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



Please find the latest schema and updated ex22 (IN1 - Interest Notification) example with the addition of an optional calculationFrequency (of FpML type Period). Thanks,

 

                                    <calculationFrequency>
                                               
<periodMultiplier>1</periodMultiplier>
                                               
<period>M</period>
                                   
</calculationFrequency>

 

(rename .zip-email to .zip)

 

From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of Lyteck Lynhiavu
Sent: Tuesday, September 07, 2010 12:47 PM
To: colwg@xxxxxxxx
Subject: 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

Agenda:

 

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

https://www2.gotomeeting.com/join/151660907

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

cid:image001.png@01CB43B0.CBAF9CE0

 

Illustration 2 – Interest Message Exchange – not utilizing matching service:

cid:image002.png@01CB43B0.CBAF9CE0

 

(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 The distinction was originally made for the margin call process and kept in the proposed substitution messages.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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The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.

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

Attachment: FpML_collateral_xml_20100908_51wd2.zip-email
Description: FpML_collateral_xml_20100908_51wd2.zip-email