FpML-REPO minutes - meeting 12/12 2006

All,

Below are the minute from December 12, 2006 Repo WG meeting.

Sorry for sending them out late.

You can also review all Repo WG correspondence at http://www.fpml.org/wg/mailarch.html .

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REPOWG Meeting – 12/12/2006

Next REPOWG Meeting – 01/09/2007

Participants

Sylvain Benoist (Chair) JPMorgan

Ben Glicher EquiLend

Danny Moeller Helix

Erica Choinski IBTCO

Gary Smolyanskiy Goldman Sachs

Heather Beckman Goldman Sachs

Irina Yermakova ISDA

Joshua Derrick ISITC

Marc Gratacos ISDA

Jeffrey Stephens Helix

John Singler Helix

Peter Walker Goldman Sachs

Steve Goswell BGI SF

Apology:

Arijit Dasgupta JPMorgan

Rob Longridge RBC

Discussion:

Steve Goswell and Joshua Derrick felt unclear about FpML Repo WG scope and expressed their concerns about the risk of possible FpML Repo’s overlapping with ISO Repo messages that are currently used for Repo transactions.
Repos and Stock Loans product’s scope is defined at http://www.fpml.org/documents/charter/repowgcharter.html
Sylvain reassured that the have their space and no standards are challenged in the RepoWG’s development process. There is a need for FpML Repo work to be mapped to existing Repo standards, to support their interaction. Since the FpML’s structure cannot be limited, the Repo WG should provide documentation highlighting the scope and the space of the FpML Repo product, plus defining specific rules (what pieces of the FpML messages are going to be used.)
Joshua Derrick agreed to do the mapping between the FpML model and ISO 20022’s
A quick preview of “Repo contract product architecture” showed that it needs an additional business structure. The group members will identify and write up the business part of the document for the next working group meeting.
The Sec. Lending aspects that were found missing in the current FpML Repo structure.

1. Gary Smolyanskiy presented a fie main points of Sec Lending

Sec Lending model needs to support all types of collateral
Settlement type and settlement cycle is different (Collateral can move together or separate of loaned securities.)
Different rate types like all-in-rate, benchmark rate, dividend rate, or div withholding.
There is no confirmation in Sec Lending, except for Asian market

2. Ben Glicher will do the gap analysis between REPO model and Sec Lending contract.

Midlife event does not appear in FpML confirmation messages, but in Repo it needs to be carried around for fullness of the document.
Since there is JP Morgan proposal on Settlement Instructions message, the “settlementTransfer” element will be removed from the RepoContract type.
Create a choice element between ‘bonds’ and “equity” within the RepoContract type to put constrains on underlying products.

Review current and outstanding actions:

Repo WG members will review the FpML Repo contract product architecture and propos an addition business structure.
Joshua will map the FpML Repo model with ISO 20022 and present it to the group.
Ben will do a the gap analysis between REPO model and Sec Lending contract,
Irina will update Repo schema and document with the required changes.

Feel free to send your comments if I missed any points of the discussion.

Regards,

Irina Yermakova