CDM Collateral Working Group - April 29th, 2025

[eteridvalishvili]

CDM Collateral Working Group Minutes

Meeting Host: Vernon Alden Smith, ISDA

April 29th, 2025 - 10 am EST / 3 pm BST

Untracked attendees

Meeting notices

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Agenda

• Convene & roll call (5mins)
• Display FINOS Antitrust Policy summary slide
• Review Meeting Notices (see above)
• Approve Past Meeting Minutes
  • CDM Collateral Working Group - March 25th, 2025 #3535
• Meeting slides April 29th 2025
  ISDA Common Domain Model - Collateral WG 29th April 2025.pdf
• AGENDA 1 - Transforming Legacy CSAs into CDM with AI– David Lee ISDA
• AGENDA 2 - CDM Equity Index representation for Eligible Collateral terms
• AGENDA 3 - Improvements to CDM based on further review of Eligible Collateral Schedule examples provide by members
• CDM Collateral WG
• AOB, Q&A & Adjourn (5mins)

Minutes- @eteridvalishvili

• Transforming Legacy CSAs into CDM with AI - David Lee ISDA

  • Presentatation on project benchmarking generative AI for extracting clauses from non-digitized CSAs and standardizing them into CDM. Highlighting the benefits of using LLMs over traditional AI, the enhanced accuracy with domain-specific knowledge, and the effectiveness of a multi-agent AI framework. A white paper on this research is in progress.

• CDM Equity Index representation for Eligible Collateral terms

  • @Oscar-Twomey proposed adding an equity index enum to the CDM, similar to existing enums for floating and inflation rates. This would give a standardized label for different equity indexes used in collateral schedules, complemented by existing asset identifiers.

• Improvements to CDM based on further review of Eligible Collateral Schedule examples provide by members

  • @Oscar-Twomey presented findings from reviewing member-provided collateral schedules.

    • Bug in Setting Concentration Limits: A bug was identified where the model forced a single choice of collateral criteria within concentration limit criteria, preventing the representation of other concentration limit types. A solution involving relaxing cardinality or setting conditions is being worked on.

    • Cardinality Around Valuation Treatments: The current model allows only one collateral treatment. Sample schedules indicated a need for multiple treatments (e.g., percentage haircut and FX haircut). A proposal to change the cardinality to allow multiple treatments was discussed, with a suggestion to add a condition preventing duplicate treatment types.

    • Other Potential Extensions: @valdensmith mentioned the need to correctly represent mortgage-backed securities and depository receipts in the eligible collateral area.

Meeting Summary & Actions-

• ACTION 1 - Following the presentation foe agenda item 1 (Generative AI for CSA Clause Extraction and CDM Representation). If members have any further questions please contact David Lee (ISDA) mailto:DLee@isda.org
• ACTION 2 - As discussed in agenda item 2. ISDA will finalise a proposal to support the referencing of Equity market indexes via an enumeration choice, but also have the ability to define something not in the list. Some challenges were raised relating to maintenance of such an approach, these will be further discussed prior to any contributions made.
• ACTION 3 - As discussed in agenda item No 3. ISDA will proceed with a solution to solve the concentration limit bug related to cardinality issue on the choice condition (shown on slides 13 -14) This will need to be resolved and contributed to CDM as soon as possible as it currently restricts the user for the eligible collateral use case.
• ACTION 4 - As discussed in agenda item No 3. The proposal to relax the cardinality on valuation treatments will allow the application of 2 or more different haircuts to be applied toa given collateral criteria. However it was raised in discussion that this will not stop the user from specifying 2 haircuts of the same type (condition will be required to solve this).
  As agreed on the WG meeting, Vernon (ISDA) will arrange a follow up with Tom Healey (ICMA) to review options and also look at the impact of haircuts that are applied directly to trade product.
  Further analysis will be required to ensure the correct approach is taken and will be presented to the working group in due course.
• ACTION 5 - ISDA will continue the review of eligible collateral schedules provided by members to conclude preparation for publishing CDM test data. Further proposals to close CDM model gaps across the following areas will be addressed and presented to the working group at future meetings:
  • Add mortgage-backed security to DebtClassEnum
  • Inclusion of Depositary Receipts (ADR, GDR, IDR)
  • Conditional logic for handling following case: “When bonds do not have long term security rating, long term issuer rating will apply”.
  • Inclusion of wrapped or insured debt type

Zoom info

Join Zoom Meeting
https://zoom.us/j/96084284579?pwd=QTJ3bTBrMURkWXA1S0owa1djaEVIUT09
Meeting ID: 960 8428 4579
Passcode: 477790

Find your local number: https://zoom.us/u/aoBkYnW9l

[valdensmith]

Vernon A-S ISDA

[eteridvalishvili]

Eteri / FINOS

[paesdan]

Daniel Paes / SBI Group

[Oscar-Twomey]

Oscar Twomey / REGnosys

[GerryDenham]

GerryDenham/Eurex

[LionelSG-REGnosys]

Lionel Smith-Gordon / REGnosys

[dharm-kapadia]

Dharm Kapadia / EquiLend

[CrisSearle]

Cris Searle / Clearstream

[Previn-Singh]

Previn Singh - Kaleidoscope

[adamulman]

Adam Ulman / Smart Stream

[KHVermeg8686]

Khaled Hassani/ VERMEG