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

2. March, 2011 - SLIDE 2 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Table of Content  The Overall Approach p. 3  The Schema Extensions to Support the Additional Requirementsp. 4  The Schema Restrictions  Interest rate swapp. 6  Credit default swapp. 14  Total return swapp. 20  FX Forwardp. 31  FX Swapp. 33  FX Optionp. 35  FX Digital Optionp. 41

3. March, 2011 - SLIDE 3 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Overall Approach Prescriptive approach: –Maintain existing FpML element names and structure Transparency representation is a subset of standard confirmation representation –Make minimum data reporting requirements mandatory in the schema –Eliminate all elements associated with non-standard terms Rationale: –Provide strong guidance on what is and is not required as an aid to implementers –Avoid including fields for customized products, which are inappropriate for price transparency –Avoid including fields for detailed settlement calculations, which have little price impact

4. March, 2011 - SLIDE 4 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Schema Extensions Additions to support transparency reporting: –Product extensions: None at this time –Trade header extensions Discussed on next page –Post-trade event support Detailed support exists in schema, may need to evolve as business requirements clarify –Messaging framework extensions Some extensions have been made to fit better with SDR choreography requirements More detailed acknowledgements (including copy of submitted message) Dual correlation IDs (submitter/SDR)

5. March, 2011 - SLIDE 5 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Trade Header Extensions √ √ √ √ Added CFTC- required fields –Cleared indicator –Non-standard terms indicator –Block trade indicator –Execution venue –Counterparty Types (to support inter- dealer indicator, etc.)

6. March, 2011 - SLIDE 6 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap

7. March, 2011 - SLIDE 7 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap The “Swap” Type Parent structure for IRS The proposal is to :  Fix the number of streams to 2  Delete structures that don’t affect pricing  earlyTerminationProvision  Delete terms that are obviously bespoke:  Additional terms  Additional Payment 2   

8. March, 2011 - SLIDE 8 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap - Streams The “InterestRateStream” Type Structure for Each Stream of Swap The proposal is to eliminate:  Parties and accounts  Structures for customized swaps  Stubs  Cashflows  Non-deliverable settlements  Formulas     

9. March, 2011 - SLIDE 9 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap - Dates The “CalculationPeriodDates” Type Structure for Calculation Periods The proposal is to eliminate:  Relative dates  All business date adjustment rules  Stub details  Compounding Frequency(?) The proposal is to retain:  Effective and termination dates     ?    

10. March, 2011 - SLIDE 10 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap - Payment Dates The “PaymentDates” Type Structure for Payments The proposal is to eliminate:  All references  Stub-related dates  Pay in advance/arrears indicator  Payment lag  Date adjustments        

11. March, 2011 - SLIDE 11 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap - Resets The “ResetDates” Type Structure for Resetting The proposal is to eliminate:  All references  Reset in advance/arrears indicator  Stub-related dates  Averaging related fields  Reset lag  Date adjustments Retains : Reset Frequency           

12. March, 2011 - SLIDE 12 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap - Calculation The “CalculationPeriodAmount” Type Structure for Calculating Amounts The proposal is to eliminate:  All schedules  Customized payment amounts  Forecasting and discounting elements  Compounding-related elements        

13. March, 2011 - SLIDE 13 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Interest Rate Swap - Floating Rate The “FloatingRateCalculation” Type Structure for Floating Rates The proposal is to eliminate:  Multipliers  Rate treatment rules  Rounding rules  Averaging related rules  Schedules  Buyers/sellers (for caps/floors)          

14. March, 2011 - SLIDE 14 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Credit Default Swap

15. March, 2011 - SLIDE 15 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Credit Default Swap The “CreditDefaultSwap” Type Parent structure for CDS The proposal is to remove:  Detailed settlement terms  

16. March, 2011 - SLIDE 16 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Credit Default Swap The “GeneralTerms” Type CDS General Terms The proposal is to remove:  Party information  Date Adjustments  Additional terms and additional provisions     

17. March, 2011 - SLIDE 17 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Credit Default Swap The “FeeLeg” Type CDS Fee Leg The proposal is to remove:  Party information  Date Adjustments, adjusted dates  Periodic Payment Frequency  First and last period related terms  Calculation amount (must be same as protection amount)  Day count fraction Open questions:  For standard coupon CDS, should:  1) sender provide upfront payment amount and SDR calculate implied fixed rate? Or  2) sender provide implied fixed rate in “marketFixedRate”?  3) sender provide implied fixed rate in a “priceNotation” field in the public execution notification message root?       ? ?          

18. March, 2011 - SLIDE 18 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Credit Default Swap The “ProtectionTerms” Type CDS ProtectionTerms The proposal is to remove:  Most credit events (should be standardized)  Deliverable obligations  Floating amount events Open Questions:  Should restructuring be retained?                ?

19. March, 2011 - SLIDE 19 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Open Issues Credit Default Swap –For standard coupon CDS, who should be responsible for calculating the implied market fixed rate from the upfront fee? Market Participant? SDR? –Should restructuring be included as a credit event?

20. March, 2011 - SLIDE 20 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Total Return Swap

21. March, 2011 - SLIDE 21 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.    

22. March, 2011 - SLIDE 22 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. 

23. March, 2011 - SLIDE 23 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.     

24. March, 2011 - SLIDE 24 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.  

25. March, 2011 - SLIDE 25 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.   

26. March, 2011 - SLIDE 26 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.   

27. March, 2011 - SLIDE 27 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. 

28. March, 2011 - SLIDE 28 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. 

29. March, 2011 - SLIDE 29 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. 

30. March, 2011 - SLIDE 30 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  

31. March, 2011 - SLIDE 31 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Forward

32. March, 2011 - SLIDE 32 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG 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’. 

33. March, 2011 - SLIDE 33 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Swap

34. March, 2011 - SLIDE 34 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG 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). 

35. March, 2011 - SLIDE 35 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Option

36. March, 2011 - SLIDE 36 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Option American exercise terms:  The proposal is remove the multiple exercise construct, as it is perceive as a very ‘bespoke’ clause.  On the other hand, it is proposed to keep the expiry time and associated cutName (which is the code by which the expiry time is know on the market), as it can have a price impact – even if limited. 

37. March, 2011 - SLIDE 37 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Option Asian & barrier terms:  The proposal is to consider the Asian and barrier specification terms as being part of ‘bespoke’ terms which will then not be part of the price transparency reporting.  As a result, the features element would be removed from this reporting view of the schema. 

38. March, 2011 - SLIDE 38 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Option Exercise procedure: The exercise procedure having no implication on the trade price, the proposal is to remove it from the reporting schema. 

39. March, 2011 - SLIDE 39 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Option 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. 

40. March, 2011 - SLIDE 40 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Option 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’. 

41. March, 2011 - SLIDE 41 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Digital Option

42. March, 2011 - SLIDE 42 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Digital Option Trigger & touch terms:  The proposal remove the elements that are not central to the pricing information:  Information source  Observation start and end dates   

43. March, 2011 - SLIDE 43 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Digital Option Exercise procedure: The exercise procedure having no implication on the trade price, the proposal is to remove it from the reporting schema (similar to the FX Option). 

44. March, 2011 - SLIDE 44 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FX Digital Option Settlement terms: The proposal is to remove the settlementInformation blocks from both the payout and the premium constructs, as those settlement terms are not required for price transparency reporting, nor do they include the settlement schedule, which is specified in other constructs:  The premium settlement date is specified through the paymentDate element.  The payoutStyle element specifies whether the payout is immediate of deferred.  