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As promised, here is an update on a few topics. 1)
OMG cross-product reporting group: The group met
last week. There was considerable discussion about data confidentiality
issues and what is being done to address them. In areas more specifically
relevant for the FpML report working group: a. Marc
is working on a cross-product data field comparison. A large part of it
is done, but there are some issues to be clarified b. I
asked the group about requirements related to entity reporting. No one on
the group was aware of any specific regulatory mandate or requirement to
perform this kind of reporting, so we didn’t get any additional clarity. c. I
indicated that we had a set of aggregate exposure reporting requirements.
The group indicated that it is interested in reviewing these in an upcoming
meeting 2)
Aggregate exposure reporting. a. The
original requirements document (for reference), with a small omission corrected
that I found during developing the examples b. A
picture of the draft exposure report schema for meeting the requirements.
It uses the existing FpML quotation reporting mechanism, which is very
flexible, and allows hierarchical (recursive) categories of exposure to be
reported. c. A
sample XML report. We can discuss this a next week’s reporting meeting. For the next several weeks, daylight time will be out of
sync in the US and the UK, so the time difference will be 4 hours instead of
the usual 5. I propose to hold next week’s meeting at 11 AM NY
time, which will be 3 pm (1500) UK time. If there is anyone in the
UK/Europe who would like to attend but is unable to at that time (and can at
the usual time), please let me know by tomorrow evening. - Brian |
Attachment:
FpML Aggregate Reporting Requirements March 8 2010.doc
Description: MS-Word document
Attachment:
ExposureReport.png
Description: PNG image
<?xml version="1.0" encoding="UTF-8"?><!--View is reporting--><!--Version is 5-0--><!--NS is http://www.fpml.org/FpML-5/reporting--><!--
Example of a party report
-->
<exposureReport 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/report_id";>XXX00123</messageId>
<sentBy>ABC</sentBy>
<sendTo>XYZ</sendTo>
<creationTimestamp>2009-10-01T18:00:00Z</creationTimestamp>
</header>
<onBehalfOf>
<partyReference href="abc-trading-entity"/>
</onBehalfOf>
<asOfDate>2009-10-01</asOfDate>
<reportContents>
<partyReference href="abc-trading-entity"/>
</reportContents>
<quotationCharacteristics>
<currency>USD</currency>
</quotationCharacteristics>
<exposure>
<counterpartyType>G15</counterpartyType>
<quote>
<value>123000</value>
<measureType>GrossNPV</measureType>
</quote>
<quote>
<value>4560000</value>
<measureType>GrossNotional</measureType>
</quote>
<exposure>
<partyReference href="def-im"/>
<quote>
<value>100000</value>
<measureType>GrossNPV</measureType>
</quote>
<quote>
<value>4000000</value>
<measureType>GrossNotional</measureType>
</quote>
</exposure>
<exposure>
<partyReference href="ghi-im"/>
<quote>
<value>23000</value>
<measureType>GrossNPV</measureType>
</quote>
<quote>
<value>560000</value>
<measureType>GrossNotional</measureType>
</quote>
</exposure>
</exposure>
<party id="abc-trading-entity">
<partyId>ABCDUS33</partyId>
<partyName>ABC Bank, N.A.</partyName>
</party>
<party id="def-im">
<partyId>DEFGB2L</partyId>
<partyName>DEF Investment Management LLC</partyName>
</party>
<party id="ghi-im">
<partyId>DEFGB2L</partyId>
<partyName>DEF Investment Management LLC</partyName>
</party>
</exposureReport>