Imported from previous forum
PUBLIC COMMENT PERIOD - FIA Post Trade WG - CDS Trade Netting and Credit-Succession Event Extensions
The Global Technical Committee has reviewed and preliminarily approved the FIA PTWG – CDS Trading Netting Proposal. The Dodd-Frank Act’s 17 CFR Part 45 requires reporting for Credit Default Swap (CDS) transactions. Clearing houses that net CDS trades for the same instrument into single trades for keeping positions need to account for the termination of the original cleared trades, in addition to the creation of netted trades, each with a unique USI assigned by the clearing house. While the FIA PTWG Trade Reporting Extensions (EP141) addresses the creation of netted trades, no method exists today to indicate terminated trades. Additionally, Related Transactions and Positions (EP 142), which can be used for netting, needs a method to reference a USI.
This gap analysis proposes enhancements which would provide the ability to identify such events in the TradeCaptureReport message.
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at:
http://www.fixprotocol.org/documents/7066/CDS%20Netting-Credit-Succession%20Events.zip
The public comment period ends on October 30th, 2012.