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FPML-CWG Collateral WG Meeting Minutes - September 22, 2010



Please find the minutes for the September 22 meeting.

 

Participants

1.       Jesse Nolan (UBS)

2.       Anil Panchal (GlobeOp)

3.       Kaizad Bhathena (GlobeOp)

4.       Sammy Lee (GlobeOp)

5.       Joe Novellino (DB)

6.       Evelyne Piron (SWIFT)

7.       Irina Yermakova (ISDA)

8.       Lyteck Lynhiavu (ISDA)

9.       Richard Barton (Algorithmics)

 

Apologies:

1.       Tom Brown (OMGEO)

2.       Simone Milani-Foglia (LCH Clearnet)

3.       Benjamin Riley (Deloitte & Touche)

4.       Harry McAllister (BNPP)

5.       Shyam Yadav (eClerx)

 

 

Summary

·         IN1 Interest Notification –Richard reviewed the updated content model which can also handle the case where a specific cash collateral is both held and posted during an interest period.

·         Kaizad questioned the value of <singleDirection> and <bothDirections> containers. Richard noted the discussed ex26-IN1 message shows all optional elements as well as all 3 variations (single cash payment vs cash payments in both directions (net) vs cash payments in both directions (gross)) For most cases a short IN1 message using <singleDirection> showing the total interest accrued would suffice.

·         Kaizad noted net/gross treatment need to also be considered in the Response message. The fact that the treatment is included in the IN1 notification might be a matter of preference / prior agreement between the two firms but could be specified (overridden) in an interest response message (IN2/3/5).

 

·         Calculation Frequency removed: the <calculationFrequency> that was added to the previous draft will be removed. The group agreed the optional field didn’t add value to the presence of existing interest period <startDate> and <endDate>.

 

·         Interest Statement: The group recognized the added value to include interest statement details showing how the interest was calculated. Anil noted interest statements can be sent separately, irrespective of the interest notification, and can also be used for audit purposes. Therefore a separate message is needed. The calculations are also useful in the context of the interest notification.

à we will add a new “interest calculation details” structure that can be included in both the IN1 Interest Notification and in a new message “Interest Statement”. Both messages will have similar content model, except the IN1 message will require the treatment blocks (whether <treatment>, <netTreatment> or <grossTreatment>). The interest calculation details would replace the <closing/openingCollateralBalance>.

               

Next meeting – Wednesday, September 29

 

 


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