attached is the Word doc proposal for agenda item #2. Thanks, Lyteck
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
Illustration 1 - Interest Message Exchange – utilizing matching service
Illustration 2 – Interest Message Exchange – not utilizing matching service:
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 The distinction was originally made for the margin call process and kept in the proposed substitution messages.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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