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Brian on my TRS on equity examples the local MTM includes the notional. I am investigating the reasoning behind that. The new numbers
should be:
Regards, Bruno S. Beccaria Citadel Investment Group ph. 312.395.3858 From: owner- 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,
Jai Subrahmanyam, GS Vinod Jain, Headstrong Brian Lynn, GEM Apologies ======== Martin Sexton,
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. CONFIDENTIALITY AND SECURITY NOTICE The contents of this message and any attachments may be confidential and proprietary and also may be covered by the Electronic Communications Privacy Act. This message is not intended to be used by, and should not be relied upon in any way, by any third party. If you are not an intended recipient, please inform the sender of the transmission error and delete this message immediately without reading, disseminating, distributing or copying the contents. Citadel makes no assurances that this e-mail and any attachments are free of viruses and other harmful code. |