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Attendees ========= Chris Funck, Chatham Financial Tech Miriam Steinberg, Chatham Financial, Dinesh Shastri, Bloomberg Matthew Randall, JPM Irina Yermakova, ISDA Bruno Baccaria, Citadel Henri Pegeron, MarkitServ Sreedhar Segu, DTCC Martin Sexton, London Market Systems Luci Iida, BGI Ludvig Henriksson, TriOptima Mark Taretko KPMG Jai Subrahmanyam, Goldman Sachs Marc Gratacos, ISDA Stephen White, State Street Subashree
Rajogopal, DTCC Apologies ======== Matt Simpson, CME Actions ====== Brian is still working on the examples. Martin S. has identified that Marcelle von Wendlend,
who has been involved in business entity modeling at Fincore, would be
interested in contributing in this area. Simon Latham Porter, who has
been involved in business entity identification standards for ISO, is probably
not interested in participating in this group but may be willing to review our
output. Marc Gratacos – has distributed a draft representation
of a report of aggregate notionals.
===== We discussed the proposed change to add the ability to
record a position history to the position report. This was well-received. Lucio Iida points out that Non-negotiated changes
should be represented in the history. We discussed how to represent the novation trade date.
We agreed that this should not be a new field, but rather should be a
convention that the novated part of the trade will be reported with a trade
date of the novation, rather than the original trade date. Miriam S. points out that it is important to record who who
is responsible for paying the first calculation period when a trade is
novated. Brian commented that he believed that this is modeled at the
product level, but perhaps this should also be standardized across the trade
structure. He volunteered to research this. We discussed the representation of the settlement information
and agreed that we would remove the new “Settlement Information” structure
and model this with the quotation characteristics. Brian will research if
there are any places where the quotation characteristics are missing… in
these it may be necessary to add a replacement element. (For example,
this might be a problem for tradeCashflowsAsserted.) Entity Modeling ============ Martin will see if he can get examples of the party details
messages, and speak with some people more familiar with the FIX representation
to clarify its intended purpose. Miriam S. commented on some of the places where entity
modeling is relevant. Guarantors need to report on their exposures to trades that
they guarantee. The Senator Dodd proposal would limit who can get into a
trade – may limit who can get guarantees. Guarantors may guarantee specific transactions. In
this case it will be necessary to record as part of the transaction which firms
guarantee them. A guarantee agreement may phase in/out on specific dates
(for trades traded on those dates). - e.g. guarantee agreement will start on Jan 1, 2009,
and end on Dec. 31, 2009, and will guarantee trades done during this
period. The guarantee will remain in effect for the lifetime of the
trade. Guarantee agreements don’t usually have limits on the
amount guaranteed. Other credit support agreements may have limits. CSAs can be complex and may be affected by impending
government regulations, so it might be worth waiting until the situation is
clarified before attempting to model them. There is lots of interest in
government regulators about posting of collateral for CSAs, and regulations
might affect this. In terms of a work plan, it seems that modeling guarantor
relationships should be a top priority, with other credit support arrangements
a second priority. Next meeting =========== Nov 23 – Follow up on issues, aggregate notional
reporting, entity relationships. |