Credit Support Agreement by yoo10617

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									RECONCILIATION / AFFIRMATION FIELDS

Legend                                                     FpML Location
                                      Msg Hdr
                                      TBD



Cross product                         FpML area     New?
Message ID                            Msg Hdr
Message as-of date                    Msg Body
message date time                     Msg Hdr




Purpose                               Msg Body




action                                Msg Body      x

asset class                           Trd - Xprod   x




Product Type/Code                     Trd - Xprod

Trade / Position ID                   Trd - Hdr


Trade Group ID                        Trd - Hdr

Leg ID                                Trd - Hdr     ?
IA % (preferably)                     Trd - Xprod

Local IA (IA in local currency)       Trd - Xprod
IA in reporting currency              Pos - Value   x


IA reporting currency                 Pos - Value   x
Party 2 IA amount in reporting ccy    Pos - Value
Party 2 IA reporting ccy              Pos - Value
Party 2 IA amount in local ccy        Trd - Xprod
Party 2 IA local ccy                  Trd - Xprod



Local MTM                             Pos - Value
Local MTM currency                           Pos - Value

Reporting currency FX rate


Market value in reporting currency           Pos - Value

Market value reporting currency              Pos - Value

Unit currency FX rate



Market value in unit currency


unit currency




MTM in settlement currency


Settlement currency (for MTM reporting)

Trade Date                                   Trd - Hdr

Novation trade date                          Trd - Hdr     x


Execution date/time                          Trd - Hdr
Source side account/legal entity             ?             ?
Destination side account/legal entity ID     ?             ?



Destination side account/legal entity name   ?             X



Sender's unit/subdivison                     ?             x



Receiver's unit/subdivison                   ?             ?


as-of date (MTM)                             Pos - Value
Buyer/seller indicator                        Trd - Prod     x




Effective notional amount in trade currency   Pos - Value?   x


Effective notional currency                   Pos - Value?   x

Effective notional in reporting currency      Pos - Value

Effective notional reporting currency         Pos - Value



Multi-leg                                     Trd - Prod?
Current Floating rate                         Pos - Value

Credit support agreement type                 Trd - Xprod
Date of signing of CSA                        Trd - Xprod
CSA agreement number                          Trd - Xprod    x

Electronic platform trade identifier          Trd - Hdr




Electronic platform identifier                Trd - Hdr

Comment                                       ??             x
Stepping Out Party                            Trd - Hdr?


Is Accounting Hedge?                          Trd - Hdr?     x

Regulator                                     Trd - Hdr?     x
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

Initial payment
Upfront Fees (Independent amount)


USD IA




USD MTM
Effective Date

Counterparty




Restructuring (for NA Corp)




Tranche (if Applicable)
 FpML Location
Message Header
Not clear, to be discussed


Element                       Description/definition/comments
messageId
asOfDate
creationTimestamp

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



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

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

tradeId/positionId            Identifies the positions
                              groups several trades together when
                              confirmed together; Common trade ref for
linkId                        multi-leg bookings
                              identify the specific component within a
?                             trade into pieces (e.g. cash flow stream).
paymentPercent
independentAmount/            we might want to make this required for a
paymentDetail/paymentAmount   collateral view but this is hard.
                              Independent amount (posted by
                              this would normally be the same as MTM
                              reporting ccy, if not supplied defaults to the
                              same




                              Market value in Local MTM Currency,
                              including all components (e.g. accrued
position/quote[measureType=   interest). ("Dirty" price). TBD: Clean/Net -
'NPVLocalCurrency']/amount    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
position/quote[measureType=                 normally be the base currency of the FX
'NPVLocalCurrency']/currency                rate.
                                            FX rate to convert from iocal MTM to
                                            reporting MTM
                                            Market value in MTM Reporting Currency,
                                            including all components (e.g. accrued
position/quote[measureType= 'NPV']/amount interest). ("Dirty" price). TBD: Clean/Net -
                                            Standard currency used for reporting market
position/quote[measureType= 'NPV']/currency values for this report recipient
                                            FX rate to convert from iocal MTM to unit
                                            MTM
                                            Market value in Unit Currency, including all
                                            components (e.g. accrued interest). ("Dirty"
                                            price). TBD: Clean/Net - handling of Fees
                                            and Commissions,
                                            Standard currency used for reporting market
                                            values for the unit that executed this trade
                                            (e.g. fund or branch)

                                            Market value in Settlement Currency,
                                            including all components (e.g. accrued
                                            interest). ("Dirty" price). TBD: Clean/Net -
                                            handling of Fees and Commissions,
                                            Currency in which this trade settles; in multi-
                                            currency trade, the currency paid by the
                                            base party.
                                            original trade date - date of execution of the
tradeDate                                   original trade.

novationTradeDate                           date of the execution of the novation, if any.
                                            time of execution, e.g. for regulatory
                                            purposes, such as to track front running -
executionDateTime                           most recent event
add party reference to header               legal entity for sending firm….
add party reference to header               branch/fund id/reference for the sender.

                                            the actual legal entity may be "undisclosed", so
                                            the name may reference the manager's reference
add party reference to header               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
add to party trade information              one.
                                            a subdivision of the receiver's book, used for
                                            holding things like the book, desk, strategy,
                                            portfolio, etc. Potentially might want more than
add to party trade information              one.
                                            should ideally this should be at the position
                                            level, so we can say the as-of date of the
valuationDate                               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
genericProduct/buyerPartyReference   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
genericProduct/notional/amount       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
genericProduct/notional/currency     and in a reporting currency.
position/quote[measureType=          Current notional in Reporting Currency,
'CurrentNotional']/amount            including
position/quote[measureType=          Standard currency used for reporting values
'CurrentNotional']/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
                                     has several components.
position/quote[measureType=          The last fixing made in this contract,
'MarketQuote']/currency              excluding spread.
creditSupportAgreement/type          can follow existing FpML coding scheme
creditSupportAgreement/date
crediteSupportAgreement/identifier   A number assigned to a CSA for tracking
                                     purposes
tradeId[tradeIdScheme='XXX']         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


tradeIdScheme                        An identifier for the platform itself, to
                                     distinguish between platforms
partyTradeInformation/description    Free text for any relevant comments
add to trade header?                 The name of the stepping out party.
                                     True if the transaction designated as being
                                     used to hedge a risk, for accounting
(add to party trade information)     purposes.
                                     Information about the applicable regulator
                                     for this transaction
FX Rates
EUR-GBP
EUR-USD
EUR-JPY
GBP-USD
USD-JPY
Example Trades - CD

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




Portfolio Reconciliation             Portfolio Reconciliation




New                                  New

Credit                               Credit




CreditDefaultSwap                    CreditDefaultSwap

123ABC                               234DEF




                       520,123.50                                7,124,523.00
USD                                  JPY

                                                                  0.01075


                        520,123.50                             76,623.59

USD                                  USD

                           0.69911                                0.69911



                        363,621.02                             53,567.95


EUR                                  EUR




                        520,123.50                           7,124,523.00


USD                                  JPY

                         8/31/2009                              8/31/2009




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



Hedgeco Global Growth                Hedgeco Global Growth



Book234                              Book567




                         8/31/2009                              8/31/2009
Buy                               Sell




                       2500000                            200000000


USD                               JPY

                       2500000                          2150981.708

USD                               USD




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

                             15                                     15

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

DTCC                              DTCC




Example Trade                    Example Trade
Credit Default Swap - Single NameCredit Default Swap - Index
Buy                              Sell
USD                              JPY
                            1.96                                 3.345
            International Paper Company         iTraxx Japan Series Number 11
                                           1                                     5




                                    520123.5                               7124523



                                    520123.5                               7124523

                                    6/20/2012                            6/20/2012
                                     2500000                            200000000

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

                                       22032                               5323454




                                 520123.50                                76623.59
                                   9/1/2009                                9/1/2009

            Hedgeco Global Growth               Hedgeco Asia Fund




            Mod R




            N                                   N



  0.88050
  1.43040
132.98900
  1.62500
92.98080




           289,688,34
                                   Example Trades - IR

Credit Default Swap -              IR Cap
Tranche
                              1
                       9/1/2009
                 9/1/2009 10:00




Portfolio Reconciliation




New

Credit                             Interest Rates




CreditDefaultSwap                  Interest Rate Cap

345CDE                             CFABCOTCDER2009XXX17




                    (180,345.00)                       64,023.10
EUR                                 USD

                         1.43040


                  (257,965.49)                         64,023.10

USD                                 USD

                        92.98080                          92.98080



               (23,985,837.45)                        5,952,919.06


JPY                                 JPY




                  (180,345.00)                           64,023.10


EUR                                 USD

                        8/31/2009   August 12, 2009




ABCD Securities, Inc.               ABCD Securities, Inc.
?



Hedgeco Asia Fund                   Hedgeco Asia Fund



Book789




                        8/31/2009
Buy




                    2500000


EUR

                    3576000

USD




ISDA
                    4/5/2007

                          15

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

DTCC




Example Trade
Credit Default Swap - Tranche   Currency           USD
Buy                             Effective date     August 12, 2009
EUR                             Fixed rate         4% [schedule applies]
                         4.22   Fixed rate payer   ABC
iTraxx Europe s9 6%-9%           Floating index          USD-LIBOR-BBA (1 month)
                            5    IA % (preferably)


                                 Local IA

                                 Local MTM

                    -180345      Market value            USD 64,023.10
                                                         February 10, 2013, subject to
                                                         adjustment in accordance with
                                                         the Modified Following
                    -180345      Maturity Date           Business Day Convention

                   6/20/2015     Notional                USD 8,000,000.00
                   10000000      Par swap rate
                                 Trade Date              August 12, 2009
2I666VAI6                        Trade Reference ID      CFABCOTCDER2009XXX17
                                 USD IA
                   8/31/2009     USD MTM
345CDE                           Counterparty            XYZ

                        192464   Premium                 USD 135,00.00
                                 Direction               ABC buys


                                 Day Count Fraction      Actual/360




                 -257965.49
                    9/1/2009     spread

Hedgeco Global Growth            option exercise style




                                 exercise date




Y
289,688,342.83
IR Swap                             IR Swaption                   XCCY Swap




Interest Rates                      Interest Rates                Interest Rates




Interest Rate Swap                  IR Swaption                   Cross Currency Swap

CFABCOTCDER2009XXX18                CFABCOTCDER2009XXX19          CFABCOTCDER2009XXX20




                       -25,663.29                    133,035.27                    -9,095,124.44
USD                                   USD                            EUR

                                                                                         1.43040


                        -25,663.29                   133,035.27                  -13,009,666.00

USD                                   USD                            USD

                           0.69911                        0.69911                       0.69911



                        (17,941.34)                     93,005.64                  (9,095,124.44)


EUR                                   EUR                            EUR




                         -25,663.29                     133,035.27                -13,009,666.00


USD                                   USD                            USD

4th August 2009                       January 7, 2009                13 March 2009




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




Hedgeco Global Growth                 Hedgeco Global Growth          Hedgeco Global Growth
USD
4th August 2009    February 4, 2010           01 July 2009
7.11000 per cent   2.38%                      10.625 percent
ABC                ABC buys; XYZ pays fixed   ABC pays EUR
USD-LIBOR-BBA (1 month)             USD-LIBOR-BBA (3 month) 9.99 percent on the EUR side




USD -25,663.29                      USD 133,035.27                 EUR -9,095,124.44
1st March 2021, subject to
adjustment in accordance with the
Modified Following Business Day
Convention                          2/4/2010 (?)                   01 July 2011
                                                                   USD 65,000,000.00 / EUR
USD 623,161.01 [schedule applies]   USD 100,000,000.00             53,870,379.58

4th August 2009
CFABCOTCDER2009XXX18

USD -25,663.29
XYZ                                 XYZ OTC Derivative End
                                    ABC
                                    User Corp pays USD
                                    100,000 to XYZ OTC


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




plus 3.400000 per cent              -

                                    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




Foreign Exchange       Foreign Exchange




FX Spot                FX Forward

CFABCOTCDER2009XXX22   CFABCOTCDER2009XXX23




                                    753,866.01
                        JPY

                                    0.010754909


n/a                                     8,107.76

                        USD

                                       92.98080



                                     753,866.01


EUR                     JPY




                                        8,107.76


                        USD

Jun 02 2009             14-Apr-09




Hedgeco Global Growth   Hedgeco Asia Fund
                    February 28, 2007


Forwards
IA % (preferably)
Local IA
Local MTM
Long Currency              USD 1,037,768.00       JPY 17,087,560.00
Long Notional


Market value               N/A                    USD 8,107.76
Maturity date of forward
(value date)                                      31-May-11

Short Currency                                    USD 175,467.19



Short Notional             EUR 730,000.00

Spot FX rate               1.4216 EUR-USD         96.20
Strike-Forward FX rate
Trade Reference ID         CFABCOTCDER2009XXX22
USD IA
USD MTM




Settlement currency                               USD
FX Option                   NDF




Foreign Exchange            Foreign Exchange




FX Option                   NonDeliverableForward

CFABCOTCDER2009XXX21




             7,000,827.88                  (55,145.52)
USD                          BRL

                                          0.509035378


              7,000,827.88                 (28,071.02)

USD                          USD

                  0.69911                     0.69911



              4,894,314.79                 (19,624.59)


EUR                          EUR




              7,000,827.88                 (28,071.02)


USD                          USD

Aug 11 2009                  Jul 1 2009




Hedgeco Global Growth        Hedgeco Global Growth
February 2, 2009
USD 97,014,886.40          USD 1140239.25               Buy/Sell
                                                        Currency


USD 7,000,827.88           USD -28,071.02               Description

                                            28-Sep-09   IA % (preferably)

                           BRL 2260000                  Local IA



EUR 72,119,303.00                                       Local MTM

1.3452 USD/EUR             1.9645                       Market value
                                                        Maturity Date
                                                        Notional
                                                        Price
Buyer: ABC                 ABC pays BRL                 Quantity
Seller: XYZ                XYZ pays USD                 Underlying (Sedol/Cusip/Isin)
Option Style: European                                  Settle Date

Option Type: EUR Put/ USD Call                          Trade Date
Expiration: Aug 13 2011                                 Trade Reference ID


Settlement: Sep 02 2011                                 USD IA

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                                USD MTM
Premium payment date: Sep 02 2011                       Counterparty

                           USD                          Net Amount




                                                        Spread




                                                        Dividend %


                                                        Floating rate
                                                        Flatiing Daycount
                                                        spread
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
USD                  EUR                    USD

                                  1.43040


        437,858.85           3,115,823.64          1,050,000.00

USD                  USD                    USD

          0.69911               132.98900              0.69911



        306,109.38         289,688,388.05           734,060.40


EUR                  JPY                    EUR




        437,858.85           2,178,288.34          1,050,000.00


USD                  EUR                    USD

?                    ?                               11/26/2007




                   Hedgeco Asia Fund
Hedgeco Global Growth                       Hedgeco Global Growth
                                                                   Settlement
Buy                   Buy                   USD                    Currency
USD                   EUR                   USD                    Product
                                            OTC IBM 80 STRIKE
IBM COMMON            DEUTSCHE BANK         AMER PUT               Reference
STOCK                 COMMON STOCK          1/15/2010              Price

               0.25                  0.05                          Averaging
                                                                   Pricing
                                                                   Calendar



                                                    1,050,000.00   Settlement
                                                                   Payment
US 30895.15        US -30970.23                                    Calendar
         6/16/2010           8/26/2010                 1/15/2010   Price Precision
       -406,963.70       -2,199,990.62              1,000,000.00   Price units
              4.11               17.565                     1.48   Quantity units
        106,535.00           124,013.00            -1,480,000.00   RollDays
IBM                   DEUTSCHE BANK IBM                            Price CCY
                                                                   Buyer:

                                                                   Seller
                                                                   Qty:


                                                                   Qty Freq




         30,895.15             -30,970.23           1,050,000.00   Total Qty
                                                                   Start Date

                                                                   End Date




                                                                   Strike Price




               100                    85                           Pricing Freq
                                                                   Settlement Freq

USD 1M Libor          EUR 1M Libor                                 Payment days
ACT/360               ACT/360                                      Payment terms
100bps                100bps
                                            Strike: 80
                                            Option type: PUT       Current Price
Factor: 100
Direction: Buy

                 Price change
                 Price chg *qty
                 Discount factor
                 NPV
Example Trades - Commodity

Crude Swap            NatGas Swap




Commodities           Commodities




Crude Swap            NG Fixed Price Swap




     (2,146,716.00)           211,077.00
USD                    USD

                  1                        1


        -2146716.00              211077.00

USD                    USD

          92.98080                   1.43040



      -199603371.05              147565.02


JPY                    EUR




      (2,146,716.00)           211,077.00


USD                    USD

Aug-24-2009            Jul-29-2009
USD                       USD
Brent 1st line swap       NG Fin FP for LD1


OIL-BRENT-IPE             NATURAL GAS-NYMEX

Business Days             Last 1

IPE                       NYMEX



Cash                      Cash

NY Banks                  NY Banks
                      3
bbl                       MMBTU
bbl                       MMBTU
                      1                       0
USD                       USD
Hedgeco Asia              Hedgeco Global

ABC                       Company2
                65000                      5000


Monthly                   Daily




              195000                    150000
Oct-01-2009               Sep-01-2009

Dec-31-2009               Sep-30-2009




                79.37                      3.59




Monthly                   Monthly
Monthly                   Monthly

                      5                       5
Business                  Business


                68.25                    5.000
        -11.12          1.41
(2,168,400.00)   211,500.00
          0.99         0.998
(2,146,716.00)   211,077.00
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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