FIBO CONTENT TEAM Indices Indicators IND RTF Agenda

FIBO CONTENT TEAM Indices & Indicators (IND) RTF

Agenda 2 Where we are – v v v Indices & Indicators (IND) Specification FTF Report submitted to the OMG (August 15 th 2016) http: //www. omg. org/techprocess/meetings/schedule/FIBO_ Indices_and_Indicators_1. 1_RTF. html Need to prioritize open issues and extensions, and determine a target for the next submission There are no outstanding issues for the RTF to address on the OMG JIRA, and no project yet set up for the RTF Current activities reflected in open EDMC JIRA issues (13 issues, most added based on a review of the specification by BLS) New issues, as uncovered by the IND FCT / RTF should be posted there 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 v v v A number of new issues raised, primarily changes to text definitions, per review by BLS (3 issues) 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 A few minor tweaks to the existing logic (4 issues) An enhancement to include an ontology defining statistical methods that for determination of the values of various indicators An enhancement to include statistical quantities (mean, average, total, index (quantitative), ratio, percent (to fix what is in BT), and percent change Incorporation of a Common Interest Rates ontology Revision of the definition of tenor using the fdt ontology from FND Need for individuals, including of market indices – S&P 500, DJIA, etc.

IND-27 Improper IRI for the North American About file 5 Trivial correction, but created a new branch in Git. Hub for this, and new about file for IND 1. 1 NA Added the Common. Interest. Rates ontology to the about file for testing and review with this FCT

IND-8 – Common Interest Rates 6 Preliminary version is in Elisa’s Fork, in an IND-8 branch in Github Primary expansions for LIBOR and EURIBOR v v By currency (for LIBOR only) By borrowing period (currently for LIBOR only – what time frames are appropriate for EURIBOR … same as LIBOR? ) Need to revise publisher for EURIBOR (which changed last year to the European Money Markets Institute (EMMI) Need definitions for the variations on LIBOR Secondary expansion for STIBOR Need a list of the additional interest rates to incorporate in a secondary mode Need to revise the approach to time periods for LIBOR, others to use explicit date periods – per the definitions in FND

Common Interest Rates 7

has rate reset time of day 8 should be an object property and reuse Date. Time from FND/Financial. Dates

has tenor in days 9 should be deprecated, replaced with a property called has quote period (or similar), with a range of Explicit. Date. Period

has tenor in months 10 should be deprecated, replaced with a property called has quote period (or similar), with a range of Explicit. Date. Period

Other new issues -11 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"

Definition of Volatility 12

Definition of Quoted. Exchange. Rate 13

Definition of has. Quotation. Settlement. Basis. In. Days 14 Shouldn’t the notion of settlement period be in FBC at a higher level?

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 v v v v Nov 4 th – working session Nov 11 th – working session Nov 18 th – working session Nov 25 th – Thanksgiving Break (no telecon) Dec 2 nd – working session Dec 9 th – OMG week (no telecon) Dec 16 th – OMG post-meeting break (and Elisa will be traveling, no telecon) Dec 23 rd – ? ? Dec 30 th – ? ?