Sreedhar,
Do you think it would be possible to create a complete example message?
Thanks,
Marc
From: owner-rptwg@xxxxxxxx [owner-rptwg@xxxxxxxx] On Behalf Of Sreedhar Segu [ssegu@xxxxxxxx]
Sent: Monday, June 07, 2010 5:20 PM
To: Sreedhar Segu
Cc: bpwg@xxxxxxxx; rptwg@xxxxxxxx
Subject: FpML-RPTWG Re: FpML-BP Cash flow Matching, Netting and Settlement Guidelines
Hi All,
As agreed in our previous BP/RPT WG discussion we will go with Option 1 approach. However it requires minor modification
Option 1 approach:
- Added NettedTradeCashflows.model in fpml-reconciliation-4-8.xsd. (tradeIdentifyingItems will be defined unbounded in this structure).
- Added NettedTradeCashflowsAsserted complex type in the fpml-reconciliation-4-8.xsd which will have similar structure as TradeCashflowsAsserted except TradeCashflows.model is replaced with NettedTradeCashflows.model
- Added PartyTradeIdentifierReference complex type in fpml-shared-4-8.xsd
- Added partyTradeIdentifierReference element of type PartyTradeIdentifierReference in GrossCashflow complex type in the fpml-reconciliation-4-8.xsd
(See attached file: fpml-reconciliation-4-8_NettedTradeCashflowsAsserted.xsd)(See attached file: fpml-shared-4-8_NettedTradeCashflowsAsserted.xsd)
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
06/02/2010 03:36 PM |
|
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?
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.
(See attached file: FpML Proposal.docx)(See attached file: stratcashflowfinal111604.pdf)
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 |
|
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
|
|
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.
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
|
|
Thanks,
Sreedhar.
------------------------------------------------------------
The Depository Trust & Clearing Corporation
DTCC : Business Analysis & Design
55 Water Street - New York, NY 10041
Office : 212 855 2364
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