Standards Moscow 2013 Derivatives Usage and Reports
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Transcript of Standards Moscow 2013 Derivatives Usage and Reports
MT Standards Derivatives:
Usage and Reports
Moscow, 11 April 2013
Francoise Massin, Business Registration Authority, SWIFT Standards
Treasury
Currency
Exchange
Currency
Loans
FX Deals
MT 300
MT 303 – MT 304
MT 307
FX Order
MT 380 - 381
Loans and Deposits
MT 320 - MT 321 -
MT 330 - MT 350
FX Options
MT 305 - MT 306
IRS
MT 340 - MT 341 -
MT 360 - MT 361 -
MT 362 - MT 364 -
MT 365
Category 3 - Treasury
Forward
Sequences of MT 300
A - General information
B – Transaction details
C – Optional information
D – Split settlement details
E – Reporting information
Trade Date
Value Date
Exchange Rate
Amount Bought
Currency and Amount
Settlement Instructions
Amount Sold
Currency and Amount
Settlement Instructions
Value Date – Trade Date > 2 Days
Swap Flows
MT 300: Spot
Trade Date
Value Date1
Exchange Rate
Amount Bought
Currency1 and Amount
Settlement Instructions
Amount Sold
Currency2 and Amount
Settlement Instructions
time
Value Date 2 Value Date 1 Trade Date
Swap Flows
MT 300: Spot
MT 300: Forward
Trade Date
Value Date1
Exchange Rate
Amount Bought
Currency1 and Amount
Settlement Instructions
Amount Sold
Currency2 and Amount
Settlement Instructions
Trade Date
Value Date2
Exchange Rate
Amount Bought
Currency2 and Amount
Settlement Instructions
Amount Sold
Currency1 and Amount
Settlement Instructions
time
Value Date 2 Value Date 1 Trade Date
NDF
Sequences of MT 300
A - General information
B – Transaction details
C – Optional information
D – Split settlement details
E – Reporting information
References
Operation Characteristics
Parties
Master Agreement Information
Terms and Conditions
Valuation Date
Settlement Currency
Settlement Rate Source
Fixing Reference (Closing)
NDF Flows
MT 300: Opening
Trade Date
Value Date
Exchange Rate (Forward)
Amount Bought
Currency1 and Amount
Settlement Instructions
Amount Sold
Currency2 and Amount
Settlement Instructions
time
Value Date Trade Date
Reference1
Operation Characteristics
Parties
Master Agreement Information
Terms and Conditions
Valuation Date
Settlement Currency
Settlement Rate Source
Valuation Date
NDF Flows
MT 300: Opening
MT 300: Closing
time
Value Date Trade Date 1 Valuation Date
Trade Date (Valuation Date)
Value Date
Exchange Rate (Spot)
Amount Bought
Currency2 and Amount
Settlement Instructions
Amount Sold
Currency1 and Amount
Settlement Instructions
Reference2
Operation Characteristics
Parties
Master Agreement Information
Terms and Conditions
Fixing Reference1
Options
Barrier Knock-In
Knock-Out
Double Option American
Trigger
Vanilla
Bermudan
Knock-Out PayOut- Trigger
Single
Single
European
Double
Double
Knock-In Single
PayOut+ Option
Double
Asian
Options
Vanilla
European
American
Barrier
Knock-Out Option PayOut- Trigger
Single Single
American
European
Single
European
Double Double
Double
Knock-In
Single
PayOut+ Option Trigger
Double
Bermudan
Asian
Options
Barrier
Knock-Out Option PayOut-
(No Touch) Trigger
Single Single
American
European
Single
European
Double Double
Double
Knock-In
Single
PayOut+
(Digital and Binary)
Option Trigger
Double
Optional condition to
activate or deactivate
an option
Activate
Deactivate
Right to buy/sell a
currency at a fixed price
A fixed amount is
paid if a trigger is
crossed
A fixed amount is
paid unless a
trigger is crossed
At fixed
dates
At
expiration
All the
time
Vanilla At expiration for a
determination period
European
American
Bermudan
(MT 306)
Asian
(MT 306)
Option Flows
Option Confirmation
Party A Party B
Barrier Hit Confirmation (if applicable)
Option Exercise
MT 300: EXOP
Vanilla
MT 306: Trigger Hit
Touch Option
Payment
Forward
Sequences of MT 600
A – Details of the Contract
B – Commodity Bought
C – Commodity Sold
D – Reporting information
Quantity
Parties
Value Date
Cash Amount
Value Date – Date Contract Agreed > 2 Days
References
Scope of Operation
Parties
Date Contract Agreed
Commodity + Price
Master Agreement
Option
Sequences of MT 601
A – Option
B – Reporting Information
Right to Buy or Sell a quantity
of a Commodity at a price
fixed in advance against a
premium.
FX Derivatives - Reporting
• Collaboration with different repositories
• Mapping with their requirements
• Mapping with other standards
• Updates of the message formats for November 2013
25
NDF Example Description
MT 300: Opening
On May 10, the rate USD/INR is of 0.0212,
therefore the opposite amount in USD is
10,600,000. Bank A must settle the net
amount of 1,300,000.USD to Bank B.
time
Value Date Trade Date On April 11, Bank A and Bank B agree on
a NDF Trade to be reported to CFTC.
Bank A sells 500,000,000 INR versus
9,300,000 USD
Value Date: May 13
Fixing Date: May 10
Rate: 0.0186
Source: Reuters page RBIB at 15:00.
Valuation Date
BANAUS33 BANBGB22
MT 300: Closing
NDF Example (I)
Tag Name Content
:15A: General Information
:20: Sender's Reference 123
:22A: Type of Operation NEWT
:22C: Common Reference BANA330186BANB22
:82A: Party A BANAUS33
:87A: Party B BANBGB22
:77D: Terms and Conditions
/VALD/ 20130510
/SETC/ USD
/SRCE/ RBIB USD/INR 1500
NDF Example (II)
Tag Name Content
:15B: Transaction Details
:30T: Trade Date 20130411
:30V: Value Date 20130513
:36: Exchange Rate 0.0186
B1 Amount Bought
:32B: Currency and Amount USD9300000,
:57J: Receiving Agent /NETS/
B2 Amount Sold
:33B: Currency and Amount INR500000000,
:57J: Receiving Agent /NETS/
NDF Example (III)
Tag Name Content
:15E: Reporting Information
E1 Reporting Parties
:22L: Reporting Jurisdiction CFTC
:91A: Reporting Party BANAUS33
E1a Unique Transaction Identifier
:22M: UTI Namespace BANK A
:22N: Transaction Identifier ABC123
:17P: Collateralisation Indicator Y
NDF Closing (I)
Tag Name Content
:15A: General Information
:20: Sender's Reference 456
:22A: Type of Operation NEWT
:22C: Common Reference BANA330212BANB22
:82A: Party A BANAUS33
:87A: Party B BANBGB22
:77D: Terms and Conditions
/FIX/ 123
NDF Closing (II)
Tag Name Content
:15B: Transaction Details
:30T: Trade Date 20130510
:30V: Value Date 20130513
:36: Exchange Rate 0.0212
B1 Amount Bought
:32B: Currency and Amount INR500000000,
:57J: Receiving Agent /NETS/
B2 Amount Sold
:33B: Currency and Amount USD10600000,
:57J: Receiving Agent /NETS/
Option Example Description
MT 305: Opening
On May 10, the rate EUR/CHF is of 1.145,
therefore Bank A exercises the option.
time
Value Date Trade Date
On April 11, Bank A and Bank B agree on
a Vanilla European Option Trade to be
reported to CFTC.
Bank A buys the right to sell 1,000,000
EUR versus sells 1,253,000 CHF
Value Date: May 13
Expiry Date May 10
Valuation Date
BANAUS33 BANBGB22
MT 300: Exercise
Option
Example
Tag Name Content
:15A: General Information
:20: Transaction Reference Number 789
:21: Related Reference NEW
:22C: Common Reference NEW/BANA331253BANB22
:23: Further Identification BUY/PUT/E/EUR
:82A: Party A BANAUS33
:87A: Party B BANBGB22
:30: Date Contract Agreed 130411
:31G: Expiry Details 130510/1000/USNY
:31E: Final Settlement Date 130513
:26F: Settlement Type PRINCIPAL
:32B: Underlying Currency and Amount EUR1000000,
:36: Strike Price 1.253
:33B: Counter Currency and Amount CHF1253000,
:37K: Premium Price PCT2.
:34P: Premium Payment EUR2000,
:57A: Account With Institution BANADEFF
Option
Exercise
Tag Name Content
:15A: General Information
:20: Sender's Reference DEF
:22A: Type of Operation EXOP
:22C: Common Reference BANA331253BANB22
:82A: Party A BANAUS33
:87A: Party B BANBGB22
:15B: Transaction Details
:30T: Trade Date 20130510
:30V: Value Date 20130513
:36: Exchange Rate 1.253
B1 Amount Bought
:32B: Currency and Amount CHF1253000,
:57A: Receiving Agent BANACHZH
B2 Amount Sold
:33B: Currency and Amount EUR1000000,
:57J: Receiving Agent BANBLULL