1. ISDA FpML 5.0 Overview Andrew Jacobs (UBS)
Brian Lynn (Global Electronic Markets) Marc Gratacos (ISDA)
® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.
® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

2. Agenda
FpML 5.0 Highlights
Messaging Framework
Demo
Questions

3. ISDA
FpML 5.0 Highlights

4. Agenda Unit Objectives Major vs. Minor Releases
Architectural Changes in 5.0
Multiple Root Elements
Views
Accounts and Roles
Recap

5. Major vs. Minor Releases
Minor versions can add new functionality but are limited
Instance documents must be backward compatible
No deletions/changes to existing elements
Legal technical/architectural changes are limited
Major versions can
Introduce more significant technical/architectural changes
Redesign existing product representations
Version 5.0 introduces technical and design changes that have been deferred for compatibility reasons

6. Architectural Changes in 5.0
Implemented architectural changes
Multiple Root Elements
Introduction of “Views”: confirmation and reporting
Messaging correlation [covered in Messaging]
Generic Business Processes [covered in Messaging]
Separation of parties and accounts
Better support for roles

7. Multiple Root Elements
FpML v 1-4.x use “<FpML>” as the root of all documents
FpML 4.x uses “xsi:type” to distinguish between message types, e.g.
<FpML version=“4-7” xsi:type=“RequestTradeConfirmation” … >
FpML 5.x
uses different element names to distinguish between message types (no <FpML> root any more)
Changes “version” to “fpmlVersion” to make it easier to determine where the FpML starts, e.g.
<requestConfirmation fpmlVersion=“5-0” … >

8. Rationale for Multiple Roots
Easier to understand than xsi:type
Certain tools (e.g. binding frameworks, some editors) have problems with xsi:type

9. Objective of views
Existing FpML has a single representation for each product
(some products have short form and long form)
FpML product representation is primarily designed for confirmation
Many details, precise description
It may be difficult to use FpML when not all detail is known/needed, e.g.
Pretrade: structuring, negotiation
Summary reporting
Making most/all elements optional would make confirmation too loose
Views are intended to provide multiple product representations, from very loose to very tight

10. Views in 5.0 FpML 5.0 currently supports 2 views Reporting
Very flexible product representation (almost everything is optional)
Everything in confirmation view is available (but optional)
Confirmation
As current 4.x product representation

11. Implementation of Views
FpML maintains a single master schema
Master schema contains annotations with view-specific details,
“make this optional in view X”
“put this only in view Y”
FpML publishes separate view-specific schemas, one per view
Each view is generated from the master prior to publication
Each view has documentation and examples
Each view-specific schema will have its own namespace, e.g.,
End users will use a view-specific schema, not the master

12. Views - Impact
FpML users must decide which view (schema) to use for a given application/system
Business processes are generally contained in a single view
Some messages may be available in several views (e.g. “MessageRejected”)
Once the view is selected, instance documents should be closely compatible with previous FpML versions
Choosing a looser view (e.g. reporting) allows more flexibility about what data must be included in an instance document, but with less validation

13. Views - Impact Extensions will be impacted by the views
Extensions will need to import the appropriate views (e.g. <xsd:import namespace=“ …>
Extensions applicable to multiple views will need to be duplicated

14. Accounts and Roles 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 to support roles
Account references have been added to allow party references to be narrowed down 14

15. Other Changes Product Representation Messaging Framework
Adjusted dates
Booleans in CDS
Product refactoring
Messaging Framework
Covered in the next presentation 15

16. Recap of Key Points What are the main changes in 5.0?
Multiple root elements, views, accounts, and roles
What is the impact of such changes?
Business process selection, extensions are affected

17. FpML Messaging
® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.
® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

18. Agenda Unit Objectives FpML messaging purpose FpML message types
Version 5 Messaging Features
Business process categories
Confirmation View
Reporting
Recap

19. Objectives - Questions to Answer
What is FpML messaging for?
What types of messages are there?
What are the differences in messaging between 4.x and 5.x?
What business processes does it support each view?
The questions we will answer with this section.

20. FpML Messaging Purpose
Define a protocol for communicating between firms to implement a business process
Allow a recipient of an FpML document to understand how to process it.
So, Why FpML messaging?
If banks use different protocols for communicating FpML documents, this represents high costs implementing interfaces between these protocols.
The same argument applies to business processes. If banks use different business process implementations, this represents high interoperability costs between them.
The messaging framework provides context on how to process the document.

21. FpML Message Types 4.x 5.x Message Message Request Message
Response Message
Notification Message
5.x
Message
Request Message
Correctable Request Message
Non Correctable Request Message
Response Message
Notification Message
Currently, the following types are modeled in FpML:
A general message structure
A request message type
A response message type
And a notification message type

22. Message Header 4.x Provides message and context identifiers
Identifies sender and recipients
Records timing information
Provides additional party information
Provides assurance of sender
The message header contains the following elements…
Context identifiers
Information abut the sender and the recipient
Timing information
Digital signature

23. Message Header 5.x
Same as 4.x except there is no conversationId element

24. Messaging Framework Principles
4.x
5.x
Observable completion
Partial
Yes
Consistent message correlation
Undefined
Consistent error reporting No
Consistent correction and retraction
Consistent processes across trades and post-trade events 24

25. General Pattern of Messages in 5.0
Each business process follows this message pattern:
Process initiation message (request or notification)
Acknowledgement
Exception
Retraction
Optionally, response/status messages 25

26. The general naming convention is as follows:
Naming Conventions in 5.0
The general naming convention is as follows:
requestXXX
xxxAcknowledgement
xxxException
requestXXXRetracted
xxx[Status] or xxx[Response]
XXX is the name of the business process 26

27. 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 27

28. 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 28

29. 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. 29

30. 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. 30

31. 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 31

32. 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 32

33. 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 33

34. 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 34

35. Events
Current list of events available within the generic business processes

36. Browsing the FpML 5.0 Confirmation View
Demo
FpML.org
Login to development area (free account)
“Specification” tab (
Documentation
Browse online HTML version or download complete zip
Section 3 shows “Business Process Architecture”
Schemas and samples
Download schema and examples (confirmation_xml.zip) from:
See confirmation messages in fpml-confirmation-processes-5-0.xsd
XML examples are in subfolders inside zip 36

37. 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) 37

38. 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. 38

39. Reporting View Approach Example of new approach New fields New reports39

40. Reporting View - Approach
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 40

41. Browsing the FpML 5.0 Reporting View
Demo
FpML.org
Login to development area (free account)
“Specification” tab (
Documentation
Browse online HTML version or download complete zip
Section 3.4 shows “Reporting Business Processes”
Schemas and samples
Download schema and examples (reporting_xml.zip) from:
See reporting messages in fpml-reporting-5-0.xsd
Reporting XML examples are in subfolders inside zip 41

42. Example of new approach42

43. 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> 43 43

44. 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> 44

45. 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 45

46. Existing reports (available in 4.x and 5.0)
Valuation (pricing and risk)
Cash flow matching
Portfolio reconciliation
Position reporting 46

47. New reports (only available in 5.0)
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 47

48. Recap of Key Points What is FpML messaging for?
Define protocol for business processes
What types of messages are there?
Request, Response, Notification, CorrectableRequest, etc.
What business processes does it support?
Confirmation view: execution, execution advice, confirmation, etc.
Reporting view: Valuation, Cash flow matching, etc.

49. Questions? Resources: www.FpML.org
Download the FpML specification and drafts
Participate to the development of the standard and join FpML Working Groups
Post questions on the FpML Forum
Questions, feedback: