Credit Default Swap Accounting by fki13706

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									RECONCILIATION / AFFIRMATION FIELDS

Legend




Cross product                         Description/definition/comments
Message ID
Message as-of date
message date time

                                      Information about the type/purpose of the
                                      message. FpML will define a default coding
                                      scheme, with values such as :. copper
Purpose                               regulatory report, population recon, etc.



                                      Some kind of mechanism/code for reporting
                                      whether the information is new, replaces old
action                                data, or deletes old data
                                      e.g. coding scheme - Credit Derivative,
asset class                           Equity Derivative

                                      coding scheme - e.g. Credit Default Swap;
                                      FpML already publishes a default coding
                                      scheme ("productTypeSimpleScheme") with
                                      values like "InterestRateSwap" and
Product Type/Code                     "CreditDefaultSwap".

Trade / Position ID                   Identifies the positions
                                      groups several trades together when
                                      confirmed together; Common trade ref for
Trade Group ID                        multi-leg bookings
                                      identify the specific component within a
Leg ID                                trade into pieces (e.g. cash flow stream).
IA % (preferably)
                                      we might want to make this required for a
Local IA (IA in local currency)       collateral view but this is hard.
IA in reporting currency              Independent amount (posted by
                                      this would normally be the same as MTM
                                      reporting ccy, if not supplied defaults to the
IA reporting currency                 same
Party 2 IA amount in reporting ccy
Party 2 IA reporting ccy
Party 2 IA amount in local ccy
Party 2 IA local ccy
                                      Market value in Local MTM Currency,
                                      including all components (e.g. accrued
                                      interest). ("Dirty" price). TBD: Clean/Net -
Local MTM                             handling of Fees and Commissions,
                                              This will normally be the deal currency
                                              (currency of the notional). When the deal
                                              has more than one currency, this will
                                              normally be the base currency of the FX
Local MTM currency                            rate.
                                              Market value in MTM Reporting Currency,
                                              including all components (e.g. accrued
                                              interest). ("Dirty" price). TBD: Clean/Net -
Market value in reporting currency            handling of Fees and Commissions,
                                              Standard currency used for reporting market
Market value reporting currency               values for this counterparty.
                                              original trade date - date of execution of the
Trade Date                                    original trade.

Novation trade date                           date of the execution of the novation, if any.
                                              time of execution, e.g. for regulatory
                                              purposes, such as to track front running -
Execution date/time                           most recent event
Source side account/legal entity              legal entity for sending firm….
Destination side account/legal entity ID      branch/fund id/reference for the sender.

                                              the actual legal entity may be "undisclosed", so
                                              the name may reference the manager's reference
Destination side account/legal entity name    as opposed to actual legal entity name.
                                              a subdivision of the sender's book, used for
                                              holding things like the book, desk, strategy,
                                              portfolio, etc. Potentially might want more than
Sender's unit/subdivison                      one.
                                              a subdivision of the receiver's book, used for
                                              holding things like the book, desk, strategy,
                                              portfolio, etc. Potentially might want more than
Receiver's unit/subdivison                    one.
                                              should ideally this should be at the position
                                              level, so we can say the as-of date of the
as-of date (MTM)                              MTM.


                                              This indicates whether the sender is buying
                                              or selling protection, but can't always be
                                              filled. We should indicate that the detailed
                                              definition of this field is up to the
                                              implementation. We could represent this as
                                              a boolean field, or potentially as a coding
Buyer/seller indicator                        scheme. More details to be defined later.

                                              current notional amount, as of the reporting (as-
                                              of) date … This may vary from the original
                                              notional in a number of circumstances, e.g. if
                                              novated, or if the notional factor has reduced due
Effective notional amount in trade currency   to credit events, or if the deal has amortized.
                                              Currency of notional.. We may wish to be able to
                                              report this in both the trade's primary currency
Effective notional currency                   and in a reporting currency.
                                              Current notional in Reporting Currency,
Effective notional in reporting currency      including
                                          Standard currency used for reporting values
Effective notional reporting currency     for this counterparty.
                                          Y or N. This is an indicator that there may be
                                          content about this trade that cannot be
                                          represented fully in this report because the trade
Multi-leg                                 has several components.
Current Floating rate                     The last fixing made in this contract,
                                          excluding spread.
Credit support agreement type             can follow existing FpML coding scheme
Date of signing of CSA
CSA agreement number                      A number assigned to a CSA for tracking
                                          purposes
Electronic platform trade identifier      A reference for a trade assigned by an
                                          electronic platform, such as a
                                          confirmation/inventory system, or a clearing
                                          system. There could be several of these for
                                          a trade


Electronic platform identifier            An identifier for the platform itself, to
                                          distinguish between platforms
Comment                                   Free text for any relevant comments
Stepping Out Party                        The name of the stepping out party.
                                          True if the transaction designated as being
                                          used to hedge a risk, for accounting
Is Accounting Hedge?                      purposes.
                                          Information about the applicable regulator
Regulator                                 for this transaction
Master agreement date


CDS
Buy/Sell
Currency
Current Spread

Description of the underlying
Fixed Spread


IA % (preferably)

Local IA

Local MTM



Market value

Maturity Date
Notional
Recovery Rates
Reference Entity (RED ID)
Reference Obligation (Sedol/Cusip/Isin)
Trade Date
Trade Reference ID




Upfront Fees
USD IA


USD MTM




Effective Date
Counterparty

Restructuring (for NA Corp)




Tranche (if Applicable)
Example Trades - CD

Credit Default Swap -                 Credit Default Swap -                       Credit Default Swap -
Single Name                           Index                                       Tranche
                                 1                                            1                                 1
                          9/1/2009                                     9/1/2009                          9/1/2009
                    9/1/2009 10:00                               9/1/2009 10:00                    9/1/2009 10:00




Portfolio Reconciliation              Portfolio Reconciliation                    Portfolio Reconciliation




New                                   New                                         New

Credit                                Credit                                      Credit




CreditDefaultSwap                     CreditDefaultSwap                           CreditDefaultSwap

123ABC                                234DEF                                      345CDE




                           520123.5                                   7124523                                -180345
USD                                 JPY                                   EUR



                        520123.50                              76623.59                      -126080.12

USD                                 USD                                   USD

                        8/31/2009                             8/31/2009                           8/31/2009




ABCD Securities, Inc.               ABCD Securities, Inc.                 ABCD Securities, Inc.
?                                   ?                                     ?



Hedgeco Global Growth               Hedgeco Asia Fund                     Hedgeco Global Growth



Book234                             Book567                               Book789




                        8/31/2009                             8/31/2009                           8/31/2009




Buy                                 Sell                                  Buy




                         2500000                             200000000                             2500000


USD                                 JPY                                   EUR

                         2500000                            2150981.708                     1747762.864
USD                                USD                                    USD




ISDA                               ISDA                                   ISDA
                       4/5/2007                                4/5/2007                       4/5/2007

                              15                                     15                            15

    <tradeId                                                                  <tradeId
tradeIdScheme=                         <tradeId tradeIdScheme=            tradeIdScheme=
"http://www.dtcc.com/id/">         "http://www.dtcc.com/id/">             "http://www.dtcc.com/id/">
20090831D0000001234                20090831D0000001235                    20090831D0000001236
</tradeId>                         </tradeId>                             </tradeId>

DTCC                               DTCC                                   DTCC




Example Trade                    Example Trade                           Example Trade
Credit Default Swap - Single NameCredit Default Swap - Index             Credit Default Swap - Tranche
Buy                              Sell                                    Buy
USD                              JPY                                     EUR
                            1.96                                   3.345                          4.22

International Paper Company        iTraxx Japan Series Number 11          iTraxx Europe s9 6%-9%
                               1                                      5                             5




                       520123.5                                7124523                        -180345



                       520123.5                                7124523                        -180345

                      6/20/2012                             6/20/2012                        6/20/2015
                       2500000                             200000000                         10000000

4A615AAD0                          2I668HAK0                              2I666VAI6
US460146BU61
                        8/31/2009                       8/31/2009                      8/31/2009
123ABC                              234DEF                          345CDE




                           22032                         5323454                         192464



                    520123.50                           76623.59                     -126080.12




                         9/1/2009                        9/1/2009                       9/1/2009
Hedgeco Global Growth               Hedgeco Asia Fund               Hedgeco Global Growth

Mod R




N                                   N                               Y
Example Trades - IR

IR Cap                 IR Swap




Interest Rates         Interest Rates




Interest Rate Cap      Interest Rate Swap

CFABCOTCDER2009XXX17   CFABCOTCDER2009XXX18
USD 64,023.10     USD -25,663.29



August 12, 2009   4th August 2009
p - Tranche   Currency             USD                             USD
              Effective date       August 12, 2009                 4th August 2009
              Fixed rate           4% [schedule applies]           7.11000 per cent
              Fixed rate payer     ABC                             ABC

              Floating index       USD-LIBOR-BBA (1 month)         USD-LIBOR-BBA (1 month)
              IA % (preferably)


              Local IA

              Local MTM

              Market value         USD 64,023.10                   USD -25,663.29
                                   February 10, 2013, subject to   1st March 2021, subject to
                                   adjustment in accordance with   adjustment in accordance with the
                                   the Modified Following          Modified Following Business Day
              Maturity Date        Business Day Convention         Convention

              Notional             USD 8,000,000.00                USD 623,161.01 [schedule applies]
              Par swap rate
              Trade Date           August 12, 2009                 4th August 2009
              Trade Reference ID   CFABCOTCDER2009XXX17            CFABCOTCDER2009XXX18
              USD IA
USD MTM                                 USD -25,663.29
Counterparty            XYZ             XYZ




Premium                 USD 135,00.00
Direction               ABC buys


Day Count Fraction      Actual/360      Actual/360




spread                                  plus 3.400000 per cent

option exercise style




exercise date
IR Swaption            XCCY Swap




Interest Rates         Interest Rates




IR Swaption            Cross Currency Swap

CFABCOTCDER2009XXX19   CFABCOTCDER2009XXX20
USD 133,035.27    EUR -9,095,124.44



January 7, 2009   13 March 2009
                                                       Forwards
February 4, 2010           01 July 2009                IA % (preferably)
2.38%                      10.625 percent              Local IA
ABC buys; XYZ pays fixed                               Local MTM

USD-LIBOR-BBA (3 month) 9.99 percent on the EUR side   Long Currency
                                                       Long Notional


                                                       Market value
                                                       Maturity date of forward
                                                       (value date)

USD 133,035.27             EUR -9,095,124.44           Short Currency



2/4/2010 (?)               01 July 2011                Short Notional
                           USD 65,000,000.00 / EUR
USD 100,000,000.00         53,870,379.58               Spot FX rate
                                                       Strike-Forward FX rate
                                                       Trade Reference ID
                                                       USD IA
                                                       USD MTM
XYZ
ABC OTC Derivative End
User Corp pays USD
100,000 to XYZ OTC
Derivative Dealer Bank on
January 9, 2009


30/360 (fixed), Actual/360
(float)                        30/360




-

European Option

February 2, 2010; subject to
adjustment in accordance
with the Modified Following
Business Day Convention

February 4, 2010; subject to
adjustment in accordance
with the Modified Following
Business Day Convention
Example Trades - FX

FX Spot                FX Fwd                 FX Option




Foreign Exchange       Foreign Exchange       Foreign Exchange




FX Spot                FX Forward             FX Option

CFABCOTCDER2009XXX22   CFABCOTCDER2009XXX23   CFABCOTCDER2009XXX21
n/a           USD 8,107.76   USD 7,000,827.88



Jun 02 2009   14-Apr-09      Aug 11 2009
February 28, 2007                          February 2, 2009




USD 1,037,768.00       USD 175,467.19      USD 97,014,886.40



N/A                    USD 8,107.76        USD 7,000,827.88

                       31-May-11




EUR 730,000.00         JPY 17,087,560.00   EUR 72,119,303.00

1.4216 EUR-USD         96.20               1.3452 USD/EUR

CFABCOTCDER2009XXX22

                                           Buyer: ABC
Seller: XYZ
Option Style: European




Option Type: EUR Put/ USD Call
Expiration: Aug 13 2011


Settlement: Sep 02 2011

Premium: USD
5,000,000.00, payable by
ABC OTC Derivative End
User Corp to XYZ OTC
Derivative Dealer Bank on
the Premium Payment Date
Premium payment date: Sep 02 2011
Example Trades - Equity

TRS on equity         TRS on equity           OTC equity option
(USD)                 (EUR)




Equity                Equity                  Equity




Total Return Swap     Total Return Swap       OTC Equity Option




         437,858.85            2,178,288.34            1,050,000.00
?   ?   11/26/2007
Buy/Sell            Buy                  Buy                 USD
Currency            USD                  EUR                 USD
                                                             OTC IBM 80 STRIKE
                    IBM COMMON           DEUTSCHE BANK       AMER PUT
Description         STOCK                COMMON STOCK        1/15/2010

IA % (preferably)                 0.25                0.05

Local IA



Local MTM                                                           1,050,000.00

Market value        US 30895.15        US -30970.23
Maturity Date                6/16/2010           8/26/2010             1/15/2010
Notional                   -406,963.70       -2,199,990.62          1,000,000.00
Price                             4.11              17.565                  1.48
Quantity                    106,535.00          124,013.00         -1,480,000.00
Underlying (Sedol/Cusip/Isin)   IBM                  DEUTSCHE BANK         IBM
Settle Date




Trade Date
Trade Reference ID


USD IA




USD MTM                                  30,895.15            -30,970.23           1,050,000.00
Counterparty

Net Amount




Spread




Dividend %                                     100                   85


Floating rate                   USD 1M Libor         EUR 1M Libor
Flatiing Daycount               ACT/360              ACT/360
spread                          100bps               100bps
                                                                           Strike: 80
                                                                           Option type: PUT
                                                                           Factor: 100
                                                                           Direction: Buy
Example Trades - Commodity

Crude Swap         NatGas Swap




Commodities        Commodities




Crude Swap         NG Fixed Price Swap
Aug-24-2009   Jul-29-2009
Settlement
Currency       USD                       USD
Product        Brent 1st line swap       NG Fin FP for LD1

Reference
Price          OIL-BRENT-IPE             NATURAL GAS-NYMEX

Averaging      Business Days             Last 1
Pricing
Calendar       IPE                       NYMEX



Settlement      Cash                     Cash
Payment
Calendar        NY Banks                 NY Banks
Price Precision                      3
Price units     bbl                      MMBTU
Quantity units bbl                       MMBTU
RollDays                             1                       0
Price CCY     USD                    USD
Buyer:        Company1               Company1




Seller        Company2               Company2
Qty:                        65000                   5000


Qty Freq      Monthly                Daily




Total Qty                   195000                 150000
Start Date    Oct-01-2009            Sep-01-2009

End Date      Dec-31-2009            Sep-30-2009




Price                        79.37                   3.59




Pricing Freq   Monthly               Monthly
Settlement FreqMonthly               Monthly

Payment days                     5                     5
Payment terms Business               Business
RECONCILIATION / AFFIRMATION FIELDS

CDS                                       Description/definition/comments   "Generic" reporting view   Regulatory View
Buy/Sell
Currency
Current Spread
Description of the underlying
Fixed Spread
IA % (preferably)
Local IA
Local MTM
Market value
Maturity Date
Notional
Recovery Rates
Reference Entity (RED ID)
Reference Obligation (Sedol/Cusip/Isin)
Trade Date
Trade Reference ID
Upfront Fees
USD IA
USD MTM
Effective Date
Counterparty
Restructuring (for NA Corp)
Tranche (if Applicable)
Population Recon view
RECONCILIATION / AFFIRMATION FIELDS

IRS                  Description/definition/comments                     Regulatory View
                                                       "Generic" reporting view
Currency
Effective date
Fixed rate
Fixed rate payer
Floating index
IA % (preferably)
Local IA
Local MTM
Market value
Maturity Date
Notional
Par swap rate
Trade Date
Trade Reference ID
USD IA
USD MTM
Counterparty
Premium
Direction
Day Count Fraction
Population Recon view
RECONCILIATION / AFFIRMATION FIELDS

TRS (Equity / Debt)             Description/definition/comments   "Generic" reporting view
Buy/Sell
Currency
Description
IA % (preferably)
Local IA
Local MTM
Market value
Maturity Date
Notional
Price
Quantity
Underlying (Sedol/Cusip/Isin)
Settle Date
Trade Date
Trade Reference ID
USD IA
USD MTM
Counterparty
Net Amount
Spread
Dividend %
Regulatory View   Population Recon view
Category In FpML generic             Field Name       Description
         product?
Product  y, buyer/                   Buy / Sell       Buy / Sell indicator for Options
         sellerPartyReference
Product  y, notional/currency        Currency         Code for the currency used in the trade
         and
         settlementCurrency
Product  n                           DayCount
Product  y, terminationDate          End date         End date of the trade




Product    y, expirationDate         Exercise date    The date of exercise


Product    y, fixed underlyer        Fixed coupon     Swap rates or FRA rates
                                     rate
Product    n                         Fixed coupon     Period of fixed coupon payment e.g. "6M", "1Y"
                                     rolling period
Product    y, notional[]2/amount     Notional 2       The 2nd notional where applicable


Product    y, notional[2]/currency Notional 2 Curr Second currency for multicurrency trades

Product    y, notional/amount        Notional         Nominal/notional amount, or the Quantity where
                                     amount or        applicable (depending on product type)
                                     Quantity
Product    n                         Payer or         Payer or receiver of the fixed rate.E.g. “Payer”,
                                     Receiver         “Receiver”
Product    n? - premium amount       Premium rate     the original premium rate on the trade
           is represented, not
           rate
Product    y, productType            Product type     Product or Asset class name

Product    y, optionDetails/         Put / Call       Put / Call indicator for Options
           optionType
Product    ? optionDetails/          Quantity
           numberOfOptions
Product    y, effectiveDate          Start date       Start date of the trade
Product    y, underlyer/fixedRate    Strike Price     For Options

Product    dup                       Strike Price     For Options
Product    y, underlyer/             Underlier
           /instrumentId             CUSIP/ISIN

Product    y, underlyer/ [various]   Underlier Name Reference to some underlying asset - Interest Rate:
                                                    FLOAT_RATE_INDEX Credit: CREDIT_REFERENCE,
                                                    Energy: REFERENCE_PRICE, Option: Underlying
?          Exchange Rate             For FX

Additional Fields in FpML generic product not mentioned above:
riskType (asset class)
optionDetails/premium
optionDetails/exerciseStyle
optionDetails/settlementType
optionDetails/optionEntitlement
optionDetails/strikePercentage
optionDetails/strikeCurrency
settlementCurrency??
Further definition of field            ISDA Recommended             Credit    EQ DERIV EQ SWAP
requirement (where necessary)          Fields (Name)                Derivs
                                       buySell

                                       exchangedNotional1currency    Req        Req      Req




The final date of the trade discounting maturityDate                 Req        Req      Req
holidays and weekends. Where
Maturity date and Settlement date are
different, the end date should be
Maturity
For trades with optionality only. This                              Not Req   Not Req   Not Req
should be the date on which the trade
is exercise or not




Second notional for multicurrency      exchangedNotional2amount      Req      Not Req   Not Req
trades - For Cross Currency and FX
contracts: the secondary notional.
                                       exchangedNotional2currency    Req      Not Req   Not Req


The primary Notional amount, or        exchangedNotional1amount      Notl      Quant    Quant
Quantity for products where quantity
applies




The internal name for the product      productType                   Req        Req      Req
type
                                       putCall



                                       effectiveDate
(duplicated)
                                       strikePrice
Further discussion required re ISIN,                                 Req        Req      Req
CUSIP or other standard to be used

                                       underlying                    Req        Req      Req
 VAR      Forex     Interest   Options   COMMOD    ENERGY
SWAP                  Rate      (any)



 Req       Req        Req       Req       Req       Req




 Req       Req        Req       Req       Req       Req




Not Req   Not Req   Not Req     Req      Not Req   Not Req




Not Req    Req        Req       Req      Not Req   Not Req



Not Req    Req        Req       Req       Req       Req

Quant      Notl       Notl      Notl      Quant     Notl




 Req       Req        Req       Req       Req       Req




 Req      Not Req   Not Req    Not Req   Not Req   Not Req



 Req      Not Req   Not Req    Not Req   Not Req   Not Req
Category Comment                        Field Name                      Description

?? Event? Could be included in          Novation Date                   For novated trades. This
          scheduled dates???                                            represents the date the original
                                                                        party is stepping out and the new
                                                                        one stepping in.

?Position? position / valuation /       Current Floating rate           The last fixing made in this
           quote/ value                                                 contract, excluding spread.
Party      party/partyId                Counter party identifier        Unique identifier for the trade’s
                                                                        counterparty

Party       party/partyId               Party identifier                Unique identfier for the legal entity
                                                                        submitting the trade
Party       Gap with existing           Underlying Booking Branch -
            FpML?? Add to               Party A
            partyTradeInformation?
Party       Gap with existing           Underlying Booking Branch -
            FpML?? Add to               Party B
            partyTradeInformation?
Party or    Gap with existing           Book / Portfolio / Department   A trade unit could be a book, a
Trade       FpML?? Add to                                               branch, an internal department
            partyTradeInformation?                                      etc. This information is visible to
                                                                        the counterpart since it could aid
                                                                        in the reconcilliation process
Position    As-of date (at the report Mark-to-market date               The date for which the Mark-to-
            leve) and                                                   market was done and calculated
            valuation/quote/valuation
            Date at the position level.

            valuation/quote/value       Mark-to-market underlying
Position    (may need to specify a      system amount
Position    valuation/quote/currency    Mark-to-market underlying
                                        system ccy
Position                                Mark-to-market value            The present value of the trade,
            valuation/quote/value                                       using end of day mid valuation.
Position    valuation/quote/currency    The Mark-to-market currency     The currency in which the Mark-to-
                                                                        market is expressed.
Trade       partyTradeIdentifier/tradeI Additional trade identifier     Optional. In the case there are
            d                                                           more than one trade identifier this
                                                                        may be used. The field will be
                                                                        visible to the cp.
Trade       partyTradeIdentifier/tradeI Counterparty trade identifier   The counterpart’s unique
            d                                                           identifier, if available.



Trade       documentation/creditSup Credit support agreement type
            portDocument
Trade       Missing?? - add to      Date of signing of CSA
            Documentation element?
Trade      partyTradeIdentifier/tradeI   Electronic Confirm platform ref   The DTCC/Swapswire reference
           d
Trade      Missing?? - add to            Free text for any relevant
           partyTradeInformation??       comments
Trade      collateral/                   Independent Amount Party A
           independentAmount/
           paymentDetail
           /paymentAmount/ amount

Trade      collateral/            Independent Amount Party B
           independentAmount/
           paymentDetail
           /paymentAmount/ amount

Trade      trade/tradeDate               Trade date                        Date the trade was done

Trade      partyTradeIdentifier/lnkId Trade Group ID                       Common trade ref for multi-leg
                                                                           bookings


Trade      partyTradeIdentifier/tradeI Trade identifier                    Unique identifier for the trade
Trade?     d
           trade/tradeDate??           Assignment Original Trade Date      For assigned trades, the date the
Trade??    Only available in the       Stepping Out Party                  The name of was done with the
                                                                           original trade the stepping out
           "novation" messages, not                                        party.
           in position rec. Add to
           partyTradeInformation???




Summary of gaps:

The following are missing from current FpML (or it is unclear how to represent them):
            Field                      Comment                            Suggested solution
            Underlying Booking                                            Add to partyTradeInformation or
            Branch - Party A           Distinct from legal entity         add to party'
            Underlying Booking                                            Add to partyTradeInformation or
            Branch - Party B           Distinct from legal entity         add to party'
            Book / Portfolio /                                            Add to partyTradeInformation or
            Department                 Distinct from legal entity         add to party'
            Date of signing of CSA     We have a CSA field                Add to documentation
            Free text for any relevant
            comments                   This has been proposed
                                       previously for FpML and rejected Add to partyTradeInformation
            Assignment Original        We have tradeDate in
            Trade Date /Novation       tradeHeader, but usage in the      Add novationDate to Scheduled
            Date                       case of a novation is a little     events? Allow multiple trade
                                       unclear.                           dates?
            Stepping Out Party         We can do this with the novation
                                       message, but not with the
                                       position/constituent/trade
                                       structure                          Add to partyTradeInformation?
              We may need to add a
MeasureType   measureType for system NPV   New measureType
Further definition of field         ISDA Recommended                    Credit   EQ DERIV EQ SWAP
requirement (where necessary)       Fields (Name)                       Derivs
This would only be populated by the                                      Req       Req      Req
stepping in party. Where provided,
this can be matched to the Trade
date of the Remaining party



Name of the specific entity the trade                                    Req       Req      Req
is facing (the counterpart to the
trade)
Name of specific entity submitting                                       Req       Req      Req
the trade.
                                        partyAbranchName


                                        partyBbranchName




                                        valuationDate                    Req       Req      Req




                                        valuationNativeCurrencyAmount

                                        valuationNativeCurrency

                                        valuationBaseCurrencyAmount      Req       Req      Req


                                        valuationBaseCurrency            Req       Req      Req




Where the counterparts trade ref is                                      Req       Req      Req
applied in the confirmation process,
this trade ref should be supplied on
the portfolio to aid matching process
                                     comment

                                     independentAmountPartyA




                                     independentAmountPartyB




The execution date; not the          tradeDate                 Req   Req   Req
effective date
For products booked as multi-leg, a                            Req   Req   Req
common trade ref is required. This
should link back to the confirmation
reference
The internal trade ref ID.           tradeIdentifierPartyA     Req   Req   Req
 VAR   Forex   Interest   Options   COMMOD   ENERGY
SWAP             Rate      (any)
Req    Req       Req       Req       Req      Req




Req    Req       Req       Req       Req      Req



Req    Req       Req       Req       Req      Req




Req    Req       Req       Req       Req      Req




Req    Req       Req       Req       Req      Req

Req    Req       Req       Req       Req      Req




Req    Req       Req       Req       Req      Req
Req   Req   Req   Req   Req   Req

Req   Req   Req   Req   Req   Req




Req   Req   Req   Req   Req   Req
Field Name              Description                                                     Field Priority   Definition of field requirement   ISDA Recommended
                                                                                                                                           Fields (Name)
Exchange Rate           For FX
Free text for any                                                                                                                          comment
relevant comments
Current Floating rate   The last fixing made in this contract, excluding spread.
Underlying Booking                                                                                                                         partyAbranchName
Branch - Party A
Underlying Booking                                                                                                                         partyBbranchName
Branch - Party B
Book / Portfolio /      A trade unit could be a book, a branch, an internal
Department              department etc. This information is visible to the
                        counterpart since it could aid in the reconcilliation process

Mark-to-market                                                                                                                             valuationNativeCurrencyAmount
underlying system
amount
Mark-to-market                                                                                                                             valuationNativeCurrency
underlying system ccy

Buy / Sell              Buy / Sell indicator for Options                                                                                   buySell
DayCount
Fixed coupon rate       Swap rates or FRA rates
Fixed coupon rolling    Period of fixed coupon payment e.g. "6M", "1Y"
period
Payer or Receiver       Payer or receiver of the fixed rate.E.g. “Payer”, “Receiver”


Premium rate            the original premium rate on the trade


Put / Call              Put / Call indicator for Options                                                                                   putCall
Quantity
Start date              Start date of the trade                                                                                            effectiveDate
Strike Price            For Options                                                                                                        strikePrice
Additional trade        Optional. In the case there are more than one trade
identifier              identifier this may be used. The field will be visible to the
                        cp.
Credit support
agreement type
Date of signing of
CSA
Electronic Confirm      The DTCC/Swapswire reference
platform ref
Independent Amount                                                                                                                         independentAmountPartyA
Party A
Independent Amount                                                                                                                         independentAmountPartyB
Party B
Assignment Original     For assigned trades, the date the original trade was done
Trade Date Party
Stepping Out            The the stepping out party
                        with name of the stepping out party.
RECONCILIATION / AFFIRMATION FIELDS

OTC Option
Currency
Delta
IA
Implied Volatility
Local IA
Local MTM
Market value
Maturity Date
Notional
Buy/Sell
Put/Call
Strike
Trade Reference ID
Underlying description
Underlying identifier
Underlying Level
USD IA
USD MTM
Vega
Counterparty
Settlement Date
Premium
Option Style
Settlement Terms (Cash/Phy,Curr)
Exercise Terms
Expected N
Dividend Protection
Listed Look-alike
RECONCILIATION FIELDS

Forwards
IA % (preferably)
Local IA
Local MTM
Long Currency
Long Notional
Market value
Maturity date of forward
Short Currency
Short Notional
Spot FX rate
Strike-Forward FX rate
Trade Reference ID
USD IA
USD MTM
RECONCILIATION / AFFIRMATION FIELDS

Bank Debt
Buy/Sell
Currency
Description
IA % (preferably)
Initial price
Local IA
Local MTM
Market value
Maturity Date
Notional
Quantity
Underlying
Settle Date
Trade Date
Trade Reference ID
USD IA
USD MTM

								
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