FpML Discussion

General FpML Discussion Proposals & Extensions partyTradeInformation/isAccountingHedge

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    Hi. I’m looking for some guidance on how to populate some of the new 5.3 surveillance elements. FpML 5.3 contains : ../partyTradeInformation/isAccountingHedge and also : ../partyTradeInformation/EndUserExceptionDeclaration If isAccountingHedge is set to True then are we expecting that the EndUserExceptionDeclaration should also be populated? In which case, is there a reason why these two elements have not been grouped into a model? Or does isAccountingHedge refer to the Commodity Position Rule which has an exemption in the open position limit for swaps where the client is a bona fide hedger? Or something else? Any help anyonecan offer would be greatly appreciated. Thanks, Andy.


    Hi Andy, PartyTradeInformation/isAccountingHedge pre-dates the surveillance elements added in FpML-5-3, having been added in 5-0. There is no necessary connection between [i]isAccountingHedge[/i] and [i]endUserExceptionDeclaration[/i], and no requirement to produce [i]isAccountingHedge[/i] e.g. for the DTCC GTR (I am not aware of any public implementation of FpML using [i]isAccountingHedge[/i]). Hope that helps. Best regards, Harry

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