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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 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

3


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>

6


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>

7


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

8


Existing reports

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

9


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

positions10


Messaging Framework

• Principles• General pattern of messages• Naming Convention• Message Correlation• Correction/Retraction• Acknowledgements and Exception• Generic business processes

11


Messaging Framework Principles

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

trade events

12


General Pattern of Messages

• Each business process follows this message pattern:– Process initiation message (request or

notification)– Acknowledgement – Exception– Retraction– Optionally, response/status messages

13


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

14


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 may use the correlation ID to link to the request.

15


Correction/Retraction

• The initial request and any corrections use the same message

• There is a booolean 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

16


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.

17


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

18


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

19


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)

20


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.

21


Generic processes - examples

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

• Post-trade– Execution notification– Execution advice– Allocation– Confirmation– Consent negotiation– Clearing (new for version 5)

22

Generic process - example

<requestConfirmation 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>UBSW</sentBy>

<sendTo>MATCHSRV</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>

<trade>



</trade>

<party id="party1">

<partyId>UBSW</partyId>

</party>

<party id="party2">

<partyId>JPMC</partyId>

</party>

</requestConfirmation>

23


Other changes

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

to allow adjusted dates in more places

24


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

25

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

Documents

derivatives association

reporting view approach

time period new

events new trades

isda fpml version

report level report

event activity report

specific report