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FPML-CWG Collateral WG Meeting Minutes - November 24, 2010

Please find the minutes for the November 24 meeting. Let me know if I missed anything. Thanks, Lyteck



1.       Richard Barton (Algorithmics)

2.       Nishith Bhatt (GlobeOp)

3.       Anil Panchal (GlobeOp)

4.       Tom Brown (OMGEO)

5.       Joe Novellino (DB)

6.       Jesse Nolan (UBS)

7.       Lyteck Lynhiavu (ISDA)



1.       Sammy Lee (GlobeOp)

2.       Harry McAllister (BNPP)

3.       Irina Yermakova (ISDA)

4.       Marc Gratacos (ISDA)



·         The collateral schema, examples and documentation is available under section 17 of the FpML 5.1 WD3 reporting view: http://www.fpml.org/spec/fpml-5-1-3-wd-3/html/reporting/  à Firms to test/implement messages and provide feedback.


·         Collateral Validation Rules The group reviewed the latest set of collateral validation rules (download draft). More rules will be developed each week and also reviewed by the FpML Validation WG on a weekly basis. Feedback from the Validation WG (11/23 meeting) was addressed:

o   Valwg: “Col-1 only works if all the amounts are in the same currency”. Colwg: The amounts should all be provided in the baseCurrency. While the group agreed the currency could be taken out, the decision was to keep the currency with the amount, for consistency with other instances where we need currency+amount. Col-1 would therefore need to include a condition to check that all the currencies should be the same.


o   Valwg: “deliver / return blocks already imply direction and perhaps don’t need to include party references, e.g., deliveryingPartyReference / receivingPartyReference” (available within marginRequirement, also available in requestSubstitution). Colwg: the direction of the deliver and return don’t necessarily correspond to the margin call issuer and receiver (sender/receiver of the requestMargin message). For example, the margin call issuer could be a third party, in which case it is preferable and eliminates any ambiguity to include party references in the deliver /return blocks (no change).


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