FpML-CD Initial Payment requirement

[farzad.x.moshfeghi@xxxxxxxxxxxx]

We have had a request from the Fund
Accounting department that implies an extension to the current CD model.
Fund accounting trade the Accrued premium
element of the initial payment differently to the Capital element of the
premium. Their justification is as follows:

"The premium accruals enables a capital
and income split by differentiating between income and capital i.e. premium
accrual compensates for the point you buy at, against the amount you will
receive at reset date against the variation in the market and contract
rate which is reflected as capital from an accounting perspective"

Though this can be represented by the
specification of the Fixed and Market rate, in some cases, it is not possible
to determine both values from our clients. They can, however, report the
Capital and accrual elements.

Hence, I have amended the CD model (taken
from the 4.3 draft) to suggest a possible solution. Can the group please
add this for discussion in the next working group meeting.



Regards
Faz Moshfeghi


Farzad Moshfeghi
(+44) 0207 325 1345
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