FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 1

2010 Q1

Phase I Processes

Margin Call (completed)

Substitution (completed)

Interest (completed)

Phase II (TBD)

FpML 5.1 (First draft) FpML 5.1 REC

Margin call development + reusable collateral building blocks

Fed CommitmentLetter March 1

Jan Feb March

FpML 5.1 deliverables

Kick-offApril May June July Aug Sept Oct Nov Dec

Q2 Q3 Q4

1st Working Draft

Last Call Trial Recommendation

RECOMMENDATION

ISDA electronic messaging Nov 09

3nd WorkingDraft

Collateral MgmtRoadmap April 15

Substitution

Interest

FpML Collateral Roadmap

…

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 2

• Level 3: Business validation (Semantic validation) (good data)– Some FpML documents are syntactically correct but make no business sense

(e.g. effective date > termination date)– These documents will pass XML Schema validation but aren’t meaningful– This has serious ramifications for downstream / processing systems– The objective is to catch problems early– “FpML Validation” is developed to address business/semantic validation

• Level 2: Schema validation (good structure / correct datatypes)

• Level 1: Well-formedness (good XML syntax)

Val

idat

ion

XML Trade Processing

XML Trade Creation

Schema validation is not enough…

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 3

FpML Validation Rules

FpML Collateral Working Group Copyright © 2010 International Swaps and Derivatives Association, Inc. OCTOBER 2010 – SLIDE 4

FpML Validation Rule Definitions

• Validation rules are defined with the following:– Precise, unambiguous definition of the rule (formalized Xpath/English

language, pseudo machine readable)– Possibly one or more conditions (prerequisites) which must hold before the

rule is executed– Possibly a “rationale” to explain the purpose of the rule– A set of FpML examples that are valid– A set of FpML examples that are invalid (trigger the rule)

E.g.,

Condition(s)

Definition

Rule ID

Context

Links to XML examples