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

Hi Richard

Further to our discussions on today call I am forwarding few samples of Interest Statement. The Client and the Counterparty names are removed from the PDF file.

Thanks & Regards

Anil Panchal
Manager OTC-Collateral
GlobeOp Financial Services
801/802, Interface 11, Malad (W)
Mumbai 400064, India.
Phone : (91-22) -40948635

www.globeop.com

P Please consider the environment before printing this e-mail.

From: owner-colwg@xxxxxxxx [mailto:owner-colwg@xxxxxxxx] On Behalf Of richard.barton@xxxxxxxxxxxxxxxx
Sent: Wednesday, September 29, 2010 10:08 AM
To: colwg@xxxxxxxx
Subject: 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> 
                                                                <dayCountConvention>ACT/360</dayCountConvention>
                                                                <withholdingTax>true</withholdingTax>
                                                                <basisPointSpread>30</basisPointSpread>
                                                </calculationTerms>
                                                <interestCalculationDetails>
                                                                <calculationDate>2010-08-01Z</calculationDate>
                                                                <notionalAmount>600000</notionalAmount>
                                                                <movementAmount>100000</movementAmount> 
                                                                <deliveringPartyReference href="party1"/>
                                                                <receivingPartyReference href="party2"/>
                                                                <effectivePrincipalAmount>600000</effectivePrincipalAmount>
                                                                <interestRate>0.43</interestRate>
                                                                <basisPointSpread>30</basisPointSpread>
                                                                <effectiveRate>0.40</effectiveRate>
                                                                <accruedInterest>666.66</accruedInterest> 
                                                                <aggregatedInterestAmount>666.66</aggregatedInterestAmount>
                                                </interestCalculationDetails>
                                                <interestCalculationDetails>
                                                                <calculationDate>2010-08-02Z</calculationDate>
                                                                <notionalAmount>600000</notionalAmount> 
                                                                
                                                                <effectivePrincipalAmount>600000</effectivePrincipalAmount>
                                                                <interestRate>0.42</interestRate> 
                                                                <basisPointSpread>30</basisPointSpread>
                                                                <effectiveRate>0.39</effectiveRate>
                                                                <accruedInterest>650.00</accruedInterest> 
                                                                <aggregatedInterestAmount>1316.66</aggregatedInterestAmount>

</interestCalculationDetails>

                                                 …
                                </interestAccrued>
                </singleDirection>
…

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

Thanks, Richard

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