1. FpML Version 5, Working Draft 4 ISDA FpML Update
Brian Lynn Global Electronic Markets
Marc Gratacos FpML Consultant
International Swaps and Derivatives Association, Inc. (ISDA)

2. Agenda Overview Reporting View Messaging Framework Other changes
Next Steps

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

4. Reporting View
Approach
Example of new approach
New fields
New reports

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 won’t be a schema error – it will be a business rule validation error

6. Example of new approach
<positionReport xmlns=" xmlns:xsi=" fpmlVersion="5-0" xsi:schemaLocation=" ../fpml-main-5-0.xsd"> <header> <!-- optional, can be used if desired --> <messageId messageIdScheme=" <sentBy>ABCDUS33</sentBy> <sendTo>HEDGUS33</sendTo> <creationTimestamp> T15:38:00Z</creationTimestamp> </header> <asOfDate> Z</asOfDate> <dataSetName>Copper</dataSetName> <position> <!-- position details go here - see next page --> </position> <party id="party1"> <partyName>ABCD Securities Inc.</partyName> </party> <party id="party2"> <partyId>HEGDUS33</partyId> <partyName>HedgeCo Capital L.L.C.</partyName> </positionReport>

7. Example - position description
<position> <positionId positionIdScheme=" <constituent> <trade> <tradeHeader> <tradeDate> Z</tradeDate> </tradeHeader> <creditDefaultSwap> <productType productTypeScheme=" <assetClass assetClassScheme=" <generalTerms> <buyerPartyReference href="party1"/> <sellerPartyReference href="party2"/> </generalTerms> <protectionTerms> <calculationAmount> <currency>EUR</currency> <amount>10000</amount> </calculationAmount> </protectionTerms> </creditDefaultSwap> </trade> </constituent> </position>

8. 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

9. Existing reports
Valuation (pricing and risk)
Cash flow matching
Portfolio reconciliation
Position reporting

10. New reports Position Activity Report Event 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
Entity/Party report (work in progress)
Reports on static reference data for parties.

11. Messaging Framework Principles General pattern of messages
Naming Convention
Message Correlation
Correction/Retraction
Acknowledgements and Exception
On-behalf of
Generic business processes
Other changes

12. Messaging Framework Principles
Observable completion
Consistent message correlation
Consistent error reporting
Consistent correction and retraction
Consistent processes across trades and post-trade events

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

14. The general naming convention is as follows:
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

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 use the correlation ID to link to the request.
Sequence numbers may be used to establish message order

16. 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

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.

18. 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.

19. 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

20. 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

21. 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

22. Example message
<requestConsent xmlns=" xmlns:xsi=" fpmlVersion="5-0" xsi:schemaLocation=" ../../fpml-main-5-0.xsd"> <header> <messageId messageIdScheme=" <sentBy>IM01</sentBy> <sendTo>DLR01</sendTo> <creationTimestamp> T15:38:00-04:00</creationTimestamp> </header> <isCorrection>false</isCorrection> <correlationId correlationIdScheme=" <sequenceNumber>1</sequenceNumber> <novation> <!-- novation details here --> </novation> <party id="party1"> <partyId>IM01</partyId> </party> <party id="party2"> <partyId>DLR01</partyId> <party id="party3"> <partyId>DLR02</partyId> </requestConsent>
Could be replaced with a trade or other post-trade event, e.g. amendment or termination

23. Sample Process Consent Negotiation
Requestor asks for ok; recipient can grant or refuse request

24. 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)

25. 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.

26. Other changes 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
Account references have been added to allow party references to be narrowed down

27. Other changes (continued)
Contract Notification messages have been replaced with executionAdvice
A few changes have been made to shared components
Adjustable Date representation has been tweaked to allow adjusted dates in more places

28. Example of account usage
<executionAdvice xmlns=" xmlns:xsi=" fpmlVersion="5-0" xsi:schemaLocation=" ../../fpml-main-5-0.xsd"> <header> <messageId messageIdScheme=" <sentBy>OperationsOutsourcer</sentBy> <sendTo>Custodian</sendTo> <creationTimestamp> T15:38:00-04:00</creationTimestamp> </header> <isCorrection>false</isCorrection> <correlationId correlationIdScheme=" <sequenceNumber>1</sequenceNumber> <onBehalfOf> <partyReference href=“party1”/> <accouontReference href=“acct1”/> </onBehalfOf> <trade> <!-- trade details here --> </trade> <party id="party1"> <partyId>IM01</partyId> </party> <party id="party2"> <partyId>DLR01</partyId> <party id=“svc_provider"> <partyId>OPS01</partyId> <account id=“acct1"> <acctId>123</acctId> <accountBeneficiary href=“party1”/> <servicingParty href=“svc_provider” </account> </executionAdvice>
Ops Outsourcer is sending the message on behalf of IM01
Account 123 is serviced by ops outsource for IM01

29. 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