April 12, 2011 - SLIDE 1Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FpML Representation for Public Price Transparency Reporting

FX 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 FX WG

April 2012

April 12, 2011 - 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 FX

• Details of transparency changes

April 12, 2011 - SLIDE 3Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FpML Regulatory Reporting Working Group(RPTWG)

April 12, 2011 - 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 12, 2011 - 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 12, 2011 - 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 12, 2011 - 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 12, 2011 - 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

• FX product working group should validate and refine the model

April 12, 2011 - SLIDE 9Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FX Forward

April 12, 2011 - SLIDE 10Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FX Forward

Non-deliverable settlement:

The proposal is to remove the specification of such clause as part of the real-time price reporting, the rational being that it is understood as being ‘bespoke’.

April 12, 2011 - SLIDE 11Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FX Swap

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

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FX Swap

Non-deliverable settlement:Similar to the FX Forward, the proposal is to remove the specification of such clause as part of the real-time price reporting, the rational being that it is understood as being ‘bespoke’.The schema adjustment would apply to both legs of the swap (nearLeg as well as farLeg).

April 12, 2011 - SLIDE 13Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FX Options

April 12, 2011 - SLIDE 14Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FX Options

Settlement terms:

With the payment date specified as part of the paymentDate construct, the proposal is to remove the settlementInformation block, as those further settlement terms are not required for price transparency reporting.

April 12, 2011 - SLIDE 15Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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FX Options

Non-deliverable settlement:

Similar to the FX Options, the proposal is to remove the specification of such clause as part of the real-time price reporting, the rational being that it is understood as being ‘bespoke’.

April 12, 2011 - SLIDE 16Copyright © 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 12, 2011 - SLIDE 17Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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• FX WG needs to validate the transparency view model

• Finalized changes should be incorporated by the TR

Conclusion