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

attached is the Word doc proposal for agenda item #2. Thanks, Lyteck


From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of Lyteck Lynhiavu
Sent: Tuesday, August 31, 2010 6:04 PM
To: colwg@xxxxxxxx
Subject: 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


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. (see attached word doc)



Dial in details:

-        Please join the web conference


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



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 The distinction was originally made for the margin call process and kept in the proposed substitution messages.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

Attachment: col-ex26-IN1-send-interest-notification-special.doc
Description: col-ex26-IN1-send-interest-notification-special.doc