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2018-02-20 Meeting notes

2018-02-20 Meeting notes

Owned by Dennis Wisnosky
Last updated: May 25, 2020 by Elisa Kendall

Date

Attendees



Agenda

1) Use Case reminder

2) Where we are on our road map. 

3) Open Action Items

4) JIRA Issues Review - https://jira.edmcouncil.org/projects/DER/issues/DER-10?filter=allopenissues

5) Todays content discussion.

Elisa request for quantitative Indices and Indicators from John Nowlin.  

(1) which economic indicators we need to cover (we have various BLS and Census indicators now, such as the unemployment rate and average earnings, CPI, PPI, PCE, inflation), but have no idea what you are seeing in practice, and don't want to waste time modeling various indices published by BEA or the Fed that we don't need (OFR pointed us to the FOMC page on the Fed web site, but they include a fairly long list of indicators published by a number of different organizations, and we will need SMEs to assist with modeling at least some of the more complex ones)

(2) similarly for market indices, such as the DJIA, S&P500, etc. - can you provide a list of the top 15-20 of those that you see as derivatives underliers, so that we can cover those first, rather than attempt to find and model an exhaustive set?  We will need decent coverage eventually for market valuation use cases, but that's down the road on our projected schedule.

As I may have mentioned, we already support all of the FpML reference floating interest rates, which Pete was able to process automatically, and after discussion with Jennifer Caswell (OFR), we are planning to hand craft all of those that are part of the Fed's H.15 report and map them to the FpML rates that we've processed automatically.  The work we've done to date on economic indicators has been with the help of BLS and Statistics Canada, so we think the model is generally right, but the list of actual indicators we've captured to date is relatively small.

6) For next week.

Proceedings:

Elisa looking for answers to IND questions from John Nowlin. Looking for a list of what FCFTC most commonly sees.  There are many many of them and does not want to take a chance of missing some that are important.

John Nowlin There is a bit of a disconnect.  CFTC has a limited amount of things that are aggregated to generate static reports.  CFTC can do this.That is not the issue. Need analytics across disparate data sets.

EK Yes, but some % of prop future options, etc. have indicators.  Pete has loaded some indicators automatically such as FPM rates.  But some indicators are based on referential data for derivatives.  DN What does this have to do with IRS? EK The reason for the question is that EK also leads IND FCT. Does not want to model what is not needed. The IND is in parallel with DER FCT.  Need to know the primary indicators for DER so that can stop modeling, to not.  JN you are trying to capture exotics. This is nearly impossible. This is a rabbit hole. EK says can of worms. JN can't capture all of them.  EK just looking for what is published by the US Gov. Do we have a representative set? If JN can just say the top 10, that would be good enuff.

EK modeling ISO standards such as entity legal forms and LEIs.  DN How does that relate to the actual legal structure that we have been working on? EK there are tables and tables.  What to use this standard as the basic reference for FIBO definitions. Can look at what is in English. DA and EK could eyeball through French, German and Italian.

DN This fits into the FIBO jurisdictional abstractions. EK need to be sure that we have the coverage. DN This is a good time to rework BE for the IRS purpose. DA Yes, last year lawyers could not help us with jurisdictions. The EK resource could do this.  PR This is a new document from November 2017.

DN We dan continue this next week. DA to Pete, please send me your work and I will present next week.  PR focused on Mexico because their work is more complete and smaller. 

EK for the CFTC meeting can show the LEI work. Jennifer Caswell of OFR says that no one else can do this. DN, yes this is necessary for any organization doing counter party risk.  EK Happy to help. DN need to understand the RDF OWL and roll it in.  EK It is in. 


Decisions:

Action items