2020-06-02 Meeting notes
- 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:
Row 51 - clearing indicator - need to investigate the various Canadian references / regulators in addition to those in the US, and augment the nominals we have to include them.
Row 52 - need to include pre- and post- allocation concepts for swaps (review IR swaps with respect to allocation as well)
Row 57 - USD equivalent for the notional amount needs to be added
Row 59 - John will look up what the values for floating rate option are
Row 61 - John will investigate valid values for sub-product
Row 62 - need to review transaction types with respect to IR swaps, and what is in our current provisional transaction content.
Row 65 - need to understand valid event types for equity swaps / event processing identifiers ... will need to model the particular corporate actions and other events that are applicable to equity swaps, likely at a higher level in the ontology than equity swaps, since they also apply to other things, e.g., credit default swaps
Row 66/67 - need to model the various valid values for voluntary submission parties that are not currently in the ontology, e.g., JFSA (might be Japan Financial Services Agency), (OTC Derivatives Regulators Forum) ODRF, and we will need other valid values for this property
Row 70/71 - need to define what it means to be a financial entity from the CFTC perspective
Row 75/76 - need to add the concept of a lifecycle change in the notional amount for the deal; need to understand what this means with respect to an equity swap value adjustment ... could be related to the notional amount of an index as opposed to a specific instrument
Row 77/79 - John will look these up
Row 80/87 - John will investigate why there is duplication with respect to fixed amount payer / receiver and what that means
Start next week on row 88.
From Jeff:
What is an Equity Swap? An equity swap is an exchange of future cash flows between two parties that allows each party to diversify its income for a specified period of time while still holding its original assets. An equity swap is similar to an interest rate swap, but rather than one leg being the "fixed" side, it is based on the return of an equity index. The two sets of nominally equal cash flows are exchanged as per the terms of the swap, which may involve an equity-based cash flow (such as from a stock asset, called the reference equity) that is traded for fixed-income cash flow (such as a benchmark interest rate). Swaps trade over-the-counter and are very customizable, based on what two parties agree to. Besides diversification and tax benefits, equity swaps allow large institutions to hedge specific assets or positions in their portfolios. Equity swaps should not be confused with a debt/equity swap, which is a restructuring transaction in which the obligations or debts of a