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February 7, 2011 - SLIDE 1 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FpML Reporting Working Group ® ISDA.

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Presentation on theme: "February 7, 2011 - SLIDE 1 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FpML Reporting Working Group ® ISDA."— Presentation transcript:

1 February 7, SLIDE 1 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG FpML Reporting Working Group ® 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 Brian Lynn – Chair (Global Electronic Markets) Lyteck Lynhiavu (ISDA)

2 February 7, SLIDE 2 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Agenda Accomplishments in 2009/10 –Version 5.0 –Version 5.1 –Usage to date Mission for 2011 Activities Next steps Issues Feedback from Standards Committee, Jan. 31

3 February 7, SLIDE 3 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Accomplishments in version 5.0 Gathered a detailed data field spreadsheet and examples for many products Mapped data requirements to standard FpML Developed a loose reporting view leveraging FpMLs traditional nested structure (but with most values optional) Added some additional fields where needed (e.g. asset class) Developed a number of new reports, including –Activity reports –Reset reports –Entity reference data report Enhanced existing reports (e.g. position report) –More meta data –More flexibility

4 February 7, SLIDE 4 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Reporting WG in version 5.1 Mostly inactive, met in conjunction with BPWG Slightly enhanced some existing reports, e.g. –Added settlement calculation to position reports

5 February 7, SLIDE 5 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Usage of FpML reporting Usage of FpML reporting to date has been minimal to moderate –Some service providers use a number of the reports (e.g. position report, reset report) to report on activity / reconciliation –DSWG reports continue to be used by some firms –Many new reporting requirements/feeds are being defined that are not currently planning to use FpML

6 February 7, SLIDE 6 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Mission for 2011 Provide industry-standard report specifications that will be used by industry participants and service providers to address regulatory reporting requirements

7 February 7, SLIDE 7 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Review and consolidate requirements published by different industry groups and regulators Identify data coverage gaps in FpML Develop simple, flat reports that address those requirements Define mappings between nested FpML and flat reports Demonstrate conversions between nested and flat XML and between flat XML and CSV (proposal has been developed) Activities

8 February 7, SLIDE 8 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Possible report types Position reconciliation Trading activity Aggregate exposure Possibly some kinds of simplified risk and market input reports Others TBD, maybe more collateral- related reports

9 February 7, SLIDE 9 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Next Steps Call for participation sent Jan. 18 Participation –74 members including 10 new subscribers –Involving Regulators –Involving Other Groups Timing: FpML 5.2 (scheduled mid 2011) Proposed Schedule –Mondays at 11am Meet with Ops Steering Committee (OSC)

10 February 7, SLIDE 10 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG How do we obtain sufficient, representative input from regulators? How do we interact with operational working groups? How do we interact with external standards bodies? (FIX, XBRL, etc.) Should we add any missing data elements to the core standard? Issues

11 February 7, SLIDE 11 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Standards Committee Feedback Priorities –Analyze regulatory requirements, identify gaps, create standardized format –Prototype real-time/near real-time regulatory reporting Mission –Focus on reporting to repositories (vs. directly to regulators) –Try to create consistency across SDRs

12 February 7, SLIDE 12 Copyright © 2011 International Swaps and Derivatives Association, Inc. FpML Reporting WG Questions? WG Info: WG Charter:


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