Date
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Agenda
1) Use Case reminder
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Elisa request for quantitative Indices and Indicators from John Nowlin.
(1) which economic indicators we need to cover (we have various BLS and Census indicators now, such as the unemployment rate and average earnings, CPI, PPI, PCE, inflation), but have no idea what you are seeing in practice, and don't want to waste time modeling various indices published by BEA or the Fed that we don't need (OFR pointed us to the FOMC page on the Fed web site, but they include a fairly long list of indicators published by a number of different organizations, and we will need SMEs to assist with modeling at least some of the more complex ones)
(2) similarly for market indices, such as the DJIA, S&P500, etc. - can you provide a list of the top 15-20 of those that you see as derivatives underliers, so that we can cover those first, rather than attempt to find and model an exhaustive set? We will need decent coverage eventually for market valuation use cases, but that's down the road on our projected schedule.
As I may have mentioned, we already support all of the FpML reference floating interest rates, which Pete was able to process automatically, and after discussion with Jennifer Caswell (OFR), we are planning to hand craft all of those that are part of the Fed's H.15 report and map them to the FpML rates that we've processed automatically. The work we've done to date on economic indicators has been with the help of BLS and Statistics Canada, so we think the model is generally right, but the list of actual indicators we've captured to date is relatively small.
6) For next week.
Proceedings:
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DN We dan continue this next week. DA to Pete, please send me your work and I will present next week. PR focused on Mexico because their work is more complete and smaller.
EK for the CFTC meeting can show the LEI work. Jennifer Caswell of OFR says that no one else can do this. DN, yes this is necessary for any organization doing counter party risk. EK Happy to help. DN need to understand the RDF OWL and roll it in. EK It is in.
Decisions:
Action items
- Pete Rivett Send Mexico work to Dean Allemang
- Elisa Kendall prepare to show LEI work at next DER in prep for CTFC presentation.