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FPML-CWG Collateral WG Meeting: Wed September 8, 2010 @ 10am New York / 3pm London

We’ll have a meeting Wednesday as usual. (updated schema and examples will follow)

Next Meeting – Wednesday September 8, 2010 @ 10am New York / 3pm London



1.       IN1 – Interest Notification (special scenario):   Richard started 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. (please review the attached Word doc)


2.       Any open questions (e.g., implementation, FpML syntax, feedback…) on the Margin Call, Substitution or Interest Processes?



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



Scenario 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 The distinction was originally made for the margin call process and kept in the proposed substitution messages.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: col-ex26-IN1-send-interest-notification-special.doc
Description: col-ex26-IN1-send-interest-notification-special.doc