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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
Provide at least 2 competency questions that you will ask of the vocabulary/ontology/knowledge base to implement this use case, including example answers to the questions.
Describe at least one way you expect to use the semantics and/or provenance to propose an answer to the questions. Include an initial description of why the semantics and/or provenance representation and reasoning provides an advantage over other obvious approaches to the problem. (optional – depending on the use case and need for supporting business case).
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- How would a market participant map their source data on IR Swaps to a common format for standardized reporting to a regulator?
- How would a market participant map their source data for any swap contract to this common format for standardized reporting to a regulator?
We will use the EBRDF data, just the IR Swap examples to ask and answer this question. Individual example line items from the sample data will be mapped to FIBO, and then organized according to the latest schema from the CFTC.
Next steps to answer question 2, once that effort has been completed, include expansion to cover all of the instrument types. Note that additional sample data will be needed to accomplish this.
V. Resources
In order to support the capabilities described in this Use Case, a set of resources must be available and/or configured. These resources include the set of actors listed above, with additional detail, and any other ancillary systems, sensors, or services that are relevant to the problem/use case.
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