Date

08 Mar 2019

Attendees

Agenda

1) Review Market Indices Use Cases

2) Define the components of market indices

Proceedings:

11:41 AM: EuroStoxx spreadsheet and mind map have been added to "market indices reference material" on Wiki

11:43 AM: Competency questions have been restructured. Add a business justification to the competency questions

11:45 AM: Corporate action events are a significant issue to address. Lots of actions. Some applied to the entity and some applied to the instrument

11:48 AM: Action: EK to send Jeff Braswell the competency questions and mind map

11:49 AM: Most CA events are created by manual processes (from press releases) and applied to specific stocks

11:50 AM: CA is a flow of data from many sources (reference ISO 20022 message types). Karla McKenna is an expert and might be a good reference.

11:52 AM: If we are not doing "pricing" and "corporate actions" - the objective is how to represent the nature of "things" (entities and instruments) to create a baseline for market indices

11:54 AM: Represent "what indices are" (not everything to make it operational). The "what it is" piece is our initial objective

11:59 AM: Evaluate basket indices ontology as the first step (what is a market index)

12:02 PM: Open question of whether to organize this around the concept of a basket of securities vs around the securities themselves

12:05 PM: Ability to reuse the concept of a basket and mixed basket (within indicators)

12:07 PM: The concept of basket - can also applied to derivatives (not just securities and indices) - broaden the definition to capture contractual relationships

12:25 PM: Action: Chris Hayes to review the competency question expansions to determine if they have been expanded correctly

12:27 PM: Concept of entitlements - indexes are subject to contractual restrictions and payment requirements. This needs to be included in the ontology

12:32 PM: If an index is used as a benchmark - it is subject to a different set of contractual requirements

12:35 PM https://www.esma.europa.eu/policy-rules/benchmark

Decisions:

Action items

Elisa Kendall - send competency questions and mind map to Jeff Braswell
Chris Hayes - review the expansion of the competency questions (are they correct)

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