FIBO CONTENT TEAM Indices Indicators IND RTF Agenda
FIBO CONTENT TEAM Indices & Indicators (IND) RTF
Agenda 2 Where we are – Indices & Indicators (IND) Specification FTF Report submitted to the OMG (August 15 th 2016) http: //www. omg. org/techprocess/meetings/schedule/F IBO_Indices_and_Indicators_1. 1_RTF. html v Need to prioritize open issues and extensions, and determine a target for the next submission v There are no outstanding issues for the RTF to address on the OMG JIRA, and no project yet set up for the RTF v Current activities reflected in open EDMC JIRA issues (17 issues, 3 of which have been addressed recently) v New issues, as uncovered by the IND FCT / RTF should be posted there v Open Action Item review Planning
IND 1. 1 RTF / FCT Members 3 Participants include the following organizations: • • • 88 Solutions Adaptive Bloomberg Bureau of Economic Analysis Bureau of Labor Statistics EDM Council Federal Reserve Board No. Magic State Street Statistics Canada Thematix Partners University College Cork
Outstanding IND Actions / Issues 4 Actions will be tracked on the wiki – see https: //wiki. edmcouncil. org/display/IND/Meeting+notes 17 open JIRA issues v A number of new issues raised, primarily changes to text definitions, per review by BLS (3 issues) v Need a definition of Process that we like to be added to FND – may need to do that via the SEC RFC – a statistical program should be a child of process v A few minor tweaks to the existing logic (4 issues) v An enhancement to include an ontology defining statistical methods that for determination of the values of various indicators v An enhancement to include statistical quantities (mean, average, total, index (quantitative), ratio, percent (to fix what is in BT), and percent change v Incorporation of a Common Interest Rates ontology (initial version is in Git. Hub) v Revision of the definition of tenor using the fdt ontology from FND (draft in Git. Hub)
Feedback from Statistics Canada 5 Page 14: Refers to usage scenarios. Indexes (CPI and PPIs) are often used in contract escalation (by industry), and certainly in monetary policy in countries that target inflation. Page 22: I would propose qualifying “volatility” to “pricevolatility” or some other term, or generalizing it and including it at a higher level (FIBO vocabulary? ? Is this the purpose of that exercise? ) since it is applicable to many areas. This is just the way I think of it when I hear the word. The explanatory note is also very specific, so I feel the name could be specified to reflect the application in this case. I see in the explanation of “definitions policy” that a conflict defaults to the financial industry definition, however, my point is that volatility could be used within the financial industry to mean several different things. E. g. volatility of returns has a direct impact on the price of a security, so in this case, volatility would apply to returns, not price. Also, since this ontology is on indexes, what about index volatility? Many practitioners assess indexes in terms of volatility as well, and a financial institution might decide to favour the use of one index over another based on comparative volatility. Just a thought. Page 38 figure 9. 12: I’m not sure if service or producer should be subsets of Functional Business Entity?
Feedback from Statistics Canada 6 Page 38 & 43: There is a specific group for Services Producer Price Indexes, which fall under PPI’s. SPPI’s refer to services, including financial services, insurance services, legal, accounting, engineering, etc. Given that the ontology is meant to be for use by the industry, this separation might not be necessary. But, we structure things a bit differently around here. Our focus isn’t in Input PPI, Output PPI and Value added. Our priority is Output PPIs, which we group by (1) Industrial and raw materials, (2) residential and construction, and (3) services. Output PPIs would be used in deflation, to arrive at real measures of output, and subsequently productivity. Page 48: you have the BLS reference to “Enterprise” definition. There are higher level international references like NAICS. The System of National Accounts might also have a definition, from which the NAICS definition I assume would be derived. Page 49: definition of Establishment. Remove reference to “Enterprise”. These are two different statistical units. NAICS is based on the coding of Establishments and has a specific definitions for them, again, which might be adapted from SNA. I would change establishment population to read “a statistical universe consisting of establishments designed for the purposes of supporting surveys such as those used as the basis for employment and producer price indices. ” Page 50: in the statistical sense, households support surveys as well, e. g. census, labor force survey, consumer prices Section 10 starts with the acronym SME which is often used to for Small- and Medium-Sized Enterprises. In case you want to choose something else like subject matter (SM) experts. And then later just refer to SM.
Updates to date 7 Trivial correction for IND-27 (about file for North America), but created a new branch in Git. Hub for this, and new about file for IND 1. 1 NA (draft in Git. Hub) Added the Common. Interest. Rates ontology to the about file for testing and review with this FCT (added the Canadian Dollar Offered Rate this week) Revised definition for has. Tenor – needed for SEC and DER efforts Addition of explicit durations as part of the work on tenor to facilitate use of individuals to define certain common interest rates Should these common interest rates be normative? Should we bring them in via a separate about file, since they require individuals (e. g. , CDOR requires the Bank. Of. Canada, which requires North American geopolitical entities?
IND-8 – Common Interest Rates 8 Preliminary version is now in pink in Github Primary expansions for LIBOR and EURIBOR v v By currency (for LIBOR only) By borrowing period (eliminated subclasses, revised definition of has. Tenor) Need to revise publisher for EURIBOR (which changed last year to the European Money Markets Institute (EMMI) – done in latest draft Need definitions for the variations on LIBOR Secondary expansion for STIBOR? Added CDOR Need a list of the additional interest rates to incorporate in a secondary mode – we have all those specified by the ISDA MAC documentation now, although we may need BBR and BSR – Bankers Buy Rate and Bankers Sell Rate, which are generic but used in country-specific contexts Need to revise the approach to time periods for LIBOR, others to use explicit date periods – per the definitions in FND (done with revision to has. Tenor and the addition of durations) Revised use of has. Currency with has. Reference. Currency, including elimination of the subproperty relationship between the two, to eliminate reasoning error (this week)
Revised definition of LIBOR 9
Revised definition of has rate reset time of day (corrected from last week to eliminate the redundant data property) 10 source for this?
Revised Canadian Dollar Offered Rate (CDOR) 11
Other new issues -12 Volatility is defined as representing a rate of change in some value, but is represented as a "number" and should reference the appropriate complex datatype instead The definition of Quoted. Exchange. Rate includes a property called has. Quotation. Settlement. Basis. In. Days, which should be has. Quotation. Settlement. Basis with a range of relative duration, rather than a "number“ Also, deprecate has. Settlement. Date in FX and replace it with the new has. Settlement. Date from FBC
Revised Definition of has. Quotation. Settlement. Basis. In. Days 13
Revised Definition of Currency Forward Rate 14 needs source
Homework 15 Review current specification document, available at https: //wiki. edmcouncil. org/pages/viewpage. action? page. Id=636003 5 Take a look at the open JIRA issues, at https: //jira. edmcouncil. org/projects/IND/issues/IND 7? filter=allopenissues Determine what new issues to raise – for example, refinement of GDP, addition of banking indices once we get FRB involved, etc. We should address the smaller clean-up issues quickly, and create complete resolutions for those, then get them done in OMG style so that we don’t need to deal with them later on Determine ideal publication date for a revision (currently March 2017) and what we want to have in it
Schedule 16 Next Several Meetings: v Jan 20 th – no telecon (conference conflict) v Jan 27 th – working session v Feb 3 rd – working session v Feb 10 th – at risk (client conflict)
- Slides: 16