Imported from previous forum
How should we do this ? I don’t see Equity Swap as an enumerated value of #167 Security Type
Some possibilities
- Infer its a swap if RegulatoryTradeIDGrp is populated (is anyone widely using this for USI ?)
- Maybe Booking Type ? e.g. 1=CFD
It wouldn’t make sense to me to overload 460 Product e.g. 5 = Equity or #1227 ProductComplex. Equity is the right value of 460 then that’s its an Equity Swap would be a sub-type of that.
Equity Swap is not a value in the ISO 10962 list for #461 CFICode either
I do see several possibilities of #829 TrdSubType (29-SW, 18-M and 36) but that field is only present on Allocation and TradeCapture Messages
Hello Georgina,
I am not sure, but one thinks that SecuritySubType(762) may be the solution for your problem.
Further explanation of the problem may help us providing you better support.
Good luck,
Yuval
BookingType tag is used for differentiating Swap order from regular Equity orders. 775=1 is used for indicating Swap order.
BookingType is defined as “Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar).”, i.e. it does not represent an order attribute it is about different approaches for booking.
Georgina, the CFICode(461) is currently being significantly enhanced to cover all asset classes in large detail. This is work in progress but is one option to cover your requirement.
SecurityType(167) contains various types of swaps related to derivatives and allows additional values based on mutual agreement with your counterparties. Phase 4 of the CFTC Parts 43&45 Gap Analysis has been presented to the Global Technical Committee last week. It is about Equity Swaps and suggest the addition of the following values to SecurityType(167):
Additional values under Derivatives:
?BDBSKT = Bond basket
?CFD = Contract for Difference
?CRLTNSWAP = Correlation Swap
?DVDNDSWAP = Dividend Swap
?EQBSKT = Equity Basket
?EQFWD = Equity Forward
?RTRNSWAP = Return Swap
?TRS = Total Return Swap
?VARSWAP = Variance Swap
It is quite likely that these are the new standard values that will be adopted. Would they cover your requirements? The proposal will soon be made available for public comment in the General Q/A discussion forum.
Thanks Guys - additional values of CFICode (461) and Security Type (167) feel right. That should cover our requirement, which is basically just to systematically identify within & outside our walls the equity leg and the swap leg of a an equiaty swap and link them together front to back throughout our systems