Commercial Loan Working Group: 31st July 2007, 1000 – 1130EST

Attendees

Bhavik KatiraUBS - Chair LOANWG

Andrew ParryJP Morgan

Brian PowersUBS

Elaine DavisTrade-Settlement

Ellen HefferanLSTA

Hans EllisSwift

Irina YermakovaISDA

Joe DeitzerAdvent Software

Ken KatzMisys

Lyteck LynhiavuISDA

Robert MurrayBank of America

Marc GratacosISDA

Marc LindoDB

Michael PusateriHighland Capital Management

Oleg StarovoitovUBS

Pierre LamyGoldman Sachs

Pat Loret de MolaTrade-Settlement

Ryan ChurchJPMorgan FCS Corp

Robert DownsCredit Suisse

Sanjiv AhujaCitiGroup

Solomon RoytshteynDeloitte

Sarah WagnerJPMorgan FCS Corp

Scott MacLaughlinGoldman Sachs

Xun ZhangJPMorgan

Agenda

  1. Overall review of updates carried out in synchronization of the XML schema definition and the business requirements specification.
  2. AOB

Minutes

  1. There were various updates suggested within the current XML schema design and business logic associated:
  2. A standard contract identifier must be required within the common section of the schema.
  3. There was a discussion regarding whether a rollover results in a new contract id or a continuation of the same contract id (with a new interest rate period). It was concluded that both practices may exist but it is up to the agent bank to define and communicate this to the lender community. We must ensure that the message contains the contract id details (point a) in order to make the correct update within the lender systems.
  4. A full self-describing version of the contract object should exist. The current interest rate period of the contract is vital to fully describe it at a given point in time. It was agreed that a number of the ‘identifying’ attributes should be moved from the drawdown notice details to the loan contract description.
    Action: Update the ContractBaseobject design to reflect the changes described.
  5. A discussion was had as to whether the full contract details would be included in the funding memo in the situation where a loan was being bought in the secondary markets. It was concluded that we would need to provide full contract details within a funding memo but this is a later phase of work as defined by the scope section within the business specification.
    Action: Review in later phase.
  6. The tenor of the contract should be included within the definition.
  7. The tenor of the index is embedded within the index complex type within FpML.
  8. We should introduce an interest payment tenor as well as include a ‘next interest payment date’.
    Action: Add the necessary fields to the expected interest payment notice.
  9. PIK and toggle details need to discuss and possibly modeled, but this is also a later phase of work. The scenario of having to deal with these characteristics within a loan is becoming more predominant. Currently due for investigation for a later phase – it was deemed that the fundamental event types should be modeled first.
    Action: Review during a later phase.
  10. The interest payment type should be captured within an expected interest payment notice. This will define whether the agent bank is paying the full amount of interest based on the pro-rata share of the lender position at the time of interest period end date or whether the agent is taking into account the fluctuating balance of the lenders share during the lifetime of the period. In Europe, paying based on the current pro-rata commitment share is common. By including the flag, the lender will be better understand the interest payment amount.
    Action: Add an ‘interest payment type’ field to the expected interest payment notice.

General Action – Working Group: Review and provide further feedback to the documents sent out on the working group mailing list. Suggestions are most welcome.