Bhavik – I’ve updated the enum
xsd from the latest files you distributed. It looks like that enum didn’t
make it into your latest files.
I agree that PaymentFlag probably isn’t
needed if we use GrossCashflow. The CashflowTypeScheme in GrossCashflow has
the following.
|
CODE |
DESCRIPTION |
|
AmendmentFee |
A cash flow associated with an amendment lifecycle event. |
|
AssignmentFee |
A cash flow resulting from the assignment of a contract to
a new counterparty. |
|
Coupon |
A cash flow corresponding to the periodic accrued
interests. |
|
CreditEvent |
A cashflow resulting from a credit event. |
|
DividendReturn |
A cash flow corresponding to the synthetic dividend of an
equity underlyer asset traded through a derivative instrument. |
|
ExerciseFee |
A cash flow associated with an exercise lifecycle event. |
|
Fee |
A generic term for describing a non-scheduled cashflow
that can be associated either with the initial contract, with some later
corrections to it (e.g. a correction to the day count fraction that has a
cashflow impact) or with some lifecycle events. Fees that are specifically
associated with termination and partial termination, increase, amendment, and
exercise events are qualified accordingly. |
|
IncreaseFee |
A cash flow associated with an increase lifecycle event. |
|
InterestReturn |
A cash flow corresponding to the return of the interest
rate portion of a derivative instrument that has different types of
underlying assets, such as a total return swap. |
|
PartialTerminationFee |
A cash flow associated with a partial termination
lifecycle event. |
|
Premium |
The premium associated with an OTC contract such as an
option or a cap/floor. |
|
PriceReturn |
A cash flow corresponding to the return of the price
portion of a derivative instrument that has different types of underlying
assets, such as a total return swap. |
|
PrincipalExchange |
A cash flow which amount typically corresponds to the
notional of the contract and that is exchanged between the parties on trade
inception and reverted back when the contract is terminated. |
|
TerminationFee |
A cash flow associated with a termination lifecycle event. |
From:
Sent: Tuesday, December 15, 2009
10:53 AM
To:
Subject: RE: Loan FpML WG Meeting:
15 December 2009, 1000-1030EST (
Robert, did you update the enum xsd
– maybe I forgot to include it…?
Gross Cash Flow looks good –
surprised we didn’t spot it earlier… good catch.
Wondering whether we need to still
define whether it reflects a payment or not.
Regards,
Bhavik Katira
CEO
TenDelta™
Fresh insight. Pure
logic.
+1.917.582.4574
+44.(0).7780.808732
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 (
From:
Sent: Tuesday, December 15, 2009
10:44 AM
To:
Subject: RE: Loan FpML WG Meeting:
15 December 2009, 1000-1030EST (
Bhavik,
Couple of issues:
When I try to validate fpml-loan, I get an
error that AmountAdjustmentTypeEnum is missing.
Instead of creating a new CashFlow object
under loan to use in the GenericCashFlow.model, should we use the existing
GrossCashflow from fpml-reconciliation?
From:
Sent: Monday, December 14, 2009
9:17 PM
To:
Subject: Loan FpML WG Meeting: 15
December 2009, 1000-1030EST (
Dial-in Details
US: + 1 (888) 481 - 3032
Intl: + 1 (617) 801- 9600
Participant Code: 28413758
Agenda
1. Review attached updated schema.
a. Feedback…?
2. Discuss next steps
a. Further potential changes for
January.
i.
Pending potential PIK review. Waiting for documentation
outlining potential changes to current schema (Ann Taylor).
ii.
Rollover changes are currently not scheduled for
implementation (changes relating to relationships between old and current
contracts – Mazhar Iqbal).
b. Business validations documentation
to be created for v5.x.
Regards,
Bhavik Katira
CEO
TenDelta™
Fresh insight. Pure
logic.
+1.917.582.4574
+44.(0).7780.808732
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 (
From:
Sent: Wednesday, December 09, 2009
12:10 PM
To:
Subject: Further updates on
9-Dec-2009
Some further updates based on business
group feedback today and also further design input. This is only a proposal,
please try and review and provide feedback…
-
CashFlowPayment(s) renamed to CashFlow(s). Since
these are actually cash flows and not necessarily payment per say…
-
GenericCashFlow.model added. This is now used on
the header section of the FacilityNotice and appears on all notices. The
business group stated that although netting occurs, it does not happen all the
time, so having a standard cash flow section on all notices makes sense. The
GenericCashFlow.model contains a flag and an optional set of cash flows. The
flag is supposed to denote whether there will be an explicit payment associated
with the notice or whether there will be a separate payments (based on a cash
flow notice which will be sent separately).
-
I am unsure whether we should make the cash flow section
optional on the facility notice header i.e. it will only get populated when
there is a payment associated with the notice…?
-
CashFlowNotice renamed to NetCashFlowNotice. This makes
sense since it will be used to designated net cash flows only (if we keep the
cash flow as part of the standard notices).
The fpml-loan.xsd has also been
re-organized into separate sections like abstract types, notices, loan
instruments and re-usable concrete types. Eaqch section is ordered
alphabetically (by name of the object). Please let me know if this makes sense
or if you have any other ideas about making the overall schema easier to
navigate.
Regards,
Bhavik Katira
CEO
TenDelta™
Fresh insight. Pure
logic.
+1.917.582.4574
+44.(0).7780.808732
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 (
From:
Sent: Tuesday, December 08, 2009
11:48 PM
To:
Subject: RE: Loan FpML WG Meeting:
8 December 2009, 1000-1100EST (
Minutes & Update
All changes reviewed and agreed. See
attached schemas for further updates.
Additional design changes:
-
Rate set notice (Drawdown Notice), the drawdown payment
structure has been made optional. This will allow the rate set notice to be
used on a stand-alone basis (e.g. multiple re-pricings on a related to a
rollover).
-
Cash flow notice
o
Business events section introduced. Expanded with a
business event type – do we agree this would be useful…? Combination
of business event id and message id assures that we are referring to the
correct version of the underlying message/event.
o
Cash flow payments section introduced. Multiple cash flow
sections allow for multi-direction payments to occur. Is this necessary…?
-
PIK documentation to be provided by Ann Taylor
-
Discussion about whether we should have a more explicit
relationship between old and new loan contract during a rollover. We currently
do not. Agreed that maybe we should have this discussion with the business
group but for now we are keeping the design as is (decoupled loan contracts
during rollover).
With respect to release timings, the
FpML organization is currently working on 4.7 and 5.0 in parallel. As a result
of the amount of changes we have made during the last design iteration (some of
which are backwardly incompatible), it seems prudent for us to release in the
5.x series. 5.0 is currently at the 4th working draft stage (as of
mid-December) and may move to Last Call Working Draft by mid-Jan.
The Loan Working Group decided that we
will review where we are by mid-Jan, if we are not ready then there will be NO
LOAN schema included in 5.0. It is important for us to ensure that the code
released in the 5.x series is properly tested and reviewed and will not require
further incompatible updates/changes as we progress through the 5.x versions.
For 5.0, we will be looking at a Q1
recommendation and 5.1 will be a Q2 recommendation.
Regards,
Bhavik Katira
CEO
TenDelta™
Fresh insight. Pure
logic.
+1.917.582.4574
+44.(0).7780.808732
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 (
From:
Sent: Tuesday, December 08, 2009
12:06 AM
To:
Subject: Loan FpML WG Meeting: 8
December 2009, 1000-1100EST (
Dial-in Details
US: + 1 (888) 481 - 3032
Intl: + 1 (617) 801- 9600
Participant Code: 28413758
New schema attached.
Agenda
1. AmountAdjustment introduced.
a. Used in the currentContracts
section of the Rollover Notice.
b. Used in the Commitment Adjustment
Notice.
c. Used in L/C Balance Change Notice.
Removed Prior Amount to be consistent with other notices.
2. Created a new
MarginRateChangeTypeEnum. Introduced into the MarginRateChange Notice to define
whether the margin rate change is associated with the Cash or PIK margin.
3. Rate Set Notice with respect to
Rollovers. If we make the drawdownPayment section optional then it only leaves
the actual event types as a required field on the entire notice. Discuss design
options…
4. Combination messages in a single
structure. It is essential that any combinational messages are designed for the
purposes of when the resulting message is a valid business scenario rather than
for ‘volume’ reasons – discuss. E.g. If there are 10 interest
payments then what is the value associated with combining the messages in a
single ‘structure’ (if the header is not too
‘heavy’)…?
5. Cash flow message types. Initial
design idea presented containing a standalone message which contains references
to other business events. Let’s discuss this potential design.
a. Should we capture the individual
business event amounts, together with the overall ‘net’ payment
amount…?
b. Should there be multiple payments
in multiple directions…? Party A pays X to Party B and Party B pays Y
amount to Party A.
c. Should there be other parties
involved in the payment/cash flow itself…?
We also need to discuss the next steps
with respect to release timings. The FpML group is working towards 4.7 and
simultaneously a 5.0 release. We are at a stage where we have made many changes
to many notices (some of which are backwardly incompatible). It seems this would
be a good point for us to move across to a 5.x release.
Regards,
Bhavik Katira
CEO
TenDelta™
Fresh insight. Pure
logic.
+1.917.582.4574
+44.(0).7780.808732
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 (
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