collateral_xml_20100707.zip-email
Description: FpML_collateral_xml_20100707.zip-email

Attachment: electronic-messaging-pdf_MarginCallProcess.jpg
Description: electronic-messaging-pdf_MarginCallProcess.jpg