NOTE:

Taxonomy v2.0 was created through the collaboration of industry working groups, asset class experts, and ste
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be determined and
In the meantime, a public comment period has been opened to solicit feedback or objections to the enclosed p

FT
This workbook contains version 2.0 of the ISDA OTC Derivatives Taxonomies ("Taxonomy v2.0") for Credit,
R A
D
Interest Rate, Commodity, Foreign Exchange and Equity, currently open for a public comment period.

D
The Commodities Taxonomy is provided in a standalone spreadsheet and is publically available for the comment
period at http://www2.isda.org/functional-areas/technology-infrastructure/data-and-reporting/identifiers/upi-

O
and-taxonomies/.

Contacts:

RI
E
Tara Kruse - tkruse@isda.org

P
Eleanor Hsu - ehsu@isda.org

Publication of this version: [tbd] 2015

N T
E
M
O M
C
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class experts, and steering committees. As such, the industry
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be determined and will be dependent on this regulatory end
In the meantime, a public comment period has been opened to solicit feedback or objections to the enclosed proposals - forward feedback to EHsu@isd

Interest Rate Taxonomy - proposed v2.0

Base
Product IR Swap FRA Cap Floor Cross Currency
F T Option Forward Inflation Inflation Swap Inflation CapFloor
Fixed Float
Fixed Fixed
Basis
Fixed Float

RA Debt Option
Swaption
Debt Fixed Float
Basis
Fixed Float
Basis

D
Basis Fixed Fixed
Inflation

D
Sub-product

OIS

IO
R
T PE
EN
M
M
CO
 Interest Rate Taxonomy - Proposed v2.0

1
# Asset Class
Interest Rate
Base Product
IR Swap
Sub-Product Transaction
Fixed Float
Type

F T
NEW
NEW
Interest Rate
Interest Rate
IR Swap
IR Swap
Fixed Float
Fixed Float
Zero Coupon
Plain Vanilla

R A
D
NEW Interest Rate IR Swap Fixed Float OIS
2 Interest Rate IR Swap Fixed Fixed
3 Interest Rate IR Swap Basis

O D
I
4 Interest Rate IR Swap Inflation

R
NEW Interest Rate Inflation
NEW Interest Rate Inflation Swap Fixed Float Year on Year
NEW
NEW
Interest Rate
Interest Rate
Inflation Swap
Inflation CapFloor
Basis
Fixed Float
Zero Coupon
Year on Year
PE
NEW
5
Interest Rate
Interest Rate
Inflation CapFloor
IR Swap
Basis

N
OIS
Zero Coupon

T
E
NEW Interest Rate IR Swap Basis OIS
6 Interest Rate FRA
7 Interest Rate CapFloor
M
M
8 Interest Rate Cross Currency Basis

O
9 Interest Rate Cross Currency Fixed Float

C
10 Interest Rate Cross Currency Fixed Fixed
11 Interest Rate Option Debt Option
12 Interest Rate Option Swaption
13 Interest Rate Forward Debt
14 Interest Rate Exotic
Basis swaps are considered Float/Float

An IRSwapFixedFloat is PlainVanilla if:

The floating leg uses a single floating rate index (i.e. no spread to / dependency with another floating rate index) although may have a simple bps spread
The floating rate index has no multiplier or minimum / maximum constraints
Reset is not in arrears
Reset frequency is equal to the floating rate index term
Not zero coupon
Payment frequency = reset frequency *OR*
Payment frequency is annual and reset frequency is semi annual and compounding does not apply.
Payment frequency is annual and reset frequency is quarterly and compounding does not apply.
Payment frequency is semi annual and reset frequency is quarterly and compounding does not apply.
Payment frequency is quarterly and reset frequency is monthly and compounding does not apply.
Etc.
No provision for early termination which uses an off-market valuation.

NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class experts, and steering committees. As such, the
industry is committed to implement if there is endorsement to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are
still to be determined and will be dependent on this regulatory endorsement.
In the meantime, a public comment period has been opened to solicit feedback or objections to the enclosed proposals - forward feedback to
EHsu@isda.org and TKruse@isda.org.
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class experts, and steering committees. As such, the industry is committed
regulatory reporting. Implementation timelines are still to be determined and will be dependent on this regulatory endorsement.
In the meantime, a public comment period has been opened to solicit feedback or objections to the enclosed proposals - forward feedback to EHsu@isda.org and TK

Credit Taxonomy - proposed v2.0

T
Base Total Return Total Return
Product Index Swap Swap Index Index Tranche Exotic Single Name Swaptions
CDX
LCDX
iBoxx CDX
LCDX
AF
Corporate ref ob only
Structured CDS
ABS
Corporate
CDX
Corporate
MCDX
iTraxx
CDX Structured Tranche
iTraxx

DROther Loans
Muni
iTraxx
Muni
Sub-product

ABX iTraxx Structured Tranche Recovery CDS Sovereign

CMBX

O D
ABX Sovereign MCDX

I
IOS MCDX
MBX
PO
R
PE
PrimeX
TRX
SP

NT
For Transaction types 'under' sub-products- see CDS Full Taxonomy

E
The 'Other' sub-product under the Exotic base product represents any transaction type that does not fall into existing base/sub-product/transaction types

M
M
CO
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class e
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be d
In the meantime, a public comment period has been opened to solicit feedback or objections to

Credit Taxonomy - Proposed v2.0

# Asset Class Base Product Sub-Product Transaction Type Sector
1 Credit Single Name ABS CDS on CDO
2 Credit Single Name Corporate AsiaCorporate [insert sector value]
3 Credit Single Name Corporate Australia Corporate [insert sector value]
4 Credit Single Name Corporate Emerging European Corporate [insert sector value]
5 Credit Single Name Corporate Emerging European Corporate LPN [insert sector value]
6 Credit Single Name Corporate European Corporate [insert sector value]
7 Credit Single Name Corporate Japan Corporate [insert sector value]
8 Credit Single Name Corporate Latin America Corporate [insert sector value]
9 Credit Single Name Corporate Latin America Corporate Bond [insert sector value]
10 Credit Single Name Corporate Latin America Corporate Bond Or Loan [insert sector value]
11 Credit Single Name Corporate New Zealand Corporate [insert sector value]
12 Credit Single Name Corporate North American Corporate [insert sector value]
13 Credit Single Name Corporate Singapore Corporate [insert sector value]
14 Credit Single Name Corporate Standard Asia Corporate [insert sector value]
15 Credit Single Name Corporate Standard Australia Corporate [insert sector value]
16 Credit Single Name Corporate Standard Emerging European Corporate [insert sector value]
17 Credit Single Name Corporate Standard Emerging European Corporate LPN [insert sector value]
18 Credit Single Name Corporate Standard Japan Corporate [insert sector value]
19 Credit Single Name Corporate Standard Latin America Corporate Bond [insert sector value]
20 Credit Single Name Corporate Standard Latin America Corporate Bond Or Loan [insert sector value]
21 Credit Single Name Corporate Standard New Zealand Corporate [insert sector value]
22 Credit Single Name Corporate Standard North American Corporate [insert sector value]
23 Credit Single Name Corporate Standard Singapore Corporate [insert sector value]
24 Credit Single Name Corporate Standard Subordinated European Insurance Corporate [insert sector value]
25 Credit Single Name Corporate Standard Sukuk Corporate [insert sector value]
26 Credit Single Name Corporate Subordinated European Insurance Corporate [insert sector value]
27 Credit Single Name Corporate Sukuk Corporate [insert sector value]
28 Credit Single Name Corporate Standard European Corporate [insert sector value]
29 Credit Single Name Recovery CDS Fixed Recovery Swaps [insert sector value]
30 Credit Single Name Recovery CDS Recovery Locks [insert sector value]
31 Credit Single Name Loans ELCDS [insert sector value]
32 Credit Single Name Loans LCDS [insert sector value]
33 Credit Single Name Loans Standard LCDS Bullet [insert sector value]
34 Credit Single Name Muni US Municipal Full Faith And Credit [insert sector value]
35 Credit Single Name Muni US Municipal General Fund [insert sector value]
36 Credit Single Name Muni US Municipal Revenue [insert sector value]
37 Credit Single Name Muni StandardUS Municipal Full Faith And Credit [insert sector value]
38 Credit Single Name Muni StandardUS Municipal General Fund [insert sector value]
39 Credit Single Name Muni StandardUS Municipal Revenue [insert sector value]
40 Credit Single Name Sovereign Asia Sovereign
41 Credit Single Name Sovereign Australia Sovereign
42 Credit Single Name Sovereign Emerging European And Middle Eastern Sovereign
43 Credit Single Name Sovereign Japan Sovereign
44 Credit Single Name Sovereign Latin America Sovereign
45 Credit Single Name Sovereign New Zealand Sovereign
46 Credit Single Name Sovereign Singapore Sovereign
47 Credit Single Name Sovereign Standard Asia Sovereign
48 Credit Single Name Sovereign Standard Australia Sovereign
49 Credit Single Name Sovereign Standard Emerging European And Middle Eastern Sovereign
50 Credit Single Name Sovereign Standard Japan Sovereign
51 Credit Single Name Sovereign Standard Latin America Sovereign
52 Credit Single Name Sovereign Standard New Zealand Sovereign
53 Credit Single Name Sovereign Standard Singapore Sovereign
54 Credit Single Name Sovereign Standard Sukuk Sovereign
55 Credit Single Name Sovereign Standard Western European Sovereign
56 Credit Single Name Sovereign Sukuk Sovereign
57 Credit Single Name Sovereign Western European Sovereign
58 Credit Single Name ABS MBS
59 Credit Single Name ABS European MBS
60 Credit Index Tranche CDX CDX Tranche HY
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class e
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be d
In the meantime, a public comment period has been opened to solicit feedback or objections to

Credit Taxonomy - Proposed v2.0

# Asset Class Base Product Sub-Product Transaction Type Sector
61 Credit Index Tranche CDX CDX Tranche IG
62 Credit Index Tranche CDX CDX Tranche XO
63 Credit Index Tranche CDX Standard CDX Tranche HY
64 Credit Index Tranche CDX Standard CDX Tranche IG
65 Credit Index Tranche LCDX LCDX Tranche
66 Credit Index Tranche LCDX Standard LCDX Bullet Tranche
67 Credit Index Tranche MCDX MCDX Tranche
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 iTraxx Asia Ex Japan Tranche
71 Credit Index Tranche iTraxx iTraxx Australia Tranche
72 Credit Index Tranche iTraxx iTraxx Europe Tranche
73 Credit Index Tranche iTraxx iTraxx Japan Tranche
74 Credit Index Tranche iTraxx Standard iTraxx Europe Tranche
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 ABX Tranche
78 Credit Index CDX CDX HY
79 Credit Index CDX CDX IG
80 Credit Index CDX CDX XO
81 Credit Index CDX CDX Emerging Markets
82 Credit Index CDX CDX Emerging Markets Diversified
83 Credit Index LCDX LCDX
84 Credit Index LCDX Standard LCDX Bullet
85 Credit Index MCDX MCDX
86 Credit Index iTraxx iTraxx Asia Ex Japan
87 Credit Index iTraxx iTraxx Australia

A
88 Credit Index iTraxx iTraxx Europe

R
89 Credit Index iTraxx iTraxx Japan
90 Credit Index iTraxx iTraxx Lev X

D
91 Credit Index iTraxx iTraxx Sov X
92 Credit Index iTraxx Itraxx SDI
93
94
Credit
Credit
Index
Index
ABX
CMBX
ABX HE
CMBX

O D
95 Credit Index IOS IOS

I
ER
96 Credit Index MBX MBX
97 Credit Index PO PO

P
98 Credit Index PrimeX PrimeX
99 Credit Index TRX TRX

T
100 Credit Index SP

N
101 Credit Total Return Swap

E
102 Credit Total Return Swap Index iBoxx
103 Credit Swaptions iTraxx iTraxx Asia Ex Japan Swaption

M
104 Credit Swaptions iTraxx iTraxx Australia Swaption
105 Credit Swaptions iTraxx iTraxx Japan Swaption

M
106 Credit Swaptions iTraxx iTraxx Sov X Swaption

CO
107 Credit Swaptions Muni CDS Swaption
108 Credit Swaptions CDX CDX Swaption
109 Credit Swaptions MCDX MCDX Swaption
110 Credit Swaptions iTraxx iTraxx Europe Swaption
111 Credit Swaptions Sovereign CDS Swaption
112 Credit Swaptions Corporate CDS Swaption [insert sector value]
113 Credit Exotic Corporate Ref ob only [insert sector value]
114 Credit Exotic Structured CDS Contingent CDS
115 Credit Exotic Structured CDS Index Contingent CDS
116 Credit Exotic Structured CDS First to Default Nth to Default
117 Credit Exotic Structured CDS Bespoke Tranche
118 Credit Exotic Other
For Transaction types 'under' sub-products- see CDS Full Taxonomy
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class e
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be d
In the meantime, a public comment period has been opened to solicit feedback or objections to

Credit Taxonomy - Proposed v2.0

# Asset Class Base Product Sub-Product Transaction Type Sector
The 'Other' sub-product under the Exotic base product represents any transaction type that does not fall into existing base/sub-product/transaction
types
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class exp
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be dete
In the meantime, a public comment period has been opened to solicit feedback or objections to th

Equity Taxonomy - proposed v2.0

Sub Product Contract For

Base Product

FT
A
Swap Portfolio Swap Difference Option Forward

R
Single Name Single Name Single Name Single Name Single Name

D
Price Return Basic Performance Single Index Single Index Single Index Single Index Single Index
Basket Basket Basket Basket Basket
Single Name Single Name

OD
I
Parameter Return Dividend Single Index Single Index

ER
Basket Basket
Single Name Single Name

P
Parameter Return Variance Single Index Single Index
Basket Basket

Parameter Return Volatility

Single Name
Single Index

NTSingle Name
Single Index

E
Basket Basket

M
The Price Return Basic Performance Sub-product includes instruments such as vanilla options, 1-Delta, EFS, TRS etc
The Other Sub-product includes structured and exotic

O M
C

For internal use only

 NOTE:
Taxonomy v2.0 was created through the collaboration
to use ISDA Taxonomy v2.0 for regulatory reporting.
In the meantime, a public comment period has been op

Equities Taxonomy - proposed v2.0

# Asset Class Base Product Sub-Product Transaction type Industry Sector
1 Equity Swap Price Return Basic Performance Single Name [insert value]
2 Equity Swap Price Return Basic Performance Single Index
3 Equity Swap Price Return Basic Performance Basket
4 Equity Swap Parameter Return Dividend Single Name [insert value]
5 Equity Swap Parameter Return Dividend Single Index
6 Equity Swap Parameter Return Dividend Basket
7 Equity Swap Parameter Return Variance Single Name [insert value]
8 Equity Swap Parameter Return Variance Single Index

D
9 Equity Swap Parameter Return Variance Basket

O
10 Equity Swap Parameter Return Volatility Single Name [insert value]

I
11 Equity Swap Parameter Return Volatility Single Index

R
12 Equity Swap Parameter Return Volatility Basket
13 Equity Portfolio Swap Price Return Basic Performance Single Name [insert value]
14
15
Equity
Equity
Portfolio Swap
Portfolio Swap
Price Return Basic Performance
Price Return Basic Performance
Single Index
Basket

P E
T
16 Equity Contract For Difference Price Return Basic Performance Single Name [insert value]
17 Equity Contract For Difference Price Return Basic Performance Single Index
18
19
20
Equity
Equity
Equity
Contract For Difference
Option
Option
Price Return Basic Performance
Price Return Basic Performance
Price Return Basic Performance
Basket

E N
Single Name
Single Index
[insert value]

21 Equity Option

M
Price Return Basic Performance Basket

M
22 Equity Option Parameter Return Dividend Single Name [insert value]
23 Equity Option Parameter Return Dividend Single Index

O
24 Equity Option Parameter Return Dividend Basket

C
25 Equity Option Parameter Return Variance Single Name [insert value]
26 Equity Option Parameter Return Variance Single Index
27 Equity Option Parameter Return Variance Basket
28 Equity Option Parameter Return Volatility Single Name [insert value]
29 Equity Option Parameter Return Volatility Single Index
30 Equity Option Parameter Return Volatility Basket
31 Equity Forward Price Return Basic Performance Single Name [insert value]
32 Equity Forward Price Return Basic Performance Single Index
33 Equity Forward Price Return Basic Performance Basket
34 Equity Other
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class experts, and steering committees. As such, the industry is committed to implement if there is endorsement
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be determined and will be dependent on this regulatory endorsement.
In the meantime, a public comment period has been opened to solicit feedback or objections to the enclosed proposals - forward feedback to EHsu@isda.org and TKruse@isda.org.

Foreign Exchange Taxonomy - proposed v2.0

T
Base

F
Product Spot NDF NDO Forward Vanilla Option Simple Exotic Exotic Continuous FX 3 Complex Exotic

A
Barrier Target Rolling spot Generic

R
Digital Accrual Contract for Difference

D
Vol/Var1 Forward Vol Agreement2 Spread-bet

D
Sub-product

R I O
P E
N T
E
NDO: Only European Style Options are NDO and not any other FX Options which are settled in a non-deliverable currency
Vanilla Option: European and American Style would be classified as Vanilla - without any feature like Forward Starting Strike or Performance payout.

M
The Digital sub-product is synonymous with Binary

O M
C
 NOTE:
Taxonomy v2.0 was created through the collaboration of industry working groups, asset class experts, and steering committe
to use ISDA Taxonomy v2.0 for regulatory reporting. Implementation timelines are still to be determined and will be depend
In the meantime, a public comment period has been opened to solicit feedback or objections to the enclosed proposals - forw

Foreign Exchange Taxonomy - proposed v2.0

# Asset Class Base Product Sub-Product
1 Foreign Exchange Spot
2 Foreign Exchange NDF

T
3 Foreign Exchange NDO

F
4 Foreign Exchange Forward

A
5 Foreign Exchange Vanilla Option

R
6 Foreign Exchange Simple Exotic Barrier
7 Foreign Exchange Simple Exotic Digital
8 Foreign Exchange Simple Exotic Vol/Var
D
D
9 Foreign Exchange Exotic Target

O
10 Foreign Exchange Exotic Accrual

I
11 Foreign Exchange Exotic Forward Vol Agreement

R
12 Foreign Exchange Continuous FX Rolling Spot

E
13 Foreign Exchange Continuous FX Contract for Difference

P
14 Foreign Exchange Continuous FX Spread-bet

T
9 15 Foreign Exchange Complex Exotic Generic
NDO: Only European Style Options are NDO and not any other FX Options which are settled in a non-deliverable currency.

EN
Vanilla Option: European and American Style would be classified as Vanilla - without any feature like Forward Starting Strike or Performance payout.

M
Digital sub-product: is synonymous with Binary.

M
CO