The Commercial Loan Working Group extended FpML to cover:
In order to fully describe the notifications, it was necessary to design the following supporting object types, all of which are embedded within various notification types:
A "Credit Agreement" is a legal document which outlines the various financing options available to the "Borrower(s)" (referred to with the credit agreement). The financing terms are structured within the document using a set of well-defined products. Within the loan industry a single credit agreement is referred to as a "Deal".
Within a deal there are one or more "Facilities"; in effect, each facility is a distinct credit line with its own notional limit. Within the secondary loan markets these facilities are often referred to as "Tranches". In the FpML language, the business group preferred usage of the term, facility.
Each facility can be "Utilized" up its notional limit. Utilization occurs with one or more "Loan Contracts". A loan contract is a single instance of an actual borrowing made and is the source for generating the interest-based cash flows. The sum of the current outstanding loan contracts is what was previously referred to as the "Utilization Level of the Facility". The balance of the loan contracts could be either static, amortizing/increasing over time or fluctuating on an intra-day basis (depends on the type of facility and the type of loan contract).
Every credit agreement is managed by an "Agent Bank". The agent bank is responsible for ensuring correctness of all cash flow to and from the borrower. Commercial loans of this type are usually "Syndicated" to a group of "Lenders". The agent bank is also responsible for all lender cash flow.
The diagram below represents the high-level flow within the commercial loan product. The notices are used for communication of various business events by the agent bank to the lender community.
The diagram below provides an overview of the main objects introduced for this version of the commercial loan product space.
The Loan Contract Identifier and Facility Commitment Position objects do not inherit from any existing FpML structure, since they do not fit into existing definitions of any of the base objects.
The Facility Identifier is a summary of a single facility within a Deal (credit agreement).
The Loan Contract has been defined in both short and long form. Not all aspects have been captured in Phase 1 but this definition will expand in Phase 2.
Explanations:
This object reflects the full details of the loan contract (for phase 1). Embedded within the loan contract is the current interest rate period (see next page).
Explanations:
The loan contract contains a “currentInterestRatePeriod”. This describes the underlying base and margin rates currently applied to the loan contract. This is core to the definition of the loan contract.
These objects are used to define the lender position at a given point in time.
This is an abstract object type that defines all the fields which are common to facility-level notifications.
This template can be used for scheduled, unscheduled (mandatory and voluntary) notices.
The on-going fee notification is dependent on the underlying value of the fee margin as well as the position held by the lender throughout the fee period. The business required us to provide this information within the Fee Accrual Schedule object, as shown below.
This notice represents the scenario where one-off payments are made by the borrower. These payments may be associated with a facility or a specific loan contract level – the fee type will determine the level.
The optional loan contract identifier provides a possible link for this cash flow to a specific loan contract.
These notices are actions which take place against a specific loan contract. The header information in this case contains a loan contract identifier reference.
This is a notification which alerts the lender community of an upcoming loan contract. The notice covers only a (vanilla) funded loan.
These notices reflect the amount of interest due to a specific lender.
It is important to highlight the Interest Accrual Schedule associated with each interest payment.
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