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DRAFT
ACCOUNTING /
FIELD DESCRIPTION Product Notification Condition Condition RECONCILIATION Condition Notification Examples Accounting Examples
TPV
Swap Level Information Swap Level Information Swap Level Information
Swap Description Description of SWAP All O O O 5 year IRS 2 yr buy CDS 3 mo TRS 3 mo TRS 5 year IRS 5 year IRS 2 yr buy CDS 3 mo TRS 3 mo TRS 5 year IRS
SWAP Type Type of SWAP (ie. Interest Rate) All M M M IRS CDS TRS TRS IRS IRS CDS TRS TRS IRS
Trade Type New, Termination All M N/A N/A New New New Novate Terminate
Identifier used by Investment Manager to
IM Trade ID All M M M ABC123 ABC456 DEF123 DEF123 ABC123 ABC123 ABC456 DEF123 DEF123 ABC123
communicate trade reference ID
Internal Identifier of the client (pertains to the
Account ID All M M M 1234 4321 5678 5678 1234 1234 4321 5678 5678 1234
custodian bank)
The firm participating on the opposite side of a
Counterparty All M M M Dealer 1 Dealer 1 Dealer 2 Dealer 2 Dealer 1 Dealer 1 Dealer 1 Dealer 2 Dealer 2 Dealer 1
transaction
M for new, O for
Trade Date Trade date All C O O 1-Jan-08 1-Jan-08 1-Jan-08 1-Jan-08 1-Jan-08 1-Jan-08
others
Effective Date First day of the term of the swap transaction All M M M 1-Feb-08 21-Mar-08 1-Feb-08 1-Feb-08 1-Feb-08 1-Feb-08 21-Mar-08 1-Feb-08 1-Feb-08 1-Feb-08
Maturity Date Last day of the term of the swap transaction All M M M 1-Feb-13 21-Mar-10 1-May-08 1-May-08 1-Feb-13 1-Feb-13 21-Mar-10 1-May-08 1-May-08 1-Feb-13
If trade has a fixed If trade has a fixed
Fixed Rate Payer Party who pays the fixed rate (where applicable) IRS, CDS C C C If trade has a fixed leg, M 1234 4321 1234 1234 4321 1234
leg, M leg, M
Floating Rate Payer Party who pays the floating rate All M M M Dealer 1 Dealer 1 5678 5678 Dealer 1 Dealer 1 Dealer 1 5678 5678 Dealer 1
Party who pays the other floating rate (where If trade has 2 float If trade has 2 float
Floating Rate Payer II IRS, TRS C C C If trade has 2 float legs, M Dealer 2 Dealer 2 Dealer 2 Dealer 2
applicable) legs, M legs, M
M for Credit Default M for Credit M for Credit Default
Restructuring Credit Events Specific events that trigger payout CDS MMR
C Swaps O Default Swaps C Swaps
Clean Price Price All N/A M M 101.25 102.5 99.78 100.35 101.89
Premium/Upfront Payment Amount
Currency of the premium/upfront settlement All C trade has a premium N/A N/A USD
Currency
Premium/Upfront Payment Amount Amount paid/received to enter into the swap All C trade has a premium N/A N/A 1,546
Premium/Upfront Payment Amount
Party who pays the premium/upfront amount All C trade has a premium N/A N/A 1234
Payer
Initial Premium/Upfront Payment Date at which the first premium will be settled
All C trade has a premium N/A N/A 3-Jan-08
Payment Date between counterparties
Date at which the last premium will be settled
Final Premium/Upfront Payment between counterparties, will be the same as Initial
All C trade has a premium N/A N/A 3-Jan-08
Payment Date Premium Payment Date if there is a single
premium
trade is terminated
Term/Novate Amount Currency Currency of the termination or Novation payment All C N/A N/A USD USD
or novated
Amount paid or received to Term/Novate into the trade is terminated
Term/Novate Amount All C N/A N/A 1500 1,678
swap or novated
trade is terminated
Term/Novate Amount Payer Payer of the Term/Novate Amount All C N/A N/A Dealer 2 1234
or novated
Date at which the Term/Novate Payment will be trade is terminated
Term/Novate Payment Date All C N/A N/A 17-Jan-08 17-Jan-08
settled between counterparties or novated
Remaining Party Party who doesn't change during an Novation All C trade is novated N/A N/A Dealer 2
Transferee Party stepping into the trade All C trade is novated N/A N/A Dealer 3
Transferor Party stepping out of the trade All C trade is novated N/A N/A 5678
49329104.xlsx 12/08/202106:49:25
AMF / ISITC Swaps IRS Open Trade Notification v 1.0
Leg Level Information DRAFT Leg Level Information Leg Level Information
Identifier used by Investment Manager to
IM Leg ID All M M M ABC123a ABC456a DEF123a DEF123a ABC123a ABC123a ABC456a DEF123a DEF123a ABC123a
communicate trade reference ID
Identifier used by Investment Manager to
IM Asset ID All M M M FIXED FIXED SPX SPX FIXED FIXED FIXED SPX SPX FIXED
communicate asset reference ID
Leg Payer The party of the swap who is paying this leg. All M M M 1234 4321 Dealer 2 Dealer 2 1234 1234 4321 Dealer 2 Dealer 2 1234
Notional Amount Currency Currency of the notional amount All M M M USD USD USD USD USD USD USD USD USD USD
Notional Amount Par/Quantity All M M M 1,000,000.00 10,000,000.00 500,000 500,000 1,000,000 1,000,000.00 10,000,000.00 500,000 500,000 1,000,000
M for interest rate M for interest rate
M for interest rate swaps
Floating Rate Option Index referenced in Swap IRS, TRS C swaps with floating N/A swaps with C SP500 SP500
with floating leg
leg floating leg
M for Credit Default M for Credit M for Credit Default
Reference Entity CDS C N/A C
Swaps Default Swaps Swaps
M for Credit Default M for Credit M for Credit Default
Reference Obligation CDS C N/A C
Swaps Default Swaps Swaps
Reset Frequency The frequency of which rate resets are set All M N/A M 1M 1M
Rate (fixed or float) Interest rate to be paid/received on the notional All C If rate is known, M C If rate is known, M C If rate is known, M 5 0.6 1400 1400 5 5 0.6 1400 1400 5
Original fixed spread on trade; % + / - the
Spead/Offset Rate All M N/A M -0.4 -0.4 -0.4 -0.4
Floating Rate Option
Payment Frequency The frequency of which payments are due IRS, TRS M M M 6M 3M 1M 1M 6M 6M 3M 1M 1M 6M
Business day convention used if payment is due Modified
Business Day Convention All M N/A O Modified Following Modified Following Modified Following Modified Following
on a non-business day Following
Business Day Calendar Business Calendar followed All M N/A O NYC, LON NYC NYC NYC NYC, LON
Day Count Fraction All M N/A M 30/360 A/360 A/360 A/360 30/360
Date at which the leg will first stop accruing
First calculation end date All M N/A M 1-Aug-08 21-Jun-08 1-Mar-08 1-Mar-08
interest
Next settlement date Next date at which the leg will settle interest All M N/A M 1-Aug-08 21-Jun-08 6-Mar-08 6-Mar-08 1-Aug-08
leg is subject to
Compounding Applicable Does the rate compound? IRS C N/A O Y
compounding
leg is subject to
Compounding Frequency How often the float rate compounds IRS C N/A O 3M
compounding
leg is subject to
Averaging Applicable Does the rate average? IRS C N/A O
averaging
leg is subject to
Method of averaging If the rate averages, what is the methodology? IRS C N/A O
averaging
if settle currency is
Used to indicate that the settlements are in a
Settlement currency All C different than M M
different currency than the notional
notional currency
If terminated or
Term/Novate Notional Amount of notional novated or terminated All C N/A N/A 100,000 250,000
novated, M
Amount of notional which remains after the If terminated or
Remaining Notional Amount All C M M 400,000 750,000 400,000 750,000
Novation or termination novated, M
Accrued Interest Accrued Interest All N/A M M 23654 7554 567 8890 234566
Hedged Asset ID Identificator of asset which is being hedged All C if required C if required C if required
Indicator Hedge, Speculative, or Unknown All C if required C if required C if required
Underlying Security Reference Description of Hedged Asset All C if required C if required C if required
49329104.xlsx 12/08/202106:49:25
AMF / ISITC Swaps IRS Open Trade Notification v 1.0
DRAFT
Leg Level Information - this is the exact information as the above leg and is used for Leg Level Information - this is the exact information as the Leg Level Information - this is the exact information as the above
the examples above leg and is used for the examples leg and is used for the examples
If terminated or
Term/Novate Notional Amount of notional novated or terminated All C N/A N/A 100,000 250,000
novated, M
Amount of notional which remains after the If terminated or
Remaining Notional Amount All C M M 400,000 750,000 400,000 750,000
Novation or termination novated, M
Accrued Interest Accrued Interest All N/A M M 30750.2 9820.2 737.1 11557 304935.8
Hedged Asset ID Identificator of asset which is being hedged All C if required C if required C if required
Indicator Hedge, Speculative, or Unknown All C if required C if required C if required
Underlying Security Reference Description of Hedged Asset All C if required C if required C if required
49329104.xlsx 12/08/202106:49:25
Doesn't provide complete coverage ( duration neutral TRS, exotic/structured trades, etc are missing)
Cancel and rebook are covered, but amends are not.
Stubs are not covered.