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Re: FPML-CWG Collateral WG Meeting Minutes - September 15, 2010 (updated)
Regret I have to offer apologies for
today's meeting (22 September).
Harry McAllister | Information Architect | Fixed Income Architecture
| BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
tel: +44 (0)20 7595 3416 | email : harry.mcallister@xxxxxxxxxxxxxx
Sent by: owner-colwg@xxxxxxxx
Please respond to
|FPML-CWG Collateral WG Meeting Minutes
- September 15, 2010 (updated)|
Please find the minutes for the September
15 meeting. (amended in
1. Anil Panchal (GlobeOp)
2. Benjamin Riley
+ Sam (Deloitte & Touche)
3. Tom Ciulla (Deloitte
4. Joe Novellino (DB)
5. Evelyne Piron (SWIFT)
6. Simone Milani-Foglia
7. Irina Yermakova
8. Lyteck Lynhiavu
9. Richard Barton
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.
mentioned the possible addition of an interest statement
message for alignment with the ISO messages – to be discussed at the next
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,
Next meeting –
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