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Attendees ======== Chuck Kael HSBC Mike Kopcak, DTCC Dinesh Shastri BBG Irina Yermakova, ISDA Sreedhar Segu, DTCC Lucio Iida, BGI Bruno Beccaria, Citadel Saif Ahmad Chris Funck, Chatham Financial Tech Jai Subrahmanyam, Goldman Sachs Matt Simpson, CME Brian Lynn, GEM Subashree
Rajogopal, DTCC Ludvig Henriksson, TriOptima (late arrival) Regrets ====== Martin Sexton, London Market Systems Marc Gratacos, ISDA Actions ====== 1) Brian continues to work on the examples. He has
added commodity information based on input from Bruce Tupper from ICE, and has
started modeling details of CDS and other products. He raised the issue that it is difficult to model whether an
IR swap is pay fix or receive fix without a relatively complex representation,
even in a short form report. There were a couple of suggestions for
making it simpler to do this: - add a tream type field or indicator to the IR stream - add to the position a classification or category that
could allow saying the category of the trade from the perspective of the base
party Brian agreed to develop some proposals in this area and
discuss the idea with the IR working group. classifications, fix/float, bought / sold, put/call We discussed the meaning of - “upfront” fee. From Bruno’s
perspective it refers to independent amount, but we it looks like we may have
used it in the spreadsheet to refer to the initial payment in an off-market
CDS. We need to sort this out to make sure the example is clear. - “fixed spread” and “current spread”
- the first refers to the fixed rate used to compute quarterly payments,
the second to the current market quote. Brian will confirm with Ludvig
that the example is modeled correctly. 2 ) Sreedhar is working on a proposal for reporting aggregated
values. [Marc Gratacos is also interested in this area and may also
distribute a proposal in this area.] CME clearing fields proposal ===================== We discussed this and agreed that we want to distinguish between
as-of date (date at which data is produced) from settlement date (date
settlement will occur). We also discussed the cleared date and agreed that this
affects not only reporting, but also other types of messages, e.g. in
confirmation view. Matt agreed to update the proposal to refine it. Entity modeling ============ Due to lack of time we did not discuss the proposal. Next meeting =========== Nov. 2 – back to regular time (11 AM ET, 4 PM British
Time). - - Entity modeling, CME proposal, etc. |