Here are some materials for tomorrow's meeting. -----Original Message----- From: owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Brian Lynn Sent: Thursday, October 01, 2009 10:37 AM To: rptwg@xxxxxxxx Subject: FpML-RPTWG Meeting invitation - Monday 11 am NY time We?ll meet again on Monday, at the usual time. Time: 11:00-12:00 NY time Dial-in / Passcode: US: 888 481 3032 Intl: 617 801 9600 UK: 0800 904 7961 Participant passcode: #52016709 Agenda: 1) Review actions a) Bruno, Bruce, Ludwig, and Chris to review example information on spreadsheet - Bruno Beccaria will investigate the meaning of local MTM vs. reporting MTM and why the values don?t appear consistent => info provided - Bruce Tupper will propose NPV values and some other commodity-specific values to include for the commodity trades. - Ludwig Henrikson will review the CDS examples - Chris Funck will review the IRS and FX examples b) Brian to start developing XML examples >> Examples to follow c) Marc Gratacos to provide example of how to combine positions and activity/events. Brian to update treatment of a couple of issues in the "issues" paper >> Will distribute an update prior to the meeting 3) Review issues (issues document, to be updated). - Discuss representing status on positions in the position report - Continue discussion on "generic product". 4) Other processes/report types - reset reporting >> Proposed message to follow 5) AOB ---------------------------------------------------------------------------- --- To unsubscribe: Email majordomo@xxxxxxxx with a blank subject line In the body include the line: unsubscribe rptwg youremail@address To view archives: http://www.fpml.org/_wgmail/_rptwgmail/threads.html ---------------------------------------------------------------------------- --- To unsubscribe: Email majordomo@xxxxxxxx with a blank subject line In the body include the line: unsubscribe rptwg youremail@address To view archives: http://www.fpml.org/_wgmail/_rptwgmail/threads.html
Attachment:
FpML RPTWG Issues Oct 5 2009.doc
Description: MS-Word document
<?xml version="1.0" encoding="utf-8"?>
<!--View is reporting-->
<!--Version is 5-0-->
<!--NS is http://www.fpml.org/FpML-5/reporting-->
<!--Omit some adjustments, details of procedures, and other information not required for a report-->
<positionReport xmlns="http://www.fpml.org/FpML-5/reporting"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/reporting ../fpml-main-5-0.xsd">
<header>
<messageId messageIdScheme="http://www.abc.com/mid";>XXX00123</messageId>
<sentBy>ABCDUS33</sentBy>
<sendTo>HEDGUS33</sendTo>
<creationTimestamp>2004-08-02T15:38:00Z</creationTimestamp>
</header>
<asOfDate>2004-06-02Z</asOfDate>
<dataSetName>Valuation</dataSetName>
<position>
<positionId positionIdScheme="http://www.abc.com/positionId";>123ABC</positionId>
<constituent>
<trade>
<tradeHeader>
<tradeDate>2009-08-31Z</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<productType productTypeScheme="http://www.fpml.org/product-type-simple";>CreditDefaultSwap</productType>
<assetClass assetClassScheme="http://www.fpml.org/asset-class-simple";>Credit</assetClass>
<generalTerms>
<buyerPartyReference href="party2"/>
</generalTerms>
</creditDefaultSwap>
</trade>
<valuation>
<quote>
<value>520123.50</value>
<measureType>NPVLocalCurrency</measureType>
<currency>USD</currency>
<currencyType>QuoteCurrency</currencyType>
</quote>
<quote>
<value>520123.50</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>ReportCurrency</currencyType>
</quote>
<quote>
<value>363621.02</value>
<measureType>NPV</measureType>
<currency>EUR</currency>
<currencyType>UnitCurrency</currencyType>
</quote>
<quote>
<value>520123.50</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>SettlementCurrency</currencyType>
</quote>
<fxRate>
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>0.69911</rate>
</fxRate>
</valuation>
</constituent>
</position>
<position>
<positionId positionIdScheme="http://www.abc.com/positionId";>234DEF</positionId>
<constituent>
<trade>
<tradeHeader>
<tradeDate>2009-08-31Z</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<productType productTypeScheme="http://www.fpml.org/product-type-simple";>CreditDefaultIndex</productType>
<assetClass assetClassScheme="http://www.fpml.org/asset-class-simple";>Credit</assetClass>
<generalTerms>
<sellerPartyReference href="party2"/>
</generalTerms>
</creditDefaultSwap>
</trade>
<valuation>
<quote>
<value>7124523</value>
<measureType>NPVLocalCurrency</measureType>
<currency>JPY</currency>
<currencyType>QuoteCurrency</currencyType>
</quote>
<quote>
<value>76623.59</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>ReportCurrency</currencyType>
</quote>
<quote>
<value>53567.95</value>
<measureType>NPV</measureType>
<currency>EUR</currency>
<currencyType>UnitCurrency</currencyType>
</quote>
<quote>
<value>7124523</value>
<measureType>NPV</measureType>
<currency>JPY</currency>
<currencyType>SettlementCurrency</currencyType>
</quote>
<fxRate>
<quotedCurrencyPair>
<currency1>USD</currency1>
<currency2>JPY</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>0.01075</rate>
</fxRate>
<fxRate>
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>0.69911</rate>
</fxRate>
</valuation>
</constituent>
</position>
<position>
<positionId positionIdScheme="http://www.abc.com/positionId";>345CDE</positionId>
<constituent>
<trade>
<tradeHeader>
<tradeDate>2009-08-31Z</tradeDate>
</tradeHeader>
<creditDefaultSwap>
<productType productTypeScheme="http://www.fpml.org/product-type-simple";>CreditDefaultIndexTranche</productType>
<assetClass assetClassScheme="http://www.fpml.org/asset-class-simple";>Credit</assetClass>
<generalTerms>
<buyerPartyReference href="party3"/>
</generalTerms>
</creditDefaultSwap>
</trade>
<valuation>
<quote>
<value>-180345.00</value>
<measureType>NPVLocalCurrency</measureType>
<currency>EUR</currency>
<currencyType>QuoteCurrency</currencyType>
</quote>
<quote>
<value>-257965.49</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>ReportCurrency</currencyType>
</quote>
<quote>
<value>-23985837.45</value>
<measureType>NPV</measureType>
<currency>JPY</currency>
<currencyType>UnitCurrency</currencyType>
</quote>
<quote>
<value>-180345.00</value>
<measureType>NPV</measureType>
<currency>JPY</currency>
<currencyType>SettlementCurrency</currencyType>
</quote>
<fxRate>
<quotedCurrencyPair>
<currency1>USD</currency1>
<currency2>EUR</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>1.43040</rate>
</fxRate>
<fxRate>
<quotedCurrencyPair>
<currency1>JPY</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>92.98080</rate>
</fxRate>
</valuation>
</constituent>
</position>
<party id="party1">
<partyId>ABCDUS33</partyId>
<partyName>ABCD Securities Inc.</partyName>
</party>
<party id="party2">
<partyId>HEDG-GLOB</partyId>
<partyName>HedgeCo Global Growth</partyName>
</party>
<party id="party3">
<partyId>HEDG-ASIA</partyId>
<partyName>HedgeCo Asia Fund</partyName>
</party>
</positionReport>
Attachment:
ReportingFieldRequirementsOct5withExamples.xls
Description: MS-Excel spreadsheet