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