Date

01 Aug 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.

20170801 FIBO CFTC Pilot

EK FIBO LCC based on ISO 3166 latest versions in OMG. 11179 Is ISO Std for meta data. EK: FIBO does not use ISO Geo Spatial. FIBO uses Dublin core and SKOS. SKOS, No changes since 2009. No reported errors or change requests. Dublin core is used with annotations.

EK May need to add execution venue.

JN updated line 40. EK: What is the definition of Clearing Organization? FIBO used Clearing House. EK is there a clearing house that is not a Central Counter Party? JN no.

EK needs answers on Legs. EK

Does CFTC need the URIs fully qualified, or is abbreviated for the spreadsheet. JN At some point we will need full URIs to do the mapping to real CFTC data. EK No problem, all of this is in Protege with short cuts and pointers to the long URI. JN - Fantastic, thank you.

EK Trade Life Cycle more complicated than was thought to be. Need to do more work.

Occurrence kind corresponds to the Trade Life Cycle. EK has more work to do and will give back the results to JN in his version of the spread sheet. What EK needs answers for from JN are the cells in orange.

EK FIBO uses W3C date format. JN: What is gained by using leg level not swap level? Nothing! No impact on FIBO either way. JN: Never seen 2 effective dates in the data. Max has also never seen this.

EK Is floating rate index different for each leg? Stowsky - yes. EK IND FCT working on all of this now.

EK Cleared/Not-cleared is reported by clearing organization. CFTC needs to know if there is an intention to clear the trade and then that it has been cleared. Large discussion going on now about clearing life cycle. EK can we walk through the clearing life cycle some time? Stowsky ISDA has this on their website. The question is how granular does CFTC want to see this? No conclusion yet.

ACTION: Links will be forwarded to Elisa on ISDA Clearing Organization work.

Max there are 2 dimensions to trade lifecycle. 1. the set of states Q in which an agreement may exist. 2. the rules that may determine whether, or not a swap may exist is a specified state.

EK What does Asset Class mean. Equity, commodity, mixed. FIBO has many many kinds of Asset Class. But, not a single classification scheme. Stowsky - we are talking about the product underlying a transaction. The I in a CFI is Instrument.

EK FIBO also uses Bloomberg asset class. FIBO should add the top 2 levels of CFI.

Line 59 EK, what is this? The first time the trade repository is received. SDR is legal designation in USA, but Trade Repository is international. Leg 1 and Leg 2 Type has not been implemented. Don't need this now.

Line 62 idea is that a swap may be reported by more than one SDR. EK Where is the list of SDRs. Stowsky Do you want CFTC list or global list? Financial Stability Board probably has this list. FIBO has a list by jurisdiction. People can load whatever jurisdiction they care about. CFTC has 4 SDRs. FIBO does not have CME. Needs CME.

EK What is a non reporting party ID? Stowsky It is the ID of the party that is not obligated to report. I.e. under CFTC rules. If a trade gets reported to multiple SDRs, CFTC needs to know. SDR in line 63 needs to identify that they are not the reporting party.

Max identifiers may be structured e.g. I'd and the url. EK What is a USI transaction ID. CFTC. A USI is a transaction ID. It is a single field that is an identifier of who issued the USI and a code they assigned. Some SDRs have made this 2 fields. EK Then what does CFTC want? JN Only the USI. EK USI broken out is not what is needed. It is the relationship. The prior USI. FIBO has this.

Is Post Allocation a child of Prior? CFTC Parent USI is the same as Prior USI. Do we need both 67 and 68? CFTC there will always be both, but as a single entity. So, does not need both. Max Could use a related trade ID, not USI. Make related trade a type of relationship. USI is just an identifier. Related Trade should be able to handle this. This would eliminate the many different labels and reduce confusion.

ACTION: EK to do a proposal for related trade. Then will need a test case. Will need some data from CFTC to test.

EK: Does CFTC want UPI in FIBO? CFTC Is there a place holder for CFI. Yes! Then need a place holder for UPI. EK FIBO is fleshing out all transaction data according to ISO. The USI is a transaction identifier.

Max: Transaction is synonymous with trade? CFTC Yes. Transaction can apply to any type of payment or any type of trade.

Stowsky The work of Stuart ??? at MIT is in this area.

CFTC Counterpart ID Source is ISO 17442, LEI. But, people still submit other identifiers. So, need to know what they are also. Need to know the actually submitter and the reporting counter party. Submitter has no legal requirement for an LEI. Could identify themselves another way. EK FIBO does not have the complete story in identifiers for counter parties. EK will see if there is a way to get from a counter party identifier to the issuer of the identifier. I.E. Who registered the identifier?

Lines 73 and 74 is a US regulatory requirement. EK This can be inferred. CFTC This is an attribute of the counter party and is assigned by the CFTC. This is a Boolean. CFTC need to ask legal if this must be explicit. FIBO has Day Count Convention.

CFTC Does FIBO only look at OTC or all financials products.? ALL. Then need the union of at least 2 sets of day count conventions. Max says not trivial.

ACTION: EK will integrate this spread sheet and the one from JN. Remaining orange are 72, 73, 77, 78.59 78.

Trade includes non standard terms. This goes on the contract. Max If CFTC gets this, does it need to ask what this is? Yes. Look at the data or pick up the phone to find out what is not standard if not clear from the data.

ACTION: EK will finish spread sheet and send to JN.

Current draft spreadsheet is available here - Light blue means this item is a todo from an EK perspective, light yellow means that there may still be a question about something before hammering it into the ontology from an EK perspective.

6) For next week.

Proceedings:

Decisions:

Action items

John Nowlin Links will be forwarded to Elisa on ISDA Clearing Organization work
Elisa Kendall John Nowlin EK to do a proposal for related trade. Then will need a test case. Will need some data from CFTC to test.
Elisa Kendall. EK will integrate this spread sheet and the one from JN. Remaining orange are 72, 73, 77, 78.59 78. Send to JN