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RE: FPML-CWG Collateral WG Meeting - August 11 Wed @ 10am New York / 3pm London



Yes we see this too.  Not sure it is exactly the same but in the ISDA Best Market Practice document there was a recommendation was to include through settlement date for unwinds.  

Best Practice 8.2: Unwinds
Principle
Exposure related to trades that are unwound should stay in the portfolio through settlement date.
Description
One reason for collateral call differences is due to one party dropping unwound trades from its margin calculation on the unwind date while the other party drops the same trade on settlement date. Exposure related to the unwound trades should remain in the collateralized portfolio through settlement date.

Regards

Richard
-----Original Message-----
From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of Sammy Lee
Sent: Friday, August 13, 2010 4:31 PM
To: colwg@xxxxxxxx
Subject: RE: FPML-CWG Collateral WG Meeting - August 11 Wed @ 10am New York / 3pm London

Hi Richard,

I have a question but not related to FPML

If a cds is terminated and settlement fee settle T+3 in this case does
Sell side include the settlement fee as marks to market because of
settlement risk
Of the exposure to Sell side.

Is that the case?

We have a research recently about the market practice, some sell side
include some don't.
And some client want to include and some don't.

Do you have the same experience?

Please advise


Thanks

Sam 

-----Original Message-----
From: richard.barton@xxxxxxxxxxxxxxxx
[mailto:richard.barton@xxxxxxxxxxxxxxxx]
Sent: Wednesday, August 11, 2010 9:23 AM
To: colwg@xxxxxxxx
Subject: FPML-CWG Collateral WG Meeting - August 11 Wed @ 10am New York
/ 3pm London


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