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II. Use Case Summary | |
Goal | To provide greater accuracy, timeliness, harmonization, aggregation, more transparency, and higher quality in general across diverse derivatives reporting sources |
Requirements | To provide a more efficient, less expensive, and standardized reporting capability for derivatives using a common financial language |
Scope | Reporting could be viewed from a number of perspectives: (1) from the perspective of an institution, to be able to create accurate regulatory and internal reports in a timely way with respect to derivatives on their books, including counterparties to their portfolio(s), (2) from the perspective of a broker/dealer, to be able to analyze and report on the derivatives they manage and/or own, and the counterparties to those instruments, whether they are on their own books or those of their clients, (3) from the perspective of an SDR, exchange, clearing house, or other recipient, to receive reports that are provided in a common, standardized representation that makes them easier to ingest, and to be able to analyze and report on the derivatives for which they receive reports in an accurate and timely way, including analysis of the counterparties to the instruments included in those reports, and (4) from the perspective of a regulator or other organization receiving information from a variety of sources that are not aligned with one another, to have the ability to map that information to a common vocabulary to facilitate analysis and ultimately to have a common framework for reporting that would enable understanding as well as reporting from third parties. Some reports, such as end-of-day positions, exposure reports, and stress tests, are provided periodically to the regulators. The frequency depends on the kind of information reported. These reports have all different forms and formats that are not normalized, and the data is difficult to compare as a consequence. Note that as we move towards distributed ledger technology, having standard language for reporting purposes could extend to smart contracts which would be more effective than use of legacy approaches to such reporting. The content required for each of the kinds of reports we intend to cover is given under the usage scenarios section, below. |
Priority | This use case represents the most accessible of the DER use cases we have, given that we believe we have most of the concepts required to support this. Starting from an individual instrument, to ensure that we can report on a single instrument, then on counterparties to a single instrument, and then expanding from there, we can demonstrate value with what is currently available in FIBO DER. |
Stakeholders | Stakeholders include: internal front office, back office, and compliance teams that need to understand current positions at any point in time, broker/dealers and swap execution facilities who need to understand the portfolios they manage, SDRs, clearing houses, exchanges, and others that consume and aggregate reporting content provided to them, and regulators that need to analyze and oversee the market |
Description | This use case involves specifying the concepts and terminology required for reporting on derivatives, both generally, across all kinds of derivatives, and specific to the most common derivatives in the marketplace to facilitate reporting about them. The level of detail depends on the specific reporting requirements, outlined in the usage scenarios, below. Initial targets include swaps - interest rate and commodity swaps, options, futures and forwards, and various asset-backed securities. Note that transformations from/to the ESMA / ISO 20022 format in the EU (or at least, CPMI IOSCO), and to the CFTC format in the US, may be needed to support this kind of reporting, and possibly the ACTUS contract definitions of some of the terms of these contracts. These various formats all lead to some understanding of what terms should be included to identify derivative contracts and what variants should be included in order to provide basic coverage. |
Actors / Interfaces | List actors: people, systems, knowledge bases, repositories, and other data resources, services, sensors, or other “things” outside the system that either act on the system (primary actors) or are acted on by the system (secondary actors). Primary actors are those that invoke the use case and benefit from the result. Identify the primary actor and briefly describe role.
Any actor that is external to or outside the control of the use case owner should be further described under Resources, below. |
Assumptions |
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Open Issues |
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