1. ISDA Symbology 2015 end of year update Public

2. 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.

3. 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.

4. 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)

5. 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
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

6. 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.

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

8. 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.

9. 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