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.
FpML 5.0 Overview
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
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 “<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”
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 9
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 viewspecific 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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 11
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 12
Views - Impact
• Extensions will be impacted by the views
– Extensions will need to import the appropriate
views (e.g. <xsd:import
namespace=“http://www.fpml.org/FpML5/confirmation” …>
– Extensions applicable to multiple views will
need to be duplicated
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
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
® 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 5.0 Overview
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 18
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
5.x
– Message
– Message
• Request Message
• Response Message
• Notification 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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
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-behalfof 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.
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 33
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 36
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
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
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 41
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: FpMLinfo@fpml.org
FpML 5.0 Overview
Copyright © 2010 International Swaps and Derivatives Association, Inc.
OCTOBER 14, 2010 - SLIDE 49