fpml 5 0 overview l.
Download
Skip this Video
Loading SlideShow in 5 Seconds..
FpML 5.0 Overview PowerPoint Presentation
Download Presentation
FpML 5.0 Overview

Loading in 2 Seconds...

play fullscreen
1 / 42

FpML 5.0 Overview - PowerPoint PPT Presentation


  • 415 Views
  • Uploaded on

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

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'FpML 5.0 Overview' - Philip


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
fpml 5 0 overview

FpML 5.0 Overview

ISDA

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.

agenda
Agenda

FpML 5.0 Highlights

Messaging Framework

Demo

Questions

agenda4
Agenda

Unit Objectives

Major vs. Minor Releases

Architectural Changes in 5.0

Multiple Root Elements

Views

Accounts and Roles

Recap

major vs minor releases
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
architectural changes in 5 0
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
multiple root elements
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”… >
rationale for multiple roots
Rationale for Multiple Roots
  • Easier to understand than xsi:type
  • Certain tools (e.g. binding frameworks, some editors) have problems with xsi:type
objective of views
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
views in 5 0
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
implementation of views
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

views impact
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
views impact13
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/FpML-5/confirmation” …>
    • Extensions applicable to multiple views will need to be duplicated
accounts and roles
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

other changes
Other Changes

Product Representation

Adjusted dates

Booleans in CDS

Product refactoring

Messaging Framework

Covered in the next presentation

recap of key points
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 messaging

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.

agenda18
Agenda

Unit Objectives

FpML messaging purpose

FpML message types

Version 5 Messaging Features

Business process categories

Confirmation View

Reporting

Recap

objectives questions to answer
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 messaging purpose
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 message types
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
message header 4 x
Message Header 4.x

Provides message and context identifiers

Identifies sender and recipients

Records timing information

Provides additional party information

Provides assurance of sender

message header 5 x
Message Header 5.x
  • Same as 4.x except there is no conversationId element
general pattern of messages in 5 0
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

naming conventions in 5 0
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

message correlation and sequencing
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

correction retraction
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

acknowledgements and exceptions
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.

on behalf of
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.

generic business processes
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

generic processes supported
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

events
Events
  • Current list of events available within the generic business processes
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

Browsing the FpML 5.0 Confirmation View
generic processes benefits
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)

generic processes drawbacks
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.

reporting view
Reporting View

Approach

Example of new approach

New fields

New reports

reporting view approach
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

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

Browsing the FpML 5.0 Reporting View
existing reports available in 4 x and 5 0
Existing reports (available in 4.x and 5.0)

Valuation (pricing and risk)

Cash flow matching

Portfolio reconciliation

Position reporting

new reports only available in 5 0
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

recap of key points41
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.

questions
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