FpML-CD Upfront Payment Amounts

[ian.scott@xxxxxxxxxxxxxxxxx]

Hi All,

Following a number of problems, could I request an evolution to the CDS 
schema, affecting the element:

CreditDefaultSwap/feeLeg/initialPayment/paymentAmount/amount 

Currently, the element :

feeLeg/initialPayment/paymentAmount

is of ComplexType "Money".  Within "Money", the "amount" element  is a 
decimal. 

As far as I read the schema, this means that one is allowed to transmit a 
signed value in this field (please correct me if I am wrong). Certain 
brokers have been doing this.

This means that our processing logic to receive FpML trades needs to be as 
follows (substitute ("BNPP" for "us" in all cases)): 

IF initialPayment/payerPartyReference = BNPP 
THEN
        IF initialPayment/paymentAmount/amount < 0 
        THEN
                BNPP Fee direction = Receive
        ELSE 
                BNPP Fee direction = Pay
        END IF
ELSE
        IF initialPayment/paymentAmount/amount  <  0
        THEN
                BNPP Fee direction = Pay
        ELSE
                BNPP Fee direction = Receive
        END IF
END IF

Given that the initialPayment block allows the user to specify who the fee 
payer is and who the fee receiver is then this additional logic should be 
unnecessary, in my opinion. 

I would like to request that the definition of this element is changed in 
a future FpML version so that it is only allowed to be an Unsigned value. 
Some other elements may also require a review.

Many thanks,

Ian



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