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FPML-CWG Collateral WG Meeting Minutes - September 1, 2010

Please find the minutes from today’s September 1 meeting. Let me know if I missed anything. Thanks, Lyteck



1.       Benjamin Riley (Deloitte & Touche)

2.       Anil Panchal (GlobeOp)

3.       Evelyne Piron (SWIFT)

4.       Sammy Lee (GlobeOp)

5.       Jesse Nolan (UBS)

6.       Simone Milani-Foglia (LCH Clearnet)

7.       Irina Yermakova (ISDA)

8.       Lyteck Lynhiavu (ISDA)



1.       Kaizad Bhathena (GlobeOp)

2.       Tom Brown (OMGEO)

3.       Harry McAllister (BNPP)

4.       Richard Barton (Algorithmics)



·         IN1 Interest Notification – special scenario the group discussed the case where 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.  The group had no immediate comments on either option 1 or option 2 described in the Word proposal.

àaction item # 1


·         IN2/IN3/IN5: combined response The group reviewed the response to the interest notification. As with other processes, we’ve have a flexible response that can handle multiple scenarios (using Booleans and reason codes)

·         IN2/IN3/IN5 – Accept/Reject Date/Dispute Interest                                  (<interestStatus>, ex24)

·         IN2/IN3/IN5 – Accept/Reject Date/Dispute Interest (matching service)   (<interestStatus>, ex25)


·         Matching Service or not: The FpML messaging framework can easily handle bilateral exchange or transactions involving a third party, like a matching service. This can be done through the <header> found in all FpML messages with little overhead or without having to define extra fields. E.g., the difference between ex22 vs. ex23 (matching) or between ex24 vs. ex25 (matching) is essentially a couple of changes in the message header. The payload does not change.


·         Modeling changes:

o   <index> (e.g., Fed Funds, LIBOR) is referencing FpML coding scheme: floating-rate-index. We may consider reusing the existing FpML <floatingRateIndex>

o   <dayCountConvention> (e.g., ACT/360) is referencing FpML coding scheme: day-count-fraction

o   add Calculation Frequency. Evelyn noted the ISO message includes a calculation frequency that we may want to include. GlobeOp and UBS have only seen monthly calculation frequencies (1M). The group agreed it made sense to include an optional element to capture calculation frequency should it ever be different/for greater flexibility.


Action Item

Action Item # 1 à Everyone to review the IN1 proposal (special scenario) and feel free to comment by email. We will discuss next week. (attached word document)


Next meeting – Wednesday, September 8

We will have an open session for anyone who has any questions on any of the messages we’ve developed so far for the Margin Call, Substitution, and Interest processes. We’ll start with latest changes to the interest messages first (~1/2 hr).


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