Version 1.5
Syndicated Loan Product Architecture
Contents
Syndicated Loan Product Architecture
1Syndicated Loan Product Scope
2Syndicated Loan Product Overview
2.1Business Description
2.2Business Flow
3Overall Architecture
3.1Deal Summary
3.2Facility Summary
3.3Loan Contract Summary / Loan Contract
3.4Facility Commitment and Loan Contract Position
3.5Facility Notice Type
3.5.1Repayment Notice
3.5.2On-Going Fee Notice
3.5.3One-Off Fee Notice
3.5.4Rollover Notice
3.6Pricing Change Notice
3.7Letter of Credit
3.7.1Letter of Credit Issuance
3.7.2Letter of Credit Balance Notice
3.7.3Letter of Credit Amendment Notice
3.7.4Letter of Credit Termination Notice
3.8Loan Contract Notice Type
3.8.1Drawdown / Rate Set Notice
3.8.2Interest Payment Notice
3.9Lender Position History Message
3.9.1Lender Position History
Page | 1
Version 1.5
Version
Date / Version / Editor / Comments16-Dec-2007 / 1.0 / Bhavik Katira / Initial version created.
17-Dec-2007 / 1.1 / Bhavik Katira / Updated to reflect changes after initial coordination committee meeting.
4-Jun-2008 / 1.2 / Bhavik Katira / Updated to the latest version of the schema together with annotations. Updated all diagrams to new .png versions.
Trial recommendation version.
2-Aug-2008 / 1.3 / Bhavik Katira / Updated the loan product hierarchy to inherit from Identified Asset instead of Product.
11-Aug-2008 / 1.4 / Bhavik Katira / Updated the loan contract identifier to summary.
12-Sept-2008
23-Sept-2008
14-Oct-2008
11-Nov-2008
24-Nov-2008 / 1.5 / Bhavik Katira / Overall architecture updated.
On-going and one-off fee references to loan contract and L/C summaries.
Projected interest amount added to interest rate period.
Share amounts introduced to loan contracts.
Event id added to Facility and Loan Contract notices.
Rollover notice created.
L/C notices created.
New CommitmentAmount structure added to denote utilization details for the reconciliation object. Lender reconciliation message created.
Price change notice created.
Beneficiary can be a simple text rather than party reference.
L/C Balance change notice – added draw flag and change amount.
Updated LoanContractSummary to contain a choice of original amount or global and share loan contract amounts.
Updated
Page | 1
Version 1.5
1Syndicated Loan Product Scope
The syndicated loan business working group collectively decided to focus on designing one-way borrower-centric notifications for the phase 1 release of the standard. These notifications comprise most of the manual traffic that both agent banks and lenders must process on a daily basis.
The syndicated loan working group extended FpML to cover:
- Syndicated Loan Notifications between Agent Bank and Lenders, including:
- Facility Level Notifications
- Scheduled Principal Repayment Notice
- Unscheduled Mandatory and Voluntary Principal Repayment Notice
- On-Going Fee Notice
- One-Off Fee Notice
- Loan Contract Level Notifications
- Drawdown Notice
- Rate Set Notice
- Interest Payment Notice
- One-Off Fee Notice
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:
- ‘Short-form’Product Definitions. These are summary objects which, in the future, will form the foundation for defining the ‘long-form’ loan product:
- Deal Summary
- Facility Summary
- Loan Contract Definitions. These objects describe the value of outstanding loan contracts at a given point in time.The outstanding loan balance fluctuates over the life of a facility. There are two variations designed: the short-form summary and the long-form version of the loan contract:
- Loan Contract Summary
- Loan Contract
- Lender Position Definitions. These objects describe the amount of a facility and loan contract that a single lender owns at a given point in time:
- Facility Commitment Position
- Loan Contract Position
Page | 1
Version 1.5
2Syndicated Loan Product Overview
2.1Business Description
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 usinga 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 facilityis a distinct credit linewith 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 sourcefor 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. Syndicated loans of this type are usually shared between groups of “Lenders”. The agent bank is also responsible for all lender cash flow.
Page | 1
Version 1.5
2.2Business Flow
The diagram below represents the high-level flow within the syndicated loan product. The notices are used for communication of various business events by the agent bank to the lender community.
Figure 1: Loan flow showing notice generation
Page | 1
Version 1.5
3Overall Architecture
The diagram below provides an overview of the main objects introduced for this version of the syndicated loan product space.
Figure 2: Syndicated loan object hierarchy
The Loan Contract 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.
Page | 1
Version 1.5
3.1Deal Summary
The Deal Summary is a high-level representation of the credit agreement.
Figure 3: Deal Summary (short-form)
Page | 1
Version 1.5
3.2Facility Summary
The Facility Summary is a high-level representation of a single facility within a Deal (credit agreement).
Figure 4: Facility Summary (short-form)
Page | 1
Version 1.5
3.3Loan Contract Summary / Loan Contract
The Loan Contract has been defined in both short and long form. Not all aspects have been captured in each phase but this definition will expand as the standard progresses.
Figure 5: Loan Contract Summary (short-form)
Explanations:
- Although there can be multiple borrower against the loan contract, only the main borrower is shown for the purposes of loan contract identification.
- It is important to note that only the original amount of the loan contract is represented. This is the only value that remains constant and can be used for identification purposes.
This object reflects the full details of the loan contract, as currently defined. Embedded within the loan contract is the current interest rate period (see next page).
Figure 6: Loan Contract (long-form)
Page | 1
Version 1.5
Explanations:
- The loan contract must exist within a given facility/deal.
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.
Figure 7: Interest Rate Period
Page | 1
Version 1.5
3.4Facility Commitment and Loan Contract Position
These objects are used to define the lender position at a given point in time.
Figure 8: Facility Commitment & Loan Contract Position
Page | 1
Version 1.5
3.5Facility Notice Type
This is an abstract object type that defines all fields which are common to facility-level notifications.
Figure 9: Facility notice type base object
Page | 1
Version 1.5
3.5.1Repayment Notice
This template can be used for scheduled, unscheduled (mandatory & voluntary) notices.
Figure 10: Repayment Notice
Page | 1
Version 1.5
3.5.2On-Going Fee Notice
Figure 11: On-Going Fee Notice
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.
Figure 12: Fee Accrual Schedule
Page | 1
Version 1.5
3.5.3One-Off Fee Notice
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 or L/C level – the fee type will determine the level.
Figure 13: One-off Fee Notice
The optional loan contract summary provides a possible link for this cash flow to a specific loan contract.
Page | 1
Version 1.5
3.5.4Rollover Notice
Figure 14: Rollover Notice
Page | 1
Version 1.5
3.6Pricing Change Notice
Figure 19: Price Change Notice
Page | 1
Version 1.5
3.7Letter of Credit
Figure 15: Letter of Credit
Page | 1
Version 1.5
3.7.1Letter of Credit Issuance
The L/C issuance notice is a simple structure containing the entire letter of credit object to together with the facility notice header.
Page | 1
Version 1.5
3.7.2Letter of Credit Balance Notice
Figure 16: Letter of Credit Balance Notice
Page | 1
Version 1.5
3.7.3Letter of Credit Amendment Notice
Figure 17: L/C Amendment Notice
Page | 1
Version 1.5
3.7.4Letter of Credit Termination Notice
Figure 18: L/C Termination Notice
Page | 1
Version 1.5
3.8Loan Contract Notice Type
These notices are actions which take place against a specific loan contract. The loan contract notice generic type contains either the loan contract summary or full definition of the loan contract.
Figure 20: Loan Contract Notice Type
Page | 1
Version 1.5
3.8.1Drawdown / Rate Set Notice
This is a notification which alerts the lender community of an upcoming loan contract. The notice covers only a (vanilla) funded loan.
Figure 21: Drawdown / Rate Set Notice
Page | 1
Version 1.5
3.8.2Interest Payment Notice
These notices reflect the amount of interest due to a specific lender.
Figure 22: Interest Payment Notice
Page | 1
Version 1.5
It is important to highlight the Interest Accrual Schedule associated with each interest payment.
Figure 23: Interest Accrual Schedule
Page | 1
Version 1.5
3.9Lender Position History Message
Figure 24: Lender Position History Message
Page | 1
Version 1.5
3.9.1Lender Position History
Figure 25: Lender Position History
Page | 1