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AMF / ISITC Swaps IRS Open Trade Notification v 1.

0
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 trade is terminated trade is terminated or


Termination/Novation Date Date at which the instrument will be terminated All C N/A N/A 15-Jan-08 15-Jan-08
or novated or novated novated

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

Used to indicate how many days the settlement is if there is a delay to


Settlement delay All C N/A O 5 5
delayed for interest payments only the settlement

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

Identifier used by Investment Manager to


IM Leg ID All M M M ABC123b ABC456b DEF123b DEF123b ABC123b ABC123b ABC456b DEF123b DEF123b ABC123b
communicate trade reference ID
Identifier used by Investment Manager to
IM Asset ID All M M M FLOAT FLOAT FLOAT FLOAT FLOAT FLOAT FLOAT FLOAT FLOAT FLOAT
communicate asset reference ID
Leg Payer The party of the swap who is paying this leg. All M M M Dealer 1 Dealer 1 5678 5678 Dealer 1 Dealer 1 Dealer 1 5678 5678 Dealer 1
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 M Libor Libor Libor Libor
with floating leg
leg floating leg
M for Credit Default M for Credit M for Credit Default
Reference Entity CDS C N/A C Ford Motor Company
Swaps Default Swaps Swaps
M for Credit Default M for Credit M for Credit Default Grantor, Maturity,
Reference Obligation CDS C N/A C
Swaps Default Swaps Swaps Coupon, ISIN
Reset Frequency The frequency of which rate resets are set All M N/A M 3M 1M 1M 3M
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 4.5 4 4 4.5
Original fixed spread on trade; % + / - the
Spead/Offset Rate All M N/A M -0.4 -0.4
Floating Rate Option
Payment Frequency The frequency of which payments are due IRS, TRS M M M 6M 1M 1M 6M 6M 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
on a non-business day Following
Business Day Calendar Business Calendar followed All M N/A O NYC, LON NYC NYC NYC, LON
Day Count Fraction All M N/A M A/360 A/360 A/360 A/360
Date at which the leg will first stop accruing
First calculation end date All M N/A M 1-Aug-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 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 Y
compounding
leg is subject to
Compounding Frequency How often the float rate compounds IRS C N/A O 3M 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

Used to indicate how many days the settlement is if there is a delay to


Settlement delay All C N/A O 5 5
delayed for interest payments only the settlement

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.

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