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FPML-CWG Collateral WG Meeting: Wed September 29, 2010 @ 10am New York / 3pm London

We’ll have a meeting this Wednesday as usual.

Next Meeting – Wednesday September 29, 2010 @ 10am New York / 3pm London

Dial in details:

-          Please join the web conference:

https://www2.gotomeeting.com/join/151660907

Meeting ID: 151-660-907

 

-          Join the conference call:

US Dial-in:                      888-481-3032

UK Toll Free:                  0800 904 7961

International Dial-in:    617-801-9600

Passcode:                       8682747

 

Agenda:

 

1.       Discuss the proposed implementation of Interest Calculation Details. calculations can be added to the following messages:

1.       The IN1 message (see col-ex24-IN1-send-interest-notification-special.xml)

2.       A new, standalone Interest Statement message (col-ex27-IN-interest-calculation-statement.xml)

 

Below is an example of the new <interestCalculationDetails>:

 

…

<interestPeriod>
                <startDate>2010-08-01Z</startDate>
                <endDate>2010-08-31Z</endDate>
</interestPeriod>
<interestRequirement>
                <variationMargin>
                                <singleDirection>
                                                <treatment>
                                                      <valueDate>2010-09-02Z</valueDate>
                                                      <method>PhysicalSettlement</method>
                                                </treatment>
                                                <interestAccrued>
                                                   <deliveringPartyReference href="party1"/>
                                                   <receivingPartyReference href="party2"/>
                                                   <interest>
                                                         <currency>USD</currency>
                                                         <amount>2000</amount>
                                                   </interest>
                                                   <calculationTerms>
                                                                <calculationType>Simple</calculationType>
                                                                <index>EUR-EONIA-Swap-Index</index> <!-- libor -->
                                                                <dayCountConvention>ACT/360</dayCountConvention>
                                                                <withholdingTax>true</withholdingTax>
                                                                <basisPointSpread>30</basisPointSpread>
                                                   </calculationTerms>
                                                   <interestCalculationDetails><!-- calculations for 1st day of period -->
                                                                <calculationDate>2010-08-01Z</calculationDate>
                                                                <notionalAmount>600000</notionalAmount>
                                                                <movementAmount>100000</movementAmount> <!-- new collateral held -->
                                                                <deliveringPartyReference href="party1"/>
                                                                <receivingPartyReference href="party2"/>
                                                                <effectivePrincipalAmount>600000</effectivePrincipalAmount>
                                                                <interestRate>0.43</interestRate>
                                                                <basisPointSpread>30</basisPointSpread>
                                                                <effectiveRate>0.40</effectiveRate>
                                                                <accruedInterest>666.66</accruedInterest> <!-- (0.40 * 600,000) / 360  -->
                                                                <aggregatedInterestAmount>666.66</aggregatedInterestAmount>
                                                </interestCalculationDetails>
                                                <interestCalculationDetails><!-- calculations for 2nd day of period -->
                                                                <calculationDate>2010-08-02Z</calculationDate>
                                                                <notionalAmount>600000</notionalAmount> <!-- simple compounding -->
                                                                <!-- no movement on that day, <movementAmount> omitted -->
                                                                <effectivePrincipalAmount>600000</effectivePrincipalAmount>
                                                                <interestRate>0.42</interestRate> <!-- 0.01 lower on the 2nd day -->
                                                                <basisPointSpread>30</basisPointSpread>
                                                                <effectiveRate>0.39</effectiveRate>
                                                                <accruedInterest>650.00</accruedInterest> <!-- (0.39 * 600,000) / 360  -->
                                                                <aggregatedInterestAmount>1316.66</aggregatedInterestAmount> <!-- = 666.66+650  -->

<!-- the aggregated value for the last day of the period would correspond to the amount  captured in <interestAccrued><interest> -->
                                                </interestCalculationDetails>

                                                 …
                                </interestAccrued>
                </singleDirection>
…

 

 

 (Ref http://www.isda.org/c_and_a/pdf/Electronic-Messaging.pdf)

 

Thanks, Richard

 

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Attachment: FpML_collateral_xml_20100929_51wd2.zip-email
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