Should firms submit the Aii Code as a concatenated series of fields?
No, you must report transactions in Aii derivatives in line with our rules and guidance under SUP17 and the technical specification documents issued by your ARM(s).
For example: A Vodafone option traded on the LIFFE market will have to be transaction reported by filling in the following fields:
For example: A Vodafone option traded on the LIFFE market will have to be transaction reported by filling in the following fields:
- MIC code: XLIF
- Exchange Product Code: VOD
- Derivative type: O
- Put/call Identifier: C
- Expiry date: 2010-09-21
- Strike price: 1.35
Will the FSA provide Aii reference data to the industry for validation purposes?
We will provide ARMs with the reference data for validation purposes via the same mechanism that they provide transaction reports e.g. FSA reference numbers (FRNs), Swift Bank Identifier Codes (BICs), Country Code etc. Firms will need to make arrangements to obtain Exchange Product Codes as required.
We are looking into providing Aii reference data (e.g. Exchange Product Codes), to the industry either directly or via CESR. However, this is still under discussion.
We are looking into providing Aii reference data (e.g. Exchange Product Codes), to the industry either directly or via CESR. However, this is still under discussion.
We understand that the FSA is considering introducing new derivative type classifications to be used in reports for transactions in over- the- counter (OTC) Derivatives, namely Spread Bets on an Option on an Equity, and Contracts For Difference (CFD) on an Option on an Equity. Could you please provide further information?
We have proposed some minor changes to the way in which certain OTC derivatives should be identified in a transaction report. For further information, please see Chapter 5 of CP08/16 and MarketWatch 29.
Firms will be able to report instruments using the new derivative types from 21 September 2009. However, firms that wish to defer implementation of their system changes to align with their implementation of the Aii code they can do so.
Firms will be able to report instruments using the new derivative types from 21 September 2009. However, firms that wish to defer implementation of their system changes to align with their implementation of the Aii code they can do so.
How should the Expiry/Delivery/Prompt field be completed for futures and for options?
For futures the delivery date should be reported and for options the expiry/delivery date should be reported.
Should reports for transactions in OTC derivatives on Aii derivatives include the Aii code in the underlying instrument identification field?
No, the underlying instrument identification field should contain the ISIN of the ultimate underlying instrument (e.g. a report for a transaction in a Spread Bet on an Option on an Equity should contain the ISIN of the equity in the underlying instrument identification field).
Which exchanges will use the Aii code?
For the latest list of exchanges using the Aii code, please visit the following CESR website.
Where can I obtain the Exchange Product Codes?
Product codes for Aii instruments can be found on the exchanges' websites.
How will Aii Transactions be validated?
As mentioned above, the Aii will be composed of six elements (MIC code; Exchange Product Code; derivative type; put/cal identifier; expiry/delivery/prompt date; strike price).
Our system will validate the combination of the components of the Aii (except for the strike price) against its reference data. This means that we will be checking whether the components of the Aii are a valid combination. If the combination of the five fields is incorrect this will result in an error.
The ARMs have no obligation to validate for the combination of the Aii fields; it is up to them to decide whether they want to mirror the FSA validation. This means that even if your ARM accepts your Aii transaction, we might still reject it.
Our system will validate the combination of the components of the Aii (except for the strike price) against its reference data. This means that we will be checking whether the components of the Aii are a valid combination. If the combination of the five fields is incorrect this will result in an error.
The ARMs have no obligation to validate for the combination of the Aii fields; it is up to them to decide whether they want to mirror the FSA validation. This means that even if your ARM accepts your Aii transaction, we might still reject it.
How do we transaction report cancellations and updates to transactions reported under the voluntary arrangements?
Until now, transactions in equity/debt derivatives admitted to trading on EEA markets which do not use ISINs as the instrument identifier (Aii transactions) were not reportable to the FSA. However, some firms have been voluntarily reporting these transactions as OTC transactions (populating the venue identifier field as if the transaction was in an OTC derivative using ‘XXXX’).
With the implementation of the Aii, firms wanting to transaction report cancellations and/or updates to these transactions will have to do this in line with the technical specification documents issued by their ARM(s). This means that if your firm needs to cancel and/or update a transaction reported under the voluntary arrangement it will have to cancel and/or update the OTC transaction.
With the implementation of the Aii, firms wanting to transaction report cancellations and/or updates to these transactions will have to do this in line with the technical specification documents issued by their ARM(s). This means that if your firm needs to cancel and/or update a transaction reported under the voluntary arrangement it will have to cancel and/or update the OTC transaction.
Can BClear instruments be reported as Aii transactions?
When a transaction is cleared by a clearing house and the instrument executed is exactly the same in all respects as an exchange traded instrument (‘Fungible’ with the exchange traded instruments) the reporting firm has the choice to report this instrument as an Aii transaction (exactly the same as for an on-exchange transaction) or to report these as OTC transactions using the MIC code of ‘XXXX’.
However, where the derivative instrument differs in any characteristics from an exchange traded instrument (e.g. Strike Price, Maturity Date – an ‘Isotope’ of the exchange traded instrument) or is a completely bespoke instrument the transaction should always be reported as an OTC transaction using the MIC code of ‘XXXX’.
However, where the derivative instrument differs in any characteristics from an exchange traded instrument (e.g. Strike Price, Maturity Date – an ‘Isotope’ of the exchange traded instrument) or is a completely bespoke instrument the transaction should always be reported as an OTC transaction using the MIC code of ‘XXXX’.
Can a firm still rely on the LIFFE transaction reporting feed for the market side of its transactions report?
We will continue to receive a feed from LIFFE of all market transactions in debt and equity derivatives executed on the exchange. LIFFE will also report BClear transactions but only for instruments which are ‘Fungible’ with the exchange traded instruments.
Firms have the option to rely on this feed or to report these transactions independently through their ARM.
Firms are, however, required to report the ‘client side’ of the transaction executed on LIFFE via an ARM. In addition, transactions in derivatives which are not admitted to trading on the exchange (e.g. options with non exchange strike prices or maturity dates) must be reported separately.
Firms wishing to rely on the LIFFE/FSA transaction feed for transaction reporting of derivatives traded on LIFFE or through Bclear must inform the FSA of their desire to do so by writing to:
The Manager
Transaction Monitoring Unit
Market Division
Financial Services Authority
25 The North Colonnade
Canary Wharf
London E14 5HS
Firms have the option to rely on this feed or to report these transactions independently through their ARM.
Firms are, however, required to report the ‘client side’ of the transaction executed on LIFFE via an ARM. In addition, transactions in derivatives which are not admitted to trading on the exchange (e.g. options with non exchange strike prices or maturity dates) must be reported separately.
Firms wishing to rely on the LIFFE/FSA transaction feed for transaction reporting of derivatives traded on LIFFE or through Bclear must inform the FSA of their desire to do so by writing to:
The Manager
Transaction Monitoring Unit
Market Division
Financial Services Authority
25 The North Colonnade
Canary Wharf
London E14 5HS
Can we report principal crosses for transactions undertaken on LIFFE?
Yes, firms may continue to report executions on LIFFE by way of a principal cross representing both the market side and client side of a transaction. Where a firm also places reliance on the LIFFE feed to report their principal transactions as above, we will process those transactions so that the market side of the principal cross is ignored – thereby preventing duplicate reporting.
Can firms report a transaction in a derivative with an ISIN as the instrument identification where the instrument is traded on an Aii regulated market?
Where the subject of a transaction is a derivative admitted to trading on a regulated market where the ISIN is not the industry method of identification, CESR has agreed that these derivatives should be identified in line with the Alternative Instrument Identifier (Aii) guidelines.
Confirmation of whether the ISIN or Aii is the method of identification for each regulated market can be found under the 'Regulated Markets' section of the CESR MiFID Database at: http://mifiddatabase.cesr.eu/
Confirmation of whether the ISIN or Aii is the method of identification for each regulated market can be found under the 'Regulated Markets' section of the CESR MiFID Database at: http://mifiddatabase.cesr.eu/
