FpML 5.0 Overview

1. 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.

2. Agenda FpML 5.0 Highlights Messaging Framework Demo Questions

3. FpML 5.0 Highlights ISDA

4. Agenda Unit Objectives Major vs. Minor Releases Architectural Changes in 5.0 Multiple Root Elements Views Accounts and Roles Recap

5. 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

6. 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

7. 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”… >

8. Rationale for Multiple Roots • Easier to understand than xsi:type • Certain tools (e.g. binding frameworks, some editors) have problems with xsi:type

9. 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

10. 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

11. 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

12. 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

13. 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

14. 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

15. Other Changes Product Representation Adjusted dates Booleans in CDS Product refactoring Messaging Framework Covered in the next presentation

16. 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

17. 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.

18. Agenda Unit Objectives FpML messaging purpose FpML message types Version 5 Messaging Features Business process categories Confirmation View Reporting Recap

19. 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?

20. 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.

21. 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

22. Message Header 4.x Provides message and context identifiers Identifies sender and recipients Records timing information Provides additional party information Provides assurance of sender

23. Message Header 5.x • Same as 4.x except there is no conversationId element

24. 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

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

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

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

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.

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.

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

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

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

33. 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

34. 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)

35. 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.

36. Reporting View Approach Example of new approach New fields New reports

37. 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

38. 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

39. Existing reports (available in 4.x and 5.0) Valuation (pricing and risk) Cash flow matching Portfolio reconciliation Position reporting

40. 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

41. 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.

42. 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