Trade Heat/Traceability Map
Proposed*, collaborative Project with Standards Groups
*under discussion
March 13th 2012
Index
•
•
•
•
•
Business Drivers
Current Coverage of Trade Semantics
Trade Heat Map: Scope
Future Applications of Trade Heat Map
Potential Next Steps, Participants, contact info
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Business Drivers for a Trade Heat Map
•
•
•
•
•
•
92% of Financial Business Cost is data
US Daily cost of Trade Settlement Fails
is $200 Billion:
Financial Instruments and their
transactions processing is highly
complex:
– Unique terms and features even in
non-Exotics
– Data is lost “In Transit”
Lack of ‘Accurate Traceability’ of Trade
Information as it moves from Front,
Middle and Back Office and analyzed
for reporting:
– Trade Legs, Counterparty
hierarchies can not always be traced
back to “parent Trade transaction”
in a consistent way
Regulators are increasingly asking for
near-real time Trade Transaction data
Increasing need for transfer of standard
trade data for central clearing
Trade
Reconciliation is
an Expensive
and Skilled
Process
3
Current coverage of Trade Semantics
Investment Roadmap – FIX, ISO, FpML, XBRL syntax (HIGH LEVEL)
Cash Equities &
Fixed Income
Function
Issuer
Pre-investment decision
(2)
Forex
Listed
Derivatives
N/A
OTC
(2)
Derivatives
Funds
N/A
Pre-Trade
Front Office
Trade
Post-Trade
Middle
Office
Clearing / Pre-Settlement
Asset Servicing
N/A
Collateral Management
N/A
N/A
Back Office
Settlement
Pricing / Risk / Reporting
Investor
Regulatory Reporting
Supervision
Issuer
Regulatory Reporting
Supervision
FIX
ISO (1)
FpML
XBRL
N/A
N/A
(1) Represents ISO 20022, ISO 15022 and SWIFT MT messages
(2) See OTC Derivatives breakout for details:
- Syndicated Loans, Privately Negotiated FX, and OTC Equity, Interest Rate, Credit, and Commodity
Derivatives
- FpML payload may be used in combination with FIX business processes in dealer to buy side communication
4
Trade Heat Map: Scope
• Trade Heat Map provides a
smart vocabulary, Process
and Semantic model for
Key Trade Hot Spots
susceptible to failures
resulting in systemic risk
• Facilitates intelligent
machine learning and
reasoning of Trade data to
derive insights currently
achieved manually
• Trade Heat Map builds
upon the well established
industry standards
(complementary NOT
!
competitive)
FIX Protocol
Front/Middle Office
Messages,
Dictionary
Trade Heat Map Components
OMG Modeling
Standards
• Business
Vocabulary & Rules
• Business Process
Modeling/Notation
• Ontology Definition
Metamodel
• XML Metadata
Interchange (XMI)
FpML
Back Office
Messages,
Dictionary
ISO
ISO 20022
Messages,
Dictionary
Smart Vocabulary
(a.k.a. Trade Speech Community)
Asset
Class
Scope
OTC
Derivatives
Process Model
(Key Trade life-cycle Events
Semantic Model
(with business critical attributes,
Identifiers)
Exchange Formats
(XMI, OWL, RDF, XSD…)
BIAN
Business
Services
(SOA)
EDMC-OMG FIBO
Semantic Model,
Dictionary
5
Future Applications: Human-Flexible Knowledge Foundation*
5%
2%
10%
85%
98%
Representation
* Empirical results from Cleveland Clinic, Wall Street Bank and others
© Copyright 2012 Lucid Holdings LLC. All Rights Reserved.
Execution
Future Applications: Knowledge Re-use and Federation
5%
…
5%
5%
5%
5%
5%
5%
10%
10%
10%
10%
85%
85%
85%
85%
Watson
© Copyright 2012 Lucid Holdings LLC. All Rights Reserved.
…
Potential Next Steps, Participants, Contact info
•
•
•
•
Next Steps
Work with other standards groups
to validate proposed scope and
seek buy-in/support
• Deep dive into scope at the
OMG meeting (March 20-21st)
Develop a request for proposal or
request for comments using OMG
Process
Develop and publish the Trade Heat
Map
Etc.
Potential Participants
• End-users (financial services)
– Trade Business SMEs, Operations
stakeholders…
• Standards Organizations (financial
services and others)
–
–
–
–
–
OMG FDTF, ADTF, BMI
EDMC
FIX Protocol
FpML
GS1 (provide expertise on Identifiers
taxonomy)
• Software Vendors/SIs
• Regulators
– CFTC, OFR, SEC…
Contact: Harsh Sharma, Citi Chief Data Office, harsh.w.sharma@citi.com
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