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| Anonymous | Login | Signup for a new account | 2010-09-06 22:42 UTC |
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| ID | Category | Severity | Reproducibility | Date Submitted | Last Update | ||||
| 0001002 | [FpML] Schema | major | always | 2010-01-28 20:11 | 2010-02-10 11:10 | ||||
| Reporter | ehosca | View Status | public | ||||||
| Assigned To | mgratacos | ||||||||
| Priority | normal | Resolution | no change required | ||||||
| Status | closed | Target Version | Product Version | ||||||
| Summary | 0001002: indexFactor missing in IndexReferenceInformation (in 5.0 - 4th working draft) | ||||||||
| Description |
indexFactor element is missing in fpml-cd-5-0.xsd |
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(0002551) mgratacos (administrator) 2010-02-10 11:05 |
The Coordination Committee didn't agree on having the indexFactor as part of the product representation: Minutes coordination teleconference 2009-05-15 - Credit Derivatives question: addition of factoredNotional (see below) The Coordination Committee was against the addition of indexFactor and factoredCalculationAmount inside the creditDefaultSwap product representation in FpML 4.6. The reasons for the position against the proposal were: · These parameters are not known at the time of confirmation of the transaction · They are linked to a specific event, credit event in this case, which is a separate business process from the confirmation · There is no notion of as of which date the changes in notional come to effect DTCC has taken a different approach including the factor and as part of their payment message, which uses the FpML observation structure (cash flow matching). It includes the index, weight, and the original notional. After some discussion, the group suggested putting these data into a message, enhancing the Credit event notice, maybe expanding its scope to include the index factor and the factored notional. |
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(0002552) mgratacos (administrator) 2010-02-10 11:09 |
The sugesstion from the Coordination Committee was taken into account by the Credit Derivatives WG and the IM-Custodian WG and a separate message was developed to notify trade changes. In version 5.0, that message is called tradeChangeAdvice. This message contains a change element, which is head of a substitution group and one of the substitutes of that element is and indexChange. indexChange contains the indexFactor and factoredNotional. |
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Issue History |
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| Date Modified | Username | Field | Change |
| 2010-01-28 20:11 | ehosca | New Issue | |
| 2010-01-28 20:11 | ehosca | Status | new => assigned |
| 2010-01-28 20:11 | ehosca | Assigned To | => mgratacos |
| 2010-02-10 11:05 | mgratacos | Note Added: 0002551 | |
| 2010-02-10 11:09 | mgratacos | Note Added: 0002552 | |
| 2010-02-10 11:10 | mgratacos | Status | assigned => closed |
| 2010-02-10 11:10 | mgratacos | Resolution | open => no change required |
| 2010-03-03 10:30 | BUTTER | Issue Monitored: BUTTER | |