Please find the
minutes for the September 15 meeting. (amended in
brown)
Participants
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)
Apologies:
1.
Tom Brown (OMGEO)
2.
Jesse Nolan (UBS)
Summary
·
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