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Hi Bhavik,
At Credit Suisse, we would consider the rateset notice
a pre-release event. Our set up includes an intent notice, sometimes the
rateset, and then the release (which is when cash transacts). Publication
occurs at the time of intent and rateset. If there are corrections at
intent, prior to release, the intent notice can be regenerated
limitlessly. Same for rateset. Once the release takes place,
off-setting transactions must be entered.
Under this scenario, Rollover would not be any different
than other messages. We would publish the Rollover at intent and again at
rateset. When ratesets are involved in a Rollover, we are currently
publishing.
If you would like to depict that the Rollover message is
produced for a specific purpose, such as the rateset event, it is recommended
that you add a rateset flag to the message. The Rollover "type" already
has a specified enum that does't seem to work for it.
Please
let me know if you would like to discuss further. Thanks,
Ann
From: loanwg@xxxxxxxx
[mailto:loanwg@xxxxxxxx] On Behalf Of Bhavik Katira
Sent: Tuesday, November 03, 2009 9:49 AM To: loanwg@xxxxxxxx Subject: RE: Loan FpML WG Meeting: 3 November 2009, 1000-1100EST (London Time: 3-4pm) Additional Item to add to the
list below 12. New Request: Rate Set
Notices. In a rollover situation where we have multiple existing loan contracts
transforming to a new set of loan contracts, each of the contracts may require a
rate set notice to be created. At the moment the rate set notice is not part of
the rollover message. Is the expectation that the sender would need to generate
separate rate set notices for each loan contract ‘rolling over’ or should we
incorporate this workflow within the rollover structure
itself…? Regards, Bhavik
Katira CEO TenDelta™ Fresh
insight. Pure logic. +1.917.582.4574 new york +44.(0).7780.808732 london TenDelta™
provides business process consulting, technology design & education
services; specializing in the Syndicated Loan Market. Entrusted with engineering
innovative & logical solutions; we endeavor to deliver timely, robust,
cutting-edge solutions. Copyright ©2008-2009. TenDelta™ LLC (US),
TenDelta™ Limited (UK). All Rights Reserved. From: loanwg@xxxxxxxx
[mailto:loanwg@xxxxxxxx] On Behalf Of Bhavik Katira Dial-in
Details US: + 1 (888) 481 -
3032 Intl: + 1 (617) 801-
9600 UK: 0800
904-7961 Participant Code:
28413758 Please refer to the attached
schema design. Items to
discuss: 1.
Design Proposal:
Introduction of a Commitment Adjustment Structure. a.
Review
structure b.
What business
scenarios should it be used…? Is it simply when there is a commitment change
where no cash flow occurs…? c.
Agree that it should
be used whether there is a decrease or an increase. d.
Change can be
positive or negative…? Or should we have a flag followed by an absolute
amount…? 2.
Design Proposal:
Should we introduce an ‘Effective Date’ in the facility notice
section…? 3.
Design Proposal:
Rollover changes a.
Added
‘effectiveDate’. b.
Renamed ‘Maturing-‘
to ‘Prior-‘ and ‘New-‘ to ‘Current-‘. c.
Introduced the
‘currentLoanContract’ structure d.
CurrentLoanContract
contains a optional choice which contains either a DrawdownPayment,
loanContractIncrease or conversionFlag. 4.
Design Proposal: L/C
Termination should contain the change amount rather than the prior amount. More
generically, should we be capturing change amounts in all notices, rather than
prior amounts…? (It was mentioned in the last call that prior amounts are
notoriously difficult to extract in many cases). 5.
Design Proposal:
Interest payment adjustment added to InterestPayment structure. Should we
capture this extra field to take into account an adjustment from a previous
period…? The other option is to capture this in the new Cash Flow section and
make it generic to all business events. 6.
Design Proposal:
Updated the LenderLoanContractPeriod in the InterestAccrualSchedule to
InterestLoanContractPeriod. This is to account for the fact that the interest
accrual may not be based on the actual lender position. It may be based on a
portion of the lender position. E.g. A repayment occurs mid-accrual period and
the interest relating to the repayment amount is paid. When the interest payment
is communicated, the underlying InterestLoanContractPeriod, not the full lenders
loan contract position. a.
Are we interest in
knowing whether the InterestLoanContractPeriod is actually the lender’s
position…? b.
Should we represent
both InterestLoanContractPeriod and
LenderLoanContractPeriod…? 7.
Confirm:
Modification Flag in Facility Notice. There is no way to tell multiple instances
of a modification… is this an issue…? 8.
Confirm: L/C
contains amount and participation amount. 9.
Confirm: Choice
containing full deal structure in the Facility Notice. 10.
Confirm: Contacts
structure. 11.
New Request: In the
following scenarios should we expect to send multiple messages out or come up
with a combination message type: a.
Repayment with
Interest b.
Repayment and New
Loan c.
Multiple On-Going
Fees, Interest Payments, Rate Fixes, Margin Changes etc… Regards, Bhavik
Katira CEO TenDelta™ Fresh
insight. Pure logic. +1.917.582.4574 new york +44.(0).7780.808732 london TenDelta™
provides business process consulting, technology design & education
services; specializing in the Syndicated Loan Market. Entrusted with engineering
innovative & logical solutions; we endeavor to deliver timely, robust,
cutting-edge solutions. Copyright ©2008-2009. TenDelta™ LLC (US),
TenDelta™ Limited (UK). All Rights Reserved. From: loanwg@xxxxxxxx
[mailto:loanwg@xxxxxxxx] On Behalf Of Bhavik Katira All, Unfortunately I have a clash
with this call for tomorrow and will be travelling. In the last few weeks we have
had feedback from working group members regarding: -
Increased
flexibility with the Rollover Notice structure – especially with respect to
increases & repayments. -
Suggested updates to
the Business Validations from the business working group. -
Suggested updates to
the L/C structure. -
Suggested updates to
the Interest Payment structure to cater for the case where we have a partial
interest payments, mid-period. -
The introduction of
Contact information. -
Simplification of
new vs modified messages using a flag to denote the
difference. -
The introduction of
a simple Commitment Adjustment structure. The feedback has been great and
we are expecting more, based on our last FpML call. A new copy of the schema will be
available as soon as the latest changes are in. We are waiting for some feedback
on a few design points – we expect it to be completed at some point this
week. Please keep sending in your
comments as they relate to applying the standards to real-life
messages. Regards, Bhavik
Katira CEO TenDelta™ Fresh
insight. Pure logic. +1.917.582.4574 new york +44.(0).7780.808732 london TenDelta™
provides business process consulting, technology design & education
services; specializing in the Syndicated Loan Market. Entrusted with engineering
innovative & logical solutions; we endeavor to deliver timely, robust,
cutting-edge solutions. Copyright ©2008-2009. TenDelta™ LLC (US),
TenDelta™ Limited (UK). All Rights Reserved. No virus
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