Transcript Introduction to FpML – 1 Day Intensive Course

ISDA
FpML Reporting
Working Group
Brian Lynn – Chair (Global Electronic Markets)
Lyteck Lynhiavu (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.
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 1
Agenda
• Accomplishments in 2009/10
– Version 5.0
– Version 5.1
– Usage to date
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Mission for 2011
Activities
Next steps
Issues
Feedback from Standards Committee, Jan. 31
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 2
Accomplishments in version 5.0
• Gathered a detailed data field spreadsheet and examples
for many products
• Mapped data requirements to standard FpML
• Developed a loose reporting view leveraging FpML’s
traditional nested structure (but with most values optional)
• Added some additional fields where needed (e.g. asset class)
• Developed a number of new reports, including
– Activity reports
– Reset reports
– Entity reference data report
• Enhanced existing reports (e.g. position report)
– More meta data
– More flexibility
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 3
Reporting WG in version 5.1
• Mostly inactive, met in conjunction with
BPWG
• Slightly enhanced some existing reports,
e.g.
– Added settlement calculation to position reports
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 4
Usage of FpML reporting
• Usage of FpML reporting to date has been
minimal to moderate
– Some service providers use a number of the
reports (e.g. position report, reset report) to
report on activity / reconciliation
– DSWG reports continue to be used by some
firms
– Many new reporting requirements/feeds are
being defined that are not currently planning
to use FpML
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 5
Mission for 2011
• Provide industry-standard report
specifications that will be used by industry
participants and service providers to
address regulatory reporting requirements
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 6
Activities
• Review and consolidate requirements
published by different industry groups and
regulators
• Identify data coverage gaps in FpML
• Develop simple, “flat” reports that address
those requirements
• Define mappings between “nested” FpML
and “flat” reports
• Demonstrate conversions between nested
and flat XML and between flat XML and CSV
(proposal has been developed)
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 7
Possible report types
• Position reconciliation
• Trading activity
• Aggregate exposure
• Possibly some kinds of simplified risk and
market input reports
• Others TBD, maybe more collateralrelated reports
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 8
Next Steps
• Call for participation sent Jan. 18
• Participation
– 74 members including 10 new subscribers
– Involving Regulators
– Involving Other Groups
• Timing: FpML 5.2 (scheduled mid 2011)
• Proposed Schedule
– Mondays at 11am
• Meet with Ops Steering Committee (OSC)
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 9
Issues
• How do we obtain sufficient,
representative input from regulators?
• How do we interact with operational
working groups?
• How do we interact with external
standards bodies? (FIX, XBRL, etc.)
• Should we add any missing data elements
to the core standard?
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 10
Standards Committee Feedback
• Priorities
– Analyze regulatory requirements, identify
gaps, create standardized format
– Prototype real-time/near real-time regulatory
reporting
• Mission
– Focus on reporting to repositories (vs. directly
to regulators)
– Try to create consistency across SDRs
FpML Reporting WG
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 11
Questions?
• WG Info:
• WG Charter:
FpML Reporting WG
http://www.fpml.org/wgroup/rptwg/rptwg.html
http://www.fpml.org/wgroup/rptwg/rptwgcharter.html
Copyright © 2011 International Swaps and Derivatives Association, Inc.
February 7, 2011 - SLIDE 12