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
Illustration 2 – Interest Message Exchange – not utilizing matching service:
(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The distinction was originally made for the margin call process and kept in the proposed substitution messages.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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