® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc. May 13, 2013

FpML 5.5 / 5.6

FpML 5.5 REC – items added to REC FpML 5.6 – Planned Coverage

FpML Standards CommitteeOutcome of May 13, 2013 meeting

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FpML 5.5 items added (1/1)These items were agreed at the May 13 Standards Committee meeting for addition to the 5.5 REC

1. (RPTWG) DTCC requirement to provide trading history when snapshots are provided– Requirement to add the ability to track the agreement dates for post-trade events when the

trade is reported using a series of snapshots.– Proposal to add history/tradingEvent to the Events.model (See RPTWG threads:

• http://www.fpml.org/_wgmail/_rptwgmail/msg01288.html Implementation• http://www.fpml.org/_wgmail/_rptwgmail/msg01279.html Background / requirement (4/29 minutes)

2. Housekeeping Tasks– Miscellaneous issue fixes– Additional documentation

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

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FpML 5.6 coverage (1/6)1. Additional Jurisdictions

– Australia (ASIC) – RPTWG gap analysis completed– Singapore (MAS) – MAS consultation is expected in coming weeks

2. Loan– Initial review by the Coordination Committee– Additional review by the BPWG (business event identification, integration work)

3. Commodities– The Commodities WG has a long compilation of input received from swap dealers on product and

feature coverage they would like to see in the DTCC Global Trade Repository (GTR). Some items are covered by FpML and need only be supported by the GTR message specification. Others do not appear to be covered in commodity FpML. The Group is working on prioritizing them (there are 14-15 items on the list). So far, the group identified the following items from that list.• Basket Options (wip) • Kent: Pricing re-model (in discussion) • Binary Options (proposal is expected)• Trades with knock-in and knock out features (proposal is expected)• Accumulator

4. Equity – The EQDWG plans to work on new equity definitions

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

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FpML 5.6 coverage (2/6)5. (Pierre Lamy / GS) Proposed candidates for full product representation

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

Interest Rates - Product Type Description Priority

Inflation Option One party’s payment is based on observed inflation index relative to cap or floor strike. 1

Spread Option(aka, CMS One-look / CMS Multi-look)

Settlement is based on one or more observed CMS rates relative to a strike; observations can occur on a specified Determination Date (one-look) or various Determination Dates throughout the life of the trade (multi-look).

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Treasury Rate Lock One party’s settlement is based on observed U.S. Treasury rate relative to one strike. 3

Binary Option Settlement is based on comparing one or more observed rates to one or more strikes; yielded value is either 1 or 0 (digital option – i.e., binary cap, binary floor). 4

Vol Forward SwaptionFixed Rate of underlying swap is determined on a date subsequent to the effective date of the swaption; swaption expiry date then occurs subsequent to fixed rate determination date.

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Range Accrual One party’s payment accrues based upon the number of days in calculation period when an observed rate falls within defined range of values 6

Knock-out / Knock-in Trade terminates or becomes effective based on observed rate. 7

Accumulator Coupon rates for each calculation period are summed during the life of the trade and used to calculate a single payment at termination. 8

Equity - Product Type Description

Volatility Swaps Forward contract on the future realised volatility of a given underlying assetAccumulators Barrier Options with predetermined strike which settle periodically Vix options Volatility Options

• Interest Rates

• Equity

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FpML 5.6 coverage (3/6)

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

Commodities - Product Type Description Priority Raised already in Commod WG as

Strip Options Strip of options with shaped strikes, option types, FX settlement on the common underlyer 1

Return Swap Return Swap 2 Swap on a basket of products formula based payout Swap on a custom index (basket of products) with a formula based payout 3 Structured Product

Structure Trades with Complex Settlement Features

Structured trade with multiple products and features, i.e. forward, option, swap, and a complex settlement feature 4 Structured Product

Swap on a basket of products formula based payout Swap on a custom index (basket of products) with a formula based payout with FX 5 Structured Product

Quantos Basket Option Basket Options with difference between settlement & pricing currency and a formula based payout 6 Basket Option

Variance Swap Swap on the implied and realized volatility 7 Basket Options - Physical Option on a basket which delivers physicals 8

Strip Basket Options Strip of options on a basket of assets with shaped strikes, option types, FX settlement on the common underlyer 9

Volatility Option Strike and Float is based on the volatility of the underlyer 10

Emissions fwd starting qty Swap of emission allowance where the quantity is estimated at execution time and trued up at predetermined future time 11

Structured Barrier Options Multiple barrier options for the same period 12 European Barrier Option, but needs support for other styles

Storage Contract Withdrawal or Injection of Product @ a location. Fee charged for volume moved. 13 Strip of Forwards Periodic delivery of metal with shaped quantity and prices 14

Barrier Option Barrier Option 15 European Barrier Option, but needs support for other styles

Basket Barrier Option Barrier Option on a basket of products 16 CFD with CMD underlyer Contract for difference 17 Wrapper that monitors day/day MTM payouts 18

Renewable Energy Certificate Swaps Swap involving REC 17

Strip Options Strip of options with shaped strikes, option types, FX settlement on the common underlyer 18

Metal Lease Lessee receives physial metal, lessor receives interest. Can be modeled as a commoditySwap & IRSwap 19

Digital Option Fixed payment after breaking a threshold 20 Digital Options

• Commodities

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FpML 5.6 coverage (4/6)6. (BPWG) Predetermined Clearing (related to # 7)

– Enhancing the exerciseProcedure with the ability to specify a predetermined clearing organization (for swaps originating from a swaption)

– Due to the regulatory (CFTC) and industry initiative for Mandatory Clearing of derivatives transactions, industry participants have suggested that the selection of the CCP for the resulting swap created as part of an exercise of a swaption, would be agreed at the time of execution of the original swaption. Essentially, industry participants wish to enhance the Credit swaption confirmation template to include a field indicating the pre-determined CCP for the resulting swap created due from swaption exercise.

• On March 11th, 2013, the CFTC mandate for mandatory clearing came into effect for credit swaps. CD Index trades resulting from an exercise of an Index Option are subject to this mandate. As CDX clears at multiple clearing houses, the election of a CCP must be confirmed at the time of execution of the Index Option. This is a price forming, materially economic term that is legally binding.

• As designated in “Exhibit A- Minimum Primary Economic Terms Data for Credit Swaps and Equity Swaps” of the part 45 rule, we are required to report “Any other term(s) of the swap matched or affirmed by the counterparties verifying the swap” and must use as many fields as required to report each such term. As a result, we must include this field in both our PET and confirm reporting messages that are sent to the Swaps Data Repository. Reporting participants are currently unable to do so as this information is not currently supported in FpML.

7. (BPWG) Swaption Execution and Clearing (related to # 6)– Received feedback from a dealer about non-cleared swaptions that may subsequently need to be

cleared. It may be necessary to update the exerciseProcedure to describe, for example whether the resulting swap must be cleared or may be cleared at the discretion of the option owner. In addition, the actual exercise of the swaption resulting in a swap which may be cleared and then potentially allocated should be described using examples to show how the various transactions are recorded (e.g. using originatingEvent and orginatingTradeId). Another twist is that the exercise might result in a partial termination rather than a new trade, for example in a cancellation option, so it would be necessary to show this in the reporting flow.

– The BPWG will need to define the business requirements and produce examples showing how they would be represented. The treatment of option exercise events should be consistent with other post trade events; might need similar example flows for other post trade events.

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

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FpML 5.6 coverage (5/6)8. (BPWG) Product Definition Messages

– The BPWG has been working on the capability for a clearing house or potentially an execution facility to provide a set of definitions of the products that are supported on the platform.

– The consumers would be clearing house members or anyone interfacing with a clearing house. Sample application: a new trade to be cleared, is created using a populated GUI based on the parameters that are clearable (e.g., if you pick a certain currency, the system could tell you the maximum tenor, or which business centers are required or optional)

– At the April Standards Committee meeting, the BPWG requested guidance from members.– We did not have time to discuss feedback at the May meeting. Deferred to June.

9. (BPWG) LCH Requests– Collateral and Liabilities request/response and notification– Clearing Quote request/response

10. (Pierre Lamy / GS) Clearing enhancements to comply with CFTC rule 50.50(b)– Missing the extension to comply with the reporting requirement associated with the clearing

exemption. CFTC rule 50.50(b) below lists the various reporting implications of this clearing exemption, which comes into compliance in early September 2013. Some of those attributes are not yet present in the current FpML.

– http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2012-29211a.pdf– Pierre Lamy and Peter Garratt will reach out internally.

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

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FpML 5.6 coverage (6/6)

May 13, 2013® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

The Standards Committee agreed to form a Task Force / New Working Group to address these related issues:11. (RPTWG/BPWG) Listed Derivatives

Subsequent to the joint Standards/Coordination Committees review session (Jan 31) of the listed derivatives support in FpML, LCH provided additional input/reports (needed for start of EMIR reporting)Preliminary gap analysis / FpML mapping being finalized, to be reviewed by working group(s) (TBD)

12. (Peter Garratt / DTCC) Bond ForwardsBond Forwards are not included in 5.5 but are a product reportable under EMIR and Russian regulations

13. (Coordination Committee) Using Instrument Trade Details for listed derivatives or cash securities reporting

Coordination Committee members are divided on using the instrument trade details for this purpose. Citco and GEM proposed an extension (2005) to FpML that allowed Citco to support all of its product mix (equities, warrants, bonds, convertible bonds, mutual funds, etc., etc.] with a solution that has been very successfully in production with them since then. Some propose leveraging the original bondContract proposed by JPMorgan (published as an extension). Two major dealers have been using this.FpML structure: instrumentTradeDetails