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FpML-BP Schemas and Sample messages for NettedTradeCashflowAsserted
Hi All,
Attachment
contains the sample message, modified schemas to implement NettedTradeCashflowsAsserted
strucuture..
- 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).
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
|
|
To
| bpwg@xxxxxxxx
|
|
cc
| rptwg@xxxxxxxx
|
|
Subject
| Re: FpML-BP Cash flow Matching, Netting
and Settlement GuidelinesLink |
|
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.
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
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|
cc
| mgratacos@xxxxxxxx
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|
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
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|
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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by this email.Attachment:
fpml-reconciliation-4-8_NettedTradeCashflowsAsserted.xsd
Description: Binary data
Attachment:
fpml-shared-4-8_NettedTradeCashflowsAsserted.xsd
Description: Binary data
Attachment:
FpML Proposal.docx
Description: Binary data
Attachment:
stratcashflowfinal111604.pdf
Description: Binary data
Attachment:
fpml-reconciliation-4-7.NettedTradeCashflows.xsd
Description: Binary data
Attachment:
msg-ex49-cashflow-assertion-MultipleTrades.xml
Description: Binary data