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FPML-CWG Collateral WG Meeting Minutes - September 8, 2010



Please find the minutes for today’s September 8 meeting.

 

Participants

1.       Benjamin Riley (Deloitte & Touche)

2.       Tom Ciulla (Deloitte & Touche)

3.       Tom Brown (OMGEO)

4.       Jesse Nolan (UBS)

5.       Simone Milani-Foglia (LCH Clearnet)

6.       Harry McAllister (BNPP)

7.       Irina Yermakova (ISDA)

8.       Lyteck Lynhiavu (ISDA)

 

Apologies:

1.       Anil Panchal (GlobeOp)

2.       Sammy Lee (GlobeOp)

3.       Kaizad Bhathena (GlobeOp)

4.       Richard Barton (Algorithmics)

 

Summary

·         IN1 Interest Notification – special scenario (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 did not discuss the topic in detail. The discussion will be deferred to the next meeting when Richard and more people are back. Ben noted he hasn’t seen the scenario but that it could happen and there should be contingency support in the messages. Harry seconded Ben but couldn’t comment on this specific business case.   àaction item # 1

 

·         The group had no open questions on the Margin Call, Substitution or Interest Processes. The call was ended early.

 

Deliverables / Release schedule

·         Margin Call process (published 5.1 WD1 in August. schema, examples and doc available on FpML.org)

·         Substitution and Interest Processes (to be published in FpML 5.1 WD2 early October) (latest schema and examples are included in the attached zip. Rename .zip-email to .zip)

 

Action Items

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 15

 



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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