Date

19 Jan 2018

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/IND/issues/IND-17?filter=allopenissues

5) Todays content discussion.

SMIF OWL-UML

SKOS

RDF/S

6) For next week.

Proceedings:

Question on what additional detail we need for GDP / PCE – see email from Dan dated 7/18 and follow up on 11/13 for US inputs.

What about weather related derivatives? See

https://www.investopedia.com/articles/optioninvestor/05/052505.asp

for examples.

In general, do we have the basic set of economic indicators we need covered? What are the gaps from a bank / derivatives expert perspective? How much detail and what inputs about any of the indicators do we need? (Conversation with State Street derivatives expert planned for this afternoon to address some of these questions - notes will be added here).

We really need to spend some time modeling individual indicators. Pete believes that the current model conflates the concept of an economic indicator with the values of a given indicator and that we need to separate the two. Modeling examples would provide insight into whether or not that is actually the case.

With respect to market indices and the remaining informative and provisional ontologies in IND: (1) eliminate the informative indicator values ontology and module called IndicatorsExt altogether, although we may still need to create the concept of an indicator value as suggested above, and (2) eliminate the basket indicators publishers ontology and replace the one class in that ontology, index publisher, with market data provider from the interest rates ontology (may need to move that up a level into the general Indicators ontology).

Further discussion with Michael Burg, State Street:

Showed our current set of economic indicators and how we have defined them - he thought the level of detail for what SS needs is sufficient - primary indicators he has seen in derivatives include CPI and inflation, but he said that they rarely see exotic instruments and so he doesn't really know. What they need would be to support representation of the underlying reference (security, index) sufficient to address some of the recent discussions by the FSB with respect to development of UPIs. He will go back and look at requirements for us with respect to what questions they would want to be able to ask about these kinds of indices, to make sure that we can answer those questions.
With respect to Financial and Credit indices - these are a problem due to IP issues with the various publishers of such indexes. Credit indices are particularly thorny - they are owned by Markit Partners - they have devised what they call a red code, which CUSIP actually produces, which are 9 digit codes for credit indices, but they make money on them, and so won't release them, and we can't include them due to these IP issues. Same is true for the Goldman Sacks commodity indices.
He will attempt to get a list of the primary financial indices they need, especially any that are publicly available.
With respect to the reference interest rates (FpML), it would be useful to be able to ask questions of their instrument KB to say which contracts are dependent on indices based on what currencies, or tenor, or based on what other rates such as LIBOR, etc., meaning, to include properties as well as interject some additional hierarchy. He will go back to someone at ISDA and ask why they've included the publishers in some of the rates, since the values for a given rate should be the same regardless of where people retrieved them from.

Decisions:

Action items

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