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Attendees ======== Mike Kapcek DTCC Chris Funck, Chatham Chuck Kahl, HSBC Marc Gratacos, ISDA Irina Yermakova, ISDA Martin Sexton, London Market Systems Lucio Iida, BGI Matt Simpson, CME Bruno Beccaria, Citadel Ludvig Henriksson, TriOptima Jai Subrahmanyam, Goldman Sachs Subashree
Rajogopal, DTCC Brian Lynn, GEM Regrets ====== Actions ====== Chris Funck – has identified Miriam Steinberg as
a potential contributor for entity modeling. We discussed FIX’s representation of entity roles and
relationships. Martin: found information on derivative entity relationships. Matt S: - FIX recently identified about 20 relationships between parties - derivative instrument parties New relationships are in a new message – party detail
list report, element party relationships. Martin – will dig this out and distribute to the group Martin is working on his contact list to see if there
is anyone else interested. Clearing Fields =========== We discussed the settlement information proposed
implementation. We realized that the quotation characteristics structure could potentially be
used in place of settlement info (timing, valuation date). Brian will
model up both alternatives to show how they compare. We discussed novation trade date – Lucio wondered why
we should include that but not other business events. Brian offered to write
up the motivation for discussion for next week. Activity/Events on positions ====================== We discussed Marc’s proposal, which is similar to the
DSWG original representation. Brian offered to adjust the position model
to allow not only the most recent event for a position to be represented, but
any or all events affecting the position. Other points ========== Chris Funck – looked at MTM values vs. credit value
adjustment – CVA not applicable for regulatory reporting, but could be
applicable from an accounting perspective. Next meeting – Monday, Nov 16 – novation trade
date, event history in positions, settlement information. - Brian Lynn |