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


Harry McAllister
| Information Architect | Fixed Income Architecture | BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
: +44 (0)20 7595 3416 | email :


Sent by: owner-colwg@xxxxxxxx

01/09/2010 04:03

Please respond to

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
Tuesday, August 31, 2010 6:04 PM
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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