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I will not be able to attend the meeting
on the 12th. Thanks, Stephen From:
owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Brian Lynn 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, 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, 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 |