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Attendees ======== Subashree
Rajogopal, DTCC Chuck Kahl, HSBC Philip Leach, DTCC Bruno Baccaria, Citadel Dinesh Shastri, Bloomberg Irina Yermakova, ISDA Sreedhar Segu, DTCC Chris Funck, Chatham Saif Ahmad Martin Sexton, London Markets Systems Matt Simpson, CME Brian Lynn, GEM Mike Kopcak DTCC, Lucio Iida, BGI Ludvig Henriksson, TriOptima Marc Gratacos, ISDA Karel Engelen, ISDA Regrets ====== Jai Subrahmanyam, GS Stephen White, State Street Actions ====== Examples ----------- Bruno –checked on NPV conversion; appeared inverted;
this will need to be corrected Bruce Tupper – still waiting on NPV and
commodity-specific valuation fields Ludvig H – has reviewed the CD examples and
found an FX rate inversion and provided feedback. Chris – reviewed examples, which look ok. He
will provide frequencies for IR swaps per request from the group. Brian has provided a partial example of the values from the
spreadsheet (discussed below). Marc still working on example of combining activity
and event update – needed to get input from a client. Will try to provide
for next week. Review of Example =============== We spent a while discussing the example. Points discussed included: - naming of “measureType” – we agreed to
use NPV constistently, and not to use NPVLocalCurrency, as the currency type indicates
what currency it is expressed in - naming of currency type – we agreed to leave it as “ReportCurrency”,
“SettlementCurrency” etc. for now. - Should there be a currency type for the fixed side or
floating side – there wasn’t consensus. If, say the fixed
side was used to determine the domestic currency for a cross currency swap,
would this need to be indicated somehow? Leave this open for now. - FX rate conversion – we couldn’t decide how to
present this. Brian proposed to document different options as an issue to
be discussed next week. Issues ===== We briefly discussed the additions to position status that
Brian proposed in the issues document. This was well received. Brian also promised to distribute information about
categorization of trades, for example into House/Customer, which he proposes to
add to party Trade Information. This is also similar to the categorization
of asset hedge vs. liability hedge already there. Sreedhar from DTCC also
subsequently requested a similar feature for distinguishing between dealer and
non dealer trades. Brian promised to update the examples to be able to
demonstrate this. Brian mentioned that the issues document had been updated to
include: 1)
recommendations on naming/usage of the “generic”
product 2)
a draft schema for a reset report We will discuss these next week. Other business ============ Sreedhar Segu from DTCC requested the ability to represent counterparty
type –dealer/non dealer (discussed above). Sreedhar was also interested in reporting aggregate numbers
(e.g. total number of positions/contracts, total notional, etc.) Brian stated
that this wasn’t currently in scope, but we could revisit next week if
there was enough interest. Next meeting =========== Monday, Oct. 12 , 11 am ET - review updated examples, currency
reporting issues, trade categories, non-standard product guidelines, reset
report, aggregate reporting. Note: Monday Oct. 12 is Columbus Day in the US, which
affects some people. Please let me know by tomorrow evening if you
will be unable to attend and would like me to try to reschedule. If there
is enough demand, we will try to reschedule. Sorry not to raise this at
today’s meeting. |