15.6.11 Rollover Notice

The Rollover notice is generated at the borrower level with one bulk message for a tranche with all participant and global details. The message consists of a message for each participant and a message for the global details for the borrower. It is generated for the rollover (split or consolidated) or re-pricing (split or consolidated) of drawdowns.

The rollover message contains details of only the rollover. The system sends an increase or decrease as part of rollover or re-pricing as drawdown notice or repayment notice, as is defined for the respective VAMB/LIQD event only at the time of actual rollover, since the changes are triggered only at the time of actual rollover. The system suppresses the drawdown notice for the new child contract as the rollover notice would include a section for the child contract. You are not allowed to manually suppress the notice during rollover or reprice capture.

You need to maintain the message for the actual rollover events – ROLL/CROL/SPTI/MRGI – for the drawdown products. This is maintained at the actual rollover event instead of the usual RNOT/CRNT/SPTB/MRGB events as Markit expects the principal increase/decrease notices as part of the rollover to be sent along with the rollover notice. In addition, Markit requires the child drawdown contract id to be populated in the rollover notice, so that subsequent messages sent for the child contract are applied properly in Markit on the right child drawdown.

The rollover type mentioned in the notice, define the type of rollover done. The possible values are:

• Rollover - One to One rollover
• Split – One to many rollover/reprice
• Combination – Many to one merge reprice/consolidation
• Conversion – One to One reprice

The message Ext Deal CUSIP/ISIN captured at the tranche level for the InstrumentId field in Deal Summary.