Mapping Issuer records

Objective:

Mapping Entity/ Issuer static records across vendor feeds. Currently there is no common identifier that covers all Issuers and has 100% coverage. Hence it is a challenge to link issuer records from multiple vendors. LEI code is a global identifier for Issuers but the coverage is very low.

Road to the Solution:

Last year in November 2018 the Securities Reference Data Working Group was formally launched. The idea behind the creation of this group was for the financial firms to come together and find solutions to common problems faced in the securities reference data domain. First couple of WG meetings focused on finding the best theme to attack. The consensus was built on finding a solution to link the Issuer records from various vendor feeds in absence of any street identifiers for the Issuer data. 

The group identified couple of possible ways to solve the problem – 

1. Open Corporates – We explored the possibility of using the Open Corporates Id, as a common identifier,  published by Open Corporates. The solution depended on other vendors adopting this Id and distributing it in their standard feeds. We discovered that the major players such as Bloomberg and Refinitiv are aware of Open corporates but have no plans to assimilate the data in to theirs because of cost and operating complexities

2. LEI Code – LEI code was created with the objective of being the “ISIN” of the Issuer data but the coverage for North American issuers is not encouraging. This motivated the group to find out if there is a way to influence the issuing authorities to bridge the gap. Our research led us to Bloomberg – one of the LOUs that issued LEI code in US.

3. Bloomberg – The group approached Bloomberg to understand if there are plans to increase the LEI coverage. We learnt that in absence of any directive to make LEI code mandatory it wasn’t possible to increase the coverage. Bloomberg gave a presentation on their open symbology –FIGI for Instruments and Issuer data. But the issue with FIGI was similar to the one with adopting open corporates Id.

4. Refinitiv – In order to close the loop, the group decided to invite Refinitiv for a session to understand if they have anything to offer which could help us.

https://finosfoundation.atlassian.net/wiki/spaces/DT/pages/1194491941

Solution:

After careful consideration, the group concluded that no vendor solution or a third part identifier can solve the issue. Hence the focus shifted towards building an open source mapping logic --

Step 1: Use LEI code, whenever available, to link issuers.

Step 2: Use issuer Cusips (6 char of Instrument Cusip) to link US based issuers.

Step 3: Use ML technique to map the remaining issuer population.

Scope of Issuers:

1. Only entities that have outstanding issues - Bonds, stocks, warrants etc are in scope

2. Any synthetic issuer that might be setup by a vendor will be filtered out.

Next Steps:

1. Create open source Git repository

2. Ensure each contributing firm has access to the Git

3. Each interested member fiem - Committ to a minimum Dev time.

4. setting coding standards

5. Test methodology

6. Choose at least 2 vendors to simulate the algorithms.

7. Create a detailed project plan