MDDL and the Quest for a Market Data Standard

Elsevier UK Jobcode:QMS Chapter:ch10-h6839 31-7-2007 9:17p.m. Page:151 Trimsize:165

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Reference data management 151

Alternative solutions to securities definitions

So, what are the alternatives to the hierarchical message design approach as deploped

by earlier versions of MDDL? Version 3 removes the instrument hierarchy (domains,

classes and subclasses) and replace it with a single instrument domain. This results

in all instrument specific terms and thier existing relationships being grouped under

the InstrumentDomain

Another solution is to use the building block approach to designing your own

securities definitions message model. This technique involves creating instruments

from a small set of components (including the likes of instrument identification,

issuance, payment details and so on). This does mean that all components and the

majority of their properties being optional, making it difficult to enforce schema

validation. However it has the advantage of being able to support instruments that

bridge multiple asset classes. Figure 10.15 shows how an Index-linked bond could

be represented using the building block approach.

<instrument>

<!-- Instrument Identification -->

<identification>

<name>MCS Bank Standard and Poor's 500 Equity Linked Bonds</name>

<code codeType="isin">US12345UED28</code>

<code codeType="cusip">12345UED2</code>

<code codeType="commonCode">012345678</code>

</identification>

<!-- Issuance Terms normally found in the Term Sheet or Prospectus -->

<issuance>

<maturityDate maturityType="fixed">2011-11-26</maturityDate>

<denomination>1000</denomination>

<issuePrice>100</issuePrice>

<issueDate>2004-11-26</issueDate>

<issueAmount>10000000</issueAmount>

<governingLaw>New York</governingLaw>

<clearing>

<clearingHouse

>DTC</clearingHouse>

</clearing>

<dates>

<date>11-26</date>

<payments>

<payment>

<rate>

<percentage>1.5</percentage>

</rate>

Figure 10.15 A Index-linked bond based on a building block message design

approach (Continued/)