Date

07 Mar 2017

Attendees

Agenda:

Proceedings:

20170307 FIBO CFTC FPoC

Kate Dolan is the CFTC standards person

Today: Complete the 10 elements,

Max presents how swaps are an exchange of 2 loans.

DN: Coagulation with DER and LOANS can incorporate these concepts. Otherwise FIBO has a conceptual gap.

Max: The concept of the Loan commitment is quite central to the concept of securities, especially DEBT securities. Elisa agrees. A debt security is both a debt and a security.

DN: When we tie this together we will better be able to identify risk. Otherwise the model is soloed. JN: I agree: This will add one more advantage of using FIBO in the PoC and will start us down the path of working with other regulators because we will be talking the same language. Maybe the Pension Bureau. Or FERC looking at the Spot Market or Mortgages.

DN: Need to insure that LOANS is correctly modeled. Need to link to DER. Need to have DEBT instruments linked to both.

MAX: The LOAN Ontology could do much more work that can be shared with other FIBO Domains.

EK: Still need to look at the nature of a naked swap. DN: Yes, but isn't an interest rate swap different. Max, no!

DN: Item 19 on JN list, how to reconcile this to FIBO? Max: The notional amount is the reference amount which nets to zero. This could be determined with a SPARQL construct. There is a danger in tying notional amount to swap.

DN: In FPML they do have an XML FPML notional amount for each stream. How is this reconciled? Max: This is a classic impedance mismatch between market talk and how logic is formalized. Should have used "swap principle" annotated with the words, "is notional". Because now need to understand the difference between notional and physical.

DN: Operationally this needs to be processed so that consumers understand the meaning. Max: Start with fundamental concept that each loan has a "principal amount" and that notional is a specialization. DN writes this on slide 6.

DN: The CFTC does not account for when is notional is false. JN: Rem in the PoC for interest rate swap this works. Max: But, not for cross currency swaps.

Max: Always start with the confirmation letter. This defines the arrangement, not the individual commitments.

Max: When we talk about notional amount, we are really talking about notional principal amount.

Decisions:

Action items