April 2012 - SLIDE 1Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FpML Representation for Public Price Transparency Reporting

Equity Products

® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.

® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

ISDA

Presented to FpML Equity

Derivatives WG April 2012

April 2012 - SLIDE 2Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Agenda

• FpML Regulatory Reporting Working Group

• Views in FpML

• High-level overview of transparency changes for Equities

• Details of transparency changes

April 2012 - SLIDE 3Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FpML Regulatory Reporting Working Group(RPTWG)

April 2012 - SLIDE 4Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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RPTWG Objectives

• Define FpML Messages to support regulatory reporting requirements– Sending public and non-public information to

SDRs– As desired, publishing info from SDRs

• Initial focus on US (Dodd-Frank), but messages should be designed to work for all regulators worldwide

April 2012 - SLIDE 5Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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RPTWG Status

• Has defined reporting processes and cross-product surveillance fields

• Defined 2 views for reporting to SDRs– Transparency: Real time public reporting (Part

43)– Recordkeeping: Primary Economic Terms, etc.

(Part 45)• Refining views for use by SDR offerings• Working on related activities

– E.g., Product type taxonomy coding scheme, USI representation

April 2012 - SLIDE 6Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Views in FpML

-Views are intended to provide multiple product representations, from very loose to very tight.

-Confirmation view contains many details, precise description

-Reporting Views require addition of some elements (extensions), ability to leave out many.

April 2012 - SLIDE 7Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Comparing Views

<swapStream>

<calculationPeriodDates>

<effectiveDate>

<unadjustedDate>2011-02-08</unadjustedDate>

<dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters>

<businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter></businessCenters>

</dateAdjustments>

<effectiveDate>

…

Real-time reporting (date only)

Record-keeping (date + adjustments)

April 2012 - SLIDE 8Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Transparency View

• Public “real-time” reporting is supported in the “transparency” view– publicExecutionReport message

• Includes “stripped down” product representation (no proprietary info, omit details that don’t strongly affect price)

• Covers standard OTC products, plus “generic” product for less common products

• RPTWG developed initial models based on input from a few dealers

• Equity product working group should validate and refine the model

April 2012 - SLIDE 9Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Return Swap

April 2012 - SLIDE 10Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Return Leg

Amount to which the payment date refers (i.e. Equity Amount as defined in the ISDA Equity Definitions):

The proposal is to remove:The terms that are obviously bespoke:

The formula and encoded description structures for specifying the amount to which the payment date relates.

The structures that allow to support bespoke dividend terms.

The non-parametric representation of calculation dates.

April 2012 - SLIDE 11Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Return Leg

Type of return:The proposal is to limit the return terms to the specification of the type of return (i.e. price, vs. dividend, vs. total) and remove the dividendConditions structure, which is meant to specify the conditions governing the payment of the dividends to the receiver of the equity return. This is indeed understood as corresponding to ‘bespoke’ terms.

April 2012 - SLIDE 12Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Return Leg

Amount to which the payment date refers (i.e. Equity Amount as defined in the ISDA Equity Definitions):

The proposal is to remove:The terms that are obviously bespoke:

The formula and encoded description structures for specifying the amount to which the payment date relates.

The structures that allow to support bespoke dividend terms.

The non-parametric representation of calculation dates.

April 2012 - SLIDE 13Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Return Leg

FX terms:

The proposal is to remove the ability to specify quanto or composite FX terms, as those as understood as corresponding to ‘bespoke’ terms.

Averaging Dates:

The proposal is to remove the ability to specify averaging dates, which are understood as corresponding to ‘bespoke’ terms.

April 2012 - SLIDE 14Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Interest Leg

Amount to which the interest payment date refers:

Similar to the return leg, the proposal is to remove:The formula and encoded description structures for specifying the amount to which the payment date relates, as those are understood as being obviously bespoke.The non-parametric representation of calculation dates.

April 2012 - SLIDE 15Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Interest Leg

Reset & payment dates:

The proposal is to remove the ability to specific a specific schedule of fixing and payment dates, and solely rely upon a parametric representation of those dates.

April 2012 - SLIDE 16Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return SwapThe Interest Leg

Stub:

The proposal is to remove the ability to specify a stub period, as it is understood as corresponding to ‘bespoke’ terms.

April 2012 - SLIDE 17Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return Swap

Legal annex terms relating to the equity underlyer provision:

The proposal is to remove the EquityUnderlyerProvisions.model, an optional component that is used to specify when specific legal annex terms are applicable, which is understood as corresponding to ‘bespoke’ terms.

April 2012 - SLIDE 18Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return Swap

Extraordinary events:

The proposal is to remove the extraordinaryEvent, used to specify events affecting the issuer of shares (when applicable) that may require the terms of the transaction to be adjusted. This is understood as corresponding to ‘bespoke’ terms.

April 2012 - SLIDE 19Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Total Return Swap

Early termination clause:

The proposal is to remove the structure that specify the following terms, which are understood as being ‘bespoke’:Whether the break funding recovery will applyThe fee that might be applied to the break clause

April 2012 - SLIDE 20Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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Details of Transparency Changes

• RPTWG has developed a detailed report listing– Elements that have been omitted in

Transparency view– Elements that are required in Transparency

view

• (See detailed report)

April 2012 - SLIDE 21Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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• Equity WG needs to validate the transparency view model

• Finalized changes should be incorporated by the TR

Conclusion