Date

09 Jun 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:

Row 89 - over the lifecycle of the swap, an indicator of change in the number of shares or baskets if there was some corporate action or other similar event

Row 91 - John will investigate the meaning of 'lifecycle change in deal units'

Row 92-95 - appears that identifiers for option buyer/seller are reported only under certain circumstances, depending on the underlier - John will investigate

Rows 96-101 - refer to options, standard concepts - Elisa will review that we have these but thinks so

Row 102 - John will investigate what event results in a change in the number of options and how we would know - is the report representative of some event, for example?

Rows 103/104 - premium payer ... on either side of the contract?

Rows 105/106 and 107/108 - variance buyer and seller?

Rows 109/115 - need to understand what a variance swap is, whether or not we have any of the details in FIBO or whether we have an SME that can assist with these, maybe check with Jeff Braswell

Rows 116/117 - need to understand what 'alpha termination' means, possibly indicating that something is cleared before the swap? John will investigate

Rows 119-120 - need to ensure we can identify both an original reporting SDR and clearing SDR

Row 122 - clearing member client account - need to add concepts for clearing member, and an account specific to clearing related to the third party doing this? John will investigate whether or not we understand this correctly

Row 123 - need to add this distinction related to the clearing member for a given swap, i.e., whether they act on their own behalf or on behalf of a customer through an agency agreement

Rows 124/128 - these fields should not be specific to DER; clearing is relevant for all securities and so we need to cover this in FBC; also need to determine how much we want to include with respect to the details of clearing events

Rows 129/130 - what is a lifecycle underlying asset as opposed to an underlying asset? if there is a change in the underlying for the swap? if there is a split or M&A, and a change in the underlier results?

Row 131 - period end date is the dividend period related to the underlier(s) - ex-dividend? John will investigate

Summary discussion - there appear to be commonalities across swap reports, including IRS and Equity swaps - we should be able to reconcile terminology across both. The IRS spreadsheet may be missing some of the lifecycle event details. So we may need an update there. Reporting of event specific information should be something we can create patterns for, even if we don't have a representation for processes per se.

Need to create a parallel structure to IRS, to split the concepts into what applies to the report, to some snapshot, to an event related to the swap, to the swap lifecycle, and ultimately what terms are specific to the instrument. Also, need to see what aspects we can anticipate SBRM would handle vs. what should be covered in FIBO proper.

So for next week - we'll start to break down how these fields apply - and create the scaffolding for the mapping process.

Decisions:

Action items

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