FpML Issues Tracker

1354: Credit Total Return Swap – Enumeration for Contract Specification for US Govt

July 18, 2024

feedback

Major

Always

Credit Derivatives

none

james.cowie@hsbcib.com

None

Summary

Originally raised with ANNA DSB but referred to ISDA/FpML

There is currently not an FpML Contract Specification for NorthAmericanSovereign so it is not possible to source a correct ISIN/UPI/CFI electronically which lead to error in CFTC  regulatory reporting.

Can this be extended?

 

Notes:

  • JasonPolis

    07/18/24 8:48 am

    ISDA products team indicates that this is covered by StandardWesternEuropeanSovereign in https://cdn.fpml.org/coding-scheme/credit-matrix-transaction-type

    based on the matrices as published here:

    Credit Derivatives Physical Settlement Matrix – International Swaps and Derivatives Association (isda.org)

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