Valuation Messaging Guidelines formatted into the spec under a new
section. The wording remained primarily the same from Brian's notes
(except for some light description/editing).
----------------------Snip----------------------
10.5.7.2 Messaging Guidelines for 'Valuation Report' and 'Position Report'
The FpML Pricing and Risk definitions include two types of messages for
reporting valuations. PositionReport and ValuationReport should be used
under certain criteria.
* The PositionReport is a relatively simple structure intended to link
trade economics and valuation information for applications that require
notification of the current open positions and their valuations. It is not
intended for complex risk reporting applications.
* The ValuationReport is a structure that groups related valuation
information and supports anywhere from simple to complex reports. It is
intended to be used when the primary application is to report valuations
and sensitivities and not trade economics.
These guidelines are provided to assist implementers on the correct
valuation message usage.
Use the ValuationReport in any of the following cases:
* When reporting portfolio-level information
* When reporting trade level valuations without the trade economics,
e.g. a list of NPVs for a large number of trades.
* When reporting sensitivities
* When reporting on valuation scenarios, such as stress tests
* When providing market inputs
* When responding to a ValuationRequest message
Use the PositionReport message:
* When providing both trade economics and valuations together
* When providing a statement of current position, rather than any kind
of what-if analysis
* When performing portfolio reconciliation
----------------------Snip----------------------
If there are comments let me know, otherwise this will be committed to CVS
and published with the next Working Draft to coincide with the changes to
<positionReport> and <valuationReport>
Regards,
Henri
+1 212 901 6053
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, November 28, 2005 11:05 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FW: FpML-VALU40 PRWG minutes 2005-11-15
I don't think that there is enough going on to justify another meeting
tomorrow.
Can everybody who had an action please provide a status for it?
My action, to draft guidelines on when to use Position Report, is
complete.
I propose to meet again after the BP WG has had a chance to discuss the
Portfolio Reconciliation proposal. This is likely to be a few more weeks,
and so depending on the timing of that we may not meet again until
January.
Please let me know if you have any business that you would like addressed
before then.
Regards,
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, November 15, 2005 12:06 PM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: RE: FpML-VALU40 PRWG minutes 2005-11-15
I realized that there is one more open point from 2005: we have not yet
complete the market input request messages.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, November 15, 2005 11:53 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG minutes 2005-11-15
No meeting next week. Next meeting will be Nov. 29.
Attendees:
=========
Henri
Marc
Brian
Regrets
=======
Vlad
Andrew
Pierre
Position Report vs. Valuation Report - Guideline
================================================
We discussed when to use the PositionReport message vs. the
ValuationReport
message. Here is a summary of the points we discussed:
use valuation report when:
- don't want to send individual trades (e.g. portfolio level
information)
- want to report sensitivities
- want to report risk defintions
- want to report market inputs
- want valuation scenarios to be defined
Use position report when:
- providing both trade economics and valuations together
- don't require more detailed information of the valudation report
Brian will write this up and Henri will incorporate this. Marc will
enhance
the use case description for the position report message.
Position Report vs. Valuation Report - Rationalizing Messages
=============================================================
We decided to remove "market" and "valuationScenario" from PositionReport
to
be consistent with the above guidelines and clarify the use of the
message.
These elements are not required for DSWG migration.
Position Report vs Portfolio Reconciliation
===========================================
We discussed the use of the position report message for portfolio
reconciliation and we concluded that we need to wait on work being done on
portfolio reconciliation before we know what impact this will have on the
message. This is likely to be known in the next week or two. We suspect
that there may be some impact in a couple of areas:
- exact details of the message header information (e.g asOfDate,
dataSetName)
- details of position identification
- details of position constituents
Plan for 2006
=============
We discussed known open points for 2006. The only open point currently
known is Andrew Parry's proposals on equities from earlier in the year
which
have not yet been fully discussed.
There are also a number of points from the original charter which are not
yet addressed, but it's unclear how much appetite there is for working on
these.
Actions:
=======
Brian - flesh out guideline on when to use position report vs. valuation
report.
Henri - incorporate guideline into the FpML 4.2 spec in PR messaging
section.
Marc - flesh out the use case description for the PositionReport example
based on the FpML position report example.
Marc - remove "market" and "valuationScenario" from PositionReport
message.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, November 14, 2005 10:40 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-11-15
I'd like to meet again tomorrow, with the following dial-in information.
Dial-in:
US: 888 481 3032
Intl: 617 801 9600
Code: 8682747
Tuesday, 11:00 am - noon NY time.
Agenda
======
- PositionReport message vs. ValuationReport message
- when to use
- converging content
- Kick off planning for 2006
- AOB
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, October 18, 2005 11:23 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-10-18 - minutes / no meeting next
week
We were not able to resolve the issue with the equity underlyers due to
insufficient attendance, but we concluded that this issue belongs as an
FpML
Coordination Committee issue rather than a PRWG issue. Marc will update
the
CC issues list.
There will be no meeting next week due to conflicts.
The next items for us to discuss include:
- documenting when to use the PositionReporting message vs. the existing
valuation message, and looking for more opportunities to rationalize these
messages.
As I don't expect much progress on this in the next couple of weeks, due
to
the FpML conference, etc., I probably won't call the next meeting for a
few
more weeks.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Marc Gratacos [mailto:MGratacos@xxxxxxxx]
Sent: Tuesday, October 18, 2005 10:55 AM
To: Brian Lynn
Subject: RE: FpML-VALU40 PRWG agenda 2005-10-18
Brian,
I'll be joining 10 minutes late.
Apologies,
-Marc
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, October 17, 2005 3:59 PM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-10-18
Dial-in:
US: 888 481 3032
Intl: 617 801 9600
Code: 8682747
Tuesday, 11:00 am - noon NY time.
Agenda:
======
Review inconsistency between valuation reporting for EQS single and basket
underlyer. (see below for details).
AOB.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, October 11, 2005 11:23 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG minutes 2005-10-11
Attendees
=========
Marc
Henri
Brian
Regrets
=======
Vlad
Andrew P
Pierre
Actions from last week
======================
Marc reported on the status of converting the DSWG example into FpML
valuation structures. There were some extensions in single underlyer and
basket constituent for EQS.
Marc circulated the example, but found some issues in doing this
conversion.
Specifically, the basket constituent underlyer price can hold quotation
characteristics as in the DSWG, while this is not possible in the single
underlyer structure. This information could be represented as a position
valuation element, but this would be inconsistent with the basket. If
this
were done, there may be some redundancy between this new position
valuation
element and the rateOfReturn/initialPrice (formerly
equityValuation/initialPrice) element.
Marc will be publishing the FpML 4.2 working draft this week with the
existing version of the example, but this issue remains open.
Action:
- Marc, Brian, Andrew P and Piere to discuss the remaining inconsistency
on
single vs. basket underlyer and agree on the resolution at next week's
PRWG
meeting.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, October 11, 2005 8:28 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-10-11
We'll meet briefly at the usual time to discuss progress on the actions
from
last week, on the usual number (see below).
I can't locate last week's minutes, so perhaps I did not send them. The
decisions and actions were:
1) not to proceed with the reporting level detail scheme
2) for Marc to convert the DSWG equity swaps examples to valuation
measures,
creating new valuation measures based on Brian's suggestions.
Regards.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, October 03, 2005 11:59 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-10-04
Dial-in:
US: 888 481 3032
Intl: 617 801 9600
Code: 8682747
Tuesday, 11:00 am - noon NY time.
Agenda:
======
* Status of actions
- Henri to update scheme for reporting detail level
- Marc to clarify responsibilities for certain EQS DSWG pricing
extensions
* Reporting of underlyer prices for EQS (to meet DSWG requirements) -
develop plan for addressing this.
* AOB
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, September 27, 2005 11:34 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG minutes 2005-09-27
Attendees
=========
Henri
Marc
Brian
Regrets
=======
Pierre L.
Mahmoud (to be off for a few months)
Vlad
Ayesha
Status of actions
=================
- Marc has sent updated versions of the schema and example, closing out
that
action. The example the FX rate updates, as well some EQD changes that
have
been agreed by that WG.
- Henri has circulated a list of the scenarios with no examples. We
reviewed the list and concluded that there are no missing examples for the
scenarios that we currently have schemas defined for.
- valuation input request still is waiting a message schema
We discussed the amount of detail that can be requested and agreed that
Henri will define coding scheme values for the "detail" element of the
valuation set, and fill these values in the requests.
Equity Derivatives DSWG support
===============================
We discussed how some DSWG extensions in the area of EQS will be moved
into
FpML. These will be done as valuation items. Marc will follow up with
Andrew P. to determine who will do this.
Actions:
========
Henri set up valuation detail coding scheme & update examples
Marc f/u with Andrew P on EQS DSWG extensions.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, September 26, 2005 1:40 PM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-09-27
Dial-in:
US: 888 481 3032
Intl: 617 801 9600
Code: 8682747
Tuesday, 11:00 am - noon NY time.
Agenda:
======
Status of actions
- Marc to update schema & examples - schema done
- Henri to circulate missing use case examples - done
Discuss DSWG open items for EQD
Plan for missing examples
AOB
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
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