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OCTOBER 14, 2010 - SLIDE 1 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview ® ISDA is a registered trademark of.

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Presentation on theme: "OCTOBER 14, 2010 - SLIDE 1 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview ® ISDA is a registered trademark of."— Presentation transcript:

1 OCTOBER 14, SLIDE 1 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview ® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc. ® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc. ISDA Andrew Jacobs (UBS) Brian Lynn (Global Electronic Markets) Marc Gratacos(ISDA)

2 OCTOBER 14, SLIDE 2 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Agenda FpML 5.0 Highlights Messaging Framework Demo Questions

3 OCTOBER 14, SLIDE 3 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview FpML 5.0 Highlights ISDA

4 OCTOBER 14, SLIDE 4 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Agenda Unit Objectives Major vs. Minor Releases Architectural Changes in 5.0 Multiple Root Elements Views Accounts and Roles Recap

5 OCTOBER 14, SLIDE 5 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Major vs. Minor Releases Minor versions can add new functionality but are limited –Instance documents must be backward compatible –No deletions/changes to existing elements –Legal technical/architectural changes are limited Major versions can –Introduce more significant technical/architectural changes –Redesign existing product representations Version 5.0 introduces technical and design changes that have been deferred for compatibility reasons

6 OCTOBER 14, SLIDE 6 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Architectural Changes in 5.0 Implemented architectural changes –Multiple Root Elements –Introduction of Views: confirmation and reporting –Messaging correlation [covered in Messaging] –Generic Business Processes [covered in Messaging] –Separation of parties and accounts –Better support for roles

7 OCTOBER 14, SLIDE 7 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Multiple Root Elements FpML v 1-4.x use as the root of all documents FpML 4.x uses xsi:type to distinguish between message types, e.g. – FpML 5.x –uses different element names to distinguish between message types (no root any more) –Changes version to fpmlVersion to make it easier to determine where the FpML starts, e.g. –

8 OCTOBER 14, SLIDE 8 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Rationale for Multiple Roots Easier to understand than xsi:type Certain tools (e.g. binding frameworks, some editors) have problems with xsi:type

9 OCTOBER 14, SLIDE 9 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Objective of views Existing FpML has a single representation for each product –(some products have short form and long form) FpML product representation is primarily designed for confirmation –Many details, precise description It may be difficult to use FpML when not all detail is known/needed, e.g. –Pretrade: structuring, negotiation –Summary reporting Making most/all elements optional would make confirmation too loose Views are intended to provide multiple product representations, from very loose to very tight

10 OCTOBER 14, SLIDE 10 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Views in 5.0 FpML 5.0 currently supports 2 views –Reporting Very flexible product representation (almost everything is optional) Everything in confirmation view is available (but optional) –Confirmation As current 4.x product representation

11 OCTOBER 14, SLIDE 11 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Implementation of Views FpML maintains a single master schema Master schema contains annotations with view-specific details, –make this optional in view X –put this only in view Y FpML publishes separate view- specific schemas, one per view –Each view is generated from the master prior to publication –Each view has documentation and examples Each view-specific schema will have its own namespace, e.g., –http://www.fpml.org/FpML-5/reporting End users will use a view-specific schema, not the master

12 OCTOBER 14, SLIDE 12 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Views - Impact FpML users must decide which view (schema) to use for a given application/system Business processes are generally contained in a single view Some messages may be available in several views (e.g. MessageRejected) Once the view is selected, instance documents should be closely compatible with previous FpML versions Choosing a looser view (e.g. reporting) allows more flexibility about what data must be included in an instance document, but with less validation

13 OCTOBER 14, SLIDE 13 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Views - Impact Extensions will be impacted by the views –Extensions will need to import the appropriate views (e.g. –Extensions applicable to multiple views will need to be duplicated

14 OCTOBER 14, SLIDE 14 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Accounts and Roles 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 to support roles Account references have been added to allow party references to be narrowed down

15 OCTOBER 14, SLIDE 15 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Other Changes Product Representation –Adjusted dates –Booleans in CDS –Product refactoring Messaging Framework –Covered in the next presentation

16 OCTOBER 14, SLIDE 16 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Recap of Key Points What are the main changes in 5.0? –Multiple root elements, views, accounts, and roles What is the impact of such changes? –Business process selection, extensions are affected

17 OCTOBER 14, SLIDE 17 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview FpML Messaging ® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc. ® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

18 OCTOBER 14, SLIDE 18 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Agenda Unit Objectives FpML messaging purpose FpML message types Version 5 Messaging Features Business process categories –Confirmation View –Reporting Recap

19 OCTOBER 14, SLIDE 19 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Objectives - Questions to Answer What is FpML messaging for? What types of messages are there? What are the differences in messaging between 4.x and 5.x? What business processes does it support each view?

20 OCTOBER 14, SLIDE 20 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview FpML Messaging Purpose Define a protocol for communicating between firms to implement a business process Allow a recipient of an FpML document to understand how to process it.

21 OCTOBER 14, SLIDE 21 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview FpML Message Types 4.x –Message Request Message Response Message Notification Message 5.x –Message Request Message –Correctable Request Message –Non Correctable Request Message Response Message Notification Message

22 OCTOBER 14, SLIDE 22 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Message Header 4.x Provides message and context identifiers Identifies sender and recipients Records timing information Provides additional party information Provides assurance of sender

23 OCTOBER 14, SLIDE 23 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Message Header 5.x Same as 4.x except there is no conversationId element

24 OCTOBER 14, SLIDE 24 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Messaging Framework Principles Principle4.x5.x Observable completionPartialYes Consistent message correlationUndefinedYes Consistent error reportingNoYes Consistent correction and retractionNoYes Consistent processes across trades and post-trade events NoYes

25 OCTOBER 14, SLIDE 25 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview General Pattern of Messages in 5.0 Each business process follows this message pattern: –Process initiation message (request or notification) –Acknowledgement –Exception –Retraction –Optionally, response/status messages

26 OCTOBER 14, SLIDE 26 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Naming Conventions in 5.0 The general naming convention is as follows: –requestXXX –xxxAcknowledgement –xxxException –requestXXXRetracted –xxx[Status] or xxx[Response] XXX is the name of the business process

27 OCTOBER 14, SLIDE 27 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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

28 OCTOBER 14, SLIDE 28 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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

29 OCTOBER 14, SLIDE 29 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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.

30 OCTOBER 14, SLIDE 30 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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.

31 OCTOBER 14, SLIDE 31 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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

32 OCTOBER 14, SLIDE 32 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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

33 OCTOBER 14, SLIDE 33 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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

34 OCTOBER 14, SLIDE 34 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Example message im12937 IM01 DLR T15:38:00-04:00 false IM01 DLR01 DLR02 Could be replaced with a trade or other post-trade event, e.g. amendment or termination

35 OCTOBER 14, SLIDE 35 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Events Current list of events available within the generic business processes

36 OCTOBER 14, SLIDE 36 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Demo –FpML.org Login to development area (free account) Specification tab (www.FpML.org/spec/)www.FpML.org/spec/ –Documentation Browse online HTML version or download complete zip Section 3 shows Business Process Architecture –Schemas and samples Download schema and examples (confirmation_xml.zip) from: See confirmation messages in fpml-confirmation-processes-5-0.xsd XML examples are in subfolders inside zip Browsing the FpML 5.0 Confirmation View

37 OCTOBER 14, SLIDE 37 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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)

38 OCTOBER 14, SLIDE 38 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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.

39 OCTOBER 14, SLIDE 39 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Reporting View Approach Example of new approach New fields New reports

40 OCTOBER 14, SLIDE 40 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Reporting View - Approach 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 wont be a schema error – it will be a business rule validation error

41 OCTOBER 14, SLIDE 41 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Demo –FpML.org Login to development area (free account) Specification tab (www.FpML.org/spec/)www.FpML.org/spec/ –Documentation Browse online HTML version or download complete zip Section 3.4 shows Reporting Business Processes –Schemas and samples Download schema and examples (reporting_xml.zip) from: See reporting messages in fpml-reporting-5-0.xsd Reporting XML examples are in subfolders inside zip Browsing the FpML 5.0 Reporting View

42 OCTOBER 14, SLIDE 42 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Example of new approach

43 OCTOBER 14, SLIDE 43 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Example of new approach XXX00123 ABCDUS33 HEDGUS T15:38:00Z Z Copper ABCD Securities Inc. HEGDUS33 HedgeCo Capital L.L.C. 43

44 OCTOBER 14, SLIDE 44 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Example - position description CDS-POS Z Single Credit EUR 10000

45 OCTOBER 14, SLIDE 45 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview 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

46 OCTOBER 14, SLIDE 46 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Existing reports (available in 4.x and 5.0) Valuation (pricing and risk) Cash flow matching Portfolio reconciliation Position reporting

47 OCTOBER 14, SLIDE 47 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview New reports (only available in 5.0) 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

48 OCTOBER 14, SLIDE 48 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Recap of Key Points What is FpML messaging for? –Define protocol for business processes What types of messages are there? –Request, Response, Notification, CorrectableRequest, etc. What business processes does it support? –Confirmation view: execution, execution advice, confirmation, etc. –Reporting view: Valuation, Cash flow matching, etc.

49 OCTOBER 14, SLIDE 49 Copyright © 2010 International Swaps and Derivatives Association, Inc. FpML 5.0 Overview Questions? Resources: Download the FpML specification and drafts Participate to the development of the standard and join FpML Working Groups Post questions on the FpML Forum Questions, feedback:


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