|
An FpML enhancement is being
proposed by Michael Burg from BNY Mellon (below is an excerpt from his
email). We would like to discuss it in the next WG business-oriented
session (Wed June 25 noon Eastern).
Interest Purchased/Sold and Leg level
value
Currently the Schema for IRS, CDS, CDX, and CTX provides a
payment amount for upfront payments on Contract Created, Increases, Novations,
and terminations. While that number is good for confirmation purposes it
it falling short from an accounting and reporting perspective and inconsistent
with the fixed income market. This is a requirement in the forty act space
to separate principle and income and it FASB and GAPP compliant as well. I
understand (like the fixed income market) all senders will not be able to
deliver this information and fallout will occur, but from a custodian
perspective the lack of this information will have a negative impact on STP and
potentially accuracy to our shared clients. I have reviewed the paper
tickets of our three largest investment managers and this information is
currently provided and do not require the amount to be derived by the receiving
side. I believe that we should reach out to ISDA to enhance the
payment portion of the schema to include the following:
CDX, CDS, and
CTX
The net payment amount should be broken up into interest
purchased sold and the current MV of the reference leg on all transactions with
a Net Amount. Net Amount should essentially be the sum of principle and
interest and validated accordingly if provided.
IRS
Same holds true here with the added complexity of both legs
having principle and interest components.
Any and all comments are
welcome.
--
This message and any attachments are confidential, proprietary, and may be privileged. If this message was misdirected, Barclays Global Investors (BGI) does not waive any confidentiality or privilege. If you are not the intended recipient, please notify us immediately and destroy the message without disclosing its contents to anyone. Any distribution, use or copying of this e-mail or the information it contains by other than an intended recipient is unauthorized. The views and opinions expressed in this e-mail message are the author's own and may not reflect the views and opinions of BGI, unless the author is authorized by BGI to express such views or opinions on its behalf. All email sent to or from this address is subject to electronic storage and review by BGI. Although BGI operates anti-virus programs, it does not accept responsibility for any damage whatsoever caused by viruses being passed. |