loan trading notifications - fpml · 2 purpose the loan trading notifications are transmitted, in...

Loan Trading Notifications

User Manual Version: 1.0

Syndicated Loan FpML Working Group Chair: Bhavik Katira ([email protected])

LSTA Agent Bank Communications Working Group

Chair: Ellen Hefferan ([email protected])

mailto:[email protected]

mailto:[email protected]

Loan Trading Notifications User Manual

Bhavik Katira, Chad Freeburg TenDelta www.tendelta.com

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Contents

1 Document History ................................................................................................ 3

2 Purpose .............................................................................................................. 4

3 Loan Trading Abstract Types .................................................................................. 6

3.1 Loan Trading Abstract Complex Types .............................................................. 6

3.2 Loan Trading Abstract Event Types .................................................................. 7

3.3 Loan Trading Abstract Notification Types ........................................................... 8

3.4 Data Mapping – Loan Trading Abstract Notification Types .................................... 8

4 Loan Trading Inheritance Structures ..................................................................... 10

4.1 Loan Trading Complex Types ......................................................................... 10

4.2 Loan Trading Event Inheritance ..................................................................... 11

4.3 Loan Trading Task Inheritance ....................................................................... 12

4.4 Loan Trading Notification Inheritance ............................................................. 13

5 Loan Trading Notifications Use ............................................................................. 14

6 Pre-Trade Activities ............................................................................................ 14

6.1 Business Application – Pre-Trade Activities ...................................................... 14

6.2 Data Mapping – Pre-Trade Activities ............................................................... 14

7 Loan Trade and Loan Transfer Notifications ........................................................... 15

7.1 Business Application – Loan Trade and Loan Transfer Notifications ..................... 15

7.2 Data Mapping Notes – Loan Trade and Loan Transfer Notifications ..................... 15

7.3 Data Mapping – Loan Trade Notification .......................................................... 16

7.4 Data Mapping – Loan Trade Confirmation Notification ....................................... 19

7.5 Data Mapping – Loan Transfer Notification ...................................................... 21

8 Loan Trade Settlement Task(s) ............................................................................ 24

8.1 Business Application – Loan Trade Settlement Task Notification ......................... 24

8.2 Data Mapping – Loan Trade Settlement Task Notification .................................. 24

9 Loan Trade Allocation ......................................................................................... 26

9.1 Business Application – Loan Allocation Notification and Loan Allocation Confirmation

Notification .......................................................................................................... 26

9.2 Data Mapping – Loan Allocation Notification .................................................... 26

9.3 Data Mapping Notes – Loan Allocation Confirmation Notification ........................ 28

10 Loan Allocation Settlement Task(s) ................................................................... 30

10.1 Business Application – Loan Allocation Settlement Task Notification ................ 30

10.2 Data Mapping – Loan Allocation Settlement Task Notification .......................... 30

11 Loan Allocation/Trade Transfer Fee Owed ........................................................... 32

11.1 Business Application .................................................................................. 32

11.2 Data Mapping Notes – Loan Trade / Allocation Transfer Fee Owed Notification .. 32

11.3 Data Mapping - Loan Trade Transfer Fee Owed Notification ............................ 32



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11.4 Data Mapping - Loan Allocation Transfer Fee Owed Notification ....................... 34

12 Loan Allocation Settlement Date Availability and Finalization ................................ 36


12.2 Data Mapping Notes – Loan Allocation Settlement Date Availability / Finalization

Notifications ......................................................................................................... 36

12.3 Data Mapping - Loan Allocation Settlement Date Availability Notification .......... 37

12.4 Data Mapping - Loan Allocation Settlement Date Finalization Notification ......... 38

13 Loan Allocation/Transfer Settlement .................................................................. 40


13.2 Data Mapping Notes – Loan Allocation / Transfer Settlement Notifications and

Loan Trade / Allocation Transfer Fee Due Notifications ............................................... 41

13.3 Data Mapping - Loan Allocation Settlement Notification.................................. 41

13.4 Data Mapping - Loan Transfer Settlement Notification ................................... 45

13.5 Data Mapping - Loan Trade Transfer Fee Due Notification .............................. 46

13.6 Data Mapping - Loan Allocation Transfer Fee Due Notification ......................... 47



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1 Document History

Date Version Author Changes

Q1 2018 1.0 Chad

Freeburg

Document created as part of Loan FpML Working Group sessions.



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2 Purpose

The Loan Trading Notifications are transmitted, in relation to a trade on an asset (facility),

between counterparties (buyer/seller) and between counterparties and agent. The goals of

these notifications include:

1. Representing a complete set of loan trading notifications, usable throughout the

lifecycle of the loan trade. The notification must describe relevant details for trading

events or tasks, as well as provide a mechanism for retraction (by the sender) and

confirmation (by the receiver) of the notification. Trading events and tasks include:

• Trade Initiation

o The initiation of a trade between buyer and seller counterparties

requires the communication of various trade details and terms, as well

as the confirmation or agreement to those terms.

• Transfer Initiation

o From the perspective of the agent, a trade is more accurately

described as an asset ‘transfer.’ Without the trade economics or other

trade terms conveyed, the trade work flow for an agent resembles a

transfer of commitment from one party to another.

• Indication of Trade Settlement Task(s)

o Once the trade has been initiated and confirmed, there may be trade-

level tasks that must be completed in advance of settlement. One

such task would be for counterparties to allocate the trade.

• Allocation

o Once the trade is confirmed, the counterparties must formally identify

those entities ultimately responsible for the legal transfer of the asset.

In the buyer’s case, the buyer must identify either itself or sub

funds/other entities. In the seller’s case, the seller often must identify

upstream funds from which assets for settlement would be sourced.

• Indication of Allocation Settlement Task(s)

o Once allocation by counterparties has occurred, a number of tasks

must be completed in advance of settlement. These tasks can include

obtaining borrowers consent to the transfer of a commitment,

obtaining letter of credit issuer’s consent to a change in contingent

liability exposure, or lender due diligence and know-your-customer

documentation for new lenders of record.

• Indication of Transfer Fee(s) Owed

o The agent determines the transfer fees that may be owed in relation to

transferring a commitment from one lender to another. While the

credit agreement establishes guidelines for the transfer fee, the agent

is the ultimate decider as to how the transfer fee will be applied to

specific settlements.

• Settlement Date Coordination

o In order to coordinate settlement counterparties and agent must

describe to each other the specific dates on or date ranges within

which they are able to settle. In certain circumstances, it is necessary

to describe periods during which counterparties or agent cannot settle.

Such ‘no settle’ periods are commonly defined in relation to so-called

‘CLO blackout’ periods or ‘agent freezes.’

• Settlement Date Finalization

o The agent determines and finalizes the settlement date, based on the

coordination communications between agent and counterparties.



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Purpose (continued)

• Indication of a Transfer Fee Due

o Though oftentimes inferred to be finalized settlement, the agent may

wish to formally define when the transfer fee is due.

• Allocation Settlement

o On the settlement date, the commitment is legally transferred from

one counterparty to another. The communication between

counterparties must include detail on the cash flows generated by the

economics of the trade. Within the syndicated loan trading market,

this is accomplished by a document called the ‘funding memo,’ which

is normally sent from seller (who would be most likely to have

outstanding contract details) to buyer.

• Transfer Settlement

o As with the transfer initiation stage, the communication from agent to

counterparties of the completion of the legal transfer of the

commitment would not contain the economic impacts to settlement

cash flows between the trading counterparties, but would likely contain

official contract-level details.

2. Improving transactional integrity and asset data timeliness, while reducing manual

processing.

• Use of the Loan Trading Notifications could reduce manual entry to trade

capture, order management, and loan systems of record, improving data

integrity by eliminating human ‘touches’ and reducing boarding / data entry

time.



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3 Loan Trading Abstract Types

Across the Loan FpML schema, abstract types are designed to facilitate the consistent

inheritance of common elements. The abstract types related to the loan trading are as

follows.

3.1 Loan Trading Abstract Complex Types

Certain core structural elements that may occur in numerous loan trading events are

designed as inheritable abstract types. This allows core loan trading structures to inherit

common elements from a single source, facilitating consistency across the loan trading

schema. The abstract complex types are:

1. AbstractTradingAccrual

This abstract type describes underlying factors that affect the calculation of a trade-

related accrual. This abstract type includes an ‘amount’ element, and an optional

structure to describe the accrual details (inherited from the ‘AccrualPeriod’ complex

type).

2. AbstractLoanAllocationSummary

This abstract type combines an allocation identifier object with an ‘amount’ field and

free-form text ‘comment’ field.

3. AbstractLoanTask

This abstract type combines a task ‘identifier’ with optional parent and corrected task

identifiers, as well as an element to describe the responsible party for completing the

task. It also contains an object to define the relevant dates in relation to a task,

such as when the task was raised, when it is expected to be completed, and date on

which it was ‘cleared.’ An element, based on an enumeration, is included to define

the ‘status’ of the task (e.g. ‘active,’ ‘cleared,’ or ‘cancelled’). Note that this

structure is designed to be re-usable in the future, outside of trading-specific task

notifications.

4. AbstractLoanTrade

This abstract type defines fundamental master loan trade event information. This

abstract type includes core information such as ‘trade date,’ a model to reference the

buyer and seller, a trade ‘type’ element, a ‘when-issued’ flag, and a model to

describe settlement terms such as the trading association that governs the trade as

well as the form of purchase (i.e. assignment vs. participation sold).

5. AbstractLoanTradeSummary

This abstract type describes fundamental loan trade information, and includes a

trade identifier, facility reference, amount, and optional free-form text ‘comment’

field.

Data mapping for the elements of the loan trading abstract complex types is described in

the sections later in this document that detail the various loan trading notifications.



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3.2 Loan Trading Abstract Event Types

All Loan Trading Notifications encapsulate either a loan trading ‘event’ or a ‘task.’ The loan

trading event is the core business transaction conveyed by the notification layer of the

structure. Each loan trading event inherits from an abstract event type. As with abstract

complex types, inheriting common elements from a single source facilitates consistency

across the event types. The abstract event types are:

1. AbstractLoanAllocationEvent

This abstract type inherits the ‘AbstractLoanEvent’ abstract type, and extends this

structure by adding an allocation reference

2. AbstractLoanAllocationSettlementEvent


structure by adding an allocation reference and a ‘settlement date’ element.

3. AbstractLoanTradeEvent


structure by adding a loan trade reference.

Data mapping for the elements of the loan trading events and loan trading abstract event

types is described in the sections later in this document that detail the various loan trading

notifications.



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3.3 Loan Trading Abstract Notification Types

The Loan Trading Notifications inherit from a set of abstract notification types. As with

abstract complex types and abstract event types, inheriting common elements from a single

source facilitates consistency across notification types. These abstract notification types

are:

1. AbstractLoanAllocationPaymentNotification

This abstract type inherits the ‘AbstractLoanTradingNotification’ (see below), and a

‘payment’ element that accounts for payments made by allocation. The ‘payment’

element is based on the ‘LoanAllocationPayment’ complex type.

2. AbstractLoanTradePaymentNotification

This abstract type inherits the ‘AbstractLoanTradingNotification’ (see below), and a

‘payment’ element that accounts for payments made by trade. The ‘payment’

element is based on the ‘LoanTradePayment’ complex type.

3. AbstractLoanTradingNotification

This abstract type inherits the shared FpML ‘CorrectableRequestMessage’ and

extends by adding required ‘noticeDate,’ ‘partyReference,’ and ‘role’ elements. The

‘role’ element, which is based upon the ‘tradingPartyRoleScheme’ will grow with

importance as more loan trading parties adopt the Loan Trading Notifications.

3.4 Data Mapping – Loan Trading Abstract Notification Types

The following data mapping describes elements unique to the loan trading abstract

notification types.

Element Complex Type Required? Description

AbstractLoanAllocationPaymentNotification

payment LoanAllocationPayment Y

[1..n]

An element to describe a payment

at the allocation level. This

complex type extends the shared

‘Payment’ complex type, with a

‘LoanAllocationReference’ object.

See ‘AbstractLoanAllocation

PaymentNotification/payment’

section below for details about the

elements related to the extension.

AbstractLoanAllocationPaymentNotification/payment

PayerReceiver.model [model] Y A structure which references the

payer and receiver related to the

event.

paymentAmount NonNegativeMoney Y The payment amount, related to a

currency.

allocationReference LoanAllocation

Reference

Y

[1..n]

A reference to the loan trade

allocation.

AbstractLoanTradePaymentNotification

payment LoanTradePayment Y

[1..n]

An element to describe a payment

at the trade level. This complex

type extends the shared ‘Payment’

complex type with a ‘LoanTrade

Reference’ object. See ‘Abstract



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LoanTradePaymentNotification/

payment’ section below for details

about the elements related to the

extension.

AbstractLoanTradePaymentNotification/payment

PayerReceiver.model [model] Y A structure which references the

payer and receiver related to the

event.

paymentAmount NonNegativeMoney Y The payment amount, related to a

currency.

loanTradeReference LoanTradeReference Y

[1..n]

A reference to the loan trade.

AbstractLoanTradingNotification

noticeDate [xsd:date] Y The business date on which the

notice is valid (and was

communicated).

partyReference PartyReference Y A reference to the party sending

the notification.

role LoanTradingPartyRole Y The role of the party sending the

notification, based on the ‘trading

PartyRoleScheme.’



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4 Loan Trading Inheritance Structures

The following diagrams detail the inheritance structure for loan trading complex types,

events, and notifications. As mentioned in the ‘Abstract Types’ section above, complex

types, events/tasks, and notifications inherit common elements from abstract types.

4.1 Loan Trading Complex Types

The following diagram indicates the three complex types the inherit shared elements from

the AbstractTradingAccrual abstract type.

Abstract type

Concrete type

AbstractTradingAccrual

LoanTradingAccruingFee

Accrual

LoanTradingLetterOfCredit

Accrual

LoanTradingOutstandings

Accrual



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4.2 Loan Trading Event Inheritance

The following diagram indicates the events that inherit from abstract event types.

AbstractLoanEvent

AbstractLoanTradeEvent

LoanTrade Event

AbstractLoan Allocation

Event

LoanAllocation Event

LoanSettlement DateAvailability

Event

AbstractLoan AllocationSettlement

Event

LoanTransfer Settlement

Event

LoanSettlement DateFinalization

Event

Abstract type

Concrete type

LoanAllocationTransferFee

DueEvent

LoanAllocationTransferFeeOwedEvent

LoanTradeTransferFeeDueEvent

LoanTradeTransferFeeOwedEvent

LoanAllocationSettlement

Event



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4.3 Loan Trading Task Inheritance

The following diagram indicates the tasks that inherit from the abstract task type.

Abstract type

Concrete type

AbstractLoanTask

LoanTrade Settlement

Task

LoanAllocation Settlement

Task



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4.4 Loan Trading Notification Inheritance

The following diagram indicates the 15 notifications (including retraction notifications) that

inherit from abstract notification types.

Abstract type

Concrete type

AbstractLoanTrading

Notification

LoanTradeNotification

LoanTrade ConfirmationNotification

LoanTransferNotification

LoanAllocationNotification

LoanAllocation Confirmation Notification

LoanTrade SettlementTask

Notification

LoanAllocationSettlementTask

Notification

LoanAllocationSettlementDate

Availability Notification

LoanAllocationSettlementDate

Finalization Notification

LoanAllocationTransferFeeOwed

Notification

LoanAllocation Settlement Notification

LoanTransfer Settlement Notification

Correctable Request Message

LoanAllocationTransferFeeDue

Notification

AbstractLoanAllocationPayment

Notification

AbstractLoanTrade

PaymentNotification

LoanTradeTransferFeeDue

Notification

LoanTradeTransferFeeOwed

Notification



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5 Loan Trading Notifications Use

The use of the Loan Trading Notifications in relation to the loan trading lifecycle is best

represented by the following timeline-based discussion sections below.

Within the diagrams that follow, open arrows indicate actions that occur outside of the Loan

FpML schema, while closed arrows indicate Loan FpML notifications.

Note that all Loan Trading Notifications have a corresponding ‘retraction’ notification, which

is built nearly identically to the original notification; the only difference is the naming

convention of the outermost ‘wrapper.’ Consistent with the rest of the Loan FpML schema,

Loan Trading retraction notifications are intended to be used to indicate a retraction of an

original notification previously sent. For simplicity’s sake, the retraction notifications are

omitted from timeline diagrams and data mapping and business validation sections.

6 Pre-Trade Activities

6.1 Business Application – Pre-Trade Activities

Before execution of the trade between counterparties, several actions occur, as indicated

below. Inclusive in those actions is the optional transmission of asset and position

information, as represented by the Deal Statement and Outstanding Contracts Statement

FpML notifications.

Seller Buyer Agent Bank

Confidentiality and Asset Discovery

Deal Statement

The deal statement and outstanding contracts

statement allows the seller of the asset to pass on the

deal/facility and outstanding details to the buyer.

Master Confidentiality Agreement

A legal agreement executed to ensure that the buyer of the asset maintains confidentiality around the loan asset. Currently a manual process.

Trade negotiation

Trade negotiation

Loan Trade Negotiation

OutstandingContracts Statement

Sign Agreement

Agreement on basic trade terms through an external electronic communication channel or via phone.

6.2 Data Mapping – Pre-Trade Activities

See data mapping for ‘Deal Statement’ and ‘Outstanding Contracts Statement’ notifications.



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7 Loan Trade and Loan Transfer Notifications

7.1 Business Application – Loan Trade and Loan Transfer Notifications

The loan trade is initiated by the below notifications, which convey the details of the initial

loan trade. Notifications sent between counterparties utilize the ‘LoanTradeNotification,’

while notifications sent from counterparty to agent utilize the ‘LoanTransferNotification.’

The fundamental difference between these notification types is the absence of price and

other counterparty-specific trade terms that should not be shared with the agent.


Loan Trade Notification

Loan Trade Notification

Negotiate the terms of the trade. The Loan Trade Notifications can be sent numerous times between the parties until an agreement is reached.

Loan Transfer Notification

Loan Transfer Notification

Either party could alert the agent to the transfer.

Transfer Notification Options

Buyer can optionally alert the agent...

Seller usually contacts agent...

Loan Trade Details Exchange

In some cases, the buyer can send out the Loan Trade Notification...

Seller usually sends out a Loan Trade Notification...

Loan Trade ConfirmationNotification

Loan Trade ConfirmationNotification

7.2 Data Mapping Notes – Loan Trade and Loan Transfer Notifications

The following data fields and structures are utilized by the ‘LoanTradeNotification,’

‘LoanTrade ConfirmationNotification,’ and ‘LoanTransferNotification.’ For all loan trading-

related notifications, in the case of fields inherited from other FpML schema, Loan FpML may

utilize these fields/structures to represent concepts not found in other asset classes, and the

end-user of the notification should be mindful of this fact. Note that, aside from the

‘transferFeeRemittedBy’ element, the Loan Transfer Notification contains no additional

elements beyond what is contained in the Loan Trade Notification. The Loan Transfer

Notification omits the ‘price’ and ‘transferFee’ elements, as well as the LoanTrading

CounterpartyCashSettlementRules.model and LoanTradingParticipationSettlement



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Terms.model models.

7.3 Data Mapping – Loan Trade Notification


loanTradeNotification

tradeEvent LoanTradeEvent Y

A structure to establish the loan

trade event. This structure contains

an event identifier for the trade as

well as a reference to the details of

the trade, contained in an element

in the message. See ‘loanTrade

Notification/tradeEvent’ section

below.

trade LoanTrade Y A structure defining counterparty-

to-counterparty loan trade

information. This structure contains

the main (e.g. fund manager/main

counterparty) trade details. See

‘loanTradeNotification/trade’

section below.

FacilityDetails.model [model] Y

A model used to reference a facility

by either identifier or summary.

This complex type is used

throughout the Loan FpML schema.

party Party Y

[1..n]

A legal entity or a subdivision of a

legal entity. This complex type is

used throughout the Loan FpML

schema.

loanTradeNotification/tradeEvent

eventIdentifier BusinessEventIdentifier Y

[1..n]

A reference to a specific embedded

event within the notification. This

structure also references the party

issuing the event identifier.

parentEventIdentifier BusinessEventIdentifier N An identifier used to identify a

group of related business events.

correctedEventIdentifier BusinessEventIdentifier N A unique identifier associated with

a previous ‘inaccurate event.’

Population of this identifier

represents that this event is a

‘corrective measure’ to a previous

event, rather than being a stand-

alone event.



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LenderAndCash

Details.model

[model] N A structure to reference the lender

and the cash flow details pertaining

to that lender, within a business

event.

comment [xsd:string] N A freeform text field that allows the

sender to add further information

about the business event.

loanTradeReference LoanTradeReference Y A reference to a loan trade.

loanTradeNotification/trade

tradeIdentifier TradeIdentifier Y A unique identifier for the trade.

See ‘loanTradeNotification/

trade/tradeIdentifier section below.

facilityReference FacilityReference Y A reference to an asset (facility)

indicated by the ‘FacilityDetails.

model.’

amount Money Y The amount of the trade. This

complex type is made up of a

currency (Currency, based on

scheme ‘currencyScheme’) and an

amount (xsd:decimal) element.

comment [xsd:string] N A freetext field which allows the

sender to add further details

around the trade event.

tradeDate [xsd:date] Y The effective date of initiation of a

trade.

BuyerSeller.model [model] Y A structure to reference the buyer

and seller trading counterparties to

a trade.

type LoanTrading

TypeEnum

Y An enumeration to indicate

whether a trade is a ‘primary’ trade

or a ‘secondary’ trade.

whenIssuedFlag [xsd:boolean] Y A flag to indicate the dependency

of a secondary market loan trade

upon the closing of a primary

market loan structuring and

syndication process.

LoanTradingSettlement

Terms.model

[model] Y A model which contains specific

terms-related information for a

loan trade, including governing

association and form of purchase.

price xsd:decimal Y The trade price, notated as a

decimal, to be expressed as a

percentage multiplied by the

commitment amount.

transferFee LoanTransferFee Y Detail about the transfer fee that is

owed to the agent for the transfer

of the commitment (via the trade).

See ‘loanTradeNotification/trade/

transferFee’ section below

LoanTradingCounterparty

CashSettlement

[model] Y A model to establish a set of trade

settlement rules. See ‘loanTrade



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Rules.model Notification/trade/LoanTrading

CounterpartyCashSettlement

Rules.model’ section below.

LoanTradingParticipation

SettlementTerms.model

[model] N Rules associated with a trade

settled by participation only. See

‘loanTradeNotification/trade/

LoanTradingParticipation

SettlementTerms.model’ section

below.

loanTradeNotification/trade/tradeIdentifier

PartyAndAccount

References.model

[model] Y A pointer style reference to a party

identifier, via a partyReference

(PartyReference) and optionally an

accountReference

(AccountReference). The party

referenced identified in this model

is the party which has authored the

trade identifier.

tradeId TradeId N* A unique trade identifier. *Note:

either this element or the

versionedTradeId element must be

included in the structure, as

appropriate.

versionedTradeId Versioned

TradeId

N* A trade identifier accompanied by a

version number. In regulatory

reporting views, this should be

avoided except for internal

messaging. *Note: either this

element or the tradeId element

must be included in the structure,

as appropriate.

loanTradeNotification/trade/LoanTradingSettlementTerms.model

tradingAssociation LoanTradingAssocEnum Y Defines the trading association

under which the loan trade

documentation is governed, based

on an enumeration.

formOfPurchase LoanTradingFormOf

PurchaseEnum

Y Defines whether the trade is being

settled by assignment or

participation (i.e. sub-

participation), based on an

enumeration

loanTradeNotification/trade/transferFee

remittedBy BuyerSellerEnum Y An enumeration to indicate the

party responsible for remitting the

transfer fee to the agent (either the

buyer or seller).

paidBy LoanTransferFee

PaidByEnum

Y A rule enumeration, based on

standard market convention, for

the way a transfer fee may be split

and/or paid between

counterparties.



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totalAmount NonNegative

Money

N The amount payable to the agent

for re-assigning a share in one of

the underlying facilities within the

deal. This complex type is made

up of a currency (Currency, based

on scheme ‘currencyScheme’) and

an amount (xsd:decimal) element.

transferFeeAmounts BuyerSellerAmounts Y Counterparty shares of the transfer

fee owed to the agent. This


buyersAmount (NonNegative

Money) and sellersAmount

(NonNegativeMoney) elements.

loanTradeNotification/trade/LoanTradingCounterpartyCashSettlementRules.model

documentationType LoanTradingDoc

TypeEnum

Y Defines whether the loan trade is

being settled under par or

distressed documentation.

accrualSettlementType LoanTradingAccrual

SettlementEnum

Y Defines the way in which interest

(and fees) will be handled between

the buyer and seller of the loan.

delayedCompensationFlag [xsd:boolean] Y Defines whether delayed

compensation is due at settlement

of the loan trade.

nonRecurringFees

Benefactor

BuyerSellerEnum Y An enumeration, which defines the

benefit of all amendment fees,

consent, waiver, ticking and other

non-recurring fees occurring

between trade date and settlement

date.

loanTradeNotification/trade/LoanTradingParticipationSettlementTerms.model

collareralRequired

Flag

[xsd:boolean] Y Identifies whether the buyer is to

supply collateral in the case the

trade involves a revolver and the

trade settles as a participation.

votingRights LoanTradingVoting

RightsEnum

Y An enumeration, which identifies

whether the buyer is to receive, or

seller is to retain, voting rights.

7.4 Data Mapping – Loan Trade Confirmation Notification


loanTradeConfirmationNotification

confirmation LoanTradeEvent Y

A structure to confirm the original

loan trade event, conveyed in the

Loan Trade Notification. See

‘loanTradeConfirmationNotification/

tradeEvent’ section below.

tradeSummary LoanTrade Y A summary of the trade. See

‘loanTradeConfirmationNotification/

tradeSummary’ section below.



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See description in ‘loanTrade

Notification’ section above.

party Party Y

[1..n]




schema.

loanTradeConfirmationNotification/confirmation


[1..n]













alone event.

LenderAndCash

Details.model


and the cash flow details

pertaining to that lender, within a

business event. See

‘loanTradeNotification/

tradeEvent’ section above.

comment [xsd:normalizedString] N A freeform text field that allows

the sender to add further

information about the business

event.

loanTradeReference LoanTradeReference Y Reference to a loan trade. See

‘loanTradeNotification/tradeEvent’

section above.

loanTradeConfirmationNotification/tradeSummary



indicated by the

‘FacilityDetails.model’








around the task.



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loanTradeConfirmationNotification/tradeSummary/tradeIdentifier

PartyAndAccount

References.model




accountReference

(AccountReference). The party

referenced identified in this model

is the party which has authored

the trade identifier.

tradeId TradeId N* A unique trade identifier. *Note:

either this element or the

versionedTradeId element must be


appropriate.

versionedTradeId Versioned

TradeId

N* A trade identifier accompanied by

a version number. In regulatory

reporting views, this should be

avoided except for internal

messaging. *Note: either this

element or the tradeId element

must be included in the structure,

as appropriate.

7.5 Data Mapping – Loan Transfer Notification


loanTransferNotification

transferEvent LoanTradeEvent Y A structure to establish the loan

transfer event. This structure

contains an event identifier for the

trade as well as a reference to the

details of the trade, contained in

an element in the message. See


section above.

transfer LoanTransfer Y An event structure defining loan

transfer information, sent from

counterparty to agent. This

structure contains the main (e.g.

fund manager/main counterparty)

trade details. See ‘loanTransfer

Notification/transfer’ section below.


[1..n]



party Party Y

[1..n]




schema.



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loanTransferNotification/transferEvent

eventIdentifier BusinessEventIdentifier Y A reference to a specific embedded












alone event.

LenderAndCash

Details.model




event. See ‘loanTradeNotification/


comment [xsd:normalizedString] N A freeform text field that allows the





section above.

loanTransferNotification/transfer


See ‘loanTradeNotification/

transfer/tradeIdentifier’ section

above.



model’

amount Money Y The amount of the transfer. This







around the transfer event.

tradeDate [xsd:date] Y The effective date of initiation of a

transfer.

BuyerSeller.model [model] Y See the ‘loanTradeNotification/

trade’ section above.

type LoanTrading

TypeEnum

Y See the ‘loanTradeNotification/


whenIssuedFlag [xsd:boolean] Y See the ‘loanTradeNotification/


LoanTradingSettlement [model] Y See the ‘loanTradeNotification/



23

Terms.model trade’ section above.

transferFeeRemittedBy BuyerSellerEnum Y An enumeration to indicate the

party responsible for remitting the

transfer fee to the agent (buyer or

seller).



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8 Loan Trade Settlement Task(s)

8.1 Business Application – Loan Trade Settlement Task Notification

Once the trade is initiated, the ‘LoanTradeSettlementTaskNotification’ may be sent between

counterparties, or from counterparty to agent and vice versa to indicate trade-level tasks

that must be completed prior to the settlement of the trade. One such application of the

‘LoanTradeSettlementTask Notification’ would be for the agent to indicate to the buyer the

need to allocate the trade.


Trade-Level Settlement Task Notification

Loan TradeSettlement Task Notification






There could be numerous exchanges between counterparties and agent, until all settlement tasks have been completed. These notifications can be sent at any point.

8.2 Data Mapping – Loan Trade Settlement Task Notification


loanTradeSettlementTaskNotification

task LoanTradeSettlement

Task

Y

[1..n]

The task, which is a prerequisite to

trade settlement. See ‘loanTrade

SettlementTaskNotification/task’ section

below.

tradeSummary LoanTradeSummary Y

[1..n]

A summary of the trade. See

‘loanTradeSettlementTaskNotification/

tradeSummary’ section below.

FacilityDetails.

model

[model] Y

[1..n]

A model used to reference a facility by

either identifier or summary. This

complex type is used throughout the

Loan FpML schema.

party Party Y

[1..n]

A legal entity or a subdivision of a legal

entity. This complex type is used




25

loanTradeSettlementTaskNotification/task

taskIdentifier TaskIdentifier Y The unique identifier for a settlement

task, defined by a scheme.

parentTaskIdentifier TaskIdentifier N An identifier used to identify a group of

related tasks.

correctedTask

Identifier

TaskIdentifier N A unique identifier associated with a

previous ‘inaccurate task.’ Population of

this identifier represents that this task is

a ‘corrective measure’ to a previous task,

rather than being a stand-alone task.

responsibleParty PartyReference Y A reference to the party responsible for

the completion of the settlement task.

dates LoanTradingSettlement

TaskDates

Y Dates relevant to the settlement task.

See ‘loanTradeSettlementTask

Notification/task/dates’ section below.

status LoanTradingSettlement

TaskStatusEnum

Y An enumeration to define the status of

the settlement task.

comment [xsd:string] N A freetext field which allows the sender

to add further details around the task.

loanTradeReference LoanTradeReference Y Reference to the trade. See ‘loanTrade

Notification/tradeEvent’ section above.

type LoanTradeSettlement

TaskType

Y The type of the trade settlement task,

based on scheme.

loanTradeSettlementTaskNotification/task/dates

raisedDate [xsd:date] Y The date on which the settlement task

was raised.

expectedDate [xsd:date] N The date by which the settlement task is

expected to be completed.

clearedDate [xsd:date] N The date on which the settlement task

was either cleared or cancelled.

loanTradeSettlementTaskNotification/tradeSummary



indicated by the ‘FacilityDetails.model’

amount Money Y The amount of the trade. This complex

type is made up of a currency (Currency,

based on scheme ‘currencyScheme’) and

an amount (xsd:decimal) element.





26

9 Loan Trade Allocation

9.1 Business Application – Loan Allocation Notification and Loan Allocation Confirmation

Notification

The loan trade can be allocated by the buyer via the ‘Loan Allocation Notification’ in a

variety of ways, including to itself entirely or partially, or to sub-entities such as fund, CLOs,

special vehicles, or others. Notification is sent by the buyer to both seller and agent. The

‘Loan Trade Allocation Confirmation Notification’ is sent from seller to buyer or agent to

buyer, confirming the details of the allocation as represented in the Loan Allocation

Notification.


Loan Allocation Notification

Loan Allocation Notification

Loan Allocation Confirmation Notification

The allocation notification

must be received by

seller in order to perform

appropriate due diligence on

allocated parties..

The allocation notification must be received by agent in order to perform appropriate due diligence on allocated parties..

Loan AllocationConfirmation Notification

Allocation Notification

Buyer can optionally alert the agent...

9.2 Data Mapping – Loan Allocation Notification


loanAllocationNotification

allocationEvent LoanAllocationEvent Y A structure to establish the loan trade

allocation event. This structure contains

an event identifier for the allocation

event as well as a reference to the details

of the loan trade alloocation, contained in

an element in the message.

allocation LoanAllocation Y

[1..n]

A structure defining information related

to a loan trade allocation. See

‘loanAllocationNotification/allocation’

section below.


[1..n]



tradeSummary’ section earlier in this

document.


[1..n]




Loan FpML schema.



27

party Party Y

[1..n]




loanAllocationNotification/allocationEvent

eventIdentifier BusinessEventIdentifier Y A reference to a specific embedded event

within the notification. This structure

also references the party issuing the

event identifier.

parentEventIdentifier BusinessEventIdentifier N An identifier used to identify a group of

related business events.

correctedEventIdentifier BusinessEventIdentifier N A unique identifier associated with a

previous ‘inaccurate event.’ Population of

this identifier represents that this event

is a ‘corrective measure’ to a previous

event, rather than being a stand-alone

event.

LenderAndCash

Details.model

[model] N A structure to reference the lender and

the cash flow details pertaining to that

lender, within a business event. See

‘loanTradeNotification/tradeEvent’ section

above.


sender to add further information about

the business event.

allocationReference LoanAllocationReference Y

[1..n]

Reference to an allocation.

loanAllocationNotification/allocation

allocationIdentifier LoanAllocationIdentifier Y A unique identifier for the allocation. See

‘loanAllocationNotification/allocation/

allocationIdentifier section below.

amount Money Y The amount of the allocation. This

complex type is made up of a currency

(Currency, based on scheme

‘currencyScheme’) and an amount

(xsd:decimal) element.



LoanAllocationParties.

model

[model] Y A model which contains the main parties

involved in a loan allocation. See


LoanAllocationParties.model’ section

below.

LoanTradingParties.

model

[model] N A model which contains the main parties

involved in the original loan trade. See


LoanTradingParties.model section below.



28

loanAllocationNotification/allocation/allocationIdentifier

PartyAndAccount

References.model




accountReference (AccountReference).

The party referenced identified in this

model is the party which has authored

the trade identifier.

tradeId TradeID Y A unique allocation identifier.

versionedTradeId VersionedTradeID Y An allocation identifier accompanied by a

version number. In regulatory reporting

views, this should be avoided except for

internal messaging.

loanTradeReference LoanTradeReference Y Reference to the original loan trade.

LoanAllocationNotification/allocation/LoanAllocationParties.model

originalPartyReference PartyReference Y A reference to the party responsible for

the allocation.

allocatedPartyReference PartyReference Y A reference to the party that has been

allocated to.

LoanAllocationNotification/allocation/LoanTradingParties.model

buyerPartyReference PartyReference Y A reference to the buyer as defined on the

loan trade.

sellerPartyReference PartyReference Y A reference to the seller as defined on the

loan trade.

9.3 Data Mapping Notes – Loan Allocation Confirmation Notification


loanAllocationConfirmationNotification

confirmation LoanTradeEvent Y

A structure to confirm the original

loan trade event, conveyed in the

Loan Trade Notification. See

‘loanAllocationConfirmation

Notification/confirmation’ section

below.

tradeSummary LoanTrade Y A summary of the trade. See

‘loanAllocationConfirmation

Notification/tradeSummary’ section

below.




party Party Y

[1..n]




schema.

loanAllocationConfirmationNotification/confirmation


[1..n]







29









alone event.

LenderAndCash

Details.model


and the cash flow details

pertaining to that lender, within a

business event. See



comment [xsd:normalizedString] N A freeform text field that allows

the sender to add further

information about the business

event.



section above.

loanAllocationConfirmationNotification/tradeSummary




model’








around the task.



30

10 Loan Allocation Settlement Task(s)

10.1 Business Application – Loan Allocation Settlement Task Notification

Once the buyer has allocated the loan trade, any tasks that must be completed in advance

of settlement of an allocation can be conveyed with the ‘Loan Allocation Settlement Task

Notification.’ This notification is distinct to the allocation level, and may represent tasks

such as performing lender due diligence, or seeking borrower or letter of credit issuer

consent. This notification can be sent between counterparties as well as counterparty and

agent, and is not restricted in terms of iterations that can be sent. For example,

notifications may be sent to change the status of tasks as those tasks are fulfilled.


Allocation-Level Settlement Task Notification

Loan AllocationSettlement Task Notification






There could be numerous exchanges between counterparties and agent, until all settlement tasks have been completed. These notifications can be sent at any point after allocation.

10.2 Data Mapping – Loan Allocation Settlement Task Notification


loanAllocationSettlementTaskNotification

task LoanAllocationSettlement

Task

Y

[1..n]

The task, which is a prerequisite to

allocation settlement. See ‘loanAllocation

SettlementTaskNotification/task’ section

below.

LoanTrade

AllocationDetails.

model

[model] Y

[1..n]

A model used to reference a single loan

trade together with all associated

allocations. See ‘loanAllocation

SettlementTaskNotification/LoanTrade

AllocationsDetails.model’ section below.



31

FacilityDetails.

model

[model] Y

[1..n]


either identifier or summary. This complex

type is used throughout the Loan FpML

schema.

party Party Y

[1..n]




loanAllocationSettlementTaskNotification/task

taskIdentifier TaskIdentifier Y The unique identifier for a settlement task,

defined by a scheme.

parentTask

Identifier

TaskIdentifier N An identifier used to identify a group of

related tasks.

correctedTask

Identifier

TaskIdentifier N A unique identifier associated with a

previous ‘inaccurate task.’ Population of

this identifier represents that this task is a

‘corrective measure’ to a previous task,

rather than being a stand-alone task.

responsibleParty PartyReference Y A reference to the party responsible for

the completion of the settlement task.

dates LoanTradingSettlement

TaskDates

Y Dates relevant to the settlement task.

See ‘loanAllocationSettlementTask

Notification/task/dates’ section below.

status LoanTradingSettlement

TaskStatusEnum

Y An enumeration to define the status of the

settlement task.

comment [xsd:string] N A freetext field which allows the sender to

add further details around the task.

allocationReference LoanAllocationReference Y Reference to a unique allocation identifier

used to identify the allocation record.

type LoanAllocationSettlement

TaskType

Y The type of the allocation settlement task,

based on scheme.

loanAllocationSettlementTaskNotification/task/dates

raisedDate [xsd:date] Y The date on which the settlement task was

raised.

expectedDate [xsd:date] N The date by which the settlement task is

expected to be completed.

clearedDate [xsd:date] N The date on which the settlement task was

either cleared or cancelled.

loanAllocationSettlementTaskNotification/LoanTradeAllocationDetails.model

allocationId LoanAllocationIdentifier Y

[1..n]

A unique identifier for the allocation. See

‘loanAllocationNotification/

allocation/allocationIdentifier’ section

earlier in this document.

tradeSummary LoanTradeSummary Y A summary of the trade. See



document.



32

11 Loan Allocation/Trade Transfer Fee Owed

11.1 Business Application

The ‘Loan Trade Transfer Fee Owed Notification’ and the ‘Loan Allocation Transfer Fee Owed

Notification’ are both used to convey information related to a transfer owed to the agent for

the transfer of the commitment (i.e asset) from seller to buyer(s). The trade version of the

notification can be sent by the agent to express a single transfer fee, regardless as to how

the trade is allocated. The allocation version of the notification can be sent by the agent to

discretely assign all or a portion of a transfer fee to the allocation parties. It is important to

note that the transfer fee notification is a ‘publication’ style notification, expressing the

amount of the transfer fee in relation to a trade or allocation, and not a due date for

remittance of the fee. This notification may be conveyed at any point in the trade lifecycle,

between allocation and settlement.


Loan Allocation/Trade Transfer Fee Owed

Notification

Loan Allocation/TradeTransfer Fee Owed Notification

Transfer Fee Publication

This is a publication to both parties...

The transfer fee owed notification is sent by the agent to the buyer and seller to finalize the details of the transfer fee to be paid to the agent. This notification can be sent at either a trade level or an allocation level.

11.2 Data Mapping Notes – Loan Trade / Allocation Transfer Fee Owed Notification

The following data fields and structures are utilized by the ‘Loan Trade Transfer Fee

Notification’ and ‘Loan Allocation Transfer Fee Owed Notification.’ Note that much of the

mapping for these two notifications is identical; however, due to the need to relate loan

allocations to a loan trade within the structure of the Loan Allocation Transfer Fee

Notification, expressing the transfer fee at solely the trade level can only be accomplished

by defining a separate trade level-specific structure that does not obligate relating

allocations to the trade.

11.3 Data Mapping - Loan Trade Transfer Fee Owed Notification


loanTradeTransferFeeOwedNotification

feeOwed LoanTradeTransferFeeOwed Y

A structure to detail the fee owed to

the agent for the transfer of a

commitment from seller to buyer.

See ‘loanTradeTransferFeeOwed

Notification/feeOwed’ section below.



‘loanTradeSettlementTask



33





by either identifier or summary.

This complex type is used


party Party Y

[1..n]




schema.

loanTradeTransferFeeOwedNotification/feeOwed


[1..n]








previous ‘inaccurate event.’





alone event.

LenderAndCash

Details.model









LoanTradingTransfer

FeeDetermination.

model

[model] Y A model used to detail fee amount

determinations for a transfer. See

‘…feeOwed/LoanTradingTransfer

FeeDetermination.model’ section

below.

…feeOwed/LoanTradingTransferFeeDetermination.model

waivedFlag [xsd:boolean] Y A flag defining whether the transfer

fee is to be waived for this

allocation.

creditAgreement

Amount

NonNegativeMoney Y Amount of transfer fee owed to the

admin agent for the allocation, per

the credit agreement.

agentAmount NonNegativeMoney Y Amount of transfer fee owed to the

agent for the allocation, as

determined by the agent.



34

11.4 Data Mapping - Loan Allocation Transfer Fee Owed Notification


loanAllocationTransferFeeOwedNotification

feeOwed LoanAllocationTransfer

FeeOwed

Y

[1..n]

A structure to detail the fee owed to

the agent for the transfer of a

commitment from seller to buyer. See

‘loanAllocationTransfer

FeeOwedNotification/fee

Owed’ section below.

LoanTradeAllocation

Details.model

[model] Y

[1..n]

A structure to associate allocations

with the summary of the trade. See

‘loanAllocationTransferFeeOwed

Notification/LoanTradeAllocation

Details.model’ section below.


[1..n]




Loan FpML schema.

party Party Y

[1..n]


legal entity. This complex type is used


loanAllocationTransferFeeOwedNotification/feeOwed


[1..n]





parentEventIdentifier BusinessEventIdentifier N An identifier used to identify a group

of related business events.


previous ‘inaccurate event.’ Population

of this identifier represents that this

event is a ‘corrective measure’ to a

previous event, rather than being a

stand-alone event.

LenderAndCash

Details.model










Reference

Y

[1..n]

A reference to the allocation record.

LoanTradingTransfer

FeeDetermination.

model

[model] Y A model used to detail fee amount

determinations for a transfer. See

‘…feeOwed/loanTradingTransfer

FeeDetermination.model’ section

above.



35

loanAllocationTransferFeeOwedNotification/LoanTradeAllocationDetails.model

allocationId LoanAllocationIdentifier Y

[1..n]

A unique identifier for the allocation.

See ‘loanAllocation

Notification/allocation/allocation

Identifier’ section earlier in this

document.

tradeSummary LoanTradeSummary Y A summary of the trade. See

‘loanTradeSettlementTask





36

12 Loan Allocation Settlement Date Availability and Finalization


The ‘Loan Allocation Settlement Date Availability Notification’ may be used between

counterparties and agent to convey details in relation to the dates of settlement of an

allocation. Specific dates, date ranges, and ‘no settle’ dates or period can all be expressed

with this notification.


Allocation Settlement Date Finalization Notification

Allocation Settlement Date Finalization Notification

Settlement date coordination exchanges will normally conclude with the agent publishing a final settlement date.

Allocation Settlement Date Availability

Loan Allocation Settlement Date AvailabilityNotification


Loan Allocation Settlement DateAvailability Notification

There could be numerous exchanges between counterparties and agent until consensus is reached...



Loan Allocation Settlement DateAvailability Notification

Allocation Settlement Date Finalization


12.2 Data Mapping Notes – Loan Allocation Settlement Date Availability / Finalization

Notifications

The following data fields and structures are utilized by the ‘Loan Allocation Settlement Date

Availability Notification’ and ‘Loan Allocation Settlement Date Finalization Notification.’ Note

that much of the mapping for these two notifications is identical; however, because the

Loan Allocation Settlement Date Finalization Notification defines the settlement date of the

allocation, the event complex type for this notification only contains a ‘settlementDate’

element, rather than a set of various date range, specific date, and ‘no settle period’

options. The Loan Allocation Settlement Date Finalization Notification may only be sent by

the agent to the trading counterparties, since the agent is the one who ultimately

determines the allocation settlement date.



37

12.3 Data Mapping - Loan Allocation Settlement Date Availability Notification


loanAllocationSettlementDateAvailabilityNotification

settlementDate

Availability

LoanSettlementDate

AvailabilityEvent

Y

[1..n]

An event structure defining

information related to date

availability to settle an allocation.

LoanTradeAllocation

Details.model

[model] Y

[1..n]

A model used to reference a single

loan trade together with all

associated allocations. See

‘loanTradeSettlement

TaskNotification/LoanTradeAllocations

Details.model’ section earlier in this

document.


[1..n]


by either identifier or summary. This


Loan FpML schema.

party Party Y

[1..n]




schema.

loanAllocationSettlementDateAvailabilityNotification/settlementDateAvailability


[1..n]





parentEventIdentifier BusinessEventIdentifier N An identifier used to identify a group

of related business events.


previous ‘inaccurate event.’





alone event.

LenderAndCash

Details.model










Reference

Y

[n..1]

A reference to a unique allocation

identifier used to identify the

allocation record.

amount Money Y

[n..1]

The amount of the allocation to be

settled.



38

specificDates DateList N* Specific date or series of dates on

which an allocation may be settled.

*Note: either this element, or

Period.model, or onOrAfterDate

element must be included in the

structure, as appropriate.

Period.model [model] N* Specific range within which an

allocation may be settled. *Note:

either this element, or specificDates

element, or onOrAfterDate element

must be included in the structure, as

appropriate.

onOrAfterDate [xsd:date] N* Date on or after which an allocation

can be settled. *Note: either this

element, or Period.model, or

specificDates element must be


appropriate.

leadDays [xsd:positiveinteger] N Number of days advance notification

required to express the intent to

settle a trade.

cutOffTime [xsd:time] N Specific cutoff time to express the

intent to settle a trade.

noSettlePeriod LoanAllocationNo

SettlePeriod

N

[0..n]

A period during which an allocation

cannot be settled. See ‘…settlement

DateAvailability/noSettlePeriod’

section below

…settlementDateAvailability/noSettlePeriod

Period.model [model] Y Specific date range within which an

allocation may not settle. This model

is comprised of ‘startDate’ (xsd:date)

and ‘endDate’ (xsd:date) elements.

periodType LoanAllocationNo

SettlePeriodType

Y A list (scheme) of allowable types of

no-settle periods.

12.4 Data Mapping - Loan Allocation Settlement Date Finalization Notification


loanAllocationSettlementDateFinalizationNotification

settlementDate

Finalization

LoanSettlementDate

FinalizationEvent

Y

[1…n]

An event structure defining

information related to date

availability to settle an allocation.

LoanTradeAllocation

Details.model

[model] Y

[1…n]

A model used to reference a single

loan trade together with all

associated allocations. See

‘loanTradeSettlement



document.



39


[1…n]


by either identifier or summary. This


Loan FpML schema.

party Party Y

[1…n]




schema.

LoanAllocationSettlementDateAvailabilityNotification/LoanSettlementDateFinalizationEvent

allocation

Reference

LoanAllocation

Reference

Y A reference to a unique allocation

identifier used to identify the

allocation record.

amount Money Y The amount of the allocation to be

settled.


sender to add further details around

the event.

settlementDate [xsd:date] Y Specific date on which an allocation

will be settled.



40

13 Loan Allocation/Transfer Settlement


The ‘Loan Allocation Settlement Notification’ may be used by the seller to communicate, to

the buyer, details of the settlement of a loan allocation. This notification provides the

information that would normally be found on the ‘funding memo.’ In certain circumstances,

the buyer may be required to provide the allocation settlement details to the seller, but such

a scenario would be considered rare. The ‘Loan Transfer Settlement Notification’ is sent by

the agent to the buyer to confirm the settlement of an allocation transfer from seller to

buyer. The ‘Loan Trade Transfer Fee Due Notification’ and the ‘Loan Allocation Transfer Fee

Due Notification’ may optionally be sent by the agent to buyer and/or seller to finalize the

due date of the payment of the transfer fee. While it would be inferred that the due date of

the transfer fee would correspond with the settlement date of the transfer, this notification

provides as mechanism to formalize the date. Upon completion of the allocation transfer,

the agent would likely send the ‘Deal Statement’ and/or ‘Facility Outstanding Positions

Statement’ notifications to the buyer.


Loan AllocationSettlement Notification

Loan TransferSettlement Notification

Facility OutstandingPositions Statement

The agent sends the full deal/facility structure back to the

buyer once settlement is confirmed. The deal

statement is optional (since it was previously sent at the

beginning of the settlement cycle, but it would be good

practice on behalf of the agent.

Deal Statement

Asset and Outstandings Confirmation

This notification occurs on settlement date.

It denotes the fact that the buyer is the official lender of record as per the agents books and records.

AKA Funding Memo

Allocation/Transfer Settlement Notification

Loan AllocationSettlement Notification

In some cases, the buyer may send out the settlement notification.

Transfer Fee Due Notification

Transfer Fee Due Notification

Trade/Allocation Transfer Fee Due


The transfer fee due notification is sent by the agent to the buyer and seller to finalize the due date of the transfer fee to be paid to the agent. This notification can be sent at either a trade level or an allocation level.



41

13.2 Data Mapping Notes – Loan Allocation / Transfer Settlement Notifications and Loan

Trade / Allocation Transfer Fee Due Notifications

The following data fields and structures are utilized by the ‘Loan Allocation Settlement

Notification,’ ‘Loan Transfer Settlement Notification,’ ‘Loan Trade Transfer Fee Due

Notification,’ and ‘Loan Allocation Transfer Fee Due Notification.’

13.3 Data Mapping - Loan Allocation Settlement Notification


loanAllocationSettlementNotification

settlement LoanAllocation

SettlementEvent

Y

[1..n]

A structure to detail the settlement of an

allocation. See

‘loanAllocationSettlement

Notification/settlement’ section below.

LoanTradeAllocation

Details.model

[model] Y

[1..n]



allocations.

See‘loanAllocationSettlement

Notification/LoanTradeAllocations

Details.model’ section below.

FacilityDetails.

model

[model] Y

[1..n]




Loan FpML schema.

party Party Y

[1..n]




loanAllocationSettlementNotification/settlement


[1..n]












stand-alone event.

LenderAndCash

Details.model








the business event.



42


Reference


identifier used to identify the allocation

record.

settlementDate [xsd:date] Y The date on which the allocation will

settle.


settled.

fundingFactors LoanTradingCounterparty

SettlementFunding

Factors

N A structure to describe factors that

impact the settlement cash flows. See

‘…loanAllocationSettlementNotification/

settlement/fundingFactors’ section

below.


to add further details around the event.

facilityOutstandings

Position

FacilityOutstandings

Position

Y A structure to define the commitment

amount, and optionally outstanding

position information, related to the

allocation. This structure is used


loanAllocationSettlementNotification/settlement/fundingFactors

delayed

Compensation

LoanTradingDelayed

Compensation

Y* A structure to describe accruing fees or

interest elements that impact settlement

cash flows, due to the delay of

settlement of an allocation. See

‘…settlement/fundingFactors/

delayedCompensation’ section below.

Note that if the allocation is settled

ahead of the delayed compensation

period, then there would be no delayed

compensation details to convey.

costOfCarry LoanTradingCostofCarry Y* A structure to describe the seller’s cost of

carry accrued during the delayed

compensation period, which impacts

settlement cash flows. See

‘…settlement/fundingFactors/costOfCarry’

section below. Note that if the allocation

is settled ahead of the delayed

compensation period, then there would

be no cost of carry details to convey.

economicBenefit LoanTradingEconomic

Benefit

N

[0..n]

A structure to describe the economic

benefit of a commitment reduction (or

other economic benefit-generating

events) which impact the settlement cash

flows. See ‘…settlement/fundingFactors/

economicBenefit’ section below.

transferFeeAmounts BuyerSellerAmounts Y A structure to describe countparty shares

of the transfer fee owed to the agent,

which impacts the settlement cash flows.

The element contains both buyer’s (Non

NegativeMoney) and seller’s (Non

NegativeMoney) amounts.



43

…settlement/fundingFactors/delayedCompensation

amount NonNegativeMoney Y The total delayed compensation amount.

LoanTrading

SettlementAccruals.

model

[model] Y A model which contains all relevant

accrual amounts in relation to the

delayed compensation period. See

fundingFactors/delayedCompensation/

LoanTradingSettlementAccruals.model’

section below.

…settlement/fundingFactors/costOfCarry

amount Money Y The total cost of carry amount.

accrual LoanTradingCostof

CarryAccrual

N Details of the accrual schedule in support

of the cost of carry amount.

…settlement/fundingFactors/economicBenefit

amount Money Y The total economic benefit

eventIdentifier BusinessEventIdentifier N* A standard business event identifier used

to associate the business event that

created the economic benefit with the

allocation settlement. Note that if the

optional branch to identify the event that

causes the economic benefit is utilized in

the notification, then either the

‘eventIdentifier’ element or the

‘commitmentAdjustment’ element must

be selected.

commitment

Adjustment

CommitmentAdjustment N* Detail on the specific commitment

adjustment that created an economic

benefit, that is associated with the

allocation settlement. Note that if the

optional branch to identify the event that

causes the economic benefit is utilized in

the notification, then either the

‘eventIdentifier’ element or the

‘commitmentAdjustment’ element must

be selected.

…fundingFactors/delayedCompensation /LoanTradingSettlementAccruals.model

accruingFee LoanTradingAccruing

FeeAccrual

N

[0..n]

A structure to define an accruing fee’s

impact on the delayed compensation

calculation for the settlement of an

allocation. See ‘…LoanTradingSettlement

Accruals.model/accruingFee’ section

below.

nonRecurringFee LoanTradingNon

RecurringFee

N

[0..n]

A structure to define a non-recurring

fee’s impact on the delayed

compensation calculation for the


‘…LoanTradingSettlementAccruals.

model/nonRecurringFee’ section below.



44

interest LoanTradingOutstandings

Accrual

N

[0..n]

A structure to define the impact of

accrued interest on the delayed

compensation calculation for the



model/interest’ section below.

letterOfCreditFee LoanTradingLetterOf

CreditAccrual

N

[0..n]

A structure to define the impact of

accrued letter of credit fees on the

delayed compensation calculation for the



model/letterOfCreditFees’ section below.

…LoanTradingSettlementAccruals.model/accruingFee

amount NonNegativeMoney Y The total amount of the accrual.

Comprised of a ‘currency’ (Currency)

element and an ‘amount’

(NonNegativeDecimal) element.

acrrualPeriod AccrualPeriod N

[0..n]

A structure which describes the accrual

period calculation factors related to the

amount.

accrualTypeId AccrualTypeId Y A unique ID associated with the accrual

type, based on a scheme.

type LoanTradingAccruing

FeeTypeEnum

N An enumeration to describe the type of

the accruing fee.

…LoanTradingSettlementAccruals.model/nonRecurringFee



element and an ‘amount’ (NonNegative

Decimal) element.

feeType LoanTradingNon

RecurringFeeTypeEnum

N* An enumeration to describe the type of

the nonrecurring fee. Either this element

or the miscFeeType element must be

included.

miscFeeType NonRecurringMisc

FeeType

N* The miscellaneous nonrecurring fee type,

based on a scheme. Either this element

or the feeType element must be included.

…LoanTradingSettlementAccruals.model/interest





accrualPeriod AccrualPeriod N

[0..n]


period calculation factors related to the

amount.

loanContract

Reference

LoanContractReference Y A reference to the loan contract

associated with the accrual.



45

…LoanTradingSettlementAccruals.model/letterOfCreditFees





accrualPeriod AccrualPeriod N

[0..n]


period calculation factors for the

amount.

letterOfCredit

Reference

LetterOfCredit

Reference

Y A reference to the letter of credit

associated with the accrual.

13.4 Data Mapping - Loan Transfer Settlement Notification


loanTransferSettlementNotification

settlement LoanTransferSettlementEvent Y

[1..n]

A structure to detail the settlement of a

transfer. See ‘loanTransferSettlement


LoanTradeAllocation

Details.model

[model] Y

[1..n]



allocations. See ‘LoanTradeSettlement



document.


[1…n]




Loan FpML schema.

party Party Y

[1…n]




loanTransferSettlementNotification/settlement


[1..n]












stand-alone event.

LenderAndCash

Details.model





section above.



46



the business event.


Reference



record.

settlementDate [xsd:date] Y The date on which the allocation will

settle.


settled.

facilityOutstandings

Position

FacilityOutstandings

Position

Y A structure to define the commitment

amount, and optionally outstanding

position information, related to the

allocation. This structure is used


13.5 Data Mapping - Loan Trade Transfer Fee Due Notification


loanTradeTransferFeeDueNotification

feeDue LoanTradeTransfer

FeeDue

Y

[1..n]

A structure to indicate the transfer fee

due at the loan trade level. See

‘loanTradeTransferFeeDueNotification/

settlement’ section below.


[1..n]




document.

FacilityDetails.

model

[model] Y

[1…n]




Loan FpML schema.

party Party Y

[1…n]




loanTradeTransferFeeDueNotification/feeDue


[1..n]












stand-alone event.



47

LenderAndCash

Details.model





section above.



the business event.

loanTradeReference LoanTradeReference Y A reference to the loan trade.





dueDate [xsd:date] Y The business date on which the transfer

fee is due.

13.6 Data Mapping - Loan Allocation Transfer Fee Due Notification


loanAllocationTransferFeeDueNotification

feeDue LoanAllocation

TransferFeeDue

Y

[1…n]

A structure to indicate the transfer fee

due at the allocation level. See

‘loanAllocationTransferFeeDue


LoanTradeAllocation

Details.model

[model] Y

[1…n]



allocations. See ‘loanAllocation

SettlementTaskNotification/LoanTrade

AllocationsDetails.model’ section earlier

in this document.


[1…n]




Loan FpML schema.

party Party Y

[1…n]




loanAllocationTransferFeeDueNotification/feeDue


[1..n]












stand-alone event.



48

LenderAndCash

Details.model





section above.



the business event.


Reference

Y

[1..n]

A reference to a unique allocation


record.





dueDate [xsd:date] Y The business date on which the transfer

fee is due.

loan trading notifications - fpml · 2 purpose the loan trading notifications are transmitted, in...

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