Tuesday, March 2, 2010

AII Implementation - Functional Specification

1. SCOPE


 This project is limited to implementing changes to the existing reported xml file by changing 2 existing xml tags and including 6 new additional tags for reporting AII Transactions to FSA for which the ISO 6166 International securities identification number (ISIN) is not the industry method of identification.

For this, Aii (Alternative Instrument Identifier) is a method of identifying derivative instruments which do not have an ISIN. Since November 2007 transactions in derivatives admitted to trading on a regulated market have been reportable to the FSA; where the ISIN is not a standard way of identifying instruments this requirement was deferred so that the FSA and the industry could prepare to use Aii. The Aii methodology was devised by FESE (Federation of European Securities Exchanges) and adopted as a standard by CESR (Committee of European Securities Regulators)

2.    Functional Requirements


The AII will be comprised of the following data elements which when taken together uniquely identify the instrument traded:

  1. Instrument Identification                                (existing tag)
  2. Venue Identification                                       (existing tag)
  3. Maturity / Exercise / Delivery date                (existing tag)
  4. Derivative Type                                               (existing tag)
  5. Put / Call Identifier                                         (existing tag)
  6. Strike Price                                                      (existing tag)
  7. Venue Identification Type Code                     (New tag)
  8. Unit Price Type Code                                      (New tag)

2.1     Instrument Identification


This is an existing tag. The following changes have to be made.
Instrument Identification
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.6 and MT.3.1.2.1.6.1
Business Name
Instrument Identification
Description
Identification of the financial instrument which is the subject of
the transaction.
XML element / Tag
InstrumentIdentification
XML format
Complex type
Validation
Input is mandatory for On-Exchange Instruments. Input is not
necessary for over-the-counter (OTC) instruments.
Values
This complex element has the child element
InstrumentIdentificationCode
The InstrumentIdentificationCode is a 'complex' element (format: String, whiteSpace 'collapse', minLength1, maxLength12)

It has an attribute 'type' (format: String) followed by the specific
InstrumentIdentification code.

If input, for attribute 'type':
I = ISO 6166 ISIN Code
A = AII Exchange Product Code

Where the attribute type ‘I’ is used the instrument identification
code field must contain a valid ISO 6166 ISIN. The value for
InstrumentIdentificationCode must be a valid ISO 6166 ISIN
code of 12 alphanumeric characters. Alpha 2 code for the issuing
country + nine alphanumeric characters for National Securities
Identification which identifies security + one numeric check
digit for attribute type ‘I’.

Where the attribute type ‘A’ is used the code value for AII
Exchange Product Code can be between one and 12 characters in
length and must be a valid AII Exchange Product Code.
Comments
hen reporting a transaction in a financial instrument admitted
to trading on a regulated market or prescribed market where the
ISO 6166 ISIN is the industry method of identification the ISO
6166 ISIN should be supplied.
This field must NOT be populated where the subject of the
transaction is an Over-the- Counter (OTC) transaction.

2.2     Venue Identification


Venue Identification
META DATA
VALUE
XML Schema reference
 MT.3.1.2.1.19
Business Name
Venue Identification
Description
Identification of the venue where the transaction was executed.
XML element / Tag
VenueIdentification
XML format
String
[a-zA-Z0-9]{4,11}
Validation
Input is mandatory.
Must be a valid SWIFT MIC code (see below),
valid SWIFT BIC code or ‘XOFF’ or ‘XXXX’.
Values
A valid ISO 10383 SWIFT MIC code
SWIFT Bank Identifier Code (BIC) ISO 9362 code
XOFF = off-market trade
XXXX = OTC instrument

Where AII Exchange Product Codes has been used, the Venue
Identification field must be a valid MIC code that is authorised
in the AII market.
Comments
The four character SWIFT MIC code or an 11 character BIC code should be used to identify the execution venue. If the transaction is made off market, then ‘XOFF’ should be used. If the instrument is an OTC instrument (e.g. spreadbets, CFDs or any non-exchange traded instrument), the code ‘XXXX’ should be used.

2.3     Maturity / Exercise / Delivery date


Maturity / Exercise / Delivery date
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.10
Business Name
Maturity / Exercise / Delivery date
Description
The maturity date of a bond or other form of securitised debt, or
the exercise date / maturity date of a derivative contract.
XML element / Tag
MaturityExerciseDeliveryDate
XML format
date
Validation
Input is mandatory for OTC instruments where the derivative
type is ‘O’ , ‘F’ , ‘Q’ or ‘Y’

Input is mandatory for AII transactions
Values
Must be a valid date in ISO 8601 Date Format standard:
YYYY-MM-DD
Comments
This field is optional where the ISO 6166 ISIN has been
provided in the Instrument Identification field.
The date provided in this field must not be earlier than the
Trading Date.

For the derivative type Q and Y the maturity date should be the
maturity of the Option.

2.4     Derivative Type


Derivative Type
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.11
Business Name
Derivative Type
Description
Identification of the type of derivative traded.
XML element / Tag
TypeOfDerivative
XML format
String
Validation
Input is mandatory for OTC instruments and AII transactions.
Values
Value available for On-Exchange and OTC instruments:
O = option
F = future
W = warrant
D = contract for difference
X = spreadbet
Z =credit default swap
S = other types of swap agreements

Additional derivative values for OTC instrument:
K = complex derivative
Q = spreadbet on an option on an equity
Y = CFD on an option on an equity

AII transactions must either be F (Future) or O (Option)
Comments
This field is optional where the ISO 6166 ISIN has been
provided in the Instrument Identification field.

2.5     Put / Call Identifier


Put / Call Identifier
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.12
Business Name
Put / Call Identifier
Description
Specification of whether an option or any financial instrument is
a put or a call.
XML element / Tag
PutCallInd
XML format
String
Validation
Input is mandatory for OTC instruments where Derivative Type
is ‘O’ , ‘W’ , ‘Q’ or ‘Y’

Input is mandatory for AII transactions where the derivative type
is ‘O’ and should not be used where the derivative type is ‘F’.
Values
P = put
C = call
Comments
This field is optional where the ISO 6166 ISIN has been
provided in the Instrument Identification field.

2.6     Strike Price


Strike Price
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.13
Business Name
Strike Price
Description
The strike price of an option or other financial instrument.
XML element / Tag
StrikePrice
XML format
decimal
99999999999999.99999.
Price format of up to 19 integer digits with an optional fractional
component of 1-5 digits.
Validation
Input is mandatory for OTC instruments where Derivative Type
is ‘O’ , ‘W’ , ‘Q’ or ‘Y’

Input is mandatory for AII transactions
Values
A numeric field, up to 19 characters, with a maximum of 5
decimal places.

Negative prices are NOT allowed.

Must be zero if Derivative Type is F and must be greater than
zero if derivative type is O for AII Exchange Product Codes.
Comments
The strike price must be expressed in the major currency (e.g.
Pounds not Pence, Euros not Cents).

This field is optional where the ISO 6166 ISIN has been
provided in the Instrument Identification field.

2.7     Venue Identification Type Code


Venue Identification Type Code
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.21
Business Name
Venue Identification Type Code
Description
Code to show the coding system used for the AII Exchange Code
field.
XML element / Tag
VenueIdentificationTypeCode
XML format
String
Validation
Input is mandatory for AII transactions
Values
Must be M (MIC)
Comments
Field is not used for non AII transactions.

 

2.8     Unit Price Type Code


Unit Price Type Code
META DATA
VALUE
XML Schema reference
MT.3.1.2.1.22
Business Name
Unit Price Type Code
Description
Code to show how the unit price is expressed.
XML element / Tag
UnitPriceTypeCode
XML format
String
Validation
Input is mandatory for AII transactions
Values
Must be C (Currency Value)
Comments
Field is not used for non AII transactions.


3.    Sourcing MICs and EPCs

3.1    Market Identifier Code

A four-character code used to identify stock markets and other trading exchanges within global trading and referencing computer systems. The code is used to process and clear trades, and is being pushed toward global acceptance as the securities industries move toward straight-through-processing (STP).

MICs could be sourced from http://www.iso15022.org/MIC/homepageMIC.htm maintained by International Standards Organization (ISO). They update it regularly and the information is available in the above link as well.


Last modification date: 1 March 2010
Modifications implementation date: 15 March 2010
Next modification date: 5 April 2010

3.2    Exchange Product Code

Exchange Product Code (EPC) is a code maintained by the derivative exchanges and is freely and generally available to all parties. It is between one and 12 characters in length and is uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract. Firms should contact the exchanges directly to get the list of the Exchange product Code (EPC). FSA is getting the list from the FOW(1) .
List of EUREX EPC:http://www.eurexchange.com/trading/products/EQU/FUT/products_en.html
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