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ISDA Section 07 Trade Capture

1. TradeCapture documents contain essential data for interest rate swaps including notional amounts, currencies, effective dates, payment dates, fixed and floating rates, day count conventions, and customer details. 2. It is important to carefully transfer deal ticket data to confirmation terms to avoid discrepancies regarding things like day count conventions, business day adjustments, compounding methods and optional features. 3. Incorrect trade capture can lead to problems like wrong valuations, payments, confirmations and adjustments as well as increased costs and reduced customer satisfaction. Careful data entry and cross-checking is important.

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71 views14 pages

ISDA Section 07 Trade Capture

1. TradeCapture documents contain essential data for interest rate swaps including notional amounts, currencies, effective dates, payment dates, fixed and floating rates, day count conventions, and customer details. 2. It is important to carefully transfer deal ticket data to confirmation terms to avoid discrepancies regarding things like day count conventions, business day adjustments, compounding methods and optional features. 3. Incorrect trade capture can lead to problems like wrong valuations, payments, confirmations and adjustments as well as increased costs and reduced customer satisfaction. Careful data entry and cross-checking is important.

Uploaded by

swinki3
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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TRADECAPTURE

Mark Bramante
Vice President and Legal Counsel
Fuji Capital Markets Corporation
TYPES OF 'DATA
ECONOMIC DATA
O Notional / Currency Amount
O Initial / Final Exchange
*d

w
O Trade Date / -Effe~ ti
b e Date/ Tsqin*

O Fixed / Floating ate Payers


4
Date

O Fixed Rate or Amount 1 Floating Rate Source


O Spread, if any (plus or minus)
O Payment / Rate Reset Frequency
O Additional Payments / Fees
+ Business Days / Business Day Convention -9 -6

-+
O Fixed / Floating Day Count Fraction
CUSTOMER DATA
-3 Name, Branch Location
-3 Payment Instructions --&T/
--m m *
c3 Master Agreement Date p e
-3 Calculation Agent
-3 Contact Details
+ Client Preferences - & &.A&+-, S& + pq
CREDIT DATA
.
:; **-,
.,..:if . ..,
: - i

, f;$$; , g
' 4 ~ " .' ..

SOURCES OF DATA , ' : ,


, . !;,,,</,;:
;
,.:_
,/.>;i.f;:,;l
.. . !I
, ,3
. t,',.I_. ,, ..I.

+STATIC DATA' h.&&v

+DEAL TICKET
STATIC DATA , ., ,,

+Legal Customer Name


+Customer Address
+Customer Fax/Telex/Swift #
+Customer Settlement Instructions-
+ISDA Master Signed Date
+Collateral
DEAL TICKET
I
1nhmc TImiMm
D D M M Y Y m-F+
m-~+
What is the
ppq-xq t?
cI.WWIk) \bdelaxmk KN

*
Lnm UNDIN Fodl Oll44181Y566n

-
-D D M M Y Y D D M M Y Y

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Mid Miod

1 .""~nm I
QWXPA1SCN
Is this the correct
have a float
R
m
pm i ivm m q w m
1-M-d
M pmiEiq rate definition?
m
*I++=,
I m l m
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additional fees
TRANSFERRING DEAL TICKET DATA I
,
I
l j
4

TO CONFIRMATION TERMS

+Look out for:


+No Adjustment to period end date
+Float Rate Option Definitions
+Interpolated Periods
+Amortising Schedules
0301360 Vs 3OEl360
+Act1365 Vs Act1365 Fixed
Gbp 100,000,000 @ 10.00%
Period 17 Feb 04 - 17 Feb 05 (366 Days)
+ A 4 3 6 5 (Act/Act)
O (100m x 10% x 3 191366) = 8,715,846.99
O (100m x 10% x 471365) = 1,287,671.24
O Total =10,003,518.23
+ A d 3 6 5 (Fixed)
O (100m x 10% x 3661365) =10,027,397.26
O Difference =
; 23,879.03
TRANSFERRING DEAL TICKET DATA . i I

TO CONFIRMATION TERMS

+Look out for :


O Rates - Weighted Vs Unweighted
O Modified Following Vs Following Business day
convention
O Compounding or Averaging
O Pay 1 Receive
+Mutual Puts
TRANSFERRING DEAL TICKET DATA
TO CONFIRMATION TERMS

Mutual Put Details swabtion Details


+Optional Termination &AAJ
O EuropeanIAmerican /[&~WQ
Right O Dates-w'w - w
O Termination Payment +Holidays - &A@
Amount O Reference Banks
O Dealer Quotation
+Cash Vs Physical
O Market Makers Settlement
C &;h
ISSUING CONFIRMATIONS %

+Automated Confirmations -@& {w


O Telex, Fax, Swift
+Manual Confirmations
O Mail, Fax
+Time Frame
024 hrs
+Identifying Discrepancies Early
-I

. b

EFFECTS OF INCORRECT TRADE CAPTURE

+Incorrect Valuations and Positions


+Incorrect Credit Reporting
+Incorrect Rate Fixings and Payments
+Incorrect Confirmations
+Staff time spent on corrections
+Adjustments (+I-)
+Customer Satisfaction

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