ISDA OTC Taxonomies 8 th September 2011

Transcription

1 ISDA OTC Taxonomies 8 th September 2011

2 Table of contents Background ISDA UPI Implementation Plan UPI and Taxonomy Governance Taxonomy Overview Taxonomy Production Review Process Next Steps Publication Appendix Credit Taxonomy Rates Taxonomy 2

3 ISDA UPI Implementation Plan OnJune30 th, 2011ISDAsubmittedaUPIImplementationPlan 1 toregulators. The UPI Implementation Plan consists of two phases. 1. Product Taxonomy and UPI Specification: Creation and delivery of an initial set of product taxonomies and UPI specifications. 2. Industry UPI Infrastructure Implementation- Define the business requirements and detailed functional specifications needed to build the UPI solution infrastructure. Design decisions will need to be assessed to gauge their potential impacts across asset classes. The UPI and taxonomy will support regulatory mandates to increase public transparency and facilitate regulatory reporting. The UPI specifications will detail the approach to UPI to create unique identifiers for the industry. A governance model was created to provide overall ownership for the project, to review the approach, timeline and deliverables. In addition, the governance was set up to insure that solutions were properly vetted by market participants

4 UPI and Taxonomy Governance The UPI Implementation Plan governance leverages the expertise within the industry: The ISDA Data Working Group and FpML Standards Committee have overall ownership of the ISDA UPI implementation. The UPI Steering committee was formed to provide direction and prioritization to industry and product working groups for each asset class. The working groups will hold discussions with a broad range of market participants including, butnotlimitedto,sefs,mtfs,ccpsandsdrs. The UPI Industry WG represents all interested parties that could provide input into the approach and implementation including but not limited to: SEFs/MTFs, CCPs, SDRs, market utilities, sell and buy-side firms. Taxonomies will be vetted in this forum. 4

5 Taxonomy Overview Objective: Produce product hierarchies for each of the asset classes utilizing a consistent approach. Approach: Leverage the standardized product matrices, existing industry taxonomies, industry definitions and FpML schemes, where available, to drive the discussions to develop the taxonomies. Scope: All OTC Derivatives. Asset Class Credit Interest Rates Equities Foreign Exchange Commodities Assetclasstaxonomiesaremadeupofbetween1to5 levels dependentontheassetclass. Taxonomies are constructed for each of the asset classes shown above and include base products, sub-products and transaction types(where applicable). It is envisioned that reporting will accommodate the lowest level of granularity that applies to the respective asset class taxonomy. 5

6 Taxonomy Production ISDA formed taxonomy working groups (WGs) for each asset class to gather participants to produce overall product hierarchies(taxonomies). The Credit taxonomy WG includes 45 industry experts from 15 firms. The Rates taxonomy WG includes 67 industry experts from 18 firms. ISDA held initial taxonomy kick-off workshops and subsequent follow-up meetings for each of asset classes. The taxonomies discussed cover all OTC derivatives. In the workshops, participants were tasked with reviewing existing product matrices, definitions and creating a product taxonomy that represents the different taxonomy levels. Workshops for Credit and Rates were completed in June 2011 with subsequent weekly meetings to achieve taxonomy sign off. 6

7 Review Process The Taxonomy Working Group develops the initial ISDA taxonomies for each of the asset class and initiates the sign-off process amongst the market participants. The UPI Steering Committee is responsible for initial sign-off on each of the asset class taxonomies and for insuring cross asset class consistency where appropriate. The Product Implementation WG and Product Steering Committee for the respective asset classes will provide final sign-off on the taxonomies. Simultaneously, the proposed taxonomies will be vetted by a wider audience of industry participants including market infrastructure. The UPI Industry WG serves as the initial forum for these discussions. Regulator feedback from ongoing discussions. Taxonomy Working Group UPI Steering Committee Product Implementation or Product Steering Committees Industry and Broader Market Vetting Publication and Implementation Regulators Ongoing Discussions Updates will be made after review and acceptance by the applicable product implementation and steering committees along with vetting by other industry representatives. 7

8 Next Steps Complete sign-off and industry vetting process as show in below table. Publication of taxonomies(as shown on next slide). Implementation of the industry agreed taxonomies by the SDRs for reporting. Integration of taxonomies within the FpML framework. Asset Class Credit Rates Equities Commodities FX Next Step - Review with Credit Implementation Group and Credit Steering Committee - Review with a broader group of market participants initially through the UPI Industry WG. -Review with Rates Implementation Group and Rates Steering Committee - Review with a broader group of market participants initially through the UPI Industry WG. - Equities taxonomy working group to provide final sign-off - UPI Steering Committee to review for sign-off - Review with Equities Implementation Group - Review with a broader group of market participants initially through the UPI Industry WG. - Commodities taxonomy working group to provide final sign-off - UPI Steering Committee to review for sign-off - Review with Commodities Implementation Group - Review with a broader group of market participants initially through the UPI Industry WG. - FX taxonomy working group to provide final sign-off - UPI Steering FX to review for sign-off - Review with FX Implementation Group - Review with a broader group of market participants initially through the UPI Industry WG. 8

9 Taxonomy Publication Method of Publication Publication mechanism is critical to allow the taxonomies to evolve and position the taxonomies as the market-agreed standard. The master asset class taxonomies and the rules of operations for review and updates will be published on the ISDA website( ISDA will broadly communicate any changes or update to the taxonomies. ISDA members and non-members will be able to freely access the product taxonomies. Timing of Publication(estimated) CreditandRatesTaxonomies-September30 th,2011. Equities, FX and Commodities Taxonomies- October

10 Appendix Credit and Rates Taxonomies

11 Credit Taxonomy Base Product Index TRS Index Tranche Exotic Single Name Swaptions CDX CDX Corporate (ref ob only) ABS CDX LCDX LCDX Structured CDS Corporate Corporate CDX CDX Structured Tranche Loans itraxx MCDX itraxx Muni Muni itraxx itraxx Structured Tranche Recovery CDS Sovereign ABX ABX Sovereign Bespoke CMBX IOS MBX PO PrimeX TRX Sub-product 11

12 Detailed Credit Taxonomy 1 of 4 # Asset Class Base Product Sub-Product Transaction Type 1 Credit Single Name ABS CDS on CDO 2 Credit Single Name Corporate AsiaCorporate 3 Credit Single Name Corporate AustraliaCorporate 4 Credit Single Name Corporate EmergingEuropeanCorporate 5 Credit Single Name Corporate EmergingEuropeanCorporateLPN 6 Credit Single Name Corporate EuropeanCorporate 7 Credit Single Name Corporate JapanCorporate 8 Credit Single Name Corporate LatinAmericaCorporate 9 Credit Single Name Corporate LatinAmericaCorporateBond 10 Credit Single Name Corporate LatinAmericaCorporateBondOrLoan 11 Credit Single Name Corporate NewZealandCorporate 12 Credit Single Name Corporate NorthAmericanCorporate 13 Credit Single Name Corporate SingaporeCorporate 14 Credit Single Name Corporate StandardAsiaCorporate 15 Credit Single Name Corporate StandardAustraliaCorporate 16 Credit Single Name Corporate StandardEmergingEuropeanCorporate 17 Credit Single Name Corporate StandardEmergingEuropeanCorporateLPN 18 Credit Single Name Corporate StandardJapanCorporate 19 Credit Single Name Corporate StandardLatinAmericaCorporateBond 20 Credit Single Name Corporate StandardLatinAmericaCorporateBondOrLoan 21 Credit Single Name Corporate StandardNewZealandCorporate 22 Credit Single Name Corporate StandardNorthAmericanCorporate 23 Credit Single Name Corporate StandardSingaporeCorporate 24 Credit Single Name Corporate StandardSubordinatedEuropeanInsuranceCorporate 25 Credit Single Name Corporate StandardSukukCorporate 26 Credit Single Name Corporate SubordinatedEuropeanInsuranceCorporate 27 Credit Single Name Corporate SukukCorporate 28 Credit Single Name Corporate StandardWesternEuropeanCorporate 29 Credit Single Name Corporate StandardEuropeanCorporate 12

13 Detailed Credit Taxonomy 2 of 4 # Asset Class Base Product Sub-Product Transaction Type 30 Credit Single Name Recovery CDS Fixed Recovery Swaps 31 Credit Single Name Recovery CDS Recovery Locks 32 Credit Single Name Loans ELCDS 33 Credit Single Name Loans LCDS 34 Credit Single Name Loans StandardLCDSBullet 35 Credit Single Name Muni USMunicipalFullFaithAndCredit 36 Credit Single Name Muni USMunicipalGeneralFund 37 Credit Single Name Muni USMunicipalRevenue 38 Credit Single Name Sovereign AsiaSovereign 39 Credit Single Name Sovereign AustraliaSovereign 40 Credit Single Name Sovereign EmergingEuropeanAndMiddleEasternSovereign 41 Credit Single Name Sovereign JapanSovereign 42 Credit Single Name Sovereign LatinAmericaSovereign 43 Credit Single Name Sovereign NewZealandSovereign 44 Credit Single Name Sovereign SingaporeSovereign 45 Credit Single Name Sovereign StandardAsiaSovereign 46 Credit Single Name Sovereign StandardAustraliaSovereign 47 Credit Single Name Sovereign StandardEmergingEuropeanAndMiddleEasternSovereign 48 Credit Single Name Sovereign StandardJapanSovereign 49 Credit Single Name Sovereign StandardLatinAmericaSovereign 50 Credit Single Name Sovereign StandardNewZealandSovereign 51 Credit Single Name Sovereign StandardSingaporeSovereign 52 Credit Single Name Sovereign StandardSukukSovereign 53 Credit Single Name Sovereign StandardWesternEuropeanSovereign 54 Credit Single Name Sovereign SukukSovereign 55 Credit Single Name Sovereign WesternEuropeanSovereign 56 Credit Single Name ABS CMBS 57 Credit Single Name ABS EuropeanCMBS 58 Credit Single Name ABS EuropeanRMBS 59 Credit Single Name ABS RMBS 13

14 Detailed Credit Taxonomy 3 of 4 # Asset Class Base Product Sub-Product Transaction Type 60 Credit Index Tranche CDX CDXEmergingMarketsDiversifiedTranche 61 Credit Index Tranche CDX CDXTranche (HY) 62 Credit Index Tranche CDX CDXTranche (IG) 63 Credit Index Tranche CDX CDXTranche (XO) 64 Credit Index Tranche CDX StandardCDXTranche (HY) 65 Credit Index Tranche CDX StandardCDXTranche (IG) 66 Credit Index Tranche LCDX LCDXTranche 67 Credit Index Tranche LCDX StandardLCDXBulletTranche 68 Credit Index Tranche CDX Structured Tranche CDX Blended Tranche 69 Credit Index Tranche CDX Structured Tranche CDX Risky Zero Tranche 70 Credit Index Tranche itraxx itraxxasiaexjapantranche 71 Credit Index Tranche itraxx itraxxaustraliatranche 72 Credit Index Tranche itraxx itraxxeuropetranche 73 Credit Index Tranche itraxx itraxxjapantranche 74 Credit Index Tranche itraxx StandardiTraxxEuropeTranche 75 Credit Index Tranche itraxx Structured Tranche itraxx Blended Tranche 76 Credit Index Tranche itraxx Structured Tranche itraxx Risky Zero Tranche 77 Credit Index Tranche ABX ABXTranche 78 Credit Index CDX CDX.HY 79 Credit Index CDX CDX.IG 80 Credit Index CDX CDX.XO 81 Credit Index CDX CDXEmergingMarkets 82 Credit Index CDX CDXEmergingMarketsDiversified 83 Credit Index LCDX LCDX 84 Credit Index CDX StandardLCDXBullet 85 Credit Index MCDX MCDX 14

15 Detailed Credit Taxonomy 4 of 4 # Asset Class Base Product Sub-Product Transaction Type 86 Credit Index itraxx itraxxasiaexjapan 87 Credit Index itraxx itraxxaustralia 88 Credit Index itraxx itraxxeurope 89 Credit Index itraxx itraxxjapan 90 Credit Index itraxx itraxxlevx 91 Credit Index itraxx itraxxsovx 92 Credit Index itraxx Itraxx SDI 93 Credit Index ABX ABX.HE 94 Credit Index CMBX CMBX 95 Credit Index IOS IOS 96 Credit Index MBX MBX 97 Credit Index PO PO 98 Credit Index PrimeX PrimeX 99 Credit Index TRX TRX 100 Credit Total Return Swap N/A N/A 101 Credit Swaptions itraxx itraxxasiaexjapanswaption (itraxxasiaexjapan underlyer) 102 Credit Swaptions itraxx itraxxaustraliaswaption (itraxxaustrailia underlyer) 103 Credit Swaptions itraxx itraxxjapanswaption (itraxxjapan underlyer) 104 Credit Swaptions itraxx itraxxsovxswaption (itraxxsovx underlyer) 105 Credit Swaptions Muni CDSSwaption 106 Credit Swaptions CDX CDXSwaption 107 Credit Swaptions itraxx itraxxeuropeswaption 108 Credit Swaptions Sovereign CDSSwaption 109 Credit Swaptions Corporate CDSSwaption 110 Credit Exotic Corporate Ref ob only 111 Credit Exotic Structured CDS Contingent CDS 112 Credit Exotic Structured CDS First to Default / Nth to Default 113 Credit Exotic Structured CDS Long form Bespoke 114 Credit Exotic Structured CDS Standard Terms Bespoke 15

16 Rates Taxonomy Base Product IR Swap FRA Cap/Floor Cross Currency Options Exotic Sub-product Fixed - Float Basis (float- float) Debt Options Fixed - Fixed Fixed - Float Swaption Basis (float-float) Inflation OIS Fixed - Fixed 16

17 Detailed Rates Taxonomy # Asset Class Base Product Sub-Product 1 Rates IR Swap Fixed - Float 2 Rates IR Swap Fixed-Fixed 3 Rates IR Swap Basis 4 Rates IR Swap Inflation 5 Rates IR Swap OIS 6 Rates FRA 7 Rates Cap/Floor 8 Rates Cross Currency Basis 9 Rates Cross Currency Fixed - Float 10 Rates Cross Currency Fixed - Fixed 11 Rates Options Debt options 12 Rates Options Swaption 13 Rates Exotic 17