1. Portfolio Swap Standardisation Andrew Parry
12 July 2012

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

3. 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
ISDA Product Standardisation, FpML build “Confirmation View” and “Reporting View”

4. Plan, Progress Plan Progress
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

5. 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 ?

6. 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

7. 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

8. Appendix
Proposal technical materials have been branched from FpML TR-1
Documentation
XML Schema Extensions
XML Sample Documents
Available from from FpML Subversion Source Control