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Please find the minutes from the August 25 meeting. Let me know if I missed anything.
Participants
1.
Jesse Nolan (UBS)
2.
Joe Novellino (DB)
3.
Evelyne Piron (SWIFT)
4.
Benjamin Riley (Deloitte & Touche)
5.
Anil Panchal (GlobeOp)
6.
Kaizad Bhathena (GlobeOp)
7.
Irina Yermakova (ISDA)
8.
Lyteck Lynhiavu (ISDA)
9.
Richard Barton (Algorithmics) Apologies:
1.
Sammy Lee (GlobeOp)
2.
Marc Gratacos (ISDA) Summary
·
The group reviewed the Interest Notification (IN1)
message part of the collateral interest
process.
Many of the Margin Call types and concepts have been reused in the interest messages.
(see zip distributed with meeting invitation 8/25)
·
IN1 – Interest Notification (<requestInterest>, ex22)
·
IN1 – Interest Notification
(matching service)
(<requestInterest>, ex23)
·
Modeling changes:
o
Removed <baseCurrency> (it’s already included as part of the <accruedInterest> amount)
o
<method> can have
PhysicalSettlement or RollIn values (enumeration) (the group preferred PhysicalSettlement over Move or Distribute or Settle)
o
The group agreed additional information not part of the original requirements would be useful:
1.
Added optional <calculationType> with
Simple or Compounding values (enumeration)
2.
Added optional <index> (e.g., Fed Funds)
3.
Added optional <dayCountConvention> (e.g., ACT/360)
4.
Added optional <withholdingTax> Boolean
5.
Added optional <basisPointSpread> integer (e.g., 25 basis points)
·
Who issues the Interest Notification? participants agreed it is usually the party expecting interest that sends the IN1 notification.
·
Richard started discussing a special scenario that we may want to support in the messages:
In the case that a specific cash collateral is both held and posted during a period the parties need to decide whether to roll in the respective interest or physically settle the interest. This
will be discussed at the next meeting.
·
Richard will be away on vacation for the next 2 weeks. Lyteck will show the rest of the interest process messages (IN2/3/5) and drive the discussion
on the special scenario described above. Next meeting –
Wednesday, September 1 (invitation details to follow) The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution. |