Hi Lyteck,
I will not be able to attend today due to
a conflict. My apologies.
Thanks...Tom
Office: 617-856-2682
Cell: 617-283-5200
From: owner-
Sent: Tuesday, August 31, 2010
11:03 PM
To: '
Subject: FPML-CWG RE: Collateral
WG Meeting: Wed September 1, 2010 @ 10am
attached is the Word doc proposal for
agenda item #2. Thanks, Lyteck
From: owner-
Sent: Tuesday, August 31, 2010
6:04 PM
To:
Subject: FPML-CWG Collateral WG
Meeting: Wed September 1, 2010 @ 10am
We’ll have a
meeting Wednesday as usual.
Next
Meeting – Wednesday September 1, 2010 @ 10am
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. (see attached word doc)
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
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 The distinction was originally
made for the margin call process and kept in the proposed substitution messages.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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