Transcript FpML 5.0 Presentation
ISDA
FpML 5.0 Overview
Andrew Jacobs (UBS) Brian Lynn Marc Gratacos (Global Electronic Markets) (ISDA)
FpML 5.0 Overview
® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.
® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 1
Agenda
• FpML 5.0 Highlights • Messaging Framework • Demo • Questions
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 2
ISDA
FpML 5.0 Highlights
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 3
Agenda
• Unit Objectives • Major vs. Minor Releases • Architectural Changes in 5.0
• Multiple Root Elements • Views • Accounts and Roles • Recap
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 4
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 5
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 6
Multiple Root Elements
• FpML v 1-4.x use “
–
– uses different element names to distinguish between message types (no
–
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 7
Rationale for Multiple Roots
• Easier to understand than xsi:type • Certain tools (e.g. binding frameworks, some editors) have problems with xsi:type
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 8
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 9 FpML 5.0 Overview
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 10
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., – http://www.fpml.org/FpML-5/reporting • End users will use a view-specific schema, not the master
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 11 FpML 5.0 Overview
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 12
Views - Impact
• Extensions will be impacted by the views – Extensions will need to import the appropriate views (e.g.
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 13
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 14
Other Changes
• Product Representation – Adjusted dates – Booleans in CDS – Product refactoring • Messaging Framework – Covered in the next presentation
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 15
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 16
FpML Messaging
FpML 5.0 Overview
® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.
® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 17
Agenda
• Unit Objectives • FpML messaging purpose • FpML message types • Version 5 Messaging Features • Business process categories – Confirmation View – Reporting • Recap
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 18 FpML 5.0 Overview
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?
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 19
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.
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 20
FpML Message Types
• 4.x
– Message • Request Message • Response Message • Notification Message 5.x
– Message Request Message – Correctable Request Message – Non Correctable Request Message Response Message Notification Message
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 21
Message Header 4.x
• Provides message and context identifiers • Identifies sender and recipients • Records timing information • Provides additional party information • Provides assurance of sender
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 22
Message Header 5.x
• Same as 4.x except there is no conversationId element
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 23
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 25
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 26
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 27
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 28
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.
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 29
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.
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 30
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 31
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 33 FpML 5.0 Overview
Events
• Current list of events available within the generic business processes
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 35
Browsing the FpML 5.0 Confirmation View • Demo – FpML.org
• Login to development area (free account) • “Specification” tab ( www.FpML.org/spec/ ) – Documentation • http://www.fpml.org/spec/fpml-5-0-8-rec-1/html/confirmation/index.html
• 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: http://www.fpml.org/spec/fpml-5-0-8-rec-1/ • See confirmation messages in fpml-confirmation-processes-5-0.xsd
• XML examples are in subfolders inside zip
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 36 FpML 5.0 Overview
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)
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 37
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.
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 38
Reporting View
• Approach • Example of new approach • New fields • New reports
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 39
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
Copyright © 2010 International Swaps and Derivatives Association, Inc.
FpML 5.0 Overview OCTOBER 14, 2010 - SLIDE 40
Browsing the FpML 5.0 Reporting View • Demo – FpML.org
• Login to development area (free account) • “Specification” tab ( www.FpML.org/spec/ ) – Documentation • http://www.fpml.org/spec/fpml-5-0-8-rec-1/html/reporting/index.html
• 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: http://www.fpml.org/spec/fpml-5-0-8-rec-1/ • See reporting messages in fpml-reporting-5-0.xsd
• Reporting XML examples are in subfolders inside zip
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 41 FpML 5.0 Overview
Existing reports (available in 4.x and 5.0) • Valuation (pricing and risk) • Cash flow matching • Portfolio reconciliation • Position reporting
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 46
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
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 47
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.
FpML 5.0 Overview Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 48
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: [email protected]
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 49 FpML 5.0 Overview