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Hi Marc/Selma/All:
Again, sorry for the slow response.
I favor a credit seniority scheme that supports
all the Markit RED Tier Codes, as Selma has proposed.
However, it is very common in the credit derivatives
world to see a simple enumeration of "Senior, Subordinated"
used for credit seniority (e.g. pricing runs, broker screens, etc) and that
should be supported in FpML as well. The RED version and the "Senior,
Subordinated" version are mutually exclusive. You can take the finer grain
RED version and map it's values to the coarser "Senior,
Subordinated".
To support both, we could have all
the RED values highlighted as such in the scheme description or we could
have two versions of the scheme. One with the RED values and one with the other
two values. Two versions would give clarity and as Owen states "has the effect of allowing a 1:1 mapping between FpML values and
Markit RED Tier Codes to simplify integration work for
implementers."
Marc, what is the right approach from an architectural
perspective?
Thanks,
Ben Lis – Head of Product
Management and Integration From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Marc Gratacos Sent: Friday, March 12, 2010 6:20 AM To: cdwg@xxxxxxxx Subject: FpML-CD RE: Proposal to create new version of credit seniority scheme Any comments/objections to
the proposal described below?
thanks
From: cdwg@xxxxxxxx [cdwg@xxxxxxxx] On Behalf Of Selma Laidoudi [Selma.Laidoudi@xxxxxxxxxxxxxx] Sent: Monday, March 01, 2010 2:35 PM To: cdwg@xxxxxxxx Subject: FpML-CD FW: Proposal to create new version of credit seniority scheme Ben/All,
Please find below a proposal for creating a new version of the credit seniority coding scheme.
Comments are most welcome.
Thanks,
Selma Laidoudi +44 (0) 20 3367 0394 From: Owen King
Hi Selma,
In line with an open issue (http://www.fpml.org/issues/view.php?id=362) I'd like to propose to the FpML credit working group that a new version of the credit seniority coding scheme is created as follows in order to allow differentiation between secured and non-secured debt. This also has the effect of allowing a 1:1 mapping between FpML values and Markit RED Tier Codes to simplify integration work for implementers.
Remove: Senior Add: SeniorSec, SeniorUnSec
I've attached my proposed coding scheme to this email.
Many thanks,
Owen King Vice President Business Analysis
MarkitSERV
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