Portfolio Swap Standardisation

Portfolio Swap Standardisation
Andrew Parry
12 July 2012
Scope, Proposal
Plan, Progress
Open Issues
Next Steps, AOB
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
• 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
• 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