February 7, 2011 - SLIDE 1Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

FpML ReportingWorking Group

® ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.

® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.

ISDA

Brian Lynn – Chair (Global Electronic Markets)Lyteck Lynhiavu (ISDA)

February 7, 2011 - SLIDE 2Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

Agenda

• Accomplishments in 2009/10– Version 5.0– Version 5.1– Usage to date

• Mission for 2011• Activities• Next steps• Issues• Feedback from Standards Committee, Jan. 31

February 7, 2011 - SLIDE 3Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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

February 7, 2011 - SLIDE 4Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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

February 7, 2011 - SLIDE 5Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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

February 7, 2011 - SLIDE 6Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

Mission for 2011

• Provide industry-standard report specifications that will be used by industry participants and service providers to address regulatory reporting requirements

February 7, 2011 - SLIDE 7Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

• 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)

Activities

February 7, 2011 - SLIDE 8Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

Possible report types

• Position reconciliation

• Trading activity

• Aggregate exposure

• Possibly some kinds of simplified risk and market input reports

• Others TBD, maybe more collateral-related reports

February 7, 2011 - SLIDE 9Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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)

February 7, 2011 - SLIDE 10Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

• 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?

Issues

February 7, 2011 - SLIDE 11Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

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

February 7, 2011 - SLIDE 12Copyright © 2011 International Swaps and Derivatives Association, Inc.FpML Reporting WG

Questions?

• WG Info: http://www.fpml.org/wgroup/rptwg/rptwg.html

• WG Charter: http://www.fpml.org/wgroup/rptwg/rptwgcharter.html