RE: FpML-RPTWG Re: FpML-BP Cash flow Matching, Netting and Settlement Guidelines

[Sreedhar Segu <ssegu@xxxxxxxx>]

Marc,
    I can create a complete
example. By the way do we have meeting today or is this for next week meeting.

Thanks, 
Sreedhar.
------------------------------------------------------------
The Depository Trust & Clearing Corporation 
DTCC  : Business Analysis & Design
55 Water Street - New York, NY 10041
Office     :  212 855 2364

Marc Gratacos <MGratacos@xxxxxxxx>
Sent by: bpwg@xxxxxxxx

06/11/2010 09:59 AM

Please respond to
bpwg@xxxxxxxx

To	"rptwg@xxxxxxxx" <rptwg@xxxxxxxx>, Sreedhar Segu/DTCC@DTCC
cc	"bpwg@xxxxxxxx" <bpwg@xxxxxxxx>
Subject	RE: FpML-RPTWG Re: FpML-BP Cash flow Matching, Netting and Settlement Guidelines

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

(Please
see fpml-reconciliation-4-8_NettedTradeCashflowsAsserted.xsd, fpml-shared-4-8_NettedTradeCashflowsAsserted.xsd
schemas).

(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

Sreedhar Segu/DTCC
06/02/2010 03:36 PM

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?

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

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 Guideliness

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

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 

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