FpML Issues Tracker

1154: Support off-market prices for all products

December 3, 2012

closed

Major

Sometimes

Business Process

BrianLynn

mgratacos

Summary

In a cleared product environment, rather than terminating trades it will become common practice to perform an offsetting trade off-market, leaving the clearing service to net out the position. This means that any product that can be cleared will need to have a way to represent trades that are off-market. This is currently supported for CDS and basic IRS, but not for many products, like FRAs, swaptions, many equity derivatives, etc. This has already posed a problem for production implementation of clearing services.

To address this problem, we could either use the existing "trade/otherPartyPayment" element and change its annotation to allow its use for this purpose, or create a new "trade/additionalPayment" element, or create product-specific fields.

Notes:

  • mgratacos

    03/12/13 11:28 am

    In an implementation I worked for we added additionalPayment to all products but CDS and IRS. It would probably be better to have the structure at the trade level but for symmetry on what we had we added at each product.

  • mgratacos

    11/29/19 9:55 am

    AWG 2019-11-21

    • We discussed whether these payments are part of the clearing process. If they are part of it, they should be included in the clearing messages, outside the product.
    • Check with Brian and potentially LCH.

  • mgratacos

    12/10/19 5:13 am

    • Brian explained that this is not a clearing related issue but a more general issue regarding upfront payments.
    • The issue can be closed since most of the clearable products have a structure within the product to support the upfront payment (additionalPayment, initialPayment, etc.)
    • The initial payment is not consistent across products but it is supported in most of them.
    • It could be that as additional products become clearable, there will be additional requests to add the ability to support the upfront payment.
    • We have listed the consistency of upfront payments as one of the version 6.0 issues.
    • We agreed to close this issue.

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