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2019-02-19 Meeting notes

2019-02-19 Meeting notes

Owned by Michael Atkin
Feb 19, 2019

Date

Attendees



Agenda

1) EBRDF IRS Project Status

2) Order of Activity

3)Coordination with stakeholders

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

Proceedings:

  1.     Review of EBRDF IRS glossary project – status and approach
  2.     Agreement on order of activities
    1.      Start with dictionary view.  This is the way SMEs and business executives understand the world.  They need to relate to the activity for buy-in and confidence.  The simple view of an IRS is the right starting point
    2.      XML schemas.  Must make sure these definitions align with FpML and FixML.  These are the current essential players in the industry/regulatory dynamic
    3.     Ontology expression.  The goal is to translate the dictionary into a set of concepts (aligned with FIBO).  This is a translation initiative that can be performed by FIBO experts.  Separate the dictionary objective from the ontology expression objective
    4.     Ontology commonality.  Ensure that the stakeholders understand that the concepts within FIBO (any ontology) can be reused.  Reuse is one of the value propositions.  Don’t try to sell this concept too early
    5.     Alignment across systems.  Participants from banks will also need to align FIBO (conceptual structure) with their internal systems expressions.  Prepare to support this mapping
    6.     Alignment with regulatory requirements.  The ultimate goal is to align concepts and relationships with the regulatory reporting requirements
      • Jeff Braswell (to Everyone): 11:54 AM: There is a fundamental challenge is using a static snapshot of a balance sheet (in whatever form or model that represents it) and satisfying regulatory reporting requirements.  Most regulatory (micro- or macro-prudential) analysis / reporting must forecast what may happen to contracts in the future -- i.e., cash flows under different scenarios.
      • Jeff Braswell (to Everyone): 11:55 AM: Regulators have typically used product classifications and short-medium-long range temporal bins to try to get these assessments from financial institutions based on their balance sheets
      • Jeff Braswell (to Everyone): 11:56 AM: Classification and definition of financial contracts will not solve the regulatory reporting requirements without the means to forecast
  1. 3.      Coordination with Regulators
    1. March 21 with CFTC
    2. Request from Bank of England for demonstration of EBRDF/FIBO approach (to be scheduled)

Decisions:

Action items

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