FpML Issues Tracker

362: Coding Scheme for Seniorities needs extending

May 1, 2007

closed

Feature

Always

Credit Derivatives

fazzii

benjlis

Summary

The current definitions for the Bond seniority in FpML Coding Scheme allow for the following values: Senior Top precedence. SubTier1 Subordinate Tier 1 SubUpperTier2 Subordinate, Upper Tier 2. SubLowerTier2 Subordinate, Lower Tier 2. SubTier3 Subordinate, Tier 3.

But the Senior level is always refered to as either Secured or Unsecured, and it is common practice to allow for both, and to differentiate between both.

Notes:

  • mgratacos

    11/21/07 2:47 pm

    CDWG agrees to the proposal.

    Moved to Coordination Committee since it is not only applicable to credit derivatives.

  • mgratacos

    12/06/07 11:21 am

    Coordination Committee Meeting 2007-12-03:
    The group felt that this issue should be tackled by the Credit Derivatives WG since members of that group have more busines expertise on the area.
    The CreditCurveCharacteristics structure from the Pricing and Risk area should be considered since it introduces some of these concepts as distinct elements.
    A suggested approach by Andrew Parry was to introduce new elements for tier (positiveInteger) and secured (boolean) to simplify the code composition (avoiding being a composite key) and make it more consistent with Pricing and Risk.

  • mgratacos

    03/13/08 10:09 am

    Hi Ben,

    When we discussed in the coordination committee the feeling was that we didn’t have enough product expertise to solve the issue and that in the Credit Derivatives WG there may be some members able to help with this. However, that may not be the case since I don’t think Faz (who reported it) isn’t attending the meetings anymore…If we are not able to solve it within the CDWG, then we should close the issue.

    Thanks,
    -Marc

  • matthewdr

    04/14/08 10:24 am

    Assigned to CDWG.

  • mgratacos

    05/28/08 1:49 pm

    CDWG 2008-05-28: seniorities scheme is being reviewed by Ben based on Markit list of values.

  • mgratacos

    04/26/10 6:31 pm

    Proposal from Markit was presented to the CDWG on March 1, 2010.

  • mgratacos

    04/27/10 9:06 am

    The credit seniority scheme has been amended to have the following values:

    SeniorSec Senior Domestic
    SeniorUnSec Senior Foreign
    SubTier1 Subordinate Tier 1
    SubUpperTier2 Subordinate, Upper Tier 2.
    SubLowerTier2 Subordinate, Lower Tier 2.
    SubTier3 Subordinate, Tier 3.

  • mgratacos

    04/27/10 9:07 am

    It has been committed to the repository. Pending publication on the website.

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