ISDA Symbology 2015 end of year update Public

Symbology Project Goal: Create a standard symbology for derivative products for pre-trade, trading and post trade workflows, to be used by the entire industry, as an open-source standard. i.e. a methodology for the identification of derivative products. How does product symbology differ from unique product identifiers (UPIs)? The work on product symbology is closely aligned with the CPMI-IOSCO work on UPIs, and the product symbols should be consistent with the known UPI requirements. The primary focus for a UPI is the aggregation of data that is reported to trade repositories. In addition to reporting and other regulatory requirements, the Symbology group is looking to satisfy certain business requirements, and is considering the operational and infrastructure implications of the introduction of product symbols in various processes.

Symbology Project Why: Regulatory drivers (MIFID II/MIFIR, SEC, CPMI-IOSCO,...) and general business drivers (reduce complexity, simplify aggregation of liquidity,...) Who: Project under ISDA governance with buy side, sell side and market infrastructure representation. - open process - broader consultations envisioned Objectives: Define the required level of granularity for the different products/asset classes, taking into account regulatory and business requirements; Evaluate approaches to the format of actual identifiers ( length, intelligence, ...) and help build industry consensus; Facilitate infrastructure build-out according to agreed principles.

Symbology 2015: Achievements Implementation report - principles and recommendations for a derivatives product identifier (key principles document for working groups to follow in design) MIFIDII/MIFIR regulatory report (analysis of the MiFID II/MiFIR regulations with focus on identifier requirements) Report on data analysis carried out using US SDR data (Interest Rate derivative transaction data from Swap Data Repositories (SDRs) was analyzed to aid definition of the hierarchies proposed. Analysis looked at: 1) number of identifiers that would be created for a given level of granularity 2) ratio of those (potential) identifiers versus the actual reported trades) Symbology hierarchy approach provisionally defined for primary products in credit, equity and rates by each asset class working group (slide 5 & 6) External outreach to regulators and trade associations Analysis of ISIN standard, meetings with ISO/ANNA, with agreement to develop joint working group with ISO (Annex 1)

Symbology 2015: Current draft hierarchy being discussed in project Credit Rates Equity Level 1 : Liquidity Determination Asset Class Base Product Single Name Index IR Swap Swap, Portfolio Swap Sub-Product Corp, Sov… iTraxx, CDX Fixed Float Price, Div, Vol, Var Return Transaction Type SNAC, STEC... iTraxx Europe ZC, OIS, Plain Vanilla Single Name, Index, Basket Ref Entity / Index RED6 or LEI RED6 Notional Ccy ISO Code Underlying ID ISIN, Index ID, “Basket” Maturity Date 2023-10-19 Level 2 : Reporting Series/Version* - S23, V1 Float Leg Index LIBOR, EURIBOR etc. ISO Ccy Seniority Senior, Sub. Float Leg Term 3M, 6M etc. Funding Leg Type Fixed, Float, Other, NA Fixed Leg Term Maturity Year* 2023 Delivery Type PHYS, CASH, OPTL Level 3 : Position Coupon 100, 500 etc. Market Convention Y, N Return Type Price, Total, Restructuring Full Attribute List See Appendix Breakable Ind No, OET, Other DRAFT for discussion * To be confirmed

Symbology 2015: Main analysis questions currently being considered Resolution Maturity date treatment at all levels of the hierarchy still Walk through the use-cases with the different models and examine their implications. Then agree on an approach. Is an identifier that exactly matches the liquidity determination granularity as stated by MiFID II required? Consensus required. There is currently a many-to-many relationship between the ISDA Taxonomy and the MiFID II Sub-Asset Class. Full analysis required followed by decision on best approach. Baskets proposed to be marked ‘BASKET’ rather than identifying each underlying - data collection & MiFID RTS 2 post-trade transparency rules imply that the constituents of a custom basket must be identified. Discussion on the implication of changing identifiers followed by decision on approach. RED code licensing and usage for Credit identifier. Markit to elaborate on their initial proposal and a full discussion at the Governance Committee.

ISO/ANNA considerations and next steps Annex 1: ISO/ANNA considerations and next steps

Mandatory ISINs for MiFIDII/MiFIR & Working with ANNA/ISO Final draft MiFIDII/MiFIR RTS mandates ISIN for instrument identification. In drafting this in RTS ESMA has underestimated (i) current coverage of ISINs for derivatives, and (ii) several practical issues associated with ISIN issuance. The ISDA Symbology initiative has identified several considerations that need to be addressed to overcome these issues, and is engaging ISO/ANNA to evaluate how these can be implemented in time for compliance with MiFIDII/ MiFIR. The ISDA Symbology initiative is proposing a 3-level hierarchy, tested against CFTC public price reporting data: MiFID liquidity threshold Regulatory reporting Post-trade economic equivalence Hierarchy of symbols How many symbols? No re-use of symbols Open standard Requirements from MiFID, other regulators and business use cases imply a need to support a hierarchy of product symbols for OTC derivatives. The number of symbols to be generated should be appropriate to the associated number of transactions and fit within the identifier format (i.e. format should allow sufficient number of identifiers) The reuse of symbols must not occur because of long maturities of some derivatives and lengthy record keeping obligations. Are there any restrictions that might inhibit widespread distribution, access or usage of the symbols and associated metadata? Flexibility for innovation It is critical that the standard and its implementation be sufficiently flexible to allow timely extension to future derivative products. On-the-fly creation MiFID requirements imply the creation of identifiers as part of a real-time workflow. Considerations Timing Current MiFID/MIFIR timelines . Solution selection A successful implementation within the required MiFID timelines may require evaluating best of breed solutions across the global landscape. Next Steps Develop workflow use cases with ISO / ANNA & evaluate against existing solutions Evaluate with ISO/ANNA how this can be incorporated into the standard. Assess with ISO/ANNA any impediments and evaluate appropriate approach. Evaluate with ISO/ANNA what is achievable within the current framework and infrastructure. For what is not achievable, evaluate the potential solutions that might exist outside of that framework.

ANNA/ISO Discussion on working with Symbology initiative ISO agreed to form a working group with representatives from ISO, ANNA and the Symbology initiative. 30 day call for expert to go out, ISDA has been asked to provide he convenor for the working group ANNA general meeting feedback: Covered the various scenarios that exist to meet the industry requirements The Board advised the membership that 'expertise' participation in future industry WG discussions on OTC Derivatives would be required in the short to medium term - as the more detailed 'solution' focused discussions progress. The principle of ANNA working with the industry to derive a solution that works for the whole global market and for the ANNA membership that will be responsible for ISIN assignment was tabled and endorsed. There was a very positive attitude amongst the members that ANNA can step up and meet the challenge List of experts submitted to ISO to participate in joint WG with ISO