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I will be joining today's call approximately 15-to-20 minutes
late.
Regarding the action item below, I talked to Miriam last week, and
we agree that the current modeling is sufficient:
c) Brian to look into modeling of 1st calculation period
payment responsibility in novations
fullFirstCalculationPeriod (boolean element) in the novation event representation is available for modeling
whether the responsibility for payment for the full first period is being
novated with the trade. Is this sufficient? >> Chris will follow up with Miriam on whether this is an issue ______________________________________________ From: owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Brian Lynn Sent: Tuesday, December 01, 2009 10:35 AM To: rptwg@xxxxxxxx Subject: FpML-RPTWG FpML Reporting WG minutes Nov 30, 2009 Attendees ======== Chris Funck, Chatham Chuck Kahl, HSBC Bruno Baccaria, Citadel Mike Kopcak, DTCC Martin Sexton, London Market Systems Ludvig Henriksson, TriOptima Matt Simpson, CME Brian Lynn, GEM Irina Yermakova, ISDA Marc Gratacos, ISDA Apologies ======== Lucio Iida, BGI Jai S., GS 1) Review status of actions a) Brian to continue developing XML
examples >> More examples to follow - FX is
remaining b) Brian to distribute updated schema >> This was done this past Tuesday c) Brian to look into modeling of 1st calculation period
payment responsibility in novations >> fullFirstCalculationPeriod (boolean
element) in the novation event representation is available for modeling whether the
responsibility for payment for the full first period is being novated with the
trade. Is this sufficient? >> Chris will follow up with Miriam on whether this
is an issue d) Brian to look into defining business requirements for
entity relationships modeling. >> Brian distributed a draft charter.
Discussion comments are below. Brian will update the charter to reflect the
feedback. e) Marc to look into business requirements on aggregate
notional reporting. 2) Discuss updated charter >> We reviewed the charter. Some feedback
included: On the entity modeling, the group agreed that the first
priority should be reporting transaction level entity relationships, and that we
should follow up with the regulators on what their requirements would be for
reporting relationships between entities (outside of a specific
transaction). However, Matt S. pointed out that regulators may wish to be
able to obtain entity relationship reference data in order to get an overall
picture of exposure where it is not worth reporting at a transaction level (e.g.
for subsidiary relationships). >> Marc commented that we will need to work out
which regulator looks at entity relationships. (The regulators’ forum initiated the
request). On the aggregate reporting, we agreed to put this at a
lower priority and to focus on gathering requirements. Marc Gratacos will
try to see if he can get some of the requirements he has seen made more
publically available. Brian agreed to discuss with Karel Engelen of ISDA
whether they would “seed” the requirements by using ISDA statistics as a test
case for the requirements. (Subsequently Brian raised this with Karel, who
said they would look into it.) 3) Discuss status of WD #4. >> Marc updated the group on status. The
schema is complete and he and Irina are working on getting the examples
organized for the reporting and confirmation views. Next steps is to put
together the documentation. He expects it to be a couple of more weeks to
complete this work, and aims to have the working draft out in
December. Next meeting =========== Dec. 7 – review charter, business requirements for entity
modeling, discuss meeting schedule |