Please find the minutes from the August 18 meeting.
Participants
1.
Jesse Nolan (UBS)
2.
Joe Novellino (DB)
3.
Simone Milani-Foglia (LCH Clearnet)
4.
Evelyne Piron (SWIFT)
5.
Anil Panchal (GlobeOp)
6.
Kaizad Bhathena (GlobeOp)
7.
Irina Yermakova (ISDA)
8.
Marc Gratacos (ISDA)
9.
Lyteck Lynhiavu (ISDA)
10.
Richard Barton (Algorithmics)
Apologies:
1.
Tom Brown (OMGEO)
2.
Sammy Lee (GlobeOp)
Summary
·
The group reviewed the draft messages for the collateral
substitution process (see zip distributed with meeting invitation 8/17)
·
CS1 – Request Substitution
(<requestSubstitution>, ex18)
·
CS2/CS5 – Agree/Reject Collateral Subst (<substitutionStatus>,
ex19)
·
CS3 – Confirm Substitution
(<substituteConfirmationStatus>,
ex20)
·
CS4 – Confirm Collateral Returned
(<returnConfirmationStatus>,
ex21)
·
Many of the Margin Call types and concepts have been reused
in the substitution messages. Collateral definitions defined in Repo extensions
2.2 were considered but the types (collateralSubstitution, CollateralSubstitutionEvent) were not
suitable. The substitution messages were received positively, and aligned with
the Margin Call design.
·
Should
we allow only one asset substitution per substitution request message? The group felt
the substitution request (CS1) should allow a many-to-many relationship. i.e.,
one message can have multiple collateral assets substituted by multiple assets.
·
Kaizad noted there’s typically one asset being substituted
by one or many assets but we should make the substitution messages flexible
enough to support all scenarios.
·
Joe noted that multiple messages (one for each asset to be
substituted) would make the settlement process tricky. The pairing of messages in the back-end would be difficult. One
message would simplify the process.
·
substitution
amount (total): We will add a <substitutionAmount> to indicate the
total amount being substituted (within each <variationMargin> and
<segregatedIndependentAmount> blocks). Capturing the total amount is not
absolutely necessary but useful as a control check in case there are multiple
assets being substituted.
·
Do
we need to distinguish between variation margin and segregated
independent amount for a substitution request? The distinction
was originally made for the margin call process and kept in the proposed
substitution messages. This is an open question for the group.
Next
meeting – Wednesday,
August 25
We will start discussing the interest
process. Please review the following two options defined within the original
Working Group Requirements. This meeting will discuss the requirements
and determine how to approach them from an FpML perspective.
Illustration 1 – Interest Message Exchange –
utilizing matching service
Illustration 2 – Interest Message Exchange –
not utilizing matching service
Thanks
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