I. Use Case Description | |
Use Case Name | Index analysis for ETF development |
Use Case Identifier | IND-EFT-DEV |
Source | IND Content Team |
Point of Contact | |
Creation / Revision Date | 7/19/2019 |
Associated Documents | Requirements documentation, traceability matrix if applicable |
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II. Use Case Summary | |
Goal | Enable development of a new fund whose performance can be compared to a benchmark |
Requirements | State any requirement(s)specific to this use case, including any capabilities from a business architecture or process model that the use case supports, any metrics or other reporting requirements, etc., including any reference identifier for the requirement(s), as applicable |
Scope | Coverage is limited to equity indices rather than indices that include credit indices or economic indicators for this use case. |
Priority | Identify the priority of the use case (with respect to other use cases for the project) |
Stakeholders | Traders who will be trading the fund based on the index, Compliance/Risk (for managing risk related to the fund), Clearing and Settlement Team (for trades related to the fund), Finance Team (for managing the fund flows if there are trades happening), Index Administrator, external stakeholders such as market data providers |
Description | A business analyst/front-office salesperson is interested in selecting one or more equity indices as the basis for predicting/comparing the performance of a new exchange-traded fund (ETF). This may require understanding the make-up of a benchmark based on a balance of small, medium, and large cap organizations, overall performance during some prior period, based on a mix of national and international instruments, based on avoiding being overly exposed to a single sector, company, or country, etc. in order to meet the performance goals of the fund, however the goal of this use case is for limited comparison. In other words, we will not necessarily create a number of sector classification schemes for this use case. In general, the goal is either for the fund to track the index or for its performance to exceed that of the index. This means being able to describe 10- 15 benchmarks that are commonly used, without detailed sector classification, but sufficient to distinguish one major index from another. This initial use case involves limiting the scope to equities only. We will create a subsequent use case to cover bond/debt indicies. We will only use content that is published about each of the indexes, and avoid assumptions about classification schemes (at least, in depth classification) for the purposes of this use case. Indices under consideration include:
Assumptions: The business analyst has a template for defining the contents of the fund provided by their organization that allows them to vary the index based on desired goals. For every index, information about the stocks that participate in the index must be provided (i.e., the list of stocks). If there are derivatives based on the benchmark, then links to those derivatives must be provided (all done by the reference data team). |
Actors / Interfaces | People: Business Analyst developing the fund, Index Administrator (entity that manages the index), Issuer of the constituents of the index (maybe) Systems:
There may be another actor that represents the fund, or another system that needs to access information about the index, in addition to the above.
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Pre-conditions | N/A |
Post-conditions | N/A |
Triggers | Index creation, corporate action such as an M&A action that causes the constituent of the index to cease to exist |
Performance Requirements | N/A |
Assumptions |
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Open Issues |
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III. Usage Scenarios
Provide at least two usage scenarios that flesh out the requirements outlined in the summary, including identification of requirements specific to any envisioned ontology or semantically-driven service or application. Scenarios should be described as narrative, with supporting diagrams as appropriate. In an Agile process, every user story relevant to the use case should be included and elaborated/rolled up into one or more usage scenarios, with a clear mapping from the user story to the scenario it is integrated in or mapped to.Use cases proposed by Ashwin via JIRA include the following, which we will flesh out into more complete scenarios:
- Get the value of Index at any point in time. Optionally the user can seek details of the constituents' contribution to the movement of index value from a particular point in time (e.g. previous day's close)
- As a user of the Index service, I need to be able to get all the details of the constituents of the Index including the weightage and other details
- To ensure stability of the index, the index constituents are changed at regular interval. Whenever this is done there is a need to "rebalance" the index so that the change in constituents does not change index level abruptly
- There are certain corporate actions of the Index constituents (like stock splits and stock dividends) that require changes to be done to the Index data maintained. Other examples are share issuance and these require adjustments to prevent the value of index from changing.
IV. Basic Flow of Events
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