FpML-REPO FpML Repo WG - Minutes - Reminder for next meeting 3rd April 1400London / 0900EST

[sylvain.benoist@xxxxxxxxxxxx]

REPOWG Meeting - 03/20/2007
Next REPOWG Meeting - 04/03/2007

Participants:

Sylvain Benoist (Chair)  JPMorgan
Danny Moeller            Helix
Irina Yermakova          ISDA
Jeffrey Stephens         Helix
John Singler             Helix
Jim Barrett              Metro Solutions
Gary Smolyanskiy                     Goldman Sachs

Apology:

Rob Longridge             RBC


Meeting Recap:

1) The Repo proposal was submitted to the coordination committee for review
to be published in the 4.3WD2.
2) Sylvain distributed his Securities Lending model proposal (schema model
and security vs fee/sec examples) for discussion.
3) Rob Longridge’s comments on the Securities Lending model (see Rob’s
e-mail from March, 20).
4) Gary Smolyanskiy's comments on the Securities Lending model:
      - Additional rates need to be added to the Sec Len model:
               -       ‘rebate’ -> needs to be added as a choice between
               ‘fee rate’ (‘feeRateSchedule’) and ‘rebate’.
                  §         ‘rebate’ can be a regular ‘rebate’ or a
                  ‘benchmark’ + ‘spread’
               -       ‘dividend rate’ (borrowing/lending)-> needs to be
               added as a decimal number
               -       ‘All-in-rate’ -> (optional fee/rebate with dividend)
               - needs to be added as a decimal number
      - ‘noticePeriod’ is not used, security gets delivered when delivered.
      - ‘duration’ can be ‘open’ or ‘term’. There is no ‘overnight’ in Sec
      Len.
      - ‘margin’ (on the contract level is fine) depends on the
        relationship with counterparty.
      - In security lending, there is only one leg versus fee/rebate. The
      direction of the contract is specified in the fee/rebate. The
      direction of the security transfer is in the leg. The structure of
      the ‘spotLeg’ is ok, except.
               -       ‘securityValuation’ and ‘collateralValuation’
               structures in the leg can have different ‘Settlement’ model.
               In Security Lending, collateral has different cycle then
               underlying asset (For example, collateral can be post on
               different dates then security. In Repo, it is on the same
               date.)

      - Additional ‘midLifeEvent' needed.
            -       ‘PartialReturn’ event (instead of closing contract,
            return a part of the contract)
            -       ‘Marc-to-Market’ event has the same structure as
            ‘nominalRepricing’
            -       ‘BillingEvent’ – there is no such event yet, but when
            it will be introduced it would have ‘interestPayout’ structure
            -       There is no ‘collateralSubstitution’
            -       There is no  ‘couponEvent’

      - Additional Sec Lending underlying assets
            -       Letter of credit
            -       Letter guarantee
            -       Uncollateralized
      - Security Lending does not have confirmation. Booking security
      Lending contract would be considered as a confirmation?


Feel free to send your comments if we have missed any points of the
discussion.

 -s


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