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




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

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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:
(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

Inactive hide details for Sreedhar Segu/DTCCSreedhar 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
Sreedhar Segu



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

Inactive hide details for Sreedhar Segu/DTCCSreedhar Segu/DTCC

Sreedhar Segu/DTCC
05/28/2010 01:45 PM


To

bpwg@xxxxxxxx

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mgratacos@xxxxxxxx

Subject

Re: FpML-BP Cash flow Matching, Netting and Settlement Guideliness
Sreedhar Segu



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

Inactive hide details for harry.mcallister@xxxxxxxxxxxxxxxxxharry.mcallister@xxxxxxxxxxxxxxxxx

harry.mcallister@xxxxxxxxxxxxxxxxx
Sent by: bpwg@xxxxxxxx

05/28/2010 01:18 PM
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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:
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>
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

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bpwg@xxxxxxxx
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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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