Summary of Financial Objects and Use Cases - Working Group

Red = Mandatory

Orange = Optional

Blue = Reference IDs (at least one must be provided)

Green = Mandatory Object Reference

Financial Object TypeProductSub ProductUse Case Object Attributes and Examples - Working VersionContributorsNext MeetingTarget Outcomes and ReviewVersion
Trade Object

Rates

Interest Rate Swap (IRS)

Ability to define and pass through a structured object between buy-side, sell-side and financial eco-system partners. This will allow a specific trade and instrument context E.g. Rates trade object to be passed in a use case workflow to satisfy a  pre-trade, trade, post trade workflow. The goal is to enable and foster greater open collaboration between creators of Financial Objects and with the users of Financial Objects starting with trade objects.


Type of interaction, stage of trade-life-cycle, extensible objects that can be enriched (from core essential objects)

<Fundamental Trade Object>:

Product: IRS

CCY: CHF

Maturity: 10Y

Clear: LCH


Example: IRS, USD, 10Y, LCH (Vanilla Swap), IRS, USD, 10y/5y, LCH (Vanilla Swap - 5y swap 10y fwd)

If multi-leg all the above details for the other legs.

Fundamental trade object would be expanded for Curve Trades, Butterflies, Basis, Cap/Floors, Collars


Citi, JPM29th November 2018
  • Walk through of use case
  • Example of Rates - Trade Object 
Draft and in-progress
RFQ Object

Rates

Interest Rate Swap (IRS)The RFQ object will be an extension of the trade object by identifying the additional attributes over and above the trade object to determine the status of RFQ - inquiry, response, state change data fields.

<RFQ>:

Requestor Unique ID: [Entity A]

Direction: two-way market

Notional: 36,830,000.00

Start Date

End Date

Roll Convention

<Fundamental Trade Object>:

Product: IRS

CCY: CHF

Maturity: 10Y

Clear: LCH



<RFQ Response>:

Responder Unique ID:[Entity B]

Receive Fixed Level: [x.xx]%

Pay Fixed Level: [x.xy]%

<RFQ>:

Requestor Unique ID: [Entity A]

Direction: two-way market

Notional: 36,830,000.00

Start Date

End Date

Roll Convention

<Fundamental Trade Object>:

Product: IRS

CCY: CHF

Maturity: 10Y

Clear: LCH



Example: IRS, USD, 50m, 31/08/2018,31/08/2028, IMM, LCH, 2 way (Vanilla Swap), IRS, USD, 31/08/2018 10y/5y, IMM, LCH, 2 way (Vanilla Swap - 5y swap 10y fwd)

If multi-leg all the above details for the other legs.

Fundamental trade object would be expanded for Curve Trades, Butterflies, Basis, Cap/Floors, Collars

Citi, JPM29th November 2018
  • Definition of additional RFQ Object Attributes
Draft and in-progress
Order Object

Rates

Interest Rate Swap (IRS)

The Order object can be enabled and triggered from a blotter or similar application to place an order.


Let's compare to an IOI object to see if there is a delta in attributes [ Feedback - 9th Aug 2018]

<Trade Order>:

Requestor Unique ID: [Entity A]

Direction: Receive Fixed

Notional: 36,830,000.00

Start Date

End Date

Roll Convention

<Fundamental Trade Object>:

Product: IRS

CCY: CHF

Maturity: 10Y

Clear: LCH



<Trade Order Response>:

Responder Unique ID: [Entity B]

Receive Fixed Level: [x.xx]%

<Trade Order>:

Requestor Unique ID: [Entity A]

Direction: Receive Fixed

Notional: 36,830,000.00

        Start Date

        End Date

        Roll Convention

<Fundamental Trade Object>:

Product: IRS

CCY: CHF

Maturity: 10Y

Clear: LCH


Refer to example from Rates RFQ Object above

Openfin, Opendoor, Citi, JPM29th November 2018
  • Proposal reviewed - Order Data Structure, (Leg Data Structure, Security Data Structure) potential to cross leverage at (Trade Object) level
Draft and in-progress
InstrumentReferenceSingle Item

Several use cases and workflows rely on that all parties involved can understand what instrument is being referred to - be it a simple chat message "why is Apple up today?" where the receiver wants to look up details about the company mentioned or a complex financial object - involving several securities - that will be parsed by a system. 

An object with standardized names would allow for the use of several IDs to define the instrument - including all well-known data-sets and open symbology reference data as well as custom inhouse IDs if needed.

The main idea is for each participant to send as many IDs as exist in the system and be able to receive/understand as many as possible.This will ensure compatibility with existing applications while at the same time allow for a potential "most-favored" ID to become a future standard.

<Instrument>

Name

Id

ticker
ISIN
CUSIP
SEDOL
RIC
BBG
PERMID
FIGI
FDS_ID


For an example of how an Instrument object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/Instrument.ts

FDC3 Context Data WG

None of the IDs are mandatory and empty IDs should not be send.

It should be considered bad practice to put "incorrect" data into an object reference.

Eg if a system for some reason don't have SEDOLs for all instruments and make up custom IDs for internal use - these must not be sent out externally as SEDOLs.

1.0.1
ContactReferenceSingle ItemAn object with standardized names would allow for the use of several IDs to define the contact - including all well-known data-sets and open symbology reference data as well as custom inhouse IDs if needed.

<Contact>

Name: Bob Smith

Id

email
FDS_ID


For an example of how an Contact object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/Contact.ts

FDC3 Context Data WG

None of the IDs are mandatory and empty IDs should not be send.

1.0.0
OrganizationReferenceSingle ItemAn object with standardized names would allow for the use of several IDs to define the organization - including all well-known data-sets and open symbology reference data as well as custom inhouse IDs if needed.

<Organization>

Name:

Id

LEI
PERMID
FDS_ID


For an example of how an Organization object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/Organization.ts

FDC3 Context Data WG
None of the IDs are mandatory and empty IDs should not be send.1.0.1
CountryReferenceSingle itemAn object with standardized names would allow for the use of several IDs to define the country - including all well-known data-sets and open symbology reference data as well as custom inhouse IDs if needed.

<Country>

Name: United States of America

Id

ISOALPHA2
ISOALPHA3

FDC3 Context Data WG

None of the IDs are mandatory and empty IDs should not be send.

1.0.0
InstrumentListReferenceListA standardized format for a lists of Instruments.

<InstrumentList>

Name:

Instruments: Instrument Array


For an example of how a InstrumentList object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/InstrumentList.ts

FDC3 Context Data WG

1.0.0
ContactListReferenceListA standardized format for a lists of Contacts.

<ContactList>

Name:

Contacts: Contact Array


For an example of how a ContactList object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/ContactList.ts

FDC3 Context Data WG

1.0.0
PositionReferenceInterOpA standardized format to transfer an Instrument and unique meta data for each position, with possibility to extend what is included for each position, including custom inhouse IDs if needed.

<Position>

Name:

Instrument: Instrument

Holding


For an example of how a Position object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/Position.ts

FDC3 Context Data WG

1.0.0
PortfolioReferenceInterOpA standardized format to transfer Positions and unique meta data for each portfolio, with possibility to extend what is included for each portfolio, including custom inhouse IDs if needed.

<Portfolio>

Name: My portfolio

Positions: Position Array

Id

id


For an example of how a Portfolio object can be sent using FDC3 Context Data, please see https://github.com/FDC3/ContextData/blob/master/src/examples/Portfolio.ts
FDC3 Context Data WG

1.0.0