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RE: FPML-CWG Collateral WG Meeting: Wed August 25, 2010 @ 10am New York / 3pm London



Can't make it today due to conflict.
 
Sam


From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of richard.barton@xxxxxxxxxxxxxxxx
Sent: Wednesday, August 25, 2010 7:33 AM
To: colwg@xxxxxxxx
Subject: FPML-CWG Collateral WG Meeting: Wed August 25, 2010 @ 10am New York / 3pm London

We’ll have a meeting Wednesdsay as usual.

Next Meeting – Wednesday August 25, 2010 @ 10am New York / 3pm London

Agenda:

We will discuss the interest process.  Please review the two options defined within the original ISDA Working Group Requirements (see illustrations 1 and 2 below).  This meeting will discuss the requirements and determine how to approach them from an FpML perspective.

 

·         IN1 – Interest Notification                                                           (<requestInterest>, ex22)

·         IN1 – Interest Notification (matching service)                     (<requestInterest>, ex23)

·         IN2/IN3/IN5 – Accept/Reject Date/Dispute Interest        (<interestStatus>, ex24)

 

(see schema & examples attached in zip file / rename .zip-email to .zip)

 

Dial in details:

-          Please join the web conference

https://www2.gotomeeting.com/join/151660907

Meeting ID: 151-660-907

 

-          Join the conference call:

US Dial-in:                      888-481-3032

UK Toll Free:                  0800 904 7961

International Dial-in:    617-801-9600

Passcode:                       8682747

 

 

Illustration 1 – Interest Message Exchange – utilizing matching service

cid:image001.png@01CB43B0.CBAF9CE0

 

Illustration 2 – Interest Message Exchange – not utilizing matching service

 

cid:image002.png@01CB43B0.CBAF9CE0

 

(Ref http://www.isda.org/c_and_a/pdf/Electronic-Messaging.pdf p.9)

 

 

 

Supporting information that explains how the FpML messaging framework can handle the interest process using matching service:

 

Excerpt from FpML 5.1 section 3.2.12.1 “onBehalfOf”

The FpML neutral view principle when combined with some of the notifications for post-trade processes and a common third party such as a custodian results in situations where the third party can not easily tell which side of the trade he is supposed to be processing.

For example, parties A and B negotiate a trade and then send a contract execution notification to their common custodian C. The custodian may be able to figure out which side of the trade to process by means of the message sender’s identity but as a single sender identity might be used by several legally separate trading divisions within the same company group determining the correct party might require extensive organisational reference data. This approach would also fail for internal book-to-book deals where both sides would originate from the same sender.

What is needed is an explicit indication of the party for whom the trade should be processed included in every message. In the case of book-to-book trades this information should use account references to further qualify the party. For example:

 <someRequest>

  <header>

    … Basic message details

  </header>

  …

  <onBehalfOf>

    <partyReference href=""/>

    <accountReference href=""/>

  </onBehalfOf>

  … Request specification here

</someRequest>

 

 

Excerpt from FpML 4.9 section 3.2.2 “The Base Message”

                …

·         inReplyTo contains the unique identifier for the request message that is being responded to.

·         sentBy identifies the system or party sending a message.

·         sendTo identifies the systems or parties who will receive a message and should act upon it.

·         copyTo identities other systems or parties who will receive a message but who do not have to act upon it.

 

 

Substitution Process – outstanding question:

·         Do we need to distinguish between variation margin and segregated independent amount for a substitution request? The distinction was originally made for the margin call process and kept in the proposed substitution messages. This is an open question for the group.

 

 

 

 


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