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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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