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2018-10-02 Meeting notes

2018-10-02 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.


6) For next week.

Proceedings:

CFTC + EBC + EBRDF requirements mapped to FIBO. Decision  to be made by  the end of Oct. DN agrees. 

JN Because EDMC has ties into Gene Carlow should  use these contacts to pursue FinTech. Talk to LabCFTC, and CFTC IT John Nowlin and Gene. MA We will tell our story  to the Commission and LabCFTC.  We have a proposal on  the table for IRS.  Also invited by the Bank  of E, but they are focused on Loans.  DN We don't have much in Loans. Should stick with IRS. MA will send the proposal to all.

JN If JB calls the chairman, then Chairman will call the CIO and tell him to explore FIBO. 

DN How would we operationalize the MA  proposal.  MA agreement on concept. Have compared EMIR to FIBO WRT IRS. That is the extent of MA  knowledge. It is based on the most recent CFTC spreadsheet  and EMIR reporting. MA has the EMIR reports. 

DN We can assume that we can map what MA has done to FIBO.  Then what kind of info feed would we have to demonstrate.  MA Three banks need to agree.  Then we take  the reporting requirements from the regulations and get bank agreement that they can provide the data that matches  the definitions.  Approved glossary would be the first step. We have  the Europeans and PWC to help to do project management.  10 weeks every other week for 2 hours in this time slot extended.  MA has the ask, but no response yet. Wants to get ISDA involved. MA proposed a starting point. 

DN Are we looking for a spreadsheet or something more robust? PR we will end up with more than a spreadsheet.  DN  A  property chain. PR need more than a PC. Need Resources. DN  relations in a property chain needed.  PR May need to add more than exists.

MA Also went through the Federal Register which is more than CFTC. Need to wait to see if the CDO people agree. Delivered to the Chair last Friday.  They meet Oct 28 in London. 

MA Did I get this right? DN  It looks like a  subset  of the right ones. MA how many attributes are needed.  DN There is a whole chain of relationships. A series of related elements. The whole set of relations beginning with  a first class object is  needed. This can be done. 

JN is tasked with building  the CFTC Data Dictionary.  Trying to incorporate FIBO. Found  only 53 fields that match.  DN Maybe this is our first  task. How much net new is  needed for the DD beyond  what  we did already?  CFTC has  88 fields.  Could find only 53. Elisa says 75.

JN There is a lot in FIBO that is not relevant to CFTC. Pete They want the  equivalent to what Dennis is calling a Lego kit. JN Exactly. JN Now  using Spreadsheets and Protege. Pete can do a user interface.  EK   can do  remainder of  the mapping. 

JN  Just need a simple  DD for IRS using FIBO is the most simple thing. We just need that.  Then, go after the other asset classes.  PR Do you need a  spreadsheet or  some other  UI.  JN  Ideally  show  that FIBO provides the  DD and can be  consumed by  a spreadsheet or protege or whatever. Don't overthink this. Dumb  FIBO down for CFTC.  PR Do you  actually use  Protege.  JN  Absolutely.  

PR to DA Do we have an ontology that corresponds to  the EK spreadsheet?  DA  Wells Fargo has that and a program that will read the EK  type spreadsheet and a  Python  program will map to table name and field name and validated against the source ontology. Yes, they  exist but they all  belong to Wells Fargo. PR Just need the ontology for the mapping itself. DA  there is an annotation method to do that, but it is owned by Wells Fargo. Proprietary to Wells Fargo is the specification that finds old or says it  does not exist.

JN  FIBO covers way beyond  CFTC needs. Can  FIBO have views like specifically an IRS view, or a swap view. Things like that.  DA In principle this should be easy. In practice this gets  way too  much  of FIBO. But, we now have a smarter filter that focuses on only  what has been  imported. Works best from a single starting point.  Perhaps Swaps is the starting point and do a "tree shake" from there. Works at the RDF level, not the OWL level. Imports partOf, not all. This streamlines some parts of FIBO. it is based on  Python. It is checked  into  FIBO infra. Could be productized.

JN Lets say that  we  have Commodity Swaps, we may want  to see only  subset of this such as energy. We would want to see energy swaps and futures and other aspects  of only energy.

JN for IRS there are also  interest rates on  Futures and Options.  This needs to now be brute forced. If we had a specific ontology for just interest rates, this is a home run.


Decisions:

Action items

  • Michael Atkin Find out if JB really knows the CFTC chair.
  • Dean Allemang Run his tree shaker code beginning with  swaps and bring back to this meeting October 23rd.
  •