Date

21 Mar 2017

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/FCP/issues/FCP-4?filter=allopenissues

5) Todays content discussion.

SMIF OWL-UML

SKOS

RDF/S

6) For next week.

Proceedings:

20170323 FIBO CFTC PoC

DN: Hoping to introduce Principal Amount to FIBO. When currencies match, then is Notional=TRUE, otherwise FALSE. Is this correct? Notional is a confusing notion. FIBO should clarify this. Does notional schedule represent real meaning?

JN: e.g., fixed vs float swap, can also be notional. Is Notional/Principal two disjoint sibling subets? Or, is Notional a subClassOf Principal? Looking at hasPrincipal to figure this out. hasPrincipal has no domain (is that an issue? What should it be? Obligation? There is no such thing)

Is Notionalount a kind of Principal? Or not? Definition from Investopedia http://www.investopedia.com/terms/n/notionalprincipalount.asp

JN: That sounds right.

Xref with Max's definition. DN: Is here a cross-currency swap, as distinct from a cross-currency IR swap? When say it is notional, we only exchange the interest. When we have a x-currency swap, where it isn't notional, we are exchanging more than just the interest rate since the currencies are different, we have to account for that. So we are exchanging the principal as well. If we swap in $ and #, I pay interest in $ you in #, as these fluctuate, there will be a surplus in one direction or the other. Do we exchange principal?

We could do swaps to get a different party to do an exchange (e.g., a party in the UK might get a better rate from a bank in UK) they set up the swap to get better rates. Happens a lot in Japan (Japanese can get better rates on the Yen). Interest Rate swap in single currency, but if we have different currency, different interest rates. could calculate the swap street amount with the interest rate against principal . At the end of the swap, they exchange the principal (in different currencies, if that's what is going on).

DN: When do they do that? At each payment cycle, etc.? JN: Only at the end. Could be step payments on the principa. Notional Steps are when they exchange principal in pieces. If it is a single currency, no point in exchanging principal, but in x-currency, we do, since the currencies might have changed. isNotional=true means that as part of the contract, the principal doesn't need to be exchanged. When isNotional=false, we must exchange principal at the end of the contract.

Looking at ISDA example, there's a notionalStepSchedule. ISDA in fpml. If we had multiple steps, would we have dates where the steps happen? We could model a closing, optionally with steps, or model the closing as a step. (that seems to be what fpml does).

ACTION: Is there a "notional amount" which is a principal where isNotional=true? JN to check with SMEs: can xcurrency be notional? Ask them to write it up.

Is "notional" only valid for swaps? According to Investopedia, it is for IR swaps. But, we might want to use the word more generally

Decisions:

Action items

John Nowlin Is there a "notional amount" which is a principal where isNotional=true? JN to check with SMEs: can xcurrency be notional? Ask them to write it up.