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Buy-side data standards working group 15 April 2004 Prepared by Stephanie Davis Last updated 9 February 2014.

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Presentation on theme: "Buy-side data standards working group 15 April 2004 Prepared by Stephanie Davis Last updated 9 February 2014."— Presentation transcript:

1 Buy-side data standards working group 15 April 2004 Prepared by Stephanie Davis Last updated 9 February 2014

2 2 Objective Streamline counterparty communications using accepted industry method for data attributes and format, transmission and security. Reduce support costs through efficient processing and consistent requirements. Minimize change and significantly reduce lead-time when new products and/or brokers are introduced. Provide relief for the seller-side by limiting the number of different requirements from the buyer-side. Determine scope of working group including products covered, target counterparties and technical specifics.

3 3 Products – full listing OTC/Structured – interest rate swaps, credit default swaps, options, forwards, total return swaps Prime Broker – equities, converts, bonds Exchange-traded futures and options Securities lending

4 4 Achieving our goal How do we accomplish this???

5 5 Reporting Requirements - examples Cash balance Security positions Cash activity Collateral margin Fails Margin interest Corporate actions End of day positions Intraday activity End of day cash Assignment notice Option expiration activity Prime Broker Futures and Options

6 6 Reporting Requirements – examples contd End of day position Daily activity Collateral Statement Collateral Requirements Accrued Financing Accrued Dividends Maturity Unwind Advice Reset Advice End of day position Daily activity Collateral Statement Collateral Requirements Conversion activity OTC/Structured - CDSOTC/Structured - FX Options

7 7 Data Requirements – examples - OTC/Structured Collateral Counterparty ID Counterparty reference number Effective date First fixed rate payer payment date Fixed rate payer (buyer) Floating rate payer (seller) Floating rate payer calculation amount Market Value Master confirmation agreement date Master confirmation annex date My reference number Payment frequency Reference entity Reference obligation number Restructuring credit event Scheduled termination date Spread Trade confirmation date Trade date CDSIRS Counterparty ID Counterparty reference number Currency Effective date Fixed rate payer (buyer) Floating rate index Floating rate payer (seller) Floating rate payer calculation amount Interest basis Maturity Date Market value My reference number Notional Payment Frequency Rate Spread Trade date

8 8 Data transmission and security Alternate messaging and file formats include SWIFT, FIX, FPmL, comma separated values, consortium driven XML. Standard encryption using PGP. Transmit through scheduled FTP transfers to eliminate and parsing dependency. Include notify and acknowledge statuses on all file transmissions.

9 9 Timeline and next steps Agree on: mission statement current participants in working group product prioritization product attributes file format and transmission method Goal: Define sell-side counterparties and identify target counterparties. Get a statement to them by June 15. Confirm schedule of working meetings every other week. Proposed next meeting: April 29 at am ET.

10 10 Contact Information Stephanie Davis Project Manager Citadel Investment Group, LLC 131 South Dearborn Street Chicago, IL ph: fax: Ann Marie Davis Managing Director, Global Operations ph: fax: Pete Myran Managing Director, Back Office Technology ph: fax:


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