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Second correction with correct direction
on MTM. Regards, Bruno S. Beccaria Citadel Investment Group ph. 312.395.3858 From: owner- Correction, the local MTM were correct and
the USD MTM was not. I am attaching a new XLS with corrected valuations. Thanks
for catching this error Brian. Regards, Bruno S. Beccaria Citadel Investment Group ph. 312.395.3858 From: owner- 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.
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Attachment:
Sample_FpML5.xls
Description: Sample_FpML5.xls