When a transaction conducted through the clearing platform is in a true AII instrument (exactly the same in all respects as the exchange traded instrument – ‘Fungible’ with the exchange traded instrument) a reporting firm has the choice whether to report as an AII transaction (exactly the same as for an on-exchange transaction) or to report these as OTC transactions using the MIC of XXXX.
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 of XXXX. It is important that the correct time and date should be reported for all transactions.
Example 1:
• Buy 10 Vodafone Mar 2010 120 Calls on LIFFE. The Firm will report this using the AII code. The counterparty will be the Exchange CCP.
• The AII code for this transaction will contain the following components: Instrument Identification ‘VOD’ (Exchange Product Code of Vodafone), Strike Price 1.20, Expiry Date 19/3/2010, Derivative Type: ‘O’, Put/Call Indicator ‘C’, Venue Identification ‘XLIF’.
Example 2:
• Buy 10 Vodafone Mar 2010 120 Calls through BClear (Fungible instrument).
• Option 1: The Firm may report this transaction using the AII code. The counterparty will be the actual counterparty to the transaction. 12 Guidelines on reporting of On-Exchange derivatives (AII and ISIN derivatives)
• The AII code for this transaction will contain the following components: Instrument Identification ‘VOD’ (Exchange Product Code of Vodafone), Strike Price 1.20, Expiry Date 19/3/2010, Derivative Type: ‘O’, Put/Call Indicator ‘C’, Venue Identification ‘XLIF’.
• Option 2: Where reporting using the Market Identifier Code (MIC) of XXXX, the counterparty will be the actual counterparty to the transaction.
• Other components of the report will include: Underlying Instrument Identification ‘GB00B16GWD56’ (ISIN of Vodafone), Instrument Type ‘A’ (Equity), Strike Price 1.20, Expiry Date 19/3/2010, Derivative Type: ‘O’, Put/Call Indicator ‘C’.
Example 3:
• Buy 10 Vodafone 5/4/2010 123 Calls on BClear (Isotope).
• The firm will report using the Market Identifier Code (MIC) of XXXX, the counterparty will be the actual counterparty to the transaction.
• Other components of the report will include: Underlying Instrument Identification ‘GB00B16GWD56’ (ISIN of Vodafone), Instrument Type ‘A’ (Equity), Strike Price 1.23, Expiry Date 5/4/2010, Derivative Type: ‘O’, Put/Call Indicator ‘C’.
