Portfolio Swap Standardisation

Portfolio Swap Standardisation Andrew Parry

12 July 2012

Agenda • • • • • •

2

Scope, Proposal Plan, Progress Questions Open Issues Next Steps, AOB Appendix

Scope, Proposal • Scope: Reporting Portfolio Swaps • ISDA Product Standardisation is the “Confirmation View” • “Reporting View” is generated from a subset of the Confirmation • Where we do not have “Confirmation View” as a base for generation, the Derivatives Industry have been using a Generic Product for Reporting • Portfolio Swaps market has not historically been standardised, diverse perspectives on the Product Definition and Market Practice

• Proposal: BAML Swap Master Confirmation ( SMC ) “Straw Man” • Implement BAML SMC “Confirmation View” as ISDA/FpML Proposal • Generate “Reporting View” tied out to required Regulatory Reporting fields • Agree with DTCC and other Dealers • Possible basis for ISDA Product Standardisation

Plan, Progress • Plan • Use existing ISDA/FpML components to support BAML SMC Confirmation • Amend ISDA/FpML build system to produce a Reporting View tied out to required Regulatory Reporting fields in Equities GTR

• Progress • Confirmation data structure • Confirmation example tied out to Softcopy

• Work in Progress • Annotate Confirmation data structure as basis for Reporting View • Amend ISDA/FpML build system to generate Reporting View • Create Reporting View example

Questions • Arising from preparing the BAML SMC Confirmation View • Confirmation Template has section “Amendment” not seen in example, what is the meaning of this section ? Is it required ? • What is the direction of the “Reserve Transaction” ? • How similar is BAML Documentation to other Dealers ? • DTCC GTR Reporting Fields include fields such as “Foreign Ownership Event Indicator” which are not included in the Confirmation View. How do we propose to populate these fields in the Reporting View ?

Open Issues • Open Issus focus on Product Definition, Market Practice, and Regulatory Requirements rather than technology • We have the technology components required to support Portfolio Swaps both within ISDA/FpML messaging and the DTCC • Issue summary • Price formation, what price on an event ? • PSA wrapper, position management

• Definition of execution time • USI granularity, multi USI indicator • Negative Affirm/Confirm indicator

Next Steps, AOB • Validate Confirmation example vs. Softcopy with BAML Port Swaps Technology, Operations, and DTCC • Generate and Validate Reporting example • Agree with DTCC and other Dealers

Appendix • Proposal technical materials have been branched from FpML-5-3-5-TR-1 • Documentation • XML Schema Extensions • XML Sample Documents

• Available from from FpML Subversion Source Control • https://dedicated.fpml.org:443/svn/fpml/branches/FpML-5-3-5-TR-1-EQD-2012