Date

25 Jul 2017

Attendees

Agenda

Notes and spreadsheet review.

Proceedings:

20170725 FIBO CFTC Pilot FCT

Does CFTC need Facility, or is it ok to use Deal and Trade? JN: Need to research and get back to us.

EK: FIBO has the notion of a masterAgreement in DER. Need to put Trade and Deal there. Need to better understand what is a Facility. EK: Need to import some Master material into Magic Draw and make the connection there. Is this important?

We don't see facility in the CFTC spreadsheet. This is complicated. Jeff: masterAgreement and facility and things like that get into Risk. Important for that, but not simple reporting. No mystery to dates. Don't need to solve the over all structure of facilities, etc. in order to understand contracts. EK: Happy to hear this.

For CFTC reporting don't need to model ISDA agreements environments. JN: executionDate and tradeDate are the same. But, when the 24 hour clock changes, they may be different. EK: No problem, decent triple stores can handle this.

EK: In addition to life cycle of a trade, we need life cycle of a contract. Jeff, this is because trade is very short. Contract is longer. Don't get into the weeds on modelling trades, look at contracts and contained risk profile there. It is about the status of the contract, not the trade life cycle. JN: Yes, for the pilot we want to focus on only transactions. In the future there will be more. EK: Yep, don't need trade life cycle, only contract life cycle.

Jeff: Need to verify how the SDRs are reporting to CFTC. This will be most efficient. Easier than a generic SDR reporting ontolgy. James: Need to research and get back to us.

Is it just the deltas? Probably want all of the fields. Transaction data is all of the life cycle events. Can derive open positions from that. SDRs do that also, separate from the event data stream. We need to decide what we want to prove the concept of the pilot.

James: We can get the precise definitions from the enumerated data. But, there will be variances on the values even though it is supposed to be based on the same definitions. This is why we need an ontology.

EK: Need to capture what SDR's said and map to what CFTC says that it means.

JN: Need to do more research on 43, 44 and 47. Need to check if there is a difference between leg and swap levels. EK: Easy to do when we have the answer.

Element 55 - Cleared/not cleared very important to CFTC. Is there another field with the same data? Is there a cleared indicator field so is this redundant?

Element 59 - JN to research.

Element 62 - Is this swaps between SDR's. JN will research.

Element 69 - Product Code. Each SDR uses their own. UPI will replace this, but uncertain when. Jeff: There is much churn as UPI is being developed. Don't go there. EK will put a place holder fiekld in now.

Elements 73 and 74, EK will add.

Element 78 - JN to research.

JN: Next week we can discuss in a GTM what James has done and show how FIBO could be incorporated into CFTC data architecture in prep for CIO presentation. James has done much work in meta data. Need to sync this to FIBO for presentation to the CIO. Next week show what James has done and sync this to a presentation to the CIO. Sooner than later need to get in front of the CIO. Need a cohesive message showing how all connects together.

The James work answers some of the questions in the JN spread sheet. EK: having this meta data will be tremendously helpful for this pilot. CFTC now having infrastructure issues. Can show us next week. James: Tries to tie what they have into existing standards.

EK: Have you looked at ISO 1179? Kate may have done this. EK has worked with Kate. James not ready for that yet, but working in that direction. The result will be a meta data repository. This can then map to FIBO. FIBO will then be the CFTC ontology for meta data.

EK: We should add a column in the spreadsheet for the FIBO URI. Or, use the existing FIBO column. JN: When CFTC has the URIs James can build them into the CFTC meta data repository. Then can close the loop. EK will work on this before the next meeting. EK will add JIRA for this.

JN: Need to get in front of the CIO soon. CIO is putting pressure on him. EK: Now that FIBO has been published, we can attack this again. JN will go through the spreadsheet and answer the questions assigned. Then, next week we will see the CFTC meta data and this should be a wrap.

EK has contacts with 2 universities looking for projects. JN: CFTC would be receptive. EK: RPI has IBM Watson. This could be free as part of a grad student project.

Decisions:

Action items

John Nowlin Provide answers to open items in the spread sheet
Elisa Kendall Add FIBO URI's to the spread sheet
Elisa Kendall Up date the spread sheet as JN provides answers.

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