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FPML-CWG Collateral WG Meeting Minutes - September 15, 2010 (updated)

Please find the minutes for the September 15 meeting. (amended in brown)



1.       Anil Panchal (GlobeOp)

2.       Benjamin Riley + Sam (Deloitte & Touche)

3.       Tom Ciulla (Deloitte & Touche)

4.       Joe Novellino (DB)

5.       Evelyne Piron (SWIFT)

6.       Simone Milani-Foglia (LCH Clearnet)

7.       Irina Yermakova (ISDA)

8.       Lyteck Lynhiavu (ISDA)

9.       Richard Barton (Algorithmics)



1.       Tom Brown (OMGEO)

2.       Jesse Nolan (UBS)




·         IN1 Interest Notification – special scenario the group discussed the case where a specific cash collateral is both held and posted during an interest period. A couple of options were presented to represent gross and net treatments; the content model will need to support both the scenarios (standard, single cash payment & cash movement in both directions) à Richard and Lyteck will refine the proposal


·         Documentation The group reviewed the high-level documentation for the Substitution and Interest Processes that will be included in FpML 5.1 WD2 scheduled early October. More details will be added over the coming weeks and submitted to the group for review.


·         Evelyne mentioned the possible addition of an interest statement message for alignment with the ISO messages – to be discussed at the next meeting.


·         Substitution Process: Do we need to distinguish between variation margin and segregated independent amount for a substitution request? The group agreed to keep the content model unchanged as is readily allows for that common scenario. E.g., collateral substitution could be requested only for variation margin, for example.


Next meeting – Wednesday, September 22


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