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Thanks, Bruno. From:
owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Beccaria,
Bruno 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 131 S. Dearborn St. Chicago, IL 60603 ph. 312.395.3858 From:
owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Brian
Lynn 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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