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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 2 Agenda Overview Reporting View Messaging Framework Other changes Next Steps

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 3 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 4 Reporting View Approach Example of new approach New fields New reports 4

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 5 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 wont be a schema error – it will be a business rule validation error 5

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 6 Example of new approach XXX00123 ABCDUS33 HEDGUS T15:38:00Z Z Copper ABCD Securities Inc. HEGDUS33 HedgeCo Capital L.L.C. 6

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 7 Example - position description CDS-POS Z Single Credit EUR

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 8 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 9 Existing reports Valuation (pricing and risk) Cash flow matching Portfolio reconciliation Position reporting 9

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 10 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 10

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 11 Messaging Framework Principles General pattern of messages Naming Convention Message Correlation Correction/Retraction Acknowledgements and Exception Generic business processes 11

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 12 Messaging Framework Principles Observable completion Consistent message correlation Consistent error reporting Consistent correction and retraction Consistent processes across trades and post- trade events 12

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 13 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 14 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 15 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 16 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 17 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 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 18

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 19 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 20 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 21 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 22 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 23 Generic process - example TQ12937 UBSW MATCHSRV T15:38:00-04:00 false UBSW JPMC 23

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 24 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

FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 25 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