Proposal: New modeling initiative on FINOS Legend shared instance

Please note that only FINOS members can propose new projects. If you are not a FINOS member, consider becoming a FINOS member or reach out to community@finos.org to find a FINOS member willing to sponsor your proposal.

Business Problem

Describe the business problem that the modeling effort addresses
There are multiple vendors currently providing consensus based pricing services and each vendor have their own template requirements. The different submission and consensus templates have increased the onboarding cost for participants to switch between / subscribe for multiple vendors. To overcome this inconsistency, we are considering to create an industry standard common template for submitting to and getting data back from vendors. This would help to streamline the Submission process by applying a consistent approved format for this submission. We can continue to send and receive the file in the same format and it is the vendor that needs to conform to the industry standard when agreed upon by all the banks. This way banks do not have to change their infrastructure whenever new vendors come in or source many different files for all the vendors. It would also allow vendors to change formatting and column naming conventions of submission files without requiring work from the industry as the templates would still need to conform to the industry standard data model.

Proposed Solution

Describe the proposed modeling effort and how it aims to solve the business problem.
• Construct a common template data model using Legend Studio (an approved open sourced data modelling tool that allow users to create data model in a graphical user interface).
• This common template data model will include all the attributes that each vendor is required to run their valuation process and return the consensus data to the banks.
• Banks can connect their daily pricing data to the industry approved model for submission and vendor can leverage the same model to provide the consensus data. Thereby, both the banks and vendor will communicate in the same common model language.

Current Status

If applicable, summarize the history and current state of the modeling effort
• An initial discussion with few existing banks on viability of the idea, with an agreement that it was worth pursuing to see if a viable concept.
• Exploring and preparation of model in Legend Studio.
• Discussion with ISDA on using CDM as a core model for this initiative.

Existing Materials

If there are existing materials (e.g. models, frameworks) that will be leveraged, please provide a link or additional context
• Vanilla template from existing vendors and an indicative excel based common template.
• Working knowledge of Legend Studio.
• Leveraging the existing CDM Model to create the new Common Template Model.

Team

Leadership

Who will lead this project? Provide full name, affiliation, work email address, and GitHub.com username.
Kenneth Poon / VP, Engineering / Kenneth.Poon.kh@gs.com / kenneth-hei
Abhishek Agarwalla / Associate, Controllers / Abhishek.Agarwalla@gs.com / abhishekagarwalla99
Richard M Thomas / MD, Controllers / Richard.M.Thomas@gs.com
Pierre De Belen / MD, Engineering / Pierre.DeBelen@.gs.com
Toh Ne Win / MD, Engineering / Toh.Newin@gs.com

Confirmed Contributors

If applicable, list all of the individuals that have expressed interest in and/or are committed to contributing to this project, including full name, affiliation, work email address, and GitHub.com username
Goldman Sachs, Citi Bank, Morgan Stanley, JP Morgan, Bank of America (non-FINOS member).

FINOS hosts collaborative modeling initiatives, so contributors are encouraged to seek public commitment from at least one additional organization before the project can be approved.

Target Contributors

Describe the contributor profile (background, position, organization) you'd like to see engaged in this project
Representation from Product Controllers (aware of exiting consensus submission process), Modellers, Data Engineering from all the contributing banks, ISDA, Vendors (Totem, Skylight, RVS).

Infrastructure needs

Describe the infrastructure set up needed from FINOS (i.e. a project on the Legend Studio hosted instance, recurring meeting infrastructure, mailing list
A project on the Legend Studio hosted instance, recurring meeting infrastructure, mailing list of working group members.

Please do not edit the below content at contribution time

Legend modeling effort: Setup Checklist

(v. 1.0, last updated on 2021-01-11)

Below is the list of tasks that FINOS Team go through in order to onboard and set up the FINOS Legend modeling effort.

Identify modeling effort meta

• Identify and Assign FINOS Modeling effort POC - PoC: @Julia-Ritter , SA: @jgavronsky
• Modeling effort name: Product Control Common Template
• Modeling effort slug: product-control-common-template
• Modeling effort leader: Kenneth Poon / VP, Engineering / Kenneth.Poon.kh@gs.com / kenneth-hei
• Meetings (existing/yes/no): Weekly on Mondays at 10am ET/ 3pm GMT see calendar invite
• Meeting minutes, agenda, attendance tracking (existing/yes/no)

Proposal (Lead maintainer)

• Lead maintainer to send out announcement to community@finos.org Done See announcement

Approval

• Given that this is a proposal for a new workstream under the Financial Objects FINOS project, request approval from Financial Objects lead maintainer(s)

Project setup

• create a new project for the modeling initiative on the Legend hosted instance https://legend.finos.org/studio/UAT-41
• set up recurring meetings: done see calendar invite
• set up mailing list product-control-common-template@finos.org
• add participants to the mailing list
• set up meeting minute template in corresponding GitHub repo issue template staged in https://github.com/agitana/finos-fo/blob/master/.github/ISSUE_TEMPLATE/product-control-common-template-meeting.md

Metadata update (Lead: FINOS Infra)

• Add project to metadata
• Add identities, orgs and affiliations to metadata
• Add project maintainers emails to finos-project-maintainers@finos.org list
• Add project maintainers GitHub usernames to the project-maintainers Team
• Onboard users into Legend Shared Instance
• Add users to GitLab groups to grant permissions (depending on their entitlements)

Next steps (to be addressed in a separate GitHub issue once the project has been set up)

• Invite GitHub usernames to GitHub FINOS Org