EP044 – FX Settlement Obligation Gap Analysis

Introduces a Settlement Obligation Report through which a central counterparty, institution or bilateral counterparty can report preliminary or final currency-payment obligations. Obligations may be reported gross for individual trades or aggregated and netted by currency pair and value date. The message carries deliver and receive amounts, settlement cycle, parties, settlement accounts and intermediary-bank information. The proposal also extends Trade Capture Report and its acknowledgement with side currencies, settlement currencies and settlement-account details.