I. Use Case Description | |
Use Case Name | Unified Standard for Regulatory Reporting of Derivatives |
Use Case Identifier | DER-REPORTING |
Source | BE/DER Content Team |
Point of Contact | |
SEC-Creation / Revision Date | 7/9/2019 |
Associated Documents | Requirements documentation, traceability matrix if applicable |
II. Use Case Summary | |
Goal | To provide greater accuracy, currency, harmonization, aggregation, more transparency, and higher quality in general across diverse derivatives reporting sources |
Requirements | To provide a standardized reporting capability for derivatives using a common financial language |
Scope | Reporting could be viewed from a number of perspectives: (1) a given institution might want to be able to create reports 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, to be able to analyze and report on the derivatives for which they receive reports and the counterparties to those reports, and (4) from the perspective of a regulator 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. 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 who need to understand the portfolios they manage, SDRs that consume reports 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. |
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. |
Pre-conditions | Identify any assumptions about the state of the system that must be met for the trigger (below) to initiate the use case. Any assumptions about the state of other related systems can also be stated here. List all preconditions. |
Post-conditions | Provide any conditions that will be true of the state of the system after the use case has been completed. |
Triggers | Describe in detail the event or events that initiate the execution of this use case. Triggers can be external, temporal, or internal. They can be single events or a complex event that indicates that some set of conditions has been met. |
Performance Requirements | List any known performance-specific requirements – timing and sizing (volume, frequency, etc.), maintainability, reusability, other “-ilities”, etc. |
Assumptions |
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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.
IV. Basic Flow of Events
Narrative: Often referred to as the primary scenario or course of events, the basic flow defines the process/data/work flow that would be followed if the use case were to follow its main plot from start to end. Error states or alternate states that might occur as a matter of course in fulfilling the use case should be included under Alternate Flow of Events, below. The basic flow should provide any reviewer a quick overview of how an implementation is intended to work. A summary paragraph should be included that provides such an overview (which can include lists, conversational analysis that captures stakeholder interview information, etc.), followed by more detail expressed via the table structure.
In cases where the user scenarios are sufficiently different from one another, it may be helpful to describe the flow for each scenario independently, and then merge them together in a composite flow.
Basic / Normal Flow of Events | |||
Step | Actor (Person) | Actor (System) | Description |
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V. Alternate Flow of Events
Narrative: The alternate flow defines the process/data/work flow that would be followed if the use case enters an error or alternate state from the basic flow defined, above. A summary paragraph should be included that provides an overview of each alternate flow, followed by more detail expressed via the table structure.
Alternate Flow of Events | |||
Step | Actor (Person) | Actor (System) | Description |
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VI. Use Case and Activity Diagram(s)
Provide the primary use case diagram, including actors, and a high-level activity diagram to show the flow of primary events that include/surround the use case. Subordinate diagrams that map the flow for each usage scenario should be included as appropriate
VII. 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).
VIII. 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.
Knowledge Bases, Repositories, or other Data Sources
Data | Type | Characteristics | Description | Owner | Source | Access Policies & Usage |
(dataset or repository name) | (remote, local/in situ, etc.) | e.g. – no cloud cover | Short description of the dataset, possibly including rationale of the usage characteristics |
| Source (possibly a system, or remote site) for discovery and access |
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External Ontologies, Vocabularies, or other Model Services
Resource | Language | Description | Owner | Source | Describes/Uses | Access Policies & Usage |
(ontology, vocabulary, or model name) | (ontology language and syntactic form, e.g., RDFS - N3) | If the service is one that runs a given ontology or model-based application at a given frequency, state that in addition to the basic description |
| Source (link to the registry or directly to the ontology, vocabulary, or model where that model is maintained, if available) | List of one or more data sources described by and/or used by the model |
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Other Resources, Service, or Triggers (e.g., event notification services, application services, etc.)
Resource | Type | Description | Owner | Source | Access Policies & Usage |
(sensor or external service name) |
| Include a description of the resource as well as availability, if applicable | Primary owner of the service | Application or service URL; if subscription based, include subscription and any subscription owner |
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IX. References and Bibliography
List all reference documents – policy documents, regulations, standards, de-facto standards, glossaries, dictionaries and thesauri, taxonomies, and any other reference materials considered relevant to the use case
X. Notes
There is always some piece of information that is required that has no other place to go. This is the place for that information.