P. 1
Product Wise Field Details for OTC Derivatives

Product Wise Field Details for OTC Derivatives

|Views: 7|Likes:
Published by Ravindra Pappu

More info:

Published by: Ravindra Pappu on Jan 11, 2011
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as XLSX, PDF, TXT or read online from Scribd
See more
See less

01/11/2011

pdf

text

original

AMF / ISITC Swaps IRS Open Trade Notification v 1.

0 DRAFT

FIELD Swap Level Information Swap Description SWAP Type Trade Type IM Trade ID Account ID Counterparty Trade Date Effective Date Maturity Date Fixed Rate Payer Floating Rate Payer Floating Rate Payer II Restructuring Credit Events

DESCRIPTION

Product

Notification

Condition

ACCOUNTING / TPV O M N/A M M M

Condition

RECONCILIATION

Condition Swap Level Information 5 year IRS 2 yr buy CDS IRS CDS New New ABC123 1234 Dealer 1 1-Jan-08 1-Feb-08 1-Feb-13 If trade has a fixed leg, M If trade has 2 float legs, M M for Credit Default Swaps 1234 Dealer 1 ABC456 4321 Dealer 1 1-Jan-08 21-Mar-08 21-Mar-10 4321 Dealer 1

Notification Examples Swap Level Information 5 year IRS 2 yr buy CDS IRS CDS ABC123 1234 Dealer 1 1-Jan-08 1-Feb-08 1-May-08 1-Feb-08 1-Feb-13 1234 5678 Dealer 2 MMR 101.25 USD 1,546 1234 3-Jan-08 3-Jan-08 102.5 5678 Dealer 2 Dealer 1 1-Feb-08 1-Feb-13 1234 Dealer 1 ABC456 4321 Dealer 1 1-Jan-08 21-Mar-08 21-Mar-10 4321 Dealer 1

Accounting Examples

Description of SWAP Type of SWAP (ie. Interest Rate) New, Termination Identifier used by Investment Manager to communicate trade reference ID Internal Identifier of the client (pertains to the custodian bank) The firm participating on the opposite side of a transaction Trade date First day of the term of the swap transaction Last day of the term of the swap transaction Party who pays the fixed rate (where applicable) Party who pays the floating rate Party who pays the other floating rate (where applicable) Specific events that trigger payout

All All All All All All All All All IRS, CDS All IRS, TRS CDS

O M M M M M C M M C M C C N/A C C C C C If trade has 2 float legs, M M for Credit Default Swaps trade has a premium trade has a premium trade has a premium trade has a premium trade has a premium trade is terminated or novated trade is terminated or novated trade is terminated or novated trade is terminated or novated trade is terminated or novated trade is novated trade is novated trade is novated If trade has a fixed leg, M M for new, O for others

O M N/A M M M O M M If trade has a fixed leg, M If trade has 2 float legs, M M for Credit Default Swaps C M C C M N/A N/A N/A N/A N/A trade is terminated or novated trade is terminated or novated

3 mo TRS TRS New DEF123 5678 Dealer 2 1-Jan-08 1-Feb-08 1-May-08

3 mo TRS TRS Novate DEF123 5678 Dealer 2

5 year IRS IRS Terminate ABC123 1234 Dealer 1

3 mo TRS TRS DEF123 5678 Dealer 2 1-Jan-08 1-Feb-08 1-May-08

3 mo TRS TRS DEF123 5678 Dealer 2

5 year IRS IRS ABC123 1234 Dealer 1

O M M C M C O M N/A N/A N/A N/A N/A

1-Feb-08 1-May-08

1-Feb-08 1-Feb-13 1234

5678 Dealer 2

5678 Dealer 2

Dealer 1

Clean Price Price All Premium/Upfront Payment Amount Currency of the premium/upfront settlement All Currency Premium/Upfront Payment Amount Amount paid/received to enter into the swap All Premium/Upfront Payment Amount Party who pays the premium/upfront amount All Payer Initial Premium/Upfront Payment Date at which the first premium will be All Payment Date settled between counterparties Date at which the last premium will be Final Premium/Upfront Payment settled between counterparties, will be the All Payment Date same as Initial Premium Payment Date if there is a single premium Termination/Novation Date Term/Novate Amount Currency Term/Novate Amount Term/Novate Amount Payer Term/Novate Payment Date Remaining Party Transferee Transferor Date at which the instrument will be terminated Currency of the termination or Novation payment Amount paid or received to Term/Novate into the swap Payer of the Term/Novate Amount Date at which the Term/Novate Payment will be settled between counterparties Party who doesn't change during an Novation Party stepping into the trade Party stepping out of the trade All All All All All All All All

99.78

100.35

101.89

C C C C C C C C

N/A N/A N/A N/A N/A N/A N/A N/A

N/A N/A N/A N/A N/A N/A N/A N/A

15-Jan-08 USD 1500 Dealer 2 17-Jan-08 Dealer 2 Dealer 3 5678

15-Jan-08 USD 1,678 1234 17-Jan-08

49329104

01/11/2011 01:08:14

000 DEF123a SPX Dealer 2 USD 500. LON 30/360 1-Aug-08 1-Aug-08 3M If rate is known.00 ABC456a FIXED 4321 USD 10. M M for interest rate swaps with floating leg M for Credit Default Swaps M for Credit Default Swaps M M M M M N/A N/A N/A N/A C N/A M N/A N/A N/A N/A N/A N/A N/A N/A N/A M N/A N/A M M C C C if required if required if required If rate is known. % + / . M M for interest rate swaps with floating leg M for Credit Default Swaps M for Credit Default Swaps M M M M M C C C M C M M O O M M M O O O O M O N/A M M C C C if required if required if required 5 5 100. Speculative.000.000. or Unknown Description of Hedged Asset All All All All All All 49329104 01/11/2011 01:08:14 .4 1M 1M 1400 -0.000.000.000.4 1M 6M 5 Leg Level Information ABC123a FIXED 1234 USD 1.000. M if required if required if required If rate is known.000 8890 750.000 250.000 400.000.000 ABC123a FIXED 1234 USD 1.000 750. M 5 0. LON 30/360 Used to indicate that the settlements are in All a different currency than the notional Used to indicate how many days the settlement is delayed for interest payments All only Amount of notional novated or terminated Amount of notional which remains after the Novation or termination Accrued Interest Identificator of asset which is being hedged Hedge.the All Floating Rate Option The frequency of which payments are due IRS.000 SP500 DEF123a SPX Dealer 2 USD 500.000. All Currency of the notional amount All Par/Quantity All Index referenced in Swap IRS.000.4 1M 1400 -0.00 ABC456a FIXED 4321 USD 10.00 DEF123a SPX Dealer 2 USD 500. TRS Business day convention used if payment is All due on a non-business day Business Calendar followed All All Date at which the leg will first stop accruing All interest Next date at which the leg will settle interest All Does the rate compound? How often the float rate compounds Does the rate average? If the rate averages.000.000 23654 7554 567 400.000 234566 6M Modified Following NYC.4 1M 6M 6M 3M 5 5 0.0 DRAFT Leg Level Information IM Leg ID IM Asset ID Leg Payer Notional Amount Currency Notional Amount Floating Rate Option Reference Entity Reference Obligation Reset Frequency Rate (fixed or float) Spead/Offset Rate Payment Frequency Business Day Convention Business Day Calendar Day Count Fraction First calculation end date Next settlement date Compounding Applicable Compounding Frequency Averaging Applicable Method of averaging Settlement currency Settlement delay Term/Novate Notional Remaining Notional Amount Accrued Interest Hedged Asset ID Indicator Underlying Security Reference Identifier used by Investment Manager to All communicate trade reference ID Identifier used by Investment Manager to All communicate asset reference ID The party of the swap who is paying this leg.000 Leg Level Information ABC123a FIXED 1234 USD 1.000 SP500 ABC123a FIXED 1234 USD 1.000 Modified Following Modified Following Modified Following Modified Following NYC A/360 21-Jun-08 21-Jun-08 NYC A/360 1-Mar-08 6-Mar-08 NYC A/360 1-Mar-08 6-Mar-08 1-Aug-08 Y 3M NYC. TRS CDS CDS The frequency of which rate resets are set All Interest rate to be paid/received on the All notional Original fixed spread on trade.6 M for interest rate swaps with floating leg M for Credit Default Swaps M for Credit Default Swaps 1M 1400 -0. what is the methodology? IRS IRS IRS IRS M M M M M C C C M C M M M M M M M C C C C C C C C N/A C C C leg is subject to compounding leg is subject to compounding leg is subject to averaging leg is subject to averaging if settle currency is different than notional currency if there is a delay to the settlement If terminated or novated.00 DEF123a SPX Dealer 2 USD 500.6 1400 -0.AMF / ISITC Swaps IRS Open Trade Notification v 1. M If terminated or novated.

2 737.0 DRAFT Leg Level Information .1 400. M M for interest rate swaps with floating leg M for Credit Default Swaps M for Credit Default Swaps M M M M M N/A N/A N/A N/A C N/A M N/A N/A N/A N/A N/A N/A N/A N/A N/A M N/A N/A M M C C C if required if required if required If rate is known.5 Leg Level Information . M If terminated or novated.000 304935.5 ABC456b FLOAT Dealer 1 USD 10.000.000.000.000 30750.000 Libor Leg Level Information .000.000. ISIN 1M 4 -0. All Currency of the notional amount All Par/Quantity All Index referenced in Swap IRS.000 250.4 1M 6M 6M 1M 1M 6M 3M 4.this is the exact information as the above leg and is used for the examples IM Leg ID IM Asset ID Leg Payer Notional Amount Currency Notional Amount Floating Rate Option Reference Entity Reference Obligation Reset Frequency Rate (fixed or float) Spead/Offset Rate Payment Frequency Business Day Convention Business Day Calendar Day Count Fraction First calculation end date Next settlement date Compounding Applicable Compounding Frequency Averaging Applicable Method of averaging Settlement currency Settlement delay Term/Novate Notional Remaining Notional Amount Accrued Interest Hedged Asset ID Indicator Underlying Security Reference Identifier used by Investment Manager to All communicate trade reference ID Identifier used by Investment Manager to All communicate asset reference ID The party of the swap who is paying this leg.000 11557 750. TRS Business day convention used if payment is All due on a non-business day Business Calendar followed All All Date at which the leg will first stop accruing All interest Next date at which the leg will settle interest All Does the rate compound? How often the float rate compounds Does the rate average? If the rate averages. % + / . LON A/360 Used to indicate that the settlements are in All a different currency than the notional Used to indicate how many days the settlement is delayed for interest payments All only Amount of notional novated or terminated Amount of notional which remains after the Novation or termination Accrued Interest Identificator of asset which is being hedged Hedge.2 9820. or Unknown Description of Hedged Asset All All All All All All 49329104 01/11/2011 01:08:14 . M M for interest rate swaps with floating leg M for Credit Default Swaps M for Credit Default Swaps M M M M M M C C M C M M O O M M M O O O O M O N/A M M C C C if required if required if required 5 5 100.000.this is the exact information as the above leg and is used for the examples ABC123b FLOAT Dealer 1 USD 1.the All Floating Rate Option The frequency of which payments are due IRS. Coupon.00 ABC456b FLOAT Dealer 1 USD 10.this is the exact information as the above leg and is used for the examples ABC123b FLOAT Dealer 1 USD 1.000.4 1M 1M 4 -0.000 Libor DEF123b FLOAT 5678 USD 500. what is the methodology? IRS IRS IRS IRS M M M M M C C C M C M M M M M M M C C C C C C C C N/A C C C leg is subject to compounding leg is subject to compounding leg is subject to averaging leg is subject to averaging if settle currency is different than notional currency if there is a delay to the settlement If terminated or novated. TRS CDS CDS The frequency of which rate resets are set All Interest rate to be paid/received on the All notional Original fixed spread on trade.000 400.00 Libor Ford Motor Company Grantor. Maturity.000.000 Libor ABC123b FLOAT Dealer 1 USD 1.00 DEF123b FLOAT 5678 USD 500.000 750. LON A/360 1-Aug-08 1-Aug-08 Y 3M If rate is known.8 6M Modified Following NYC.000 DEF123b FLOAT 5678 USD 500.000 ABC123b FLOAT Dealer 1 USD 1. M if required if required if required If rate is known. Speculative.000.000 Modified Following Modified Following Modified Following NYC A/360 1-Mar-08 6-Mar-08 NYC A/360 1-Mar-08 6-Mar-08 1-Aug-08 Y 3M NYC.000.AMF / ISITC Swaps IRS Open Trade Notification v 1.00 DEF123b FLOAT 5678 USD 500. M M for interest rate swaps with floating leg M for Credit Default Swaps M for Credit Default Swaps 3M 4.

0 DRAFT Doesn't provide complete coverage ( duration neutral TRS. but amends are not. etc are missing) Cancel and rebook are covered. exotic/structured trades. Stubs are not covered.AMF / ISITC Swaps IRS Open Trade Notification v 1. 49329104 01/11/2011 01:08:15 .

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->