Syndicated Loan FpML Requirements

Transcription

1 Syndicated Loan FpML Requirements Business Requirements Document Version 2.0 Business Requirements Working Groups Syndicated Loan FpML Working Group, Chair: Bhavik Katira () LSTA Agent Bank Communications Working Group, Chair: Ellen Hefferan

2 Table of Contents 1 Introduction Purpose Background Scope Syndicated Loan Market Terms Syndicated Loan Communication Standard Data Type Definitions Syndicated Loan Asset Structures Scenario / High-level Business Process Deal Facility Loan Contract Letter of Credit Loan Servicing Message Design Loan Servicing Notification Loan Servicing Notification Hierarchy Abstract Facility & Loan Contract Notification Loan Servicing Events Loan Servicing Events Hierarchy Abstract Event Definition Reference Data: Assets and Parties Loan Servicing Facility Notifications Accruing Fee Change Notification Scenario / High-level Business Process Accruing Fee Change Notification: Accruing Fee Change Data Fields Accruing Fee Change Notification: Accruing Fee Expiry Data Fields Accruing Fee Payment Notification Scenario / High-level Business Process Accruing Fee Payment Data Fields Accruing PIK Payment Notification Scenario / High-level Business Process Accruing PIK Payment Data Fields Accrual Option Change Notification Scenario / High-level Business Process Accrual Option Change Data Fields Facility Notification - Commitment Adjustment Scenario / High-level Business Process Commitment Adjustment Data Fields Facility Notification Facility Termination Scenario / High-level Business Process Facility Termination Data Fields Loan Servicing Facility/Contract Notifications Non-Recurring Fee Payment Notification Page 2 of 59

3 6.1.1 Scenario / High-level Business Process Non-Recurring Fee Payment Data Fields Facility Rate Change Notification Scenario / High-level Business Process Non-Recurring Fee Payment Data Fields Loan Servicing Loan Contract Notifications Loan Contract Notification - Borrowing Scenario / High-level Business Process Borrowing Data Fields Loan Contract Notification - Base Rate Set Scenario / High-level Business Process Base Rate Set Data Fields Loan Notification - Interest Payment / Interest Capitalization Scenario / High-level Business Process Interest Payment/Capitalization Data Fields Loan Notification - Repayment Scenario / High-level Business Process Repayment Data Fields Loan Notification - Adjustment Scenario / High-level Business Process Adjustment Data Fields Loan Notification Maturity Change Scenario / High-level Business Process Maturity Change Data Fields Prepayment Notification Scenario / High-level Business Process Prepayment Data Fields Repayment with Commitment Adjustment Notification Scenario / High-level Business Process Repayment with Commitment Adjustment Data Fields Loan Notification - Rollover Scenario / High-level Business Process Rollover Notice Data Fields Letter of Credit Issuance Notice Scenario / High-level Business Process Letter of Credit Issuance Notice Data Fields Letter of Credit Balance Notice Scenario / High-level Business Process Letter of Credit Balance Notice Data Fields Letter of Credit Amendment Notice Scenario / High-level Business Process Letter of Credit Amendment Data Fields Letter of Credit Fee Notice Scenario / High-level Business Process Letter of Credit Fee Notice Data Fields Letter of Credit Termination Notice Page 3 of 59

4 Scenario / High-level Business Process Letter of Credit Termination Data Fields Pricing Change Notice Scenario / High-level Business Process Pricing Change Notice Data Fields Loan Trading Notices Scenario / High-level Business Process Secondary Loan Trade Data Fields Loan Administration Messages Phase Net Cash Flow Notice Scenario / High-level Business Process Net Cash Flow Document History Date Version Author Changes 29-Jun Bhavik Katira Latest requirements supporting v5.8 schema. Page 4 of 59

5 1 Introduction In early 2007 the LSTA, TenDelta and ISDA began an initiative to improve the efficiency within the syndicated lending business in the form of two working groups: The LSTA Agent Bank Communications Working Group (business requirements) The FpML Syndicated Loan Working Group (technology design) The working groups are comprised of agent bank, technology vendor, consulting and (limited) buy-side resources. Together, their primary aim is to decrease dependency on the exchange of manual (paper, , facsimile) notifications between market participants. The approach taken by the working groups is to define a single set of standards using FpML (data formats and business process protocols) facilitating electronic communications between market participants. The standardization will promote the creation of clearance services for secure exchange of loan information between participants, as is seen in many other markets. 1.1 Purpose This is a business-focused document that aims to specify message content and the business process that would take place between any two communicating counterparts (agents, lenders and/or trading counterparties) within the syndicated loan industry. The goal is to provide enough business input for a technical message and process design to be created. The main deliverables are: A standardized dictionary of market terms Business events, messages, notifications, instrument structure together with their data content requirements Business flows for the scenarios in which the events, notifications or instrument data will be transmitted 1.2 Background Currently most of the communications are performed through - and fax-based notifications among participants. Page 5 of 59

6 1.3 Scope The scope of this document is to cover data exchange formats for various types of loan-related information exchange. This can be in the form of business events, notifications or transmission of underlying instrument/static data. Figure 1 (below) illustrates the types of data structures that this group will be tackling together with an outline of how the analysis may be phased (the shaded section shows the current phase being released). Business drivers include: Volume of transactions of a particular type. The more volume, the more immediate benefit the industry will receive. Complexity of transactions. The more complex it is to enter a particular event, the more time is taken in order for the recipient to enter it an electronic solution would help in this scenario. Dependency. Certain notices may be dependent on the group defining other message types. Figure 1 : Scope and Phased Approach for Business Requirements Page 6 of 59

7 1.4 Syndicated Loan Market Terms One of the first tasks that the working group will have to agree upon is the naming conventions that will prevail in the electronic language. It will be important to present to the market associations (LSTA, LMA etc.), a market-wide consensus on the naming of various business terms. These terms will then be used in order to define the tags within the XML language. E.g. the working group will need to decide the name of the underlying instrument as either a Credit Agreement or a Deal. A separate document, a dictionary of sorts, captures all these commonly used terms in an effort to ensure that tags are standardized as well as structure. Points to Note: This naming does not preclude institutions from using other names within their own domains but does mean that any inter-institution messaging must be performed using this single naming specification. A good way to think about this task is to imagine all of the nouns that should be used in order to describe the business. In order to make the data human-readable, the FpML standard tries to use actual legal terms (as they appear in legal documentation e.g. <Margin>250</Margin>) to name the tags within the language. This means that a business person could actually take an XML-based output and understand the information contained in it just by reading it. Figure 2 : Example of Syndicated Loan Market Terms Page 7 of 59

8 2 Syndicated Loan Communication Standard 2.1 Data Type Definitions This section contains the main process and data definitions. Each message type is documented on the attribute level and should contain a full description of business validations that accompany it. For each message type we will need to describe three main pieces of information: The message data fields The business validations (e.g. what fields are mandatory, which are optional) The business flow within which the message(s) exists (i.e. what is the business process within which this message will exist) When describing the message data fields we will use a set of standard columns on a table that must be filled as follows: time Field Name: this should be the name of the field as specified within the standard. Data Type: o Text: plain text field (e.g. Borrower Name: Microsoft Corp.). o Alphanumeric: a mixture of letters and numbers (e.g. a Bloomberg Id: LN653725). o Number: a whole number (e.g. an Id: ). o Decimal: an exact number. The number of decimal places may also be noted in the field type. o Currency: a monetary value (e.g. Loan Contract Amount: ). This definition assumes that a currency is associated (no need to type the currency field every time it is used in the specification). The currency list is the ISO standard currency list. o Date: a date in the consistent form of dd-mmm-yyyy (e.g. 08-Feb-2007). o Date/Time: the time (with zone) in addition to a standard date. o Text List: a choice within a list of pre-defined textual values (e.g. Interest Rate Type: LIBOR PRIME EURIBOR etc ). o Number List: a choice within a list of pre-defined numerical values. o Flag: either Yes or No. o Reference: a pointer to another structure within the schema. E.g. asset and parties are always references to full party and asset information stored elsewhere in the schema. o Complex: this refers to the situation where a more complex sub-message is required. Required: Is this field required in the message or is it optional. Comments: Additional information that should be passed onto the technical committee. Page 8 of 59

9 3 Syndicated Loan Asset Structures 3.1 Scenario / High-level Business Process In order to support the need to share loan asset information (e.g. for new lenders), it is necessary to model full deal and facility structures. These base structures will evolve over time, until we have a representation that can support the full disclosure of underlying asset in an electronic format. As can be seen from Figure 3 below, full asset definitions extend asset summaries which, in turn, extend asset identifiers. Figure 3: Asset hierarchy All asset definitions are designed to be used in three forms, depending on the use case: Asset Identifier: just contains a set of identifiers associated with the asset e.g. CUSIP, ISIN, internal identifier. Asset Summary (Short Form): a basic set of fields which provide the core details of the asset. Full Asset (Long Form): the full asset structure with all relevant details. In the interests of extensibility, facility types inherit from an abstract structure to incorporate type-specific features. E.g. delayed draw facilities contain extra delayed draw logic. Page 9 of 59

10 3.2 Deal A deal structure is a representation of the credit agreement drafted between borrowers and lenders. + Deal Identifier Identification Deal Id Alphanumeric Y Deal Description Text N A descriptive name associated with the credit agreement. + Deal Summary Deal Roles Issuer Complex Y Guarantor Complex N [0 n] Agent Bank Complex Y Syndication Lead Complex Y Syndication Co-Lead(s) Complex N [0 n] + Deal Summary Dates/Amounts Credit Agreement Date Date Y The credit agreement date is also known as the 'closing date' (the date on which the agreement was signed). Funding of the facilities occurs either on or after (in the case of a Delayed Draw) the Credit Agreement date. Deal Currency Text List Y The deal denomination currency. Issued Amount Currency N The original global deal amount (when it was initially issued). Current Deal Amount Currency N The current global deal amount + Deal Assignment Fee Rule N The assignment fee amount and rules. This applies to the re-assignment of any facility within the deal structure. Amount Currency Y The amount payable to the agent for re-assigning a share in one of the underlying facilities within the deal. Rule Alphanumeric Y A rule which defines the calculation of assignment fees applicable as a result of a facility re-assignment. Lender Type Waived Text List N [0 n] The list of lender types which are exempt from paying an assignment fee to the agent bank. + Deal Pro-Rata Facilities N [0..n] Groups of facilities which must be traded on a pro-rata basis. The ratio of facility trade amounts must be equal to the ratio of their corresponding global amounts. Facility Reference Reference Y [2 n] + Deal AT LEAST ONE Facility Facility Complex Y [1 n] A full facility structure. Page 10 of 59

11 3.3 Facility New facility types have been introduced within the 5.x series. Each facility type inherits from a single underlying structure. Figure 4: Facility types hierarchy + Facility Identifier Identification Facility Id Alphanumeric Y Facility Description Text N Long name of the asset. + Facility Summary Asset Parties Borrower Complex Y Co-Borrowers Complex N [0 n] Agent Bank Complex Y Each facility (within a single deal) can have specific/different agent banks, especially if there are jurisdictional boundaries being crossed. L/C Issuing Bank Complex N Letter of credit issuing banks associated with the facility (where appropriate). [0 n] Guarantor Complex N Guarantors associated with the facility borrower. [0 n] + Facility Summary Dates Start Date Date Y The start date of the facility. Expiry Date Date N The latest date that a drawdown can be made effective against the facility. Maturity Date Date N The final maturity date associated with a facility. + Facility Summary Amounts Current Commitment Amount Complex Y The current global commitment amount is broken down into its components amounts (following). Total Commitment Amount Currency Y The total commitment amount against a facility. Current Funded Global Currency N The funded portion of the global utilized commitment amount. Amount Current Unfunded Global Currency N The unfunded portion of the global utilized commitment amount. Amount Unavailable To Utilize Amount Currency Y The portion of the commitment amount which is NOT available for the borrower to borrow against. Page 11 of 59

12 Original Commitment Amount Currency N The original global commitment amount. This defines the limit, as of the start date, against which the borrower may draw funds. Deal FX Rate Complex N Defines the exchange rate between the facility and deal denomination currencies (only required if the currencies are different). + Facility Commitment Schedule Date Date Y The business date on which the commitment amount will be changing. Adjustment Complex Y The amount and direction (increase or decrease) of the adjustment. Remaining Currency Y The remaining total commitment once the adjustment has occurred. + Facility Rules/Type Governing Law List Defines the governing law (jurisdiction) under which the facility operates. Features Text List N [0 n] Facility features which help define the instrument with greater granularity. E.g. bridge, acquisition etc. Lien Text List N The lien level associated with the facility. E.g. 1st, 2nd, 3rd. Seniority Text List N The seniority of the facility. E.g. senior, senior secured etc. + Facility Accrual Options Even though each accrual option is not required, every facility must contain at least a single cash or letter of credit accrual option. Fixed Rate Accrual Option Complex N [0 n] A set of fixed rate accrual options. Each option is usually available to any borrowers defined within the facility. An explicitly defined set of borrower entities (within the option) can be defined, which makes the option available to those borrowers only. Floating Rate Accrual Option Complex N [0 n] A set of floating rate accrual options. Each option is usually available to any borrowers defined within the facility. An explicitly defined set of borrower entities (within the option) can be defined, which makes the option available to those borrowers only. Letter of Credit Option Complex N A letter of credit option available under the facility. [0 n] Accruing PIK Option Complex N [0 1] An option to define the rate at which a PIK rate may apply across the entire facility (acting as an additional fee at the facility level). + Facility Rates Penalty Rate Complex (Period+Rate) N This represents a penalty rate that may apply in addition to the regular margin rate (on outstanding loan contracts). This rate is applied at the discretion of the agent bank, if the borrower has broken terms stated within the credit agreement. Default Rate Complex (Period+Rate) N This represents a default rate that may apply in addition to a regular margin rate (on outstanding loan contracts). This rate applied at the discretion of the agent bank, if the borrower is deemed to be in default. Mandatory Cost Rate Complex N Charged as an additional cost for select European deals. (Period+Rate) + Facility Facility Fees Accruing Fee Option Complex N [0 n] A description of all the different types of accruing fees which apply to the facility. Page 12 of 59

13 + Facility Other Multi-Currency Complex N [2..n] A container to denote whether funds may be drawn in multiple currency denominations, in addition to the base (facility) currency. The current commitment amount defines the base currency associated with the facility. + Delayed Draw Additional fields captured for delayed draw facilities. IF Delayed Draw Facility Delayed Draw Flag Y A flag designating the facility as a delayed draw. Must Draw By Date Date N The date by which the facility must be drawn. 3.4 Loan Contract Loan Contract A core structure describing a loan contract between borrower and lenders forming part or all of the credit line offered by a facility structure within a deal. Identification Loan Contract Id Alphanumeric Y A party-specific identifier which is defined within a single facility domain. Repricing Date Date N The repricing date of the loan contract (where applicable). Maturity Date Date N The maturity date of the loan contract (where applicable). Borrower Complex Y Agent-specific name of the borrower. There could be multiple borrowers against a contract however the agents have been trying to promote the concept of an administrative borrower. Hence, only one shown in the field list. Guarantor Complex N Guarantors associated with the facility borrower. [0 n] Loan Contract Amount Currency Y The borrowing amount associated with the loan contract. The currency may or may not be the same as the facility currency. Loan Contract Exchange Rate Number Y Value of the exchange rate, in the case where the loan contract is in a different currency to the facility currency. Exchange Rate Fixing Date Date Y The date of which the (loan contract currency: facility currency) exchange rate was fixed. EITHER Floating Rate Accrual Y A full definition of the floating rate accrual characteristics of a loan contract. This structure defines the underlying base rate as well as any additional margins and costs associated with the loan contract. Accrual Option Id Number Y Day Count Complex Payment Frequency Complex Floating Rate Index Text List Y Defines the underlying base rate for this interest rate period. Spread Decimal N The spread as stated in the credit agreement. There are confirmed use cases/scenarios where this value can be negative. Start Date Date Y End Date Date Y Rate Fixing Date Date Y The date on which the underlying interest rate is fixed. Note: This should default to the effective date of the loan contract in the case of a PRIME base rate. Base Rate Decimal N The actual base rate, defined as a percentage. Penalty Spread Decimal N Page 13 of 59

14 Default Spread Decimal N Mandatory Cost Rate Decimal N Charged as an additional cost for select European deals. All In Rate Decimal N The actual percentage rate charged to the borrower. Next Payment Date Date N The date of the next interest payment. Projected Interest Amount Currency N Projected amount of interest that will be paid by the Agent bank at the end of the interest period. OR Fixed Rate Accrual Y A full definition of the floating rate accrual characteristics of a loan contract. This structure defines the underlying base rate as well as any additional margins and costs associated with the loan contract. Accrual Option Id Number Y Day Count Complex Payment Frequency Complex Floating Rate Index Text List Y Defines the underlying base rate for this interest rate period. Rate Decimal N The rate as stated in the credit agreement. There are confirmed use cases/scenarios where this value can be negative. Start Date Date Y End Date Date Y Penalty Spread Decimal N Default Spread Decimal N Mandatory Cost Rate Decimal N Charged as an additional cost for select European deals. All In Rate Decimal N The actual percentage rate charged to the borrower. Next Payment Date Date N The date of the next interest payment. Projected Interest Amount Currency N Projected amount of interest that will be paid by the Agent bank at the end of the interest period. Page 14 of 59

15 3.5 Letter of Credit Letter of Credit (see common section) LC Id Party Alphanumeric Y The party which created the LC Id. [1..n] LC Id Alphanumeric Y Can contain LC issuance number, CUSIP, ISIN etc [1..n] LC Type Text List Y The type of the L/C. Effective Date Date Y The effective date of the L/C issuance. Borrower Text Y The borrower against the L/C Issuing Bank Text Y The issuing bank associated with a particular L/C. Beneficiary Text N The beneficiary associated with the L/C. Global LC Amount Currency Y The current value of the L/C amount at a global level (not specific to a given lender). Share LC Amount Currency Y The current value of the L/C amount at a lender level. Expiry Date Date Y The expiry date of the L/C. Final Expiry Date Date N The final expiry date of the L/C. LC Purpose Test List N The purpose associated with an L/C. FX Terms Complex N The FX rate associated with the L/C. LC Auto Adjust List N Defines whether the L/C can auto-increase or auto-decrease (or either). LC Min Issuance Fee Amount Currency N The minimum issuance fee that is payable. If the calculated issuance fee is lower than this amount, then this amount is payable regardless of the notional value of the L/C. The financials associated with the L/C are embedded within an L/C accrual structure: L/C Accrual Accrual Option Id Number Y Day Count Complex Y Payment Frequency Complex N L/C Rate Decimal Y Currency List N Currency is stated in the case that it is different to its parent facility. L/C FX Rate Complex N FX rate between the L/C currency and the facility currency. Each letter of credit could have an evergreen option, the details of which are described below. Evergreen Option Non-Renewal Notice Period Complex N The number of calendar days before the end of the LC that the borrower must state that they would not like to extend the LC. Extension Period Period Y The period that defines the extension. An important point raised is that the issuing banks have proprietary numbering schemes for LCs. This representation is not standardized across the market and this standard must be able to cope with alphanumeric schemes which can vary in length. The LC Id Party/LC Id fields should be able to accommodate the number, but in order to avoid confusion it is important to include the issuing bank which created it (two issuing banks may have similar number schemes). Page 15 of 59

16 4 Loan Servicing Message Design As part of the v5.x design there is now a segregation of notification headers, embedded event types and reference data, it is important to understand this distinction. Every notification follows the same design template. Figure 5: Notification data segregation FpML Header: Contains all the logistical information around the message transmission. o A message uniquely. o Who the message was sent by and to whom. o Whether it s a correction. o Timestamps. Loan Notification Header: All messages between any two counterparts will contain a notification header. This message container has certain design traits that allow all non-event logic to be communicated. Notification headers allow the sender/receiver to identify: o Business dates. o Whether the event is global/lender specific. o Supporting information (payments and position). Loan Business Events: All notifications contain at least one business event. These business events contain all of the business logic required to process a particular transaction. Reference Data: Asset and party information is stored here and is referenced throughout the rest of the notification. The design combines both event-specific information together supplementary asset/position data. This combination ensures that agents and lenders are constantly synchronized (especially through the transition period from fax/paper based communication to electronic). Page 16 of 59

17 4.1 Loan Servicing Notification Loan Servicing Notification Hierarchy In order to maintain some consistency and order around the various notification types (and embedded events), they are designed in a hierarchical manner depending on the level at which the notification applies. Specialization occurs once the notification is deemed to be either at the deal, facility, loan contract or L/C level (in the form of the correct reference asset pointers in the header). Please refer to Figure 6 below to understand the hierarchy of all types used to construct loan servicing notifications. Correctable Request Message Abstract Servicing Notification Abstract Facility Notification Abstract Contract Notification Syndicated Loan Statement Accruing Fee Change Notification Accruing Fee Payment Notification Accrual Option Change Notification L/C Notification Deal Statement Facility Outstandings Position Statement Accruing PIK Payment Notification Facility Notification Loan Contract Notification Non Recurring Fee Payment Notification Facility Position Statement Outstanding Contracts Statement Facility Rate Change Notification Prepayment Notification Rollover Notification Contains a single event. Contains a combination of multiple events. Contains a substitution group of events. Figure 6: Hierarchy of all notification types Let s take a look at the baseline features of a notification. For the purposes of this section, we will focus on the servicing messages only (statements will be covered later in the document). Page 17 of 59

18 4.1.2 Abstract Facility & Loan Contract Notification The abstract servicing notification contains all the common elements at the header level. References to either just a facility or both the facility and loan contract will then determine which events can be embedded within the notification (as per Figure 6). Notification Header Generic fields used to aid the efficient flow of messages between any two parties. Message Id Alphanumeric Y A unique identifier for the specific message. Conversation Id Alphanumeric N The unique identifier (name) for the conversation (session), this message is within. A conversation identifier is usually assigned by the initiator of a conversation. Conversations may only be initiated and terminated. Joining conversations has the effect of initiating new conversations. Conversations cannot be split; this instead has the effect of parallel activities on the same conversation or the initiation of a new conversation. Each message belongs to only one conversation. In Reply To Alphanumeric N A copy of the unique message identifier (within its own coding scheme) to which this message is responding. Sent By Alphanumeric Y The unique identifier (within its coding scheme) for the originator of a message instance. Sent To Alphanumeric N A unique identifier (within its coding scheme) indicating an intended recipient of a message. Copy To Alphanumeric N A unique identifier (within the specified coding scheme) giving the details of some party to whom a copy of this message will be sent for reference. Creation Timestamp Date/Time Y The date and time (on the source system) when this message instance was created. Expiry Timestamp Date/Time N The date and time (on the source system) when this message instance will be considered expired. Implementation Specification Complex N The version of FpML against which the message was defined. Is Correction Flag Y Defines whether the message is a correction to a previous message. In this case the embedded event can have a pointer to a previous version of the same event. Correlation Complex N A common FpML structure used to identify version and sequences of messages. On Behalf Of Complex N In the case where a message was created by a third party, this identifies the requesting party. Some implementations may simply simulate the sending party (and not use this reference). Loan Notice Details Fields which are common to all loan notification messages. Notice Date Date Y The date on which the notice was generated. Is Global Only Flag Y Defines whether the message contains global information only (versus both global and lender share information). Payment Details Complex N Payment details associated with the message. CAN CONTAIN Facility Position A structure which contains the position being held by the lender on both the facility and loan contract levels. This position information is from the message sender's viewpoint as of the date of the associated notice. Prior Global Commitment Amount Currency N The amount of principal commitment that was allocated to the lender within the facility (this is prior to any associated events). Current Global Commitment Amount Currency Y The amount of principal commitment currently allocated to the lender within the facility (this is after any associated events). Prior Lender Commitment Amount Currency N In the case of a business event which changes the lenders commitment level, this is the amount as of before the associated business event. Current Lender Commitment Currency Y The current lender commitment level as of the time of the message creation. Page 18 of 59

19 Amount Each commitment amount contains: Utilized global/lender share Currency N The utilized global commitment amount. commitment amount Funded global/lender share Currency N The funded portion of the utilized commitment amount. amount (of utilized amount) Unfunded global/lender Currency N The unfunded portion of the utilized commitment amount. share amount (of utilized amount) IF it s a Loan Contract or L/C Notification THEN Loan Contract Position N [0..n] A structure used to define all positions held by the lender at the loan contract level. This structure is designed to hold either some or all loan contracts. Loan Contract Summary Complex Y (see Loan Contract Summary section above) Prior Global Loan Contract Amount Currency N In the case of a business event which changes the global loan contract level, this is the amount as of before the associated business event. Current Global Loan Contract Currency Y The current global loan contract level as of the time of the message creation. Amount Prior Lender Loan Contract Amount Currency N In the case of a business event which changes the lenders loan contract level, this is the amount as of before the associated business event. Current Lender Loan Currency Y The current lenders loan contract level as of the time of the message creation. Contract Amount Letter of Credit Position N [0..n] A structure used to define all positions held by the lender at the letter of credit level. This structure is designed to hold either some or all letter of credits. LC Id Type Alphanumeric Y There can be different id types applicable here. LC Id Alphanumeric Y An agent-bank controlled Id for purposes of uniquely identifying a specific contract. Prior Global LC Amount Currency N In the case of a business event which changes the global letter of credit level, this is the amount as of before the associated business event. Current Global LC Amount Currency Y The current global letter of credit level as of the time of the message creation. Prior Lender LC Amount Currency N In the case of a business event which changes the lenders letter of credit level, this is the amount as of before the associated business event. Current Lender LC Amount Currency Y The current lenders letter of credit level as of the time of the message creation. Page 19 of 59

20 4.2 Loan Servicing Events Loan Servicing Events Hierarchy Events are similarly organized in a hierarchical fashion. Figure 7 below shows the overall set of events designed for loan servicing. Abstract Event Require Id Loan Event Facility Event Facility Contract Event Loan Contract Event L/C Event Accruing Fee Change Group Accruing Fee Change Accruing Fee Expiry Accruing PIK Payment Facility Event Group Commitment Adjust. Facility Termination Accruing Fee Payment Accr.Option Change Fixed/Float. Opt. Chg Accruing PIK Opt Chg L/C Opt. Chg Non Recurring Fee Payment Group Amendment Breakage Facility Extension Funding Upfront Waiver Misc* Facility Rate Change Group Default Rate Change Default Rate Expiry Man. Cost Rate Chng Man. Cost Rate Expiry Penalty Rate Change Penalty Rate Expiry Loan Contract Event Group Borrowing Int. Capitalization Interest Payment Loan Contract Adjust. Loan Contr B.Rate Set Loan Contr Mat.Chg. Repayment Prepayment Repayment + Commitment Adj. + Breakage Rollover Base Rate Set Borrowing Commitment Adjust. Int. Capitalization Interest Payment Repayment (Combination of any number of the above events) L/C Event Group L/C Adjustment L/C FX Revaluation L/C Issuance L/C Iss. Fee Pay. L/C Rate Change L/C Renewal L/C Termination Figure 7: Hierarchy of all event types Events are categorized into: Facility level: require references to facility information only, since the event does not directly affect contract information. Facility-Contract level: requires facility references but can also affect contracts (contract references are optional in this case). Loan Contract level: requires facility and contract references since the event affects contracts directly. L/C level: requires facility and L/C references since the event affects letter of credits directly. Page 20 of 59

21 4.2.2 Abstract Event Definition The following is a description of the abstract event header. Abstract Event Common fields which are embedded into event headers. Event Id + Party Complex Y [1..n] Unique identifier for the business event together with the party that created the Id. Business Event Group Id Complex Y [1..n] Unique identifier for the business event group together with the party that created the Id. A business event group is used to loosely couple different events that have a relationship to one another. A description can be provided within this structure to explain the link between different events. Previous Inaccurate Event Id Complex N Unique identifier for a previous erroneous event, which is being corrected by this event. It is possible that a completely new event is required for a correction, in which case this field can provides an audit trail for the new event being published. Agent Reference Y The agent against the business event. Borrower Reference Y The borrower against the business event. Effective Date Date Y The effective date of the business event. Lender Reference Y The lender against the business event. Cash Payable Reference Y The lender against the business event. Cash Payable Complex N A complex structure which allows the sender to outline the cash movement occurring as a result of the associated business event. Payer Reference Y The payer of the cash flow. Receiver Reference Y The receiver of the cash flow. Net Amount Currency Y The actual amount of the cash flow, net of any withholding tax. Tax Withholding Amount Currency N The amount being withheld. [0..n] Tax Withholding Tax Rate Decimal N The tax rate applied to the withholding. [0..n] Tax Withholding Reason Text N The reason for withholding. [0..n] Comment Text N A free-form text field for additional notes from the sender. Depending on the level of the event there will be appropriate references to the correct assets (parties and assets are defined outside of the event, in the footer of the FpML message). EITHER Facility Event Facility Reference Reference Y The facility to which this event relates. OR Facility Contract Event Facility Reference Reference Y The facility to which this event relates. Loan Contract Reference Reference N [0..n] One or more contracts to which the event relates. OR Loan Contract Event Loan Contract Reference Reference Y The loan contract to which this event relates. OR L/C Event L/C Reference Reference Y The letter of credit to which this event relates. Page 21 of 59

22 4.3 Reference Data: Assets and Parties Asset and party information is captured at the footer of the FpML message (as per standard FpML procedure). All notification header and business event sections refer to this data. Messages will contain a combination of Facility, Loan Contract and L/C information depending on the type of notification/business event in the body of the message. Asset information can be expressed in the identifier, short form (summary) or full definition. The choice come down to message design (some messages may force a full object), as well as, senders choice of what information they wish to embed. The example below shows a notification type which allows flexibility in terms of which asset structures to embed: Just facility (either identifier or summary) Optionally one or more loan contract (any structure) Optionally one or more L/C (any structure) Figure 8: Notification which allows a flexible combination of asset information Party information has been standardized to use the basic FpML party structure. The party id is the only required field but we expect most market participants to communicate party names (at a minimum). Page 22 of 59

23 5 Loan Servicing Facility Notifications This section defines all the messages that are communicated when facility-level events occur. Figure 9: Facility events 5.1 Accruing Fee Change Notification Scenario / High-level Business Process Accruing fee rates can vary through the life of a facility based on borrower fundamentals. As these changes occur, it s important for agents to communicate updates to lenders, since it affects their underlying investment return. Figure 10: Accruing fee change notification Assuming that lenders already have accruing fees stored as part of the facility structure on their systems, they would simply be updating these details as the accruing fee options changes. Any accrual calculations going forward would take advantage of new rate details. Page 23 of 59

24 This message allows one of two events to be embedded: Accruing Fee Change: an update to the accruing fee option. Accruing Fee Expiry: expiry of the accruing fee Accruing Fee Change Notification: Accruing Fee Change Data Fields Accruing Fee Change Accruing Fee Option Complex Y A full accrual option structure, which replaces any pre-existing information. Please see section 3.3 Facility for a full definition of the accrual option data structure Accruing Fee Change Notification: Accruing Fee Expiry Data Fields Accruing Fee Expiry Accruing Fee Id Complex Y The unique identifier for the expired fee type at the facility level. Accruing Fee Type List Y The type of fee being expired. For expiry purposes, it is not necessary to transmit the full accrual option, just the identifying characteristics. Page 24 of 59

25 5.2 Accruing Fee Payment Notification Scenario / High-level Business Process The agent bank will request that the borrower makes an accruing fee payment in accordance with the credit agreement. The borrower will make a payment to the agent bank after which the agent bank will calculate each lenders accruing fee amounts. It is important to note that these fees are all calculated based on facility level information. The fee calculation is performed for the life of the contract period and each lender is then subsequently paid. The fee types included in this specification (as of v5.8 publication) are as follows: Commitment Fee: A fee paid by the borrower to keep loan in place until it can be used. For a revolver, the fee paid by a borrower on unused/funded commitments. Utilization Fee: Calculated as a percentage of the utilized portion of the facility. This fee type is subject to banding rules different portions of the utilization amount may be subject to different percentages. Facility Fee: A fee that is paid on a facility's entire committed amount, regardless of usage; it is often charged on revolving credits to investment grade borrowers instead of a commitment fee because these facilities typically have a competitive-bid option (CBO) that allows a borrower to solicit the best bid from it syndicate group for a given borrowing. The lenders that do not lender until the CBO are still paid for their commitment. Ticking Fee: A fee associated with a long-term commitment to provide a Bridge Loan or Credit Facility, which starts accruing the day the Fee Letter is signed (or a specified number of days thereafter) and terminates when the underlying transaction is either consummated or terminated. The Ticking Fee is set forth in the Fee Letter. It is important to note that the FX rate associated with a loan contract can have an effect on the fees charged. For the commitment and utilization fees, since they are calculated on the balance of the utilization, can fluctuate together with the FX rate. It will be important to capture the FX rate schedule in this scenario. Figure 11: Accruing Fee Payment Notice Page 25 of 59

26 5.2.2 Accruing Fee Payment Data Fields Accruing Fee Payment Accrual Type Id Alphanumeric Y A unique identifier for a particular accruing fee type. This is the same id that exists on the accruing fee option (stored on the facility). Start Date Date Y The start date against which the on-going fee is due. End Date Date Y The end date against which the on-going fee is due. Amount Currency Y The global and lender share amount associated with the accruing fee. An accruing fee payment can contain an accrual schedule: Fee Accrual Schedule N The details of the underlying elements that effect the calculation of a fee accrual. [0..n] Start Date Date Y The start date of an accrual period. End Date Date Y The end date of an accrual period. Number of Days Number Y The number of days in the accrual period. Reference Amount Currency Y The reference amount upon which the fee calculation is based. Reference Amount Type List N A definition of what the reference amount is. Rate Decimal Y The rate applied to the accrual period. Accrual Amount Currency Y The amount accrued within the accrual period. Fee Accrual Projection N The details of the next payment date/amount. Next Payment Date Date Y The next scheduled payment date for the particular fee type. Projected Amount Currency N The projected amount of the next fee payment. Page 26 of 59

27 5.3 Accruing PIK Payment Notification Scenario / High-level Business Process When a facility allows interest to be capitalized, there are two ways to charge for this feature: An independent PIK (fee) accrual at the facility level. This is usually calculated using the total utilized amount as a reference. An additional PIK margin charged at the loan contract level. This notification is used to satisfy the former use case an independent accrual. Assuming that the PIK rate has been setup at the facility level (at initialization), then this notification is used to process a payment associated with that accrual. The process is pretty simple, works in the same way as any other accrual on the facility. Agent Bank Borrower Lenders Facility initialized with accruing PIK Accruing PIK calc. Accruing PIK payment request Accruing PIK payment Accruing PIK Payment Figure 12: Accruing PIK payment Accruing PIK Payment Data Fields Accruing PIK Payment Start Date Date Y The start date against which the on-going fee is due. End Date Date Y The end date against which the on-going fee is due. Amount Currency Y The global and lender share amount associated with the accruing fee. PIK Accrual Schedule N [0..n] The details of the underlying elements that effect the calculation of a accruing PIK. Start Date Date Y The start date of an accrual period. End Date Date Y The end date of an accrual period. Number of Days Number Y The number of days in the accrual period. Reference Amount Currency Y The reference amount upon which the fee calculation is based. Reference Amount Type List N A definition of what the reference amount is. Rate Decimal Y The rate applied to the accrual period. Accrual Amount Currency Y The amount accrued within the accrual period. Page 27 of 59

28 5.4 Accrual Option Change Notification Scenario / High-level Business Process Accrual options are stored at the facility level at inception of the asset. These options drive the way in which funds can be utilized through the life of the facility. There are many underlying factors that can affect the pricing (or other details) associated with the accrual option and they can change at any point. This notification is designed for agents to be able to communicate updates of accrual options to the lender community. The design allows agents to transmit new accrual options (in their entirety), enabling lenders to overwrite existing options. The options that require updates through this notification include: Floating rate options Fixed rate options Accruing PIK option L/C options Agent Bank Borrower Lenders Monitor status Borrower event Re state accrual option New accrual option agreed Accrual option change notification Figure 13: Accrual option change notification Assuming that lenders already have accrual options stored as part of the facility structure on their systems, they would simply be updating these details as the accrual options changes. Unlike accruing fees, it is important to remember that accrual options are just options. They are reference points for loan contract accrual periods. When, for example, the spread on an accrual option changes then the effect on outstanding contracts (using the updated option) could vary in the following manner: 1. Only the accrual option is updated, no contracts using that option are outstanding. 2. Even though there are outstanding contracts using the updated option, only the option is updated. All outstanding contracts will be re-priced at the next rollover. 3. The accrual option and all outstanding contracts must be updated immediately (mid-accrual period). 4. The accrual option and three out of five outstanding contracts must be updated (mid-accrual period). The other two contract will be updated at the next rollover. The body of the event needs to be flexible enough to therefore handle all of the scenarios stated above. This is achieved by providing a choice between which accrual option types to update, together with the ability to provide references to zero or more contracts or L/Cs which require updating. Page 28 of 59

29 5.4.2 Accrual Option Change Data Fields Accruing Fee Change EITHER Fixed Rate Option Change Complex N A full accrual option structure, which replaces any pre-existing information. Loan Contract Reference Reference N Loan contracts that require updating due to an accrual option change. [0..n] OR Floating Rate Option Change Complex N A full accrual option structure, which replaces any pre-existing information. Loan Contract Reference Reference N Loan contracts that require updating due to an accrual option change. [0..n] OR Accruing PIK Option Change Complex N A full accruing PIK option, which replaces any pre-existing information. OR L/C Option Change Complex N A full accrual option structure, which replaces any pre-existing information. L/C Reference Reference N [0..n] Letter of credits that require updating due to an accrual option change. Each option change structure simply contains a full accrual option, which the lender can extract and apply to their facility structure. 5.5 Facility Notification - Commitment Adjustment Scenario / High-level Business Process There are many scenarios where the commitment level of a facility can be adjusted. This adjustment may or may not be related to an actual cash flow occurring between the borrower and lenders. Drivers for commitment adjustments include: Amortization schedule. PIK capitalization on an existing facility. Unscheduled repayment against a non-revolving facility. Agent Bank Borrower Lenders Commitment adjustment Process Simple scenario based on a scheduled commitment adjustment Confirm commitment adjustment Commitment adjustment Figure 14: Simple commitment adjustment Page 29 of 59