TRS Report. Format for instrument. 1 Summary. This document contains report formats for Instrument data reported by Venues

Transcription

1 Report Format for instrument Approved by: 1 (17) Report Format for instrument 1 Summary This document contains report formats for Instrument data reported by Venues

2 Report Format for instrument Approved by: 2 (17) 2 Revision history Version Date Remarks The document is renamed from Transaction Report Format SE ver 1.9. New header and formatting according to template No functional changes Reference to XML files added Changed document to reflect changes due to the implementation of the IRDS database The + symbol is also accepted in the validation of the AII Exchange Product Code The & -symbol is accepted in the validation of the AII Exchange Product Code.

3 Report Format for instrument Approved by: 3 (17) Table of content 1 2 SUMMARY REVISION HISTORY REPORT FORMATS XML FILES... 17

4 Report Format for instrument Approved by: 4 (17) 3 Report formats s Technical reporting firm identification A technical reporting firm is an organisation which is approved to send instrument information to FI on the behalf of a trading venue,a MiFID investement firm or itself. <TechnicalReportingFirm Identification> xs:token Must be a valid 11characters ISO 9362 SWIFT/Bank identifier code(bic). [A-Z0-9]{11} s Reporting firm identification The firm reporting the instrument information. <ReportingFirm Identification FileType> xs:token ReportingFirm is a complex element. It has two attributes Identification and FileType The Identification attribute must be a valid 11characters ISO 9362 SWIFT/Bank identifier code(bic). [A-Z0-9]{11} The FileType attribute can only have the value F = Full or D = Delta The FileType attribute F= Full indicates that the instrument data submitted is the full set of reference data for the reporting firm. The FileType attribute D = Delta indicates that the instrument data submitted are additions and modifications. Instrument A complete security record. <Instrument>

5 Report Format for instrument Approved by: 5 (17) s Contains data defining a financial instrument

6 Report Format for instrument Approved by: 6 (17) s ISIN instrument identification The ISIN code that uniquely identifies the financial instrument. <ISINInstrumentIdentification> xs:whitespace value="collapse" Format: 2(a)9(x)1(n) Input is mandatory if the XML node <AIIInstrumentIdentification> is missing. Must be a valid ISO 6166 ISIN code. [A-Z]{2}([A-Z] [0-9]){9}[0-9] s Alternative instrument identification Alternative Instrument Identifier (AII) code that uniquely identifies the financial instrument. Composed by 6 fields. <AIIInstrumentIdentification> AIIInstrumentIdentification is a complex element. The element is composed by 6 mandatory fields. Input is mandatory if the XML element <ISINInstrumentIdentification> is missing. s AII Exchange Code The identification of the regulated market that admits the derivative to trading. <AIIExchangeCode> xs:whitespace value="collapse" must be a valid ISO Market Identifier Code (MIC) ([A-Z] [0-9]){4} AII Exchange Product Code

7 Report Format for instrument Approved by: 7 (17) A code that is uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract. <AIIProductCode> xs:whitespace value="collapse" minlength 1. maxlength 12. s ([A-Z] [0-9] \+ &)* The code is maintained by the derivative exchanges and is freely and generally available to all parties. The Product Code should be up to 12 alphanumeric chars with no space padding. The + -symbol is also accepted. Note: the & symbol is also accepted. As the & symbol (ampersand) is a XML special character, it should be reported as &. s AII Derivative Type Single character identifying whether the instrument is an option or a future. <AIIDerivativeType> xs:whitespace value="collapse" O F O = Option. F = Futures. s AII Put/Call Identifier Single character identifying whether the option is a put or a call or if the derivative is a future. <AIIPutCallIdentifier> xs:whitespace value="collapse" P C F P = Put. C = Call.

8 Report Format for instrument Approved by: 8 (17) F = Futures. The field should be filled with F in case the derivative type is a future. s AII Expiry/Delivery/Prompt Date Exercise date/ maturity date of the derivative contract. <AIIExpiryDate> xs:date Must be a valid ISO 8601 extended Date value Format: YYYY-MM-DD YYYY = Year; MM = Month; DD = Day s AII Strike Price For those instruments admitted to trading in an AII market, it corresponds to the strike price in case of an option. There is no strike price for futures. <AIIStrikePrice> xs:decimal. totaldigits 19. fractiondigits 5. mininclusive 0 Point is used, not comma. It should be 0 in case of a future. Negative values are not allowed. The strike price should be expressed in the major currency. The strike price should be 0 if the derivative is a future. Market of Admittance The identification of the regulated market that admits the instrument to trading. <MarketOfAdmittance> xs:whitespace value="collapse"

9 Report Format for instrument Approved by: 9 (17) s must be a valid ISO Market Identifier Code (MIC) ([A-Z] [0-9]){4} Instrument name The full name of the Instrument. <Instrument> xs:whitespace value="replace" minlength 1. maxlength 90. s 90 alphanumerical characters except the character. [^ ]* The instrument name should give a good indication of the issuer and the particulars of each instrument. If the name of an instrument is to long (structured instruments) it will be limited to 90 characters. No standard is set for this field, but a recommendation is to use the ISO FISN (Financial Instrument Short ) standard. s Instrument short name (Ticker code) Instrument short name. <InstrumentShort> xs:token. minlength 1. maxlength 40. Input is optional. 40 alphanumerical characters except the character. [^ ]* Underlying ISIN instrument identification The ISIN of the underlying instrument. Valid for derivatives

10 Report Format for instrument Approved by: 10 (17) XML elem ent / Tag s <UnderlyingISINInstrumentIdentification> xs:whitespace value="collapse". Format: 2(a)9(x)1(n) The underlying ISIN for all derivatives must be identified for all single stock equity and debt derivatives (including warrants. If the underlying instrument is a basket (multiple instruments) then the field should not be populated. Must be a valid ISO 6166 ISIN code. [A-Z]{2}([A-Z] [0-9]){9}[0-9] The agreement of provision of data by FESE members is limited to equities (ISIN codes). Underlying instrument name of the underlying instrument. <UnderlyingInstrument> xs:string xs:whitespace value= replace minlength 1. maxlength 90. Input is mandatory if the type(cfi-code) of the instrument is O or F. s 90 alphanumerical characters except the character. [^ ]* s Underlying instrument short name (Ticker code) The short name of the underlying instrument. <UnderlyingInstrumentShort> xs:token. minlength 1. maxlength 40. Input is optional. 40 alphanumerical characters except the character. [^ ]*

11 Report Format for instrument Approved by: 11 (17) s Instrument type Used to define the type of the instrument and to classify the instrument. <InstrumentType> xs:string xs:whitespace value= collapse. Should be a valid ISO CFI value consisting of 6 alphanumerical characters. If the CFI code is not allocated by the national numbering agency, the regulated market should generate the first letter(s) according to the CFI norm. The first two characters are mandatory. If the full CFI code is not available please fill out as much of the fields as possible and mark the rest with X characters. Maturity date This field represents one of the following: the delivery date of a futures contract. the expiry date of an option or similar derivative contract. the maturity or redemption date of a bond. For a bond derivative, it is the delivery or expiry date. <MaturityDate> xs:date. Input is mandatory if type(cfi) of instrument is D, R, O or F. s Must be a valid ISO 8601 date value. Standard format YYY-MM-DD should be used where YYYY = Year; MM = Month; DD = Day. In case of perpetual bonds the field is filled with In case of multiple maturity dates, the field is filled with the earliest maturity date. Strike price The strike price of an option or other financial instrument <StrikePrice> xs:decimal. totaldigits 19. fractiondigits 5. mininclusive 0

12 Report Format for instrument Approved by: 12 (17) Point is used, not comma. Input is mandatory if type(cfi code) of instrument is O. s If other type than O and instrument has a strike price, input of this strike price is mandatory. The strike price should be expressed in the major currency (e.g. euros rather than cents). s Strike price currency code Indicating the currency of the option or warrant strike price <StrikePriceCurrencyCode> xs:whitespace value= collapse Input is mandatory if Strike price is submitted The 3 character ISO 4217 currency code [A-Z]{3} Currency code indicating the currency of the option or warrant. Price multiplier/index point value of unit change in price, such that for on-exchange derivatives: 'price x quantity x multiplier = trade value'. <PriceMultiplier> xs:decimal. totaldigits 19. fractiondigits 5. Input is not permitted if type (CFI code) of instrument is E or D, otherwise the input is mandatory. s Default value 1 If an instrument has a multiplier separated from 1, input of this multiplier is mandatory. For cash market instruments the price multiplier should be 1. Price multiplier is here equivalent to number of underlying shares for a derivatives contract for example. For index derivatives quoted in point of index, this field will contain the index point value as well. That is a numeric value which is required to denote the true value of certain index derivatives. For an example, an index may be quoted as 1000, but has a values of 3 Euros per point. This implies that the derivative value is 3000 Euros rather than 1000 pts.

13 Report Format for instrument Approved by: 13 (17) s Nominal value A numeric field with the face value of the bond. <Nominal> xs:decimal totaldigits 19. fractiondigits 5. mininclusive= 0. Field is optional. The face value of bonds represents the principal or redemption value. Interest payments are expressed as a percentage of face value. A value of 1 will be reported when it is not unique or where it does not exist. s Nominal value currency code Indicating the currency of the Bond instrument. <NominalCurrencyCode> xs:whitespace value= collapse. Input is mandatory if Nominal value is submitted The 3 character ISO 4217 currency code or pre-euro currency codes. [A-Z]{3} This field must be populated with the currency code that is denomitated for the instrument on the regulated maket or with one of the pre-euro currency codes. s Date of admittance to trading The date on which the instrument was first admitted to trading on the regulated market. <DateOfAdmittance> xs:date Must be a valid ISO 8601 date value. Standard format YYYY-MM-DD where YYYY = Year; MM = Month; DD = Day.

14 Report Format for instrument Approved by: 14 (17) For some instruments admitted before a certain date, the exact date of admission is not available. Fore these instruments the default value of should be used. s Country of registered office For bond it identifies the country of registered office of the ultimate parent of the issuer. <RegisteredOfficeCountry> xs:whitespace value= collapse. Input is mandatory if the type(cfi-code) of the instrument is D Must be a valid 2 characters ISO 3166 country code. The country code should be an EEA country. [A-Z]{2} For most bond instruments, the ultimate parent will be the issuer itself as it will not be a subsidiary. If the market does not have the country of registered office of the ultimate parent in the EEA it is acceptable to fill in the country of registered office of the parent. Country of index Identifies country of the constituents for a index derivative. <IndexCountry> xs:whitespace value= collapse. Input is mandatory for index derivatives. s Must be a valid 2 characters ISO 3166 country code. The country should be an EEA country. [A-Z]{2} If instrument is based on an index input is mandatory. As an example, derivatives on the OMXS30 should have SE identified as the country of index. If the index is derived from a country outside the EEA the index will be listed at the country where it is registered. Validity start date Date when the instrument record becomes valid.

15 Report Format for instrument Approved by: 15 (17) XML elem ent / Tag s <ValitidyStartDate> xs:date Must be a valid ISO 8601 date value. Standard format YYYY-MM-DD should be used where YYYY = Year; MM = Month; DD = Day This field contains the date at which the set of reference data for this instrument has been enforced. The date represents the date when the instrument record becomes valid.. s Validity end date Expected end date of admission to trade the instrument. <ValitidyEndDate> xs:date Must be a valid ISO 8601 date value. Standard format YYYY-MM-DD should be used where YYYY = Year; MM = Month; DD = Day Most of the time the date is the expected end date of trading for the instrument on the market. For bonds and derivatives, it is the maturity date and the expiration date. If no end date is available, the field should contain s Issuer name The issuer s name. <Issuer> xs:token minlength 1. maxlength alphanumerical characters except the character. [^ ]* Issuer identity A code, which uniquely identifies the issuer. <IssuerIdentifier>

16 Report Format for instrument Approved by: 16 (17) s IssuerIdentifier is a complex type. The element can contain two different values depending on the identifier type. s Issuer identifier BIC A code, which uniquely identifies the issuer. <IssuerIdentifierBIC> xs:token Input is mandatory if the XML element <IssuerIdentifierInternal> is missing. Must be a valid 11characters ISO 9362 SWIFT/Bank identifier code(bic). [A-Z 0-9]{11} This XML element should only be submitted when the issuer identity is a valid BIC code. s Issuer identifier internal A code, which uniquely identifies the issuer. <IssuerIdentifierInternal> xs:token. minlength 1. maxlength 20. Input is mandatory if the XML element <IssuerIdentifierBIC> is missing. A valid business organisation number or equivalent. Can not contain the character [^ ]* This XML element should only be submitted when the issuer identity is a valid business organisation number or equivalent. Issuer country Identification of the country of the ultimate parent of the issuer <IssuerCountry> xs:whitespace value= collapse.

17 Report Format for instrument Approved by: 17 (17) s Input is optional. Must be a valid 2 characters ISO 3166 Country Code. [A-Z]{2} Issued quantity The issued quantity of the instrument. <IssuedQuantity> xs:decimal. totaldigits 19. fractiondigits 5. minexclusive 0. Input is mandatory if type(cfi) of instrument is D. s If other type than D but information of an instruments issued quantity is available, input of this issued quantity is mandatory. Voting strength This field shows the voting strength for a share. <VotingStrength> xs:decimal. totaldigits 19. fractiondigits 5. minexclusive 0. Input is mandatory if type(cfi) of instrument is E. s 4 XML files The corresponding XML schema file for Instrument Reports is InstrumentReport.xsd version The corresponding XML schema file for Feedback Reports is InstrumentFeedback.xsd version