[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: FpML-BP Cash flow Matching, Netting and Settlement Guidelines
Hi Sreedhar,
Please see my
response to your query, below.
Best regards,
Harry
__________________________________________________________________________
Harry McAllister | Information Architect | Fixed Income Architecture
| BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
tel: +44 (0)20 7595 3416 | email : harry.mcallister@xxxxxxxxxxxxxx
Internet
ssegu@xxxxxxxx
Sent by: bpwg@xxxxxxxx
02/06/2010 20:36
|
Please respond to
bpwg@xxxxxxxx |
|
|
To
| bpwg@xxxxxxxx
|
|
cc
| rptwg@xxxxxxxx
|
|
Subject
| Re: FpML-BP Cash flow Matching, Netting
and Settlement Guidelines |
|
Hi All,
In continuation with the previous BP/RPT WG meeting discussion,
I am attaching modified schemas to implement NettedTradeCashflowsAsserted.
As proposed and agreed by the WG members changes to the existing TradeCashflowsAsserted
structure are kept minimum.
Following are the required changes to implement NettedTradeCashflowsAsserted.
Option 1:
• Added NettedTradeCashflowsAsserted complex type in the fpml-reconciliation-4-8.xsd
which will have similar structure as TradeCashflowsAsserted.
• Added PartyTradeIdentifierReference complex type in fpml-shared-4-8.xsd
• Added partyTradeIdentifierReference element of type PartyTradeIdentifierReference
in GrossCashflow complex type (fpml-reconciliation-4-8.xsd).
(Please see fpml-reconciliation-4-8_NettedTradeCashflowsAsserted.xsd,
fpml-shared-4-8_NettedTradeCashflowsAsserted.xsd schemas).
Option 2:
• Added NettedTradeCashflowsAsserted complex type in the fpml-reconciliation-4-8.xsd
which will have similar structure as TradeCashflowsAsserted.
• Added partyTradeIdentifier element of type PartyTradeIdentifier in GrossCashflow
complex type in the fpml-reconciliation-4-8.xsd
(Please see fpml-reconciliation-4-8_NettedTradeCashflowsAsserted_partyTradeIdentifier.xsd
schema).
As suggested by Harry, Option 1 looks more promising than option 2.
Harry, in your suggestion below to implement NettedTradeCashflowsAsserted,
why do we need to "Create a group NettedTradeCashflows.model, identical
to TradeCashflows.model except for multiple (unbounded) occurrence of tradeIdentifyingItems".
"partyTradeIdentifier" element in tradeIdentifyingItems is already
unbound. So probably we can use one tradeIdentifyingItems element and multiple
partyTradeIdentifier elements. Your thoughts?
- The documented role of tradeIdentifiyingItems
is to define "one or more trade identifiers allocated to the
trade by a party". Note that "the trade" is singular,
also that the associated tradeDetails block refers to the details
of exactly one trade.
Agreed,
partyTradeIdentifier has multiple occurrence within tradeIdentifiyingItems
- but I believe the intention is to permit the inclusion of multiple
partyTradeIdentifier blocks for the same trade, with each
partyTradeIdentifier belonging to a different party
- not multiple partyTradeIdentifier blocks for multiple
distinct trades, as per your suggested usage. This would be consistent
with usage seen elsewhere in FpML.
I hope that makes sense ...?
Also attaching initial DTCC proposal to add tradeId element in the GrossCashflow
section as well as ISDA Cashflow Matching, Netting and Settlement Guidelines
for reference.
Thanks,
Sreedhar.
------------------------------------------------------------
The Depository Trust & Clearing Corporation
DTCC : Business Analysis & Design
55 Water Street - New York, NY 10041
Office : 212 855 2364
| Sreedhar Segu/DTCC
05/28/2010 01:45 PM
|
|
To
| bpwg@xxxxxxxx
|
|
cc
| mgratacos@xxxxxxxx
|
|
Subject
| Re: FpML-BP Cash flow Matching, Netting
and Settlement GuidelinessLink |
|
Harry,
Your proposal looks interesting and make sense to
me. I will try to work using this approach.
Thanks for your thoughts.
Thanks,
Sreedhar.
------------------------------------------------------------
The Depository Trust & Clearing Corporation
DTCC : Business Analysis & Design
55 Water Street - New York, NY 10041
Office : 212 855 2364
harry.mcallister@xxxxxxxxxxxxxxxxx
Sent by: bpwg@xxxxxxxx
05/28/2010 01:18 PM
|
Please respond to
bpwg@xxxxxxxx |
|
|
To
| bpwg@xxxxxxxx
|
|
cc
| mgratacos@xxxxxxxx
|
|
Subject
| Re: FpML-BP Cash flow Matching, Netting
and Settlement Guideliness |
|
All,
Please see attached a (very) draft proposal for a revised "NettedTradeCashflowsAsserted"
message structure, to support assertion of cashflows netted across multiple
trades. The proposal is presented in the expectation of criticism and further
modification (I don't lay any claims to expertise in the cashflow matching
domain).
Changes to the existing TradeCashflowsAsserted structure are kept to a
minimum, consistent with supporting the extended functional requirement:
- Created group NettedTradeCashflows.model,
identical to TradeCashflows.model except for multiple (unbounded) occurrence
of tradeIdentifyingItems
- Created complex type PartyTradeIdentifierReference,
a reference element intended to point to an instance of PartyTradeIdentifier
(almost surprised we don't have this in the standard already ...).
- Modified complex type GrossCashflow,
adding optional element partyTradeIdentifierReference, following
cashflowId.
I considered
specialising GrossCashflow to restrict the existence of partyTradeIdentifierReference
to the "Netted" message, but this would require creation
of new types for each component of the PaymentMatching/CalculationDetails/GrossCashflow
type hierarchy, with little obvious benefit (the presence of an optional,
single-valued grossCashflow/partyTradeIdentifierReference within
the non-netted message is not obviously harmful).
In the proposed use, a single tradeIdentifyingItems block would
be produced for each trade against which payments are asserted for reconciliation,
for example:
<tradeIdentifyingItems>
<partyTradeIdentifier
id="aardvark">
<partyReference
href="DTCC00006440"/>
<tradeId
tradeIdScheme="TradeRefNbr">0000000001000000</tradeId>
</partyTradeIdentifier>
</tradeIdentifyingItems>
- Note the addition of the id attribute
on partyTradeIdentifier - I have used a nonsense value to emphasise
that the id/href value must not be processed as business content - in practice,
the id would likely be auto-generated from the trade identifier,
for ease of implementation and to guarantee uniqueness.
Then a cashflow referencing the identified trade as its parent would look
like:
<grossCashflow>
<cashflowId>Trade1354248_2318819</cashflowId>
<partyTradeIdentifierReference
href="aardvark"/>
<payerPartyReference
href="abcref"/>
<receiverPartyReference
href="xyzref"/>
<cashflowAmount>
<currency>USD</currency>
<amount>41.13</amount>
</cashflowAmount>
<cashflowType
cashflowTypeScheme="http://www.fpml.org/coding-scheme/cashflow-
type">AssignmentFee</cashflowType>
</grossCashflow>
This is a little neater than producing a full partyTradeIdentifier block
within each grossCashflow.
I attach a copy of the modified schema (lazy implementation, all in one
file - PartyTradeIdentifierReference properly belongs in fpml-shared).
Best regards,
Harry
__________________________________________________________________________
Harry McAllister | Information Architect | Fixed Income Architecture
| BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
tel: +44 (0)20 7595 3416 | email : harry.mcallister@xxxxxxxxxxxxxx
Internet
ssegu@xxxxxxxx
Sent by: bpwg@xxxxxxxx
28/05/2010 16:11
|
Please respond to
bpwg@xxxxxxxx |
|
|
To
| bpwg@xxxxxxxx
|
|
cc
| rptwg@xxxxxxxx
|
|
Subject
| FpML-BP Cash flow Matching, Netting
and Settlement Guideliness |
|
Thanks,
Sreedhar.
------------------------------------------------------------
The Depository Trust & Clearing Corporation
DTCC : Business Analysis & Design
55 Water Street - New York, NY 10041
Office : 212 855 2364
_____________________________________________________________
DTCC DISCLAIMER: This email and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to whom they
are addressed. If you have received this email in error, please notify
us immediately and delete the email and any attachments from your system.
The recipient should check this email and any attachments for the presence
of viruses. The company accepts no liability for any damage caused by any
virus transmitted by this email.
___________________________________________________________
This e-mail may contain confidential and/or privileged information. If
you are not the intended recipient (or have received this e-mail in error)
please notify the sender immediately and delete this e-mail. Any unauthorised
copying, disclosure or distribution of the material in this e-mail is prohibited.
Please refer to http://www.bnpparibas.co.uk/en/information/legal_information.asp?Code=ECAS-845C5H
for additional disclosures.
_____________________________________________________________
DTCC DISCLAIMER: This email and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to whom they
are addressed. If you have received this email in error, please notify
us immediately and delete the email and any attachments from your system.
The recipient should check this email and any attachments for the presence
of viruses. The company accepts no liability for any damage caused by any
virus transmitted by this email.
___________________________________________________________
This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorised copying, disclosure or distribution of the material in this e-mail is prohibited.
Please refer to http://www.bnpparibas.co.uk/en/information/legal_information.asp?Code=ECAS-845C5H for additional disclosures.
Attachment:
fpml-reconciliation-4-7.NettedTradeCashflows.xsd
Description: Binary data
Attachment:
FpML Proposal.docx
Description: Binary data
Attachment:
stratcashflowfinal111604.pdf
Description: Binary data
Attachment:
fpml-reconciliation-4-8_NettedTradeCashflowsAsserted.xsd
Description: Binary data
Attachment:
fpml-shared-4-8_NettedTradeCashflowsAsserted.xsd
Description: Binary data
Attachment:
fpml-reconciliation-4-8_NettedTradeCashflowsAsserted_partyTradeIdentifier.xsd
Description: Binary data