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FPML-CWG Collateral WG Meeting: Wed September 1, 2010 @ 10am New York / 3pm London



We’ll have a meeting Wednesday as usual.

Next Meeting – Wednesday September 1, 2010 @ 10am New York / 3pm London

Agenda:

1.       We will continue the review of interest process messages. In particular, the response (IN2/IN3/IN5)

 

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

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

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

·         IN2/IN3/IN5 – Accept/Reject Date/Dispute Interest (matching service)   (<interestStatus>, ex25)

 

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

 

2.       IN1 – Interest Notification (special scenario):  Last week Richard closed the meeting by 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. (I will forward a couple of proposals prior to the meeting)

 

 

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

 

 

Scenario 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)

 

 

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 The distinction was originally made for the margin call process and kept in the proposed substitution messages.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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Attachment: FpML_collateral_xml_20100901_51wd2.zip
Description: FpML_collateral_xml_20100901_51wd2.zip