FpML-CD ELCDS Proposal & MTF Recommendations

On today’s CDWG call Henri Pegeron of DTCC submitted a proposal for extending FpML to support the latest ISDA template on European LCDS. I’ve attached the full proposal and also the word document describing the change.

There’s one aspect of the proposal that we discussed that we felt we needed guidance from the Coordination Group and the MTF. You can see that Henri’s proposal calls for the addition of three elements to the Obligations complex type. The Obligations complex type uses the “Empty as Boolean” approach that we are changing in 5.0 based on MTF guidance. Now the CDWG’s goal is to incorporate the support of ELCDS into FpML 4.5.

The question is this: for 4.5 should we remain consistent with the other elements in the Obligations complex type and introduce these new elements using the current Empty element approach or should we adopt the new methodology that we are going to use in 5.0 onwards. It wasn’t clear to us – there seems to be decent arguments for both points of view. Since the overall goal is to as much as possible remain consistent in approach across asset class, we felt it was important for us to raise this point to the Coordination Group.

We’re looking forward to hearing your feedback.

Thanks,

Ben Lis

Head of Product Management & Integration

T-Zero

212.323.6041