Trade Heat/Traceability Map

Transcription

1 Trade Heat/Traceability Map Proposed*, collaborative Project with Standards Groups *under discussion March 13 th 2012

2 Index Business Drivers Current Coverage of Trade Semantics Trade Heat Map: Scope Future Applications of Trade Heat Map Potential Next Steps, Participants, contact info 2

3 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

4 Current coverage of Trade Semantics Investment Roadmap FIX, ISO, FpML, XBRL syntax (HIGH LEVEL) Function Cash Equities & Fixed Income Forex (2) Listed Derivatives OTC Derivatives (2) Funds Issuer Pre-investment decision N/A N/A Pre-Trade Front Office Trade Middle Office Post-Trade Clearing / Pre-Settlement Asset Servicing N/A Back Office Collateral Management N/A N/A Settlement Pricing / Risk / Reporting Investor Regulatory Reporting Supervision Issuer Regulatory Reporting N/A N/A Supervision FIX ISO (1) FpML XBRL (1) Represents ISO 20022, ISO 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

5 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)! OMG Modeling Standards Business Vocabulary & Rules Business Process Modeling/Notation Ontology Definition Metamodel XML Metadata Interchange (XMI) Trade Heat Map Components Asset Class Scope OTC Derivatives Smart Vocabulary (a.k.a. Trade Speech Community) Process Model (Key Trade life-cycle Events Semantic Model (with business critical attributes, Identifiers) Exchange Formats (XMI, OWL, RDF, XSD ) FIX Protocol Front/Middle Office Messages, Dictionary FpML Back Office Messages, Dictionary ISO ISO Messages, Dictionary BIAN Business Services (SOA) EDMC-OMG FIBO Semantic Model, Dictionary 5

6 Future Applications: Human-Flexible Knowledge Foundation* 2% 5% 98% 85% Representation Execution * Empirical results from Cleveland Clinic, Wall Street Bank and others Copyright 2012 Lucid Holdings LLC. All Rights Reserved.

7 Future Applications: Knowledge Re-use and Federation 5% 5% 5% 5% 5% 5% 5% 85% 85% 85% 85% Watson Copyright 2012 Lucid Holdings LLC. All Rights Reserved.

8 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 st ) 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 8