Comment Text:
COMMODITY FUTURES TRADING COMMISSION—DRAFT REGULATION ON SWAP DATA RECORDKEEPING AND REPORTING REQUIREMENTS: COMMENTS FROM THE IMF’S STATISTICS DEPARTMENT
Our comments (seriatim) are as follows:
Minimum Primary Economic Terms Data -- Credit Swaps and Equity Swaps
• With regard to “The unique product identifier assigned to the swap,” it is essential for analytic purposes that the type of swaps, e.g., credit default, interest or foreign exchange, be identified. Hence, Section 45.4 should spell out swap asset classes and sub-classes, as appropriate.
• With regard to “An indication of the counterparty purchasing protection and of the counterparty selling protection,” it is essential for statistical purposes to include the country of residence. Hence, the notion of “location” on page 106 should refer specifically to the country of residence.
Minimum Data Requirements
The Tables of Required Minimum Primary Economic Terms Data for specific swap classes should also include the following fields:
- Industrial sector
- Master Agreement Type
- Settlement Method
- Exchange Rate/Price Unit
- Notional (US$ Equivalent)
The Minimum Valuation Data table should also include the following fields:
- Collateral on Deposit
- Collateral Type
- Initial Margin Requirement
- Maintenance Margin Requirement
- Types on Collateral on Deposit
- Variation Margin
Contributors: Mr. Robert Heath and Mr. Luca Errico
