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FYI From: Brian Lynn
[mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx] Marc – See below, the answers to the best of my
ability. I’ve cc’d Jeff Bauer from Citco, who may be able to shed some
light in areas where my knowledge is limited. Jeff, FYI I presented the repo part of the
the Citco trade instructions work to the FpML repos working group today. - Brian From: Marc Gratacos
[mailto:MGratacos@xxxxxxxx] Some questions around the proposal. From: repowg@xxxxxxxx
[mailto:repowg@xxxxxxxx] On Behalf Of Moeller,
Danny Brian- Thanks
for your overview of the Citco FpML Repo Proposal. Some
questions we have regarding this proposal: [1] How
are on-leg/off-leg information described? >> I don’t believe that this is
covered. Jeff might be able to shed light into whether this is something
that Citco captures. [2] How
are margins/haircuts handled? >> net and gross prices, principal
amounts, and settlement amounts, etc. are covered in the
InstrumentTradePricing, InstrumentTradePrincipal, and InstrumentTradeSettlement
structures, respectively. [3] How
are ‘mid-life’ events handled – such as repricings, rate changes,
substitutions? >> there is no specific support for
this in the specification. Jeff might be able to shed light on how this
is handled. [4]
Where is Trade Type described: repo vs. reverse? >> Good question. I don’t
think that reverse repos are covered by this proposal – Jeff, do you need to
represent reverse repos? [5] How
is the Repo Rate described? >> as a decimal number. [6]
Also, why is it necessary to have a repo type [open/term]? Isn’t that obvious
as to whether it has an end date or not? >> I suppose that this could be
argued. The Citco sample data actually does have an end date for open
repos, but this is documented as “not used”. Sample
messages might also help us understand the proposal better. >> I don’t have any sample messages
for repos. I’ve attached a sample for an equity allocation – it
demonstrates the other fields. Thanks, John
Singler Jeffery
Stephens Danny
Moeller Helix Financial
Systems L.P. Cantor
Fitzgerald **************************************************************************************************************************
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citco_example.xml
Description: citco_example.xml