Reporting/Regulatory Reporting Working Group Charter

Mission:

To extend the current FpML standard to define data elements to be used for reporting OTC derivative positions between market participants and to regulators. Focus on addressing areas that create the greatest cost, effort, and risk within and between participants’ firms. The reporting should support portfolio reconciliation, e.g. for collateral review, and regulatory reporting, including the industry-wide portfolio repository, industry wide collateral management approach, and regulatory and public reporting objectives mentioned in the OTC derivative industry commitments to the Fed.

Initially, we will focus on population reporting, later add in key risk indicators ... (eg. VAR, DV01 ,etc.) In the future we may choose to broaden the scope to include reporting other than position reporting.

Scope:

The Reporting Working Group will

Define the data elements that should be available to report positions, and the minimum set that are required to be reported. This includes deciding how these should be bundled together, e.g. number of views, product structures, etc.
Define how to handle reporting on positions for which the FpML standard does not currently have a defined detailed product representation.

The group should cover all OTC products, as well as cleared OTC products or listed versions of OTC products.

The working group will cover reporting processes described by the OMG Fed Letter commitment.

Guidance:

The group should use the existing taxonomy of elements from the standard, rather than creating new ones, at least where possible, e.g. use existing products where possible. Where this is not possible, the group should leverage existing element names and types.

Data Elements:

The group will consider several points relating to data elements required for reporting including:

does the reporting view (or views) need to be able to represent all data fields found in the confirmation view?
what are the minimum fields that must be present for position reporting? (by product, focusing initially on the highest volume products)
what are the minimum fields that must be present for regulatory reporting? (This shall be based on requirements set by regulators such as the FSA).

The group’s decisions will be implemented in the FpML 5 reporting view and possibly additional reporting views, such as a regulatory reporting view.

Unsupported Products:

The group will consider how to report products in FpML that do not have a full product representation such as the representations created for confirmation purposes.Questions to consider include:

should there be a “generic product” representation?
If so, what should it be called? What data elements should it contain?
Should it be allowed for reporting applications to use the generic product for reporting on products that are fully represented in FpML?
Should there be a flexible “flat” reporting representation for transactions that do not have the full product structure, but rather just key identifying fields?

Initial Priorities:

Initial priorities for the group include::

defining a loose “generic” reporting view that can be altered quickly to meet evolving needs
defining reporting structures to support the “bronze” [or “copper”] records being defined by the OMG.
defining required elements for high volume products such as CDS.

Initial Work Plan:

begin gather requirements for regulatory reporting, such as documents produced by the OMG’s system integrator, Sapient.:
define high level requirements/approach for the loosest reporting view.
develop a list of candidate minimum required fields for CDS and IRS.
agree on minimum reporting requirements for regulatory and population recon reporting for CDS
implement minimum population reporting requirements for CDS.
determine if a separate regulatory reporting view is required
agree on minimum reporting requirements for IRS

Milestones	Date for completion:
Kick-Off Meeting	June 2009
Working Draft for Review	TBD
Working Draft Published	TBD
Recommendation Released	TBD
Dissolution of the Working Group	TBD

Meeting Schedule

The group will initially meet Mondays at 11 AM NY time for one hour. This schedule may change after a full working group is convened.

A group discussion list will be used to manage group communication and to provide an archive of discussions and decisions.

Rules of Operation

The working group will adopt the FpML Working Group Rules of Operation. These outline best-practices for meetings, managing member participation, reaching group consensus and voting.

Estimated time commitment from Participants:

Members should be prepared to commit approximately 2 hours per week for meeting participation and document review. Full members must have the agreement and support of their management before signing up to the Working Group.

It is expected that participants will be signing up for action items and proposals, and will generally be participating in discussions during the week. Participants will also need to liaise with other working group members to ensure the consistency of the standard.

Experience has shown that occasional face-to-face meetings can expedite the process so members should be aware that some travel and full-day meetings might be required.

Target Participants:

Business analysts, technical architects, business specialists

Chair Contact Information

Chair of Working Group:	Brian Lynn (Global Electronic Markets)
Chair Email Contact: