ARMADA - CDS Reconciliation

Version 1
Author A. Wilson

Presently there is no automated method of reconciliation between Armada and the CDS
system.

Due to the low volume of trading activity exhibited by the Credit Derivatives desk within
their plain-vanilla trading book, it is currently feasible to undertake a manual
reconciliation. Such a reconciliation will be met by London on a daily basis, and will
cover the following fields;

CDS identifier Armada identifier Midas identifier CDS TRS

Fund book x x
Strat strategy x x
sec_id SourceSystemID Deal no. x x
Position Nominal Amount x x
Sectype_desc CDType wenn Sub type x x
DefaultSwap dann
CDS, wenn Default
Swap Total Return dan
TRS
sec_desc LongName x x
midas_cpty_id CP x x
Mty EndDate Maturity date x x
Currency NominalCcy Currency x x
last_fixing_date StartDate x x
next_fixing_date PremiumFirstPayDate Interest payment date x x
Basis PremiumPayDayCount Calculation method x x
Tenor PremiumPayFreq Frequency x x
Cpnbmbp PremiumNormed Spread/Rate x x
Benchmark PremiumBenchmark x x

New trades and changes to current positions will be identified from the CDS Daily
Trading Inventory report and Armada will be updated accordingly.

As a precursor to a possible increase in trading volume, an automated reconciliation is

being created which will involve taking exports from both CDS and Armada and
reconciling both against each other. This will be run on a daily basis and will include at
least the above fileds.