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In this scenario, we will leverage the work done by the EBRDF effort for the Bank of England using the portfolio of swaps that they used as the basis for their work (see /wiki/spaces/FEIP/overview), which includes 100 example swaps that have various characteristics, including a master contract and two legs, which has been mapped to ACTUS already. The Mizuho sample data is available here -
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Note that the data used for this pilot is limited to Interest Rate Swap contracts, and does not include other kinds of swaps. The CFTC breaks swaps down into 5 categories: (1) interest rate swaps, (2) credit default swaps, (3) commodities swaps, (4) foreign exchange swaps, and (5) equity swaps (asset classes). In FIBO, definitions for interest rate swaps and equity instruments (but not the swaps based on them), and Fx (but not the swaps based on Fx rates, which could involve, for example, a swap between spot and futures market rate), are in release, whereas CDS and commodities definitions are only provisional at this stage. This usage scenario focuses solely on interest rate swaps, for which we have sample dummy data to use as the basis for creating individuals.
IV. Competency Questions
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