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FPML-CWG Collateral WG Meeting: Wed October 20, 2010 @ 10am New York / 3pm London



We’ll have a collateral call tomorrow Wednesday. Materials attached.

Next Meeting – Wednesday October 20, 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.       Review the documentation for the Substitution and Interest processes which will be published in the upcoming FpML 5.1 WD3 (see word doc)

 

2.       FYI, attached zip contains the latest schema including valid interest examples. In particular:

-          interest payment in one direction (see ex22)

-          interest payment in one direction (using matching service) (see ex23)

-          interest payment in one direction (with calculation details) (see ex24)

-          Interest payments in both directions (netted) (see ex25)

-          Interest payments in both directions (gross) (see ex26)

-          interest statement (see ex22)

 

3.       Discuss business validation rules for the collateral messages: Schema validation is not sufficient. There are some business constraints that cannot be validated using a parser. Here are a few examples. We need to develop more.

 

-          Reference MC1 (Request Margin) – in <markToMarket>, the direction of each <exposure>, indicated using party references (exposedPartyReference / obligatedPartyReference) must not be the same

-          Reference MC1 (Request Margin) – in <marginRequirement>, the direction of <deliver> and <return> (indicated using party references: deliveringPartyReference / receivingPartyReference), for variation margin or independent amount, must not be the same

-          Dependencies MC1 (Request Margin) – the <marginCallAmount> must be the sum of the <deliver> amount and the <return> amount for a given variation margin or independent amount requirement.

-          Dates IN1 (Interest Notification) – in <interestCalculationDetails>, the <calculationDate> must be within the range specified by the <interestPeriod> start date and end date.

 

 

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

 

Thanks, Lyteck



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Attachment: FpML_collateral_xml_20101020_51wd3.zip-email
Description: FpML_collateral_xml_20101020_51wd3.zip-email

Attachment: FpML_collateral_documentation_51wd3_draft4.doc
Description: FpML_collateral_documentation_51wd3_draft4.doc