fpml reporting working group copyright © 2010 international swaps and derivatives association, inc....

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. February 4, 2010 – SLIDE 1

ISDA FpML Update

Brian Lynn Global Electronic Markets

Marc Gratacos FpML Consultant

International Swaps and Derivatives Association, Inc. (ISDA)

FpML Version 5,Working Draft 4


Agenda

• Overview• Reporting View• Messaging Framework• Other changes• Next Steps


Overview

• There are 2 major changes in WD#4– Revamped reporting view

• New approach• New fields• New reports

– New messaging framework• New message correlation mechanism• Generic business processes

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Reporting View

• Approach• Example of new approach• New fields• New reports

4


Reporting View - Approach

• From WD#4, all elements are optional, except for a very small number of exceptions

• This is ensured using a schema generation script

• The list of fields required for a specific report will be specified using validation rules– List of expected field names and Xpaths– If a field is missing, this won’t be a schema error –

it will be a business rule validation error5

Example of new approach

<positionReport xmlns="http://www.fpml.org/FpML-5/reporting" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/reporting ../fpml-main-5-0.xsd">

<header>  <messageId messageIdScheme="http://www.abc.com/mid">XXX00123</messageId> <sentBy>ABCDUS33</sentBy> <sendTo>HEDGUS33</sendTo> <creationTimestamp>2004-08-02T15:38:00Z</creationTimestamp> </header> <asOfDate>2004-06-02Z</asOfDate> <dataSetName>Copper</dataSetName>

<position>

</position>

<party id="party1"> <partyName>ABCD Securities Inc.</partyName> </party> <party id="party2"> <partyId>HEGDUS33</partyId> <partyName>HedgeCo Capital L.L.C.</partyName> </party></positionReport>

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Example - position description

<position> <positionId positionIdScheme="http://www.abc.com/positionId">CDS-POS-01</positionId> <constituent> <trade> <tradeHeader> <tradeDate>2002-12-02Z</tradeDate> </tradeHeader>

<creditDefaultSwap> <productType productTypeScheme="http://www.fpml.org/product-type-

copper">Single</productType> <assetClass assetClassScheme="http://www.fpml.org/asset-class-

simple">Credit</assetClass> <generalTerms>

<buyerPartyReference href="party1"/> <sellerPartyReference href="party2"/>

</generalTerms> <protectionTerms>

<calculationAmount> <currency>EUR</currency> <amount>10000</amount>

</calculationAmount> </protectionTerms>

</creditDefaultSwap> </trade> </constituent> </position>

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New fields

• Some of the new fields added for reporting include:– Report level

• Report contents - more detail about what the report contains (party, accounts, products, etc.)

– Position level• Status and history information

– Product level• Asset class

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Existing reports

• Valuation (pricing and risk)• Cash flow matching• Portfolio reconciliation• Position reporting

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New reports

• Position Activity Report– Reports on changes to position over a time period

(new, modified, removed)• Event Activity Report

– Reports on events (new trades and post trade events) over a time period

• Reset report– Reports on index settings and the affected positions

• Entity/Party report (work in progress)– Reports on static reference data for parties.

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Messaging Framework

• Principles• General pattern of messages• Naming Convention• Message Correlation• Correction/Retraction• Acknowledgements and Exception• On-behalf of• Generic business processes• Other changes

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Messaging Framework Principles

• Observable completion• Consistent message correlation• Consistent error reporting• Consistent correction and retraction• Consistent processes across trades and post-

trade events

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General Pattern of Messages

• Each business process follows this message pattern:– Process initiation message (request or notification)– Acknowledgement – Exception– Retraction– Optionally, response/status messages

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Naming Conventions

• The general naming convention is as follows:– requestXXX– xxxAcknowledgement– xxxException– requestXXXRetracted– xxx[Status] or xxx[Response]

• XXX is the name of the business process

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Message Correlation and Sequencing

• Successive messages are “correlated” (linked together) using a new, explicit “correlationId”

• Correlation ID is assigned by the initiator• Correlation ID is intended to be a business/application

level element, not transport level• Corrections or cancellations use the correlation ID to

refer to the previous request/notification• Responses use the correlation ID to link to the request.• Sequence numbers may be used to establish message

order

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Correction/Retraction

• The initial request and any corrections use the same message

• There is a boolean correction indicator to indicate whether the message corrects a previous one

• Retractions are a separate message (may have less detail than the original request)

• Corrections and retractions are linked to original request using correlationId

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Acknowledgements and Exceptions

• All initiating messages have corresponding (named) acknowledgement and exception messages

• Most of these use generic “Acknowledgement” and “Exception” types

• In some case these may be extended to hold process specific information.

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On-behalf Of

• Added to each message the ability to specify on-behalf-of whom the message was sent– Party – Account

• Allows recipient to interpret messages more easily when sender can send messages on behalf of multiple parties/accounts– E.g. when sender is a central service provider,

platform, prime broker.18


Generic business processes

• Most FpML 5 business processes are “generic” process that can apply to new trades and/or any post-trade events

• This means that the message name indicates the business process (e.g. confirmation, execution notification) but not the type of event (e.g. trade, amendment)

• Payload of the message indicates the type of the event

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Generic processes - example

• Request confirmation – Could be of a trade, or of an amendment

• Acknowledgements and exceptions– Refer to the previous request, irrespective of the

event type

• Confirmation status message – Can report status, differences on trades or any

other type of post-trade event

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Generic processes supported

• Pre-trade (currently out of scope, but some modeling has been done)– Quotation– Ordering

• Post-trade (confirmation view)– Execution notification (for platforms to report order fills)– Execution advice (to report executions and settlement info to

service providers)– Allocation (expanded for version 5)– Confirmation– Consent negotiation– Clearing (new for version 5)– Status reporting

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Example message

<requestConsent xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-0.xsd">

<header>

<messageId messageIdScheme="http://www.im01.com/mid">im12937</messageId>

<sentBy>IM01</sentBy>

<sendTo>DLR01</sendTo>

<creationTimestamp>2003-04-02T15:38:00-04:00</creationTimestamp>

</header>

<isCorrection>false</isCorrection>

<correlationId correlationIdScheme="http://www.ubsw.com/mid">231234213231</correlationId>

<sequenceNumber>1</sequenceNumber>

<novation>



</novation>

<party id="party1">

<partyId>IM01</partyId>

</party>

<party id="party2">

<partyId>DLR01</partyId>

</party>

<party id="party3">

<partyId>DLR02</partyId>

</party>

</requestConsent>

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Could be replaced with a trade or other post-trade event, e.g. amendment or termination


• Consent Negotiation– Requestor asks for ok; recipient can grant or

refuse request

Sample Process

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Generic processes - benefits

• Improved consistency across post-trade events• Easier to ensure all necessary messages are

present• Reduces the number of messages required to

provided full coverage – (not everyone agrees that this is a benefit)


Generic processes - drawbacks

• Need to look inside messages to see what type of payload is inside

• May make it slightly harder to route/report on messages by event type.

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Other changes

• Accounts have been moved out of party– Now can reference either servicingParty,

accountBeneficiary, or both

• TradeSide has been removed– A new, more flexible “relatedParty” structure has

been added to partyTradeInformation– Account references have been added to allow

party references to be narrowed down

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Other changes (continued)

• Contract Notification messages have been replaced with executionAdvice

• A few changes have been made to shared components– Adjustable Date representation has been tweaked

to allow adjusted dates in more places

Example of account usage<executionAdvice xmlns="http://www.fpml.org/FpML-5/confirmation"

xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-0.xsd">

<header> <messageId messageIdScheme="http://www.ubsw.com/mid">TQ12937</messageId> <sentBy>OperationsOutsourcer</sentBy> <sendTo>Custodian</sendTo> <creationTimestamp>2003-04-02T15:38:00-04:00</creationTimestamp> </header> <isCorrection>false</isCorrection> <correlationId correlationIdScheme="http://www.ubsw.com/mid">231234213231</correlationId> <sequenceNumber>1</sequenceNumber> <onBehalfOf>

<partyReference href=“party1”/> <accouontReference href=“acct1”/>

</onBehalfOf> <trade>

</trade>

<party id="party1"> <partyId>IM01</partyId> </party> <party id="party2"> <partyId>DLR01</partyId> </party> <party id=“svc_provider"> <partyId>OPS01</partyId> </party> <account id=“acct1"> <acctId>123</acctId>

<accountBeneficiary href=“party1”/> <servicingParty href=“svc_provider”

</account></executionAdvice>

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Ops Outsourcer is sending the message on behalf of IM01

Account 123 is serviced by ops outsource for IM01


Next Steps

• LCWD in early 2010• Feedback from industry is requested• MTF is likely to be turned into a public working

group on business processes

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fpml reporting working group copyright © 2010 international swaps and derivatives association, inc....

Documents

derivatives association

reporting view approach

isda fpml version

events new trades

time period new

report level report

message pattern

event activity report