FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 1 2010 Q1 Phase I Processes Margin.

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Presentation transcript:

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE Q1 Phase I Processes Margin Call (completed) Substitution (completed) Interest (completed) Phase II (TBD) FpML 5.1 (First draft)FpML 5.1 REC Margin call development + reusable collateral building blocks Fed Commitment Letter March 1 Jan Feb March FpML 5.1 deliverables Kick-off April May JuneJuly Aug SeptOct Nov Dec Q2Q3Q4 1 st Working Draft Last CallTrial Recommendation RECOMMENDATION ISDA electronic messaging Nov 09 3 nd Working Draft Collateral Mgmt Roadmap April 15 Substitution Interest FpML Collateral Roadmap …

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 2 Level 3: Business validation (Semantic validation) (good data) – Some FpML documents are syntactically correct but make no business sense (e.g. effective date > termination date) – These documents will pass XML Schema validation but arent meaningful – This has serious ramifications for downstream / processing systems – The objective is to catch problems early – FpML Validation is developed to address business/semantic validation Level 2: Schema validation (good structure / correct datatypes) Level 1: Well-formedness (good XML syntax) Validation XML Trade Processing XML Trade Creation Schema validation is not enough…

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 3 FpML Validation Rules

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 4 FpML Validation Rule Definitions Validation rules are defined with the following: – Precise, unambiguous definition of the rule (formalized Xpath/English language, pseudo machine readable) – Possibly one or more conditions (prerequisites) which must hold before the rule is executed – Possibly a rationale to explain the purpose of the rule – A set of FpML examples that are valid – A set of FpML examples that are invalid (trigger the rule) E.g., Condition(s) Definition Rule ID Context Links to XML examples