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Our primary usage scenario is that an exchange decides that it would like to offer instrument master data directly to their end users. They choose the FIBO instrument master format because vendors support it, which reduces the onboarding cost for end users and increases the changes for uptake by those end users.
There are two important content areas to consider:
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Content provided by an exchange about a given instrument typically includes:
- Information concerning the instruments themselves (contract terms), including the risks involved in having such a product on one’s booksTerms regarding , market data in some cases, etc.)
- Information about the entity that issued the instrument (reference data about the instrument)
We will use this overarching scenario as the basis for several subordinate usage scenarios since it is the simplest. Ultimately we need to demonstrate how to represent the combination of the reference data (market data) for pricing as well as information about the issuers, including a number of different identifiers for the issuer. We have a few example individuals already in FIBO/FBC for publicly traded banks (holding companies)that we can use as a starting point.
The following smaller scenarios are considered building blocks for this.
IV. Competency Questions
A. Equities
- How would a user map the data published by Bloomberg via their OpenFIGI site for the common stock issued by a given issuer?
(a) Go to OpenFIGI (openfigi.com), select Wells Fargo and then filter by ( i ) Wells Fargo & Co, ( ii ) Security Type of Common Stock, and ( iii ) Market Sector of Equity, and export the following spreadsheet:
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(b) Map the general Wells Fargo & Co share class level equity instrument as well as a specific Wells Fargo & Co exchange-specific share (e.g., issued on the New York Stock Exchange) to FIBO and create example individuals (see https://spec.edmcouncil.org/fibo/ontology/SEC/Equities/EquitiesExampleIndividuals) manually to make sure that we can do so and that all of the relationships work as intended. These examples only represent what is available publicly in OpenFIGI, not everything one would want to know about a given equity that could be published as instrument master data. Run two reasoners to make sure that the resulting examples are logically consistent. Note that the equity examples include details for a number shares on the Nasdaq and New York Stock Exchange.
(c) Automate generation of the remaining individuals extracted from OpenFIGI based on these hand-crafted individuals to demonstrate the feasibility of doing so.
2. How would a user represent the listings for the same common stock and class of share on multiple exchanges?
For this purpose, we created individuals for Apple common stock, with listing individuals in the Nasdaq and London Stock Exchange. These are available in the EquitiesExampleIndividuals ontology.
3. How would a user represent multiple classes of share for the same company? For this, we have modeled the shares for Alphabet / Google.
The multi-class share structure at Google came about as a result of the company's restructuring into Alphabet Inc. in October 2015 (NASDAQ: GOOG). Founders Sergey Brin and Larry Page found themselves owning less than majority ownership of the company's stock, but wished to maintain control over major business decisions. The company created three share classes of the company's stock as a result. Class-A shares are held by regular investors and carry one vote per share. Class-B shares, held primarily by Brin and Page, have 10 votes per share. Class-C shares are typically held by employees and have no voting rights. The structure gives most voting control to the founders, although similar setups have proven unpopular with average shareholders in the past.
The examples cover the Class A and Class C shares only, not Class B, which are not available on the Nasdaq, also available in the EquitiesExampleIndividuals ontology.
4. How would a user map the securities that they are managing to the CFI classification scheme?
Classes representing the exhaustive set of features for equities (e.g., voting rights, ownership restrictions, payment status, form) are defined in the EquityInstruments ontology. A partial set of individual codes covering common and preferred shares are available in the EquityCFIClassificationIndividuals ontology. The codes are mapped to the classes representing the combination of features they denote in that ontology. FIBO users can look at these examples to map other kinds of instruments and develop other codes in the same way.
Note that the 2021 version of the CFI codes are now published in RDF using a SKOS vocabulary, so we will be revising our CFI ontology to map to the ISO codes ontology over the coming months.
5. How would a user map the market data currently published by the DTCC in their Security Master Data File New York Stock Exchange or Nasdaq for the common stock issued by a given issuer?
For Apple common stock listed in the Nasdaq, the following information is available:
Exchange - in FIBO
Sector - exchange specific, high-level is in FIBO
Industry - exchange specific, high-level is in FIBO
1 year target price - in FIBO, latest pricing ontology
Today's high / low price - in FIBO, latest pricing ontology
Share volume - in FIBO, latest pricing ontology
50 day average volume - not in FIBO
Previous close - in FIBO, latest pricing ontology
52-week high / low price, in FIBO, latest pricing ontology
Market cap - in FIBO, in equities ontology
P/E ratio - may need a property to be added (can be calculated)
Forward P/E 1 year - may need a property to be added (can be calculated)
Earnings per share (EPS) - may need a property to be added (can be calculated)
Annualized dividend - in FIBO
Ex Dividend Date - in FIBO
Dividend Pay Date - in FIBO
Current yield - in FIBO
Beta - not in FIBO ?
Next steps include demonstrating how to represent this information for a given listing in our equities examples, with adjustments to the ontologies as needed.
B. Bonds / Fixed Income Instruments
- How would a user map the data published by Bloomberg via their OpenFIGI site for a bond issued by a given issuer?
Note that some bonds are issued by a holding company, such as IBM, and others might be issued by a subsidiary. In this case, we want to show (1) an example issued by the highest level corporate holding company, and (2) an example issued by a subsidiary, showing the relationship between the two. One example is to show bonds issued by IBM (corporate holding company), IBM Credit, and Telelogic AB (at least one of each). Red Hat bonds are not listed under IBM on OpenFIGI yet, but we could add that example with the corporate structure included as well. Include listing information for the same bonds from the NYSE and Nasdaq.
IV. Competency Questions
Provide at least 2 competency questions that you will ask of the vocabulary/ontology/knowledge base to implement this use case, including example answers to the questions.
Describe at least one way you expect to use the semantics and/or provenance to propose an answer to the questions. Include an initial description of why the semantics and/or provenance representation and reasoning provides an advantage over other obvious approaches to the problem. (optional – depending on the use case and need for supporting business case).
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(a) To demonstrate the example of a bond issued by the top-level corporate holding company, create individual business entities for IBM (see https://spec.edmcouncil.org/fibo/ontology/BE/LegalEntities/NorthAmericanEntities/USExampleEntities/ and https://spec.edmcouncil.org/fibo/ontology/FBC/FunctionalEntities/NorthAmericanEntities/USExampleIndividuals/).
(b) Go to OpenFIGI (openfigi.com), select IBM and then filter by Security Type of 'U.S. CP', and export the following spreadsheet:
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(c) Map the two IBM Corp Commercial Paper instruments and create example individuals manually to make sure that we can do so and that all of the relationships work as intended. These examples only represent what is available publicly in OpenFIGI and not everything one would want to know about a given instrument that could be published as instrument master data. Run two reasoners to make sure that the resulting examples are logically consistent.
V. Resources
Knowledge Bases, Repositories, or other Data Sources
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