RE: FpML-RPTWG CESR Response

[<msexton@xxxxxxxxxxxxxxxxxxxxxxx>]

Hi Brian, thank you for discussing my additions to the ISDA response to the
CESR proposal at Monday's teleconference (28th September). I understand the
group's position regarding the separation of the classification of OTC
derivative from other instruments.  

I will be highlighting, in my own submission, the inconsistent use of
instrument classifications within the proposal and as a result the inability
to support all derivative instruments of interest to the regulators. I will
be creating a matrix to clarify coverage.

Kind regards,


Martin Sexton
London Market Systems Limited
68 Lombard Street
London EC3V 9LJ

+44 (0) 20 7397 3350

From: owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Brian
Lynn
Sent: 29 September 2009 13:51
To: rptwg@xxxxxxxx
Subject: FpML-RPTWG FpML Reporting Working Group minutes Sept 28, 2009

Attendees
========
Chuck Kael, HSBC
Philip Leach, DTCC
Subashree Rajogopal, DTCC
Bruno Beccaria, Citadel
Ludwig Henrikson, TriOptima
Chris Funck, Chatham
Sridu Segu, DTCC
Saif Ahmad 
Bruce Tupper, ICE
Matt Simpson, CME
Marc Gratacos, ISDA
Lucio Iida, BGI
Dinesh Shastri, BBG
Karel Engelen, ISDA
Stephen White, State Street
Jai Subrahmanyam, GS
Vinod Jain, Headstrong
Brian Lynn, GEM


Apologies
========
Martin Sexton, London Market Systems


CESR response
===========
We discussed the CESR response.  This hasn?t yet been submitted, but it is
nearly finalized and due to the approaching deadline it is too late to
change it substantially.   We discussed Martin Sexton?s questions about it
and concluded that we didn?t want to expand the scope of the response to
include non-OTC instruments at this time.  Martin is welcome to submit an
additional response with his suggestions.

Examples
=======
Brian has updated the spreadsheet with the examples provided earlier, and
has converted the NPV values into various currencies.  Several people agreed
to review this and/or provide additional input.
- Bruno Beccaria will investigate the meaning of local MTM vs. reporting MTM
and why the values don?t appear consistent
- Bruce Tupper will propose NPV values and some other commodity-specific
values to include for the commodity trades.
- Ludwig Henrikson will review the CDS examples
- Chris Funck will review the IRS and FX examples

We agreed to create separate XML files for each asset class to simplify
review, but to try to make them consistent so they could be combine if
necessary.  We may later also want to produce a combined example with less
detail (e.g. product type and NPV only) with all the products.

Issues
=====
We discussed a couple of the issues.

On issue #1 (activity reporting) there was agreement that it would be useful
to allow position status information to be included in a position report. 
This would include things like whether the position was newly created, and
the reason the position was added (e.g. new trade, assignment, etc.)  Brian
will propose a way to do this.   There was some further discussion on
how/whether to combine various types of activity information.  Marc will
come up with a proposal on this.

On issue #6 (generic product) we discussed the updates to the write up. 
There was agreement that we should limit the use of the generic product to
reporting messages, perhaps by limiting the reporting view to a limited
number of messages.  This creates the question of where to put messages such
as allocation ? would they be part of the confirmation view only?


Next meeting
===========
Monday Oct 5, 11 AM NY time ? review examples, generic product naming.





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