Sheet 1: Introduction

	
	

		
Introduction to Using the Minimum Market Standards for Collateralised Portfolio Reconciliation
	
	

		
Edition 1.0 - December 2009
	
	

		


	
	

		
These Minimum Market Standards for Collateralised Portfolio Reconciliation ("MMS") may be subject to change and additions from time to time.  Whilst every care has been taken to consult widely in developing these standards, work continues within the OTC industry in creating new data repositories, central counterparties, and product standardisation.   These new initiatives may have additional data requirements and, where relevant in the context of collateralised portfolio reconciliation, may be taken into account in further editions of these MMS after appropriate consultation.
	
	

		


	
	

		
Minimum Fields For Reconciliation/Matching
	
	

		
Below are the recommended minimum data fields which should be included within your Collateral data file. These minimum fields will ensure that reconciliations/matching can be performed via a vendor or in-house solution. Please refer to the "Required" and "Optional" sections for additional recommended fields to include within your data files which will assist the matching process further.
	
	

		


	
	

		
Your Legal Entity Name
	
	

		
Counterparty Legal Entity Name
	
	

		
Your Trade ID (as per affirmed/confirmed with)    
	
	

		
Counterparty Trade ID (as per affirmed/confirmed with)
	
	

		
Group ID's (if Multi-Leg) 
	
	

		
External Match ID 
	
	

		
Product ID/Name
	
	

		
Trade Date 
	
	

		
End Date
	
	

		
MTM 
	
	

		
MTM Currency 
	
	

		
Current Notional/Quantity
	
	

		
Trade Currency 
	
	

		


	
	

		
Required Fields
	
	

		


	
	

		
These are the data fields recommend to include within your data files and in the format as stated within the matrix.
	
	

		
Note: Where there are shaded boxes within the matrix, this means that data standards are yet to be established for these fields.
	
	

		


	
	

		
Optional Fields
	
	

		


	
	

		
These fields are classed as "optional".   Including them will aid better reconciliation and dispute resolution.
	
	

		


	
	

		
Trade IDs
	
	

		


	
	

		
Trade IDs are the most important fields to include in order to achieve high match rates. They ensure the reconciliation process can be automated, and are also a key component in helping resolve alleged trade breaks. The accuracy of Trade ID information is very important. You should use the Trade ID that you affirm/confirm with either verbally, on paper or electronically. The Counterparty needs to be able to recognise your ID if quoted to them. If you need to include a Trade ID that is unique to your in-house systems or Back Office process, this should be shown as an additional field and not as a replacement for your externally-recognisable Trade ID.    Wherever possible, you should include your Counterparty Trade ID for each trade which should be captured in your in-house systems at the time of affirmation or confirmation (if electronic).
	
	

		


	
	

		
Group IDs & Multi-Legs
	
	

		


	
	

		
For more complex transactions with multi-leg bookings, it is best practice to collapse them into one single leg in your reconciliation file.   Where this is not possible, at a minimum we recommend that you include a common Group ID to identify the single legs as belonging to one transaction.  It is very difficult for your Counterparty or reconciliation vendor to amalgamate individual legs which have no common Group ID.   This results in instances of incorrect or incomplete matching, and adds significantly to the population of unmatched trades in the portfolio which have to be manually matched .
	
	

		


	
	

		
External Match IDs
	
	

		


	
	

		
Where a trade is confirmed electronically and you receive an externally-applied unique matching ID (either to replace or in addition to your own trade ID), this matching ID/reference should be included within your data as a separate data field as shown in the matrix.
	
	

		


	
	

		
Notional
	
	

		
The recommendation is that you include both the original and current notional/quantity within your data. The original notional/quantity will aid the resolution of alleged trade breaks as this is the notional/quantity that was originally affirmed/confirmed at the time of trading. Including the current notional /quantity reports where you are currently positioned for this trade and can help resolve valuation differences. Where it does not make sense to have both notionals/quantities i.e. Cross Currency Swaps, please ensure you, at a minimum, include the current notional/quantity.
	
	

		
	

		


	
	

		
Product ID/Name
	
	

		


	
	

		
There is a range of product labels in use across the market mainly due to in-house system specifications/limitations. The attached matrix shows a list of the key/most common product types that make up 95% of collateralized portfolios. Best practice is to include wherever possible the product names and sub categories as shown in the matrix within your data. Accepting that it is unrealistic for firms to to re-write/re-design their systems around standard product mappings, conversion should be carried out to align internal product descriptions to standard industry mappings before data is exported into your reconciliation file.   At a minimum it is recommend that you communicate any unique product mapping to your Counterpart/reconciliation vendor on the first exchange of portfolios so that they have information from which to interpret your data.
	
	

		
Map your unique product ID/Name to both a "Parent Asset Class" and "Product Sub-Group".
	
	

		


	
	

		
Parent Asset Class
	
	

		


	
	

		
Commodities
	
	

		
Equities
	
	

		
Foreign Exchange
	
	

		
Interest Rate Derivatives
	
	

		
Credit Derivatives
	
	

		


	
	

		
Product Sub-Group
	
	

		


	
	

		
As per matrix
	
	

		


	
	

		
Novations
	
	

		


	
	

		
Tackling issues relating to novations was not part of the Data Standards project. However, treatment of novations is an issue that does affect a small percentage of trades within a portfolio. ISDA's recommendation is that whenever you novate a trade, you re-book a new trade to face the new Counterparty and not simply re-direct the old trade. This will eliminate issues such as trade dates and original notionals differing.
	
	

		


	
	

		
Settlement Fees
	
	

		


	
	

		
Questions relating to upcoming settlements and fees were not part of Data Standards project.  It should be noted that if your Institution collateralises settlements/fees of any description, and you have taken account of these amounts in your MTM/valuation of the trade, the recommendation is to include an "optional" field reflecting the fee portion of your MTM/valuation so that it is transparent to your Counterpart and will aid investigation of trade valuation differences.
	
	

		


	
	

		
Exotic Trades
	
	

		


	
	

		
It proved impossible to set a complete standard for exotic trades and therefore you should include the "Minimum Fields For Reconciliation/Matching" as referred to above.
	
	

		


	
	

		
Field Formats
	
	

		


	
	

		
The data standards set out in this document are intended to be used with any file format, eg Excel, CSV, FpML.   For those seeking guidance on field format, the FpML specification is recommended.
	
	

		


	
	

		
Printing Instructions
	
	

		


	
	

		
This document is not structured to be reviewed in hard copy and is designed to be reviewed electronically.  However, if printing, note that this document is set to print in Letter / A4 size paper and will print 3 pages long and 4 pages wide.