"White, Stephen M"
<SMWhite@xxxxxxxxxxxxxxx> Sent by: owner-rptwg@xxxxxxxx
10/05/2009 03:45 PM
Please respond to
rptwg@xxxxxxxx
To
<rptwg@xxxxxxxx>
cc
Subject
RE: FpML-RPTWG FpML reporting working
group minutes, Oct. 5, 2009
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
Sent: Monday, October 05, 2009 3:16 PM
To: rptwg@xxxxxxxx
Subject: FpML-RPTWG FpML reporting working group minutes, Oct. 5, 2009
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.
_____________________________________________________________
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