Date

26 May 2020

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:

Today we continued reviewing the CFTC equity option reporting fields spreadsheet (see last week's notes for the spreadsheet itself).

Row 38/39 - specifies an identifier and identifier type for the buyer/purchaser of the swap. With respect to valid values for the kind of identifier, CICI became the LEI, is a legacy term related to data still managed in the CFTC database, but not anticipated to be used in new reporting; DTCC purchased AVOX, AVOX had their own identifier - John will dig a bit into the status of the AVOX identifier for us. Also, the Swift BIC codes are not unique to a legal entity - they could identify a branch of an entity.

Row 40 - collateralized - this needs review with respect to what we currently have in debt. Whether or not a contract is collateralized, and if so, in what way is what this is about. It doesn't indicate whether or not collateralization is required per the contract. It's similar to margin requirements based on fluctuations in the market. It also does not indicate total collateral requirements for the entity. It is specific to equity swaps, similar to collateral for a loan, related to security lending and REPOs. Acadiasoft is a company that assists with margin calculations

Rows 41/42 - underlying asset identifier type - this content is based on how one would represent a list in a relational database; if basket then up to 10K individual equities could be listed ... similar to a nested structure of contracts; baskets like this are important to CFTC due to the amount of fraud "hidden" in baskets; note that the spreadsheet links to the definitions for the identifiers from FpML, if needed for comparison or to add as additional links to their definitions.

Row 43 - exchange (can be determined in FIBO by tracking the listing(s) for the instrument)

Rows 44/45 - settlement currency and method - need to check the provisional settlement ontology for these; note that this is about the equity swap contract, not the underliers

Rows 46/47 - party roles - indicates the role of the reporting counterparty; note that we still need a definition for "non-SD/MSP" and to confirm that we have the others.

Next week - start with row 48.

Decisions:

Action items

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