FPML-CWG Collateral WG Meeting: Wed October 27, 2010 @ 10am New York / 3pm London

We’ll have a short collateral call tomorrow Wednesday to discuss business validation.

Next Meeting – Wednesday October 27, 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. Update on the ongoing technical review of the collateral messages by the FpML Coordination Committee and FpML 5.1WD3 deliverables (5 min)

2. Discuss business validation rules for the collateral messages: Schema validation is not sufficient. There are some business constraints that cannot be validated using an XML parser. Here are a few examples. (25 min)

- Reference

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

2. MC1 (Margin Call) – 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

- Calcultations

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

2. IN1 (Interest Notification) – the <interestAccrued><interest> amount must equal to the <cumulativeInterestAmount> at the end of the interest of the interest period (i.e., <calculationDate> = <interestPeriod><endDate>).

- Dates

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

Materials:

- Schema and examples (attached zip) (changes: retracted/rescind messages have been updated to use collateral-specific names for party references. e.g., marginCallIssuer + misc corrections to ex24, ex29)

- Documentation for download (word doc)

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

Thanks, Richard

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