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April 2012 - SLIDE 1 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FpML Representation for Public Price Transparency.

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Presentation on theme: "April 2012 - SLIDE 1 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FpML Representation for Public Price Transparency."— Presentation transcript:

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

2 April SLIDE 2 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Agenda FpML Regulatory Reporting Working Group Views in FpML High-level overview of transparency changes for Equities Details of transparency changes

3 April SLIDE 3 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FpML Regulatory Reporting Working Group (RPTWG)

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

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

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

7 April SLIDE 7 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Comparing Views MODFOLLOWING GBLO USNY … Real-time reporting (date only) Record-keeping (date + adjustments)

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

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

10 April SLIDE 10 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The 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.

11 April SLIDE 11 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The 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.

12 April SLIDE 12 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The 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.

13 April SLIDE 13 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The 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.

14 April SLIDE 14 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The 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.

15 April SLIDE 15 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The 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.

16 April SLIDE 16 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap The Interest Leg Stub: The proposal is to remove the ability to specify a stub period, as it is understood as corresponding to bespoke terms.

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

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

19 April SLIDE 19 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG 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 apply The fee that might be applied to the break clause

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

21 April SLIDE 21 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Equity WG needs to validate the transparency view model Finalized changes should be incorporated by the TR Conclusion


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