Participants
Sreedhar Segu (DTCC)
Brian Lynn (GEM)
Christian Unger (BBH)
Lyteck Lynhiavu (ISDA)
John Avery (Sungard)
Marc Gratacos (ISDA)
Peter Stockman (DTCC)
Apologies
Matt Simpson (CME)
Harry McAllister (BNPParibas)
Jonathan Viljoen (Standard Bank)
DTCC's proposal
- Sreedhar went through the example. Participants were ok with it. There were some comments on how users wold report for multi-currency trades, whether it would be reported with a message per currency or multiple currencies in the same message. It will probably
depend on implementations.
- In the previous call, Peter Stockman suggested adding an optional element to indicate how the netting for multiple trades is being done, by unit (commodity trades), by currency, by counterparty, etc.
- Documentation needs to be added to clarify the use of the Netted cashflows vs. current trade cashflows messages.
- Response, exception, and retraction messages need to be added for completion.
- Sreedhar pointed that they only allow messages up to 100k so for reconciliation processes, they'd like to have a way to express whether all messages have been submitted for reconciliation and how many to expect (message number / total of messages). There
is current a flag in the portfolio rec messages to indicate whether the submission is complete but not how many messages to expect.
- The proposal of the messages will probably be included in 4.9 and 5.1.
- Action: To create more samples (Sreedhar), documentation and remaining messages (Marc), to propose type of netting element (Peter)
CME's proposal
- Brian took a look at the exiting payment types (SimplePayment, PaymentMatching, etc.). It seems feasible to be able to combine the existing content of the types using xsd:groups to create a model for the CME proposal.
- Action: Brian to send existing payment types to see design of cashflow for Position Reporting.
AOB
- In the FXWG there was an interest to create a file containing the XPath expressions of the elements to be reported in different types of reports.
- Action: The Reporting WG should discuss it.
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