2024-02-06 Meeting notes
- Elisa Kendall
Date
Feb 6, 2024
Participants
@Elisa Kendall
@John Gemski
@Pete Rivett
Discussion
Today we continued work on FBC-317. Currently, in the Debt ontology, we have the notion of an ‘explicit contract event schedule’, which corresponds to an ACTUS array schedule, i.e., one where the dates are explicitly laid out but are not necessarily regular, and the notion of a more regular schedule of events, which is called ‘projected contract event schedule’. Note that after the events have occurred, these ‘should’ be the same.
Some of the details in the parametric schedules ontology should be moved to the Debt ontology - many kinds of schedules are not only regular but parametric. Then in that same ontology we need to add the various kinds of schedules - rate reset, interest calculation, etc. that are currently buried in the IR swaps ontology as being more general. Then a projected schedule for some contract may be composed from multiple schedules - rate resets, interest calculations, payment dates, and the like. Sorting this out may take several meetings, but would be a nice contribution and allow us to better map to the ACTUS parameters related to these concepts. Some diagrams may be useful – in a page dedicated to how to use these concepts in FIBO, and including the mapping to ACTUS.
Some simpler / common rate reset schedules include:
monthly
daily, based on the Fed rate published in the WSJ (which may not actually change every day)
quarterly
semi-annually
annually, based on the anniversary date of the loan (i.e., the date the loan closed)
Others may be more complex based on the terms of the contract, and depending on the business day convention terms.
See https://www.actusfrf.org/dictionary for the terms used in ACTUS based on the current de facto standard.