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FIBO and SFTR - reflecting on FIBO workshop at DAS 2018 and applying FIBO to SFTR

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FIBO and SFTR - reflecting on FIBO workshop at DAS 2018 and applying FIBO to SFTR

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Reflecting on the FIBO workshop that took place in November 2018 at the Data Architecture Summit, applying FIBO to SFTR reporting and mixing it up with some other linked data standards such as CSVW and PROV-O.

Reflecting on the FIBO workshop that took place in November 2018 at the Data Architecture Summit, applying FIBO to SFTR reporting and mixing it up with some other linked data standards such as CSVW and PROV-O.

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FIBO and SFTR - reflecting on FIBO workshop at DAS 2018 and applying FIBO to SFTR

  1. 1. FIBO and SFTR Reflecting on FIBO workshop at DAS 2018 and applying FIBO to SFTR Semantic Web London Eugene Morozov @eugenemorozov https://www.linkedin.com/in/emorozov/
  2. 2. What is FIBO ● Financial Industry Business Ontology ● First version published in November 2015 ● Structure and contractual obligations of financial instruments, business entities and financial processes that can be used for data harmonization ● Sold out FIBO Workshop at DAS 2018, FIBO User Group, FIBO at Semantic Web London and Connected Data London meetups Semantic Web London
  3. 3. FIBO Workshop at DAS 2018 Semantic Web London
  4. 4. Key takeaways from the FIBO Workshop ● Internalize the structure ● Local Properties pattern ● Party in Role pattern ● Identifiers pattern Semantic Web London
  5. 5. What is SFTR ● Securities Financing Transactions Regulation ● Introduced by European Securities and Markets Authority to improve transparency of the securities financing transactions ● Coming into effect in the EU in the first half of 2020 ● Impacts investment firms, central counterparties, funds and commercial firms involved in repurchase transactions ● Covers repurchase transactions (of which later), buy-sell-backs, securities lending and margin lending Semantic Web London
  6. 6. Same amount of cash + interest Same nominal amount of bond Cash Bond What are repo transactions Semantic Web London Investor Repo dealer On the start date Investor Repo dealer On the end date
  7. 7. SFTR with FIBO Step 1 - End game … … … Semantic Web London
  8. 8. Financial Business and Commerce Foundations Business Entities SFTR with FIBO Step 2 - FIBO Structure FBC BE FND LoansLOAN Business Process BP SecuritiesSEC Collective Investment Vehicles CIV Market Data MD Corporate Actions and Events CAE Indices and Indicators IND DerivativesDER Semantic Web London
  9. 9. SFTR with FIBO Step 2 - FIBO Structure Semantic Web London
  10. 10. SFTR with FIBO Step 2 - FIBO Structure Semantic Web London
  11. 11. SFTR with FIBO Step 2 - FIBO Structure Although plausible, this is an odd classification. Most repos are traded under a master agreement such as ICMA GMRA as we explore next... Semantic Web London
  12. 12. SFTR with FIBO Step 2 - FIBO Structure fibo-fnd-agr-agr: Agreement rdfs:subClassOf fibo-fnd-agr-ctr: Contract fibo-fnd-agr-ctr: WrittenContract fibo-fnd-txn-txnx: MasterAgreement rdfs:subClassOf rdfs:subClassOf fibo-fnd-txn-rea: EconomicTransaction fibo-fnd-txn-rea: ContractualTransaction fibo-fnd-txn-txnx: CoveredTransaction rdfs:subClassOf swl: MasterRepurchaseAgreement rdfs:subClassOf swl: ICMAGMRA rdfs:subClassOf swl: ICMAGMRA2011 rdfs:subClassOf swl: ICMAGMRA2011WithBuySellBackAnnex rdfs:subClassOf swl: CoveredRepurchaseTransaction swl: ICMAGMRA2011RepoTransaction swl: ICMAGMRA2011BuySellBackTransaction rdfs:subClassOf rdfs:subClassOf rdfs:subClassOf rdfs:subClassOf Semantic Web London
  13. 13. SFTR with FIBO Step 3 - Local Properties fibo-fnd-agr-agr: Agreement rdfs:subClassOf fibo-fnd-agr-ctr: Contract fibo-fnd-agr-ctr: WrittenContract fibo-fnd-txn-txnx: MasterAgreement rdfs:subClassOf rdfs:subClassOf fibo-fnd-txn-rea: EconomicTransaction fibo-fnd-txn-rea: ContractualTransaction fibo-fnd-txn-txnx: CoveredTransaction rdfs:subClassOf rdfs:subClassOf swl: ICMAGMRA rdfs:subClassOf swl: ICMAGMRA2011 rdfs:subClassOf swl: ICMAGMRA2011WithBuySellBackAnnex rdfs:subClassOf swl: ICMAGMRA2011RepoTransaction swl: ICMAGMRA2011BuySellBackTransaction rdfs:subClassOf rdfs:subClassOf rdfs:subClassOf swl:repo-agg-1 swl:repo-1 swl:bsb-agg-1 swl:bsb-1 fibo-fnd-rel-rel:isGovernedBy fibo-fnd-rel-rel:isGovernedBy rdfs:subClassOf rdf:type rdf:type rdf:type rdf:type Semantic Web London swl: MasterRepurchaseAgreement swl: CoveredRepurchaseTransaction
  14. 14. SFTR with FIBO Step 3 - Local Properties fibo-fnd-agr-agr: Agreement rdfs:subClassOf fibo-fnd-agr-ctr: Contract fibo-fnd-agr-ctr: WrittenContract fibo-fnd-txn-txnx: MasterAgreement rdfs:subClassOf rdfs:subClassOf fibo-fnd-txn-rea: EconomicTransaction fibo-fnd-txn-rea: ContractualTransaction fibo-fnd-txn-txnx: CoveredTransaction rdfs:subClassOf rdfs:subClassOf swl: ICMAGMRA rdfs:subClassOf swl: ICMAGMRA2011 rdfs:subClassOf swl: ICMAGMRA2011WithBuySellBackAnnex rdfs:subClassOf swl: ICMAGMRA2011RepoTransaction swl: ICMAGMRA2011BuySellBackTransaction rdfs:subClassOf rdfs:subClassOf rdfs:subClassOf swl:repo-agg-1 swl:repo-1 swl:bsb-agg-1 swl:bsb-1 fibo-fnd-rel-rel:isGovernedBy fibo-fnd-rel-rel:isGovernedBy rdfs:subClassOf rdf:type rdf:type rdf:type rdf:type fibo-fnd-txn-txnx:CoveredTransaction a owl:Class ; rdfs:subClassOf fibo-fnd-txn-rea:ContractualTransaction , [ a owl:Restriction ; owl:onProperty fibo-fnd-rel-rel:isGovernedBy ; owl:someValuesFrom fibo-fnd-txn-txnx:MasterAgreement ; ] ; rdfs:label "covered transaction"@en ; fibo-fnd-rel-rel:isGovernedBy a owl:ObjectProperty ; rdfs:label "is governed by" ; owl:inverseOf fibo-fnd-rel-rel:governs ; skos:definition "a relationship between a contract, agreement, jurisdiction, or other legal construct and the regulation, policy, procedure, or legal person that regulates or oversees (governs) it" ; Semantic Web London swl: MasterRepurchaseAgreement swl: CoveredRepurchaseTransaction
  15. 15. SFTR with FIBO Step 4 - Party in Role fibo-fnd-agr-agr: Agreement rdfs:subClassOf fibo-fnd-agr-ctr: Contract fibo-fnd-agr-ctr: WrittenContract fibo-fnd-txn-txnx: MasterAgreement rdfs:subClassOf rdfs:subClassOf fibo-fnd-txn-rea: EconomicTransaction rdfs:subClassOf fibo-fnd-txn-rea: ContractualTransaction fibo-fnd-txn-txnx: CoveredTransaction rdfs:subClassOf rdfs:subClassOf swl: ICMAGMRA rdfs:subClassOf swl: ICMAGMRA2011 rdfs:subClassOf swl: ICMAGMRA2011WithBuySellBackAnnex rdfs:subClassOf swl: ICMAGMRA2011RepoTransaction swl: ICMAGMRA2011BuySellBackTransaction rdfs:subClassOf rdfs:subClassOf rdfs:subClassOf swl:repo-agg-1 swl:repo-1 swl:bsb-agg-1 swl:bsb-1 fibo-fnd-pty-pty: PartyInRole swl: CollateralTaker fibo-fnd-rel-rel:isGovernedBy fibo-fnd-rel-rel:isGovernedBy swl: CollateralProvider rdfs:subClassOf rdfs:subClassOf swl:repo-1-ct swl:repo-1-cp fibo-fnd-pty-pty:hasPartyInRole swl:repo-agg-1-p1 swl:repo-agg-1-p2 fibo-fnd-pty-pty:hasParty fibo-fnd-pty-pty:hasParty fibo-fnd-pty-pty: IndependentParty fibo-fnd-rel-rel:hasIdentity fibo-fnd-rel-rel:hasIdentity rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type Semantic Web London fibo-fnd-pty-pty:hasPartyInRoleswl: MasterRepurchaseAgreement swl: CoveredRepurchaseTransaction
  16. 16. SFTR with FIBO Step 5 - Identifiers fibo-fnd-agr-agr: Agreement rdfs:subClassOf fibo-fnd-agr-ctr: Contract fibo-fnd-agr-ctr: WrittenContract fibo-fnd-txn-txnx: MasterAgreement rdfs:subClassOf rdfs:subClassOf fibo-fnd-txn-rea: EconomicTransaction rdfs:subClassOf fibo-fnd-txn-rea: ContractualTransaction fibo-fnd-txn-txnx: CoveredTransaction rdfs:subClassOf rdfs:subClassOf swl: ICMAGMRA rdfs:subClassOf swl: ICMAGMRA2011 rdfs:subClassOf swl: ICMAGMRA2011WithBuySellBackAnnex rdfs:subClassOf swl: ICMAGMRA2011RepoTransaction swl: ICMAGMRA2011BuySellBackTransaction rdfs:subClassOf rdfs:subClassOf rdfs:subClassOf swl:repo-agg-1 swl:repo-1 swl:bsb-agg-1 swl:bsb-1 fibo-fnd-pty-pty: PartyInRole swl: CollateralTaker fibo-fnd-rel-rel:isGovernedBy fibo-fnd-rel-rel:isGovernedBy swl: CollateralProvider rdfs:subClassOf rdfs:subClassOf swl:repo-1-ct swl:repo-1-cp swl:repo-agg-1-p1 swl:repo-agg-1-p2 21388UEIUZI4R8WK8U00 fibo-fnd-pty-pty:hasParty fibo-fnd-pty-pty:hasParty fibo-fnd-pty-pty: IndependentParty fibo-be-le-lei: LEIRegisteredEntity fibo-be-le-lei: LegalEntityIdentifier swl:repo-agg-1-p2-lei fibo-fnd-rel-rel:hasIdentity fibo-fnd-rel-rel:hasIdentity fibo-fnd-aap-agt:isIdentifiedBy fibo-fnd-rel-rel:hasTag swl:repo-1-uti fibo-fnd-pas-fpas: UniqueTransactionIdentifier G58VIZ2XDW97GLR5L0RK2TDAGGWBCWM TUTAM0BVI834TWQ9VD6OZ23 fibo-fnd-rel-rel:hasTag rdf:type fibo-fnd-aap-agt:isIdentifiedBy fibo-fnd-pas-fpas: hasGeneratingEntityIdentifier rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type rdf:type Semantic Web London fibo-fnd-pty-pty:hasPartyInRole fibo-fnd-pty-pty:hasPartyInRoleswl: MasterRepurchaseAgreement swl: CoveredRepurchaseTransaction
  17. 17. SFTR with FIBO Step 6 - Describing sources lei1,lie2,side 21388UEIUZI4R8WK8U00,21387ML7PI6MZDIY1F00,Sell Semantic Web London Some tabular structure without much meaning, perhaps extracted from an existing system
  18. 18. SFTR with FIBO Step 6 - Describing sources lei1,lie2,side 21388UEIUZI4R8WK8U00,21387ML7PI6MZDIY1F00,Sell csvw:TableGroup swl:repo-tg-1 csvw:Table swl:repo-table-1 csvw:Schema swl:repo-schema-1 rdf:type rdf:type csvw:table csvw:tableSchema rdf:type swl:repo-col-lei1 csvw:Column swl:repo-col-lei2 swl:repo-col-side csvw:column rdf:type Semantic Web London But at least we can describe its schema...
  19. 19. SFTR with FIBO Step 6 - Describing sources lei1,lie2,side 21388UEIUZI4R8WK8U00,21387ML7PI6MZDIY1F00,Sell csvw:TableGroup swl:repo-tg-1 csvw:Table swl:repo-table-1 csvw:Schema swl:repo-schema-1 rdf:type rdf:type csvw:table csvw:tableSchema rdf:type swl:repo-col-lei1 csvw:Column swl:repo-col-lei2 swl:repo-col-side csvw:Row rdf:type swl:repo-row-1 csvw:row csvw:describes csvw:column rdf:type swl:csv-repo-1 21388UEIUZI4R8WK8U00 21387ML7PI6MZDIY1F00 Sell swl:lei1 swl:lei2 swl:side Semantic Web London … and load it into RDF
  20. 20. SFTR with FIBO Step 7 - Capturing provenance swl:demo-script swl:demo-20190122 prov:SoftwareAgent prov:Activity prov:Agent rdfs:subClassOf rdf:type csvw:TableGroup swl:repo-tg-1 csvw:Table swl:repo-table-1 csvw:Schema swl:repo-schema-1 rdf:type rdf:type csvw:table csvw:tableSchema rdf:type swl:repo-col-lei1 csvw:Column swl:repo-col-lei2 swl:repo-col-side csvw:Row rdf:type swl:repo-row-1 csvw:row csvw:describes csvw:column rdf:type swl:csv-repo-1 21388UEIUZI4R8WK8U00 21387ML7PI6MZDIY1F00 Sell swl:lei1 swl:lei2 swl:side rdf:type prov:Entity rdf:type prov:wasAssociatedWith prov:uses lei1,lie2,side 21388UEIUZI4R8WK8U00,21387ML7PI6MZDIY1F00,Sell Semantic Web London We want to keep the provenance information during transformation to FIBO structure with clear meaning
  21. 21. SFTR with FIBO Step 7 - Capturing provenance swl:demo-script swl:demo-20190122 prov:SoftwareAgent prov:Activity prov:Agent rdfs:subClassOf rdf:type csvw:TableGroup swl:repo-tg-1 csvw:Table swl:repo-table-1 csvw:Schema swl:repo-schema-1 rdf:type rdf:type csvw:table csvw:tableSchema rdf:type swl:repo-col-lei1 csvw:Column swl:repo-col-lei2 swl:repo-col-side csvw:Row rdf:type swl:repo-row-1 csvw:row csvw:describes csvw:column rdf:type swl:csv-repo-1 21388UEIUZI4R8WK8U00 21387ML7PI6MZDIY1F00 Sell swl:lei1 swl:lei2 swl:side rdf:type prov:Entity rdf:type prov:wasAssociatedWith prov:used fibo-fnd-txn-rea: EconomicTransaction rdfs:subClassOf fibo-fnd-txn-rea: ContractualTransaction fibo-fnd-txn-txnx: CoveredTransaction rdfs:subClassOf swl: ICMAGMRA2011RepoTransaction rdfs:subClassOf rdfs:subClassOf swl:repo-1 fibo-fnd-pty-pty: PartyInRole swl: CollateralTaker swl: CollateralProvider rdfs:subClassOf rdfs:subClassOf swl:repo-1-ct swl:repo-1-cp rdf:type rdf:type rdf:type prov:Entity rdf:type prov:wasGeneratedBy prov:wasDerivedFrom Semantic Web London lei1,lie2,side 21388UEIUZI4R8WK8U00,21387ML7PI6MZDIY1F00,Sell fibo-fnd-pty-pty:hasPartyInRole fibo-fnd-pty-pty:hasPartyInRole swl: CoveredRepurchaseTransaction
  22. 22. SFTR with FIBO Step 8 - ISO 20022 Semantic Web London ● Transformation of the FIBO structure into ISO 20022 XML messages is left as an exercise for the reader
  23. 23. Q&A Semantic Web London Eugene Morozov @eugenemorozov https://www.linkedin.com/in/emorozov/

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