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Re: FpML-REPO JPM FpML Repo Proposal - Helix Comments
These are all key aspects that we should cover in the documentation. We
will discuss these tomorrow, but I would like to share my views :
The overall problem here is the choreography, and what messages should be
used in what context. In FpML, the business process messages are
independent of the product being modelled, which means that we (Repo WG) do
not have real control over the content model of the business process
messages related to creation, amendments, cancellations, etc.
There are two styles of messages in FpML, Request/Response and Notification
messages. Req/Response means that for a given request message there
must be a response. Notification messages are 'fire-and-forget' messages
and do not require a response.
The last variable is who sends/receives the messages. For internal
messaging (within a given firm) there may be some application constraints
or rules that
could influence the way messages are used.
[1]
To create a trade, the only message available right now in FpML is a
notification message, TradeCreated.
To cancel a trade, use TradeCancelled.
[2]
FpML does not mandate any of these forms, it comes down to market practice.
FpML provides a message called TradeAmended, but it is
possible to achieve similar results with a TradeCancelled/TradeAmended
sequence. Note that typical choreographies consider that a cancellation
is a terminal event for a given trade with a specific trade Id (i.e. you
cannot amend a trade that has been cancelled. ). FpML allows both modes, it
is
up to us to declare, in the documentation, how messages should be
exchanged.
[3] Yes, there is at least one way to do that, using a tag in FpML
tradeHeader called linkId. I will distribute samples showing its use.
[4] Again, market practice and application constraints may impact the
response. According to the SMPG doc, 'Repo Call' uses the Cancel/Correct
instructions - see page 14. FpML however has TradeTerminated message types,
which can be used for full or partial termination.
Other mid-life events, such as rate changes, repricings, susbstitutions do
have specific message types that I have created - we will cover these
later.
[5] I would say that FpML has always been a little bit weak on the formal
definition of interactions - we can certainly act as leaders in this space
by defining exactly what message exchanges we consider legal. For the
moment, we do not have anything to show that I would consider as
'complete'.
[6] How are those errors handled in ISO 15022 ?
regards
-s
"Moeller, Danny"
<DMoeller@helixfs To: <repowg@xxxxxxxx>
.com> cc:
Sent by: Subject: FpML-REPO JPM FpML Repo Proposal - Helix Comments
repowg@xxxxxxxx
27/10/2006 17:30
Please respond to
repowg
The JPM proposal seems to cover most requirements of how to describe the
trade…. But the assumption is that the trade message is sent to a second
party, who needs to respond… thus….
[1] how does one create / cancel a trade?
[2] can one amend the trade or is this done by cancel/correct?
[3] is there a tie between a cancel and the new trade message?
[4] midlife events: how does one close an open repo – does this require a
cancel/correct – or sending the original open with a ‘Forward Repo
Transaction Leg’ added?
[5] what are the expected responses to the trade messages?
[6] how are errors in the trade message handled?
Thanks,
Regards,
John Singler
Jeff Stephens
Danny Moeller
Helix Financial Systems L.P.
Cantor Fitzgerald
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