1. Messaging Patterns Proposal to change FpML Messaging

2. Content Correlation Acknowledgements Exception modelling Advice vs. Notification Corrections On behalf of Trade Roles Trade vs. Contract Messaging Gaps

3. Correlation Confusion in the current model on how to identify the context in which the messages will be interpreted –conversationId Optional Not well-defined –eventId Optional Not in all messages (before 4.2) Forces common content for all messages

4. Correlation: solution (I) correlationId –Applied to all messages –Allocated by the initiator of the business process

5. Correlation-Sequencing In a long running operation message ordering is important Each messages messageId is unique But the order of messages can not be inferred by comparing two identifiers Existing implementations (SWIFT-CUG) use trade versioning to derive ordering

6. Sequencing: solution (II) sequenceNo –To define a sequence number –Although sequence numbers should be consistently increasing in value they do not have to form a gapless sequence

7. Example … 7 1 … … Lots more here … …

8. Example Message TypeSenderReceiverMessageIdInReplyToCorrelationIdSequenceNo RequestTradeConfirmationBANKSERVICEAB/123-BANK/7BANK/1 RequestAcknowledgedSERVICEBANKXZ/567AB/123BANK/7 ModifyTradeConfirmationBANKSERVICEAB/126-BANK/7BANK/2 RequestAcknowledgedSERVICEBANKZX/599AB/126BANK/7 TradeMatchedSERVICEBANKZX/610-BANK/7SERVICE/1 EventAcknowledgedBANKSERVICEAB/145ZX/610BANK/7

9. Acknowledgements All requests messages must have an immediate response It allows a more synchronous style of design

10. Exception modelling Worth recognizing errors separately from normal responses Add consistency across exceptions

11. Exception modelling All existing errors can be adjusted to derive from the ExceptionMessage type rather than ResponseMessage

12. Advice vs. Notification A true notification should be something that we can choose to disregard without having to inform anyone else

13. Advice vs. Notification Most of the information we distribute as notifications we expect the receiver act upon rather than ignore Often we would like an acknowledgement of that action (e.g. ContractNotifications, matching results, etc) Really this should be implemented as an advice pattern using a request/response style pattern.

14. Corrections Lack of consistency defining correction messages – flag has been added to distinguish between correcting vs. Non- correcting messages –Used in patterns like distribution

15. onBehalfOf There are situations where a third party can not easily tell which side of the trade he is supposed to be processing –Neutral view principle –Communication to a common third party

16. onBehalfOf An explicit indication of the party for whom the trade should be processed is needed –It should be included in every message … Basic message details … … Request specification here

17. Example false 7 1 … Lots more here … …

18. Trade Roles The addition in FpML 4.2 of the trade side structure allows party roles to be associated with a trade The TradeSide structure is used to capture the role information mixes contractual and processing information –Most of these values are only relevant to specific business processes –They should be properties of the supporting messages

19. Trade Roles: Solution (I) Separation of Party and Account –Make relationships clearer

20. Trade Roles: Solution (II) Book-to-Book trades –Current model assumes buyer & seller always different Difficulty to represent internal trades –New optional account reference Single party in both sides is possible Info for settlement

21. Trade Roles: Solution (III) Other Roles and Accounts –Support Give- Ups and custodian account –Simpler implementation Less indirection

22. Trade vs. Contract Two structures describing the same information Business process need to be duplicated –Examples: novations, terminations,… Validation rules need to be duplicated ISDA legal documentation uses transaction. Trade, deal, contract and transaction are often used interchangeably.

23. Trade vs. Contract (Solution) The contract concept could be removed from the schema and the CUG messages reverted to a trade based model –Migrating Contract messages to trade has been analyzed (see separate presentation)

24. Messaging Gaps Requirements –Existing message sequences must follow a Messaging Pattern See Appendix for details on exchange patterns –All processes must have an observable completion Messaging Gaps have been identified as result of the analysis Scripts for checking will be implemented to avoid future gaps

25. Appendix

26. Patterns The Negotiation Pattern The Distribution Pattern The Matching Pattern The Reconciliation Pattern

27. The Negotiation Pattern In many business processes a series of exchanges are needed between the participants before are an agreement can take place on the final outcome

28. The Negotiation Pattern The key points are: –The proposing party starts the negotiation and decides when it has reached an outcome that he will accept or abandon the process –The other party must always produce an offer based on the last proposal. He will only confirm an acceptance made on his last offer

29. The Distribution Pattern In many processes the outcome of the negotiated outcome often needs to be distributed to other parties not directly involved in the negotiation but who have a role in future operations The general pattern for distribution should follow the advice style discussed earlier –The informer would normally like to know that the informed party has received and understood the information.

30. The Distribution Pattern Sometimes an action cannot be accepted –At time t0 a contract notification is sent indicating that some action is to be performed at t2 –Up until t1 the original notification can be changed or cancelled because it has had no external effect –Between t1 and t2 modifying the action becomes more difficult with associated financial costs. Any attempt to modify the original notification should be refused to force the informer to issue a compensating transaction The informer does not know when the informed has entered the grey-area unless the notification can generate a response.

31. Distribution: Correcting Mistakes Sometimes an advice is sent containing the wrong information –The message details are sent to entirely the wrong party. –The message is sent to right party but the details are incorrect. Retraction and correction is necessary

32. The Matching Pattern Matching is the process of pairing trades submitted by their counterparties based on their definition The status of a trade held within a matching engine is unmatched until one of three outcomes is decided –Matched –Mismatched –Unmatched

33. The Reconciliation Pattern Cash flow and portfolio reconciliation are both long running reconciliation processes. The process begins with the requester either creating a new data set or adjusting the content of an existing one.

34. Messaging Gaps Gaps have been identified to FpML 4.5 applying the patterns to the existing business processes FpML 4.5 MessageUpdated ModelPatternComments RequestTradeConfirmation Negotiation AcknowledgementNegotiationNew ModifyTradeConfirmation Negotiation AcknowledgementNegotiationNew CancelTradeConfirmation Negotiation AcknowledgementNegotiationNew TradeMatched Advice AcknowledgementAdviceNew TradeMismatched Advice