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FPML-CWG Collateral WG Meeting Minutes - July 7, 2010



 

Please find the minutes from the July 7 meeting.

 

Participants

1.       Kaizad Bhathena (GlobeOp)

2.       Sammy Lee (GlobeOp)

3.       Jesse Nolan (UBS)

4.       Tom Brown (OMGEO)

5.       Simone Milani-Foglia (LCH Clearnet)

6.       Irina Yermakova (ISDA)

7.       Lyteck Lynhiavu (ISDA)

8.       Richard Barton (Algorithmics)

Apologies:

  1. Evelyne Piron (Swift)
  2. Lucio Iida (Blackrock)
  3. Marc Gratacos (ISDA)

 

Summary

·       Deliverables: the objective is to publish the draft margin call process messages for public review in FpML 5.1 Working Draft 1 (within 2 weeks). We are working to document the schema, validate the examples and create documentation. à Action Item 1

·       Acknowledge Dispute Notification (MC11)

-          We reviewed the draft message msg-ex-MC11-acknowledge-dispute.xml. Richard explained the disputedAmount, disputeDate, and

-          disputeResolutionMethod

·         There are 4 general resolution methods defined so far in a coding scheme file (collateral-dispute-resolution-method-code-1-0.xml): EvaluateMarginTerms, ReconcileCollateral, ReconcilePortfolio, ReconcileSegregatedIndependentAmount

·         Feedback: change resolutionMethodCode to resolutionCode (to align with reasonCode)

·       Request Portfolio (MC12/MC13)

-          The group agreed MC11 should be the last message that ends the margin call process. MC12/MC13 start the dispute resolution process which is a separate process.

-          ISDA has published separate procedures around dispute resolution (ISDA 2009 Collateral Dispute Resolution Procedure). It would be preferable to model MC12/MC13 at a later stage, if needed, around these detailed procedures. From an FpML schema perspective, it is also preferable not to model basic MC12/MC13 message now, this way we don’t lock ourselves with incomplete dispute resolution elements/types that can’t easily be changed later.

 

 

Pending Action Items / To do

1.       All firms to validate the schema/content model by reviewing existing XML examples or creating their own XML examples or by providing margin call examples which we can translate to XML. Send feedback to Richard, Lyteck or to the mailing list.

2.       Schema documentation: 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 Messages: Simone and Lyteck will suggest new collateral messages that comply to FpML message naming patterns (deferred to the next working draft deliverable – waiting for external input)

4.       <cash> as collateral is a new container which contains the details when cash is proposed as collateral (Collateral Proposal - MC3c). <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>

àRichard/Lyteck to seek guidance from Coordination Committee (pending feedback)

 

  

Next Meeting – Wednesday July 14, 2010 @ 10am New York / 3pm London (1h)

 

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

 

Draft Agenda:

-          At the next meeting we’ll sign-off on deliverables (schema, examples, documentation) for publication in FpML 5.1 First Working Draft (to be released publicly on FpML.org ETA end of July 2010)



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