FpML Issues Tracker

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

July 18, 2024

closed

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)

    See the first page of this under ‘How are CDS documented?’
    https://www.isda.org/a/kYLgE/cds-on-us-sovereign-debt-faq-050323.pdf

  • mgratacos

    07/22/24 4:52 am

    As indicated by Jason response, these are covered under StandardWesternEuropeanSovereign.

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