1. 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

2. 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

3. 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

4. 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

5. 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

6. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 6 Example of new approach XXX00123 ABCDUS33 HEDGUS33 2004-08-02T15:38:00Z 2004-06-02Z Copper ABCD Securities Inc. HEGDUS33 HedgeCo Capital L.L.C. 6

7. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 7 Example - position description CDS-POS-01 2002-12-02Z Single Credit EUR 10000 7

8. 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

9. 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

10. 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 Entity/Party report (work in progress) – Reports on static reference data for parties. 10

11. 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 On-behalf of Generic business processes 11

12. 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

13. 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

14. 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

15. 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 use the correlation ID to link to the request. Sequence numbers may be used to establish message order 15

16. 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 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 16

17. 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

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

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

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

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

22. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 22 Example message im12937 IM01 DLR01 2003-04-02T15:38:00-04:00 false 231234213231 1 IM01 DLR01 DLR02 22 Could be replaced with a trade or other post-trade event, e.g. amendment or termination

23. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 23 Consent Negotiation – Requestor asks for ok; recipient can grant or refuse request Sample Process 23

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

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

26. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 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 26

27. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 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. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 28 Example of account usage TQ12937 OperationsOutsourcer Custodian 2003-04-02T15:38:00-04:00 false 231234213231 1 IM01 DLR01 OPS01 123 <servicingParty href=svc_provider 28 Ops Outsourcer is sending the message on behalf of IM01 Account 123 is serviced by ops outsource for IM01

29. FpML REPORTING WORKING GROUP Copyright © 2010 International Swaps and Derivatives Association, Inc. JANUARY 2010 – SLIDE 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 29