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Attendees ======== Bruno Beccaria, Citadel Mike Kopcak, DTCC Chris Funck, Chatham Miriam Steinberg, Chatham Irina Y, ISDA Lucio Iida, BGI Brian Lynn, GEM Martin Sexton, London Market Systems Mark Taratko, KPMG Sreedhar Segu, DTCC Marc Gratacos, ISDA Ludvig Henriksson, TriOptima Apologies ======== Chuck Kahl, HSBC Actions ====== a) Brian to continue developing XML examples >> More examples to follow - commodities and FX are
remaining b) Brian to update schema slightly to reflect decisions >> schema has been updated, but not yet distributed,
should be distributed shortly c) Martin Sexton to look into purpose for and examples of
the FIX Party Details Report. >> Has distributed materials. d) Brian to look into modeling of 1st calculation period
payment responsibility in novations >> Not yet done, to be done for an upcoming
meeting. 2) Review Documentation for WD #4 We discussed the draft documentation. There was a
question about the field lists. WG members are invited to review the
documentation and return comments to Brian. 3) Review Marc G's aggregate notional examples We discussed the examples. Brian requested that we
try to get a document together to discussed the required data, so we can
evaluate it more easily. Brian stated that in addition to the data
provided by Marc’s example, we might want: - the ability to report aggregate net and gross market
value - the ability to group by other factors, such as product - the ability to report on multiple data points at once. It might be useful to have a more flexible grouping
structure. We also talked about the possibility of using something like
XBRL for aggregate reporting. Marc promised to try to get permission to distribute
the underlying requirement. 4) Brian and Marc reported that Karel Engelen and they had
met with the New York Fed together with a group of other regulators to discuss the
FpML reporting initiative. The regulators are interested in contributing in the area of entity modeling but need to review how
they can participate. The regulators seemed to feel that in the long run
an XML-based reporting solution made sense, but in the interim a translation
mechanism to flat formats might be sensible. 5) Develop plan for entity modeling. We discussed the draft plan that Brian outlined in the
invitation. The plan was well-received. Following are some notes: a) create a definition of the business objectives for
entity modeling (update the RPTWG charter?). Some points to consider
include: - what are regulators interested in seeing - relation to other publically available information. . .
do we want reference this information, e.g EDGAR filings. We might want
to allow reports to be able to cross reference this. b) add to specification the ability to represent the
guarantor party for a specific derivative transaction. >> Another piece of information that might be useful
is, does this trade net with other transactions? The parties might agree that the trade won’t net,
e.g. when the trades are used collateral. c) capture data requirements for modeling guarantor relationships >> thresholds >> jurisdiction d) add a guarantee structure that models the terms of a
guarantor relationship, e.g. - guarantor party - guaranteed party - effective and
termination dates - other terms, e.g.
products covered, documentation requirements/constraints, etc. as relevant e) begin capturing requirements for modeling other credit
support arrangements Brian promised to try to get business objectives documented
for next meeting, but it might be the following week due to the holiday this
week. AOB – Marcelle von Wendland hasn’t
received an invitation to attend, need to follow up. (This has been done
now). Next meeting ========== Monday, Nov. 30 – discuss entity modeling, aggregate reporting,
status of WD #4. |