Instrument Identification Symbology
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NEWS
HOT NEWS: November, 11 2008: The hot topic that came out of Fima 2008 conference in London on its first day was the need for the creation of a symbology to meet the regulators requirement to uniquely identify financial instruments.
At a late panel session that included Martin Sexton (London Market Systems), André Kelekis (PNP Paribas), Peter Booth (Citi Investment Research) chaired by Christain Aresenault (Natcan Investment Management) on regulatory compliance, the consensus in the room was that symbology should become a major focus of the regulators.
A point raised was that the recent outage of the London Stock Exchange has resulted in the Pan European MTF’s requesting the creation of a symbology to be able to adhere to MiFID.
With the SECs announcement last week to use symbology to adhere to Regulation NMS and interest from a number of organisations, Mike Atkin (Managing Director)of the EDM Council announced that he would attempt to coordinate the symbology efforts from a global perspective.
November,6 2008: In what may be considered a bit of a surprise move, in a press release on 06-Nov-08, the SEC announced approved of a proposal for an Options Symbology plan that has been "in process" for almost two years.
Instrument Identification Symbologies
A number of firms are examining the use of Instrument Identification symbologies to avoid situations where their own internal identifiers become an industry convention and thus being faced with the maintenance risks associated with such a scenario. By Standards and Poor's effectively charging for using ISIN's and the risk that other ANNA members may wish to follow the same pricing model, is another reason why alternatives are being examined.
In the derivatives domain, two initiatives already exist. Namely, the Alternative Instrument Identifier required for MiFID transaction reporting (in Europe) and the OCC’s Options Symbology initiative (in the US). The Options Price Reporting Authority (OPRA) also have a collection of terms which are used to uniquely identify instruments.
Information supplied by Martin Sexton of London Market Systems
Can ISO standards assist in the creation of an Instrument Identification symbology?
Three standards are available which can form the basis of a symbology, these are:
- ISO 18773 – Abbreviations of Issuers and characteristics of the financial instrument
- ISO 18774 - Financial Instrument Short Name
- ISO 10962 – Classification of financial Instruments (For further information on ISO 10962 please refer to the ISO 10962 CFI Section in the FISD Wiki)
ISO 18773 & ISO 18774
To summarise the FISN is 35 in length, comprising of the issuer short name (up to 15 alphanumeric characters, as defined by ISO 18773 Part 1) and the abbreviated characteristics of the financial instrument (19 alphanumeric characters as defined by ISO 18773 Part 2). The '/' is used as a delimiter between the issuer short name and abbreviated characteristics. If the issuer short name does not use all 15 characters, the remaining may be used by the characteristics of the financial instrument.
Issuer Short Names are to be maintained in the same language as official name of the company, Five languages are supported (German, French, Italian, Spanish and English), with supranational organizations exclusively in English. In order to avoid multiple abbreviations for the same term/issuer name, it was proposed to compile a list of all abbreviations (issuer short names and instrument characteristics) that have been used so far for reference purposes.
The abbreviations of the financial instruments are structured by asset class groupings; Debt, Equity, Entitlements and Options and Futures along the lines of ISO 10962:2001 CFI.
The standards (18774 & 18773) are in Final Draft form, however agreement of that Association of National Numbering Agencies (ANNA S.C.) would take on the role of the Registration Authority has not occurred, resulting in ISO 18773 & ISO 18774 he standards not being officially released.
Constructing an Instrument Identification Symbology Scheme
One could construct a unique identifier based on the following set of key terms. Each asset class (instrument type) requires only a subset of these terms. For example a Covered Warrant would require the inclusion of the Issuer, Strike Price and Expiry Date, however these would not be applicable for a Common (Ordinary) Share.
The key terms are:
- Abbreviated name of Instrument or Underlyer (Market ticker)
- Abbreviated Security Type
- Strike Price
- Maturity/Expiry/Delivery Day
- Maturity/Expiry/Delivery Month
- Maturity/Expiry/Delivery Year
- Interest Rate/Type
- Issuer abbreviation
- Market Identifier (ISO 10383 MIC)
- Currency
A Covered Warrant Representation – Example - “BP. CWC SG 700 GBX 20090320”
A Common (Ordinary) Share Representation – Example - “BP. Sh”
Equity Products Symbology
A possible set of terms for Equities could be:
- Abbreviated Issuer Name
- Abbreviated Instrument Type (SH, ADR…)
- Country
- Currency
- Restrictions
Debt Products Symbology
A possible set of terms for could be:
- Abbreviated Issuer Name
- Abbreviated Instrument Type (including the Amortization Type)
- Issue Date
- Country
- Currency
- Credit Rating
- Nominal values (initial and current)
- Interest Rate
- Coupon
- Duration
- Maturity
- Restrictions (Rule 144A, Regulation S)
Question here: Does Credit Rating come out of this list? After reading a bunch of the things coming out of the regulatory front, the most likely scenario is that many instruments will have multiple Credit Rating sources. Doesn't strike me as optimum as a member of a set of data elements defined to compose an identifier with. Bnichols 20:40, 16 October 2008 (EDT)
Answer: One of the search criteria of a user is the credit rating of the top three ratings agencies (S&P, Moody's and Fitch), hence the inclusion of the credit rating. It is envisaged that these three would be encapsulated within brackets separated by slash “/”: RE:
- FISD BK FRN-STEP-UP/CALL 2005 US XNAS USD (AA+/Aa1/AA+)1000000 SEMI 17/03/2025
MiFID Alternative Instrument Identifier
To support the MiFID Transaction Reporting requirement the Alternative Instrument Identifier was defined by Federation of European Securities Exchanges (FESE). It is designed as an alternative to the ISIN and has been designed primarily for reporting Exchange-traded Derivatives.
Since the publication of the FESE proposal, the AII has been crystallized. The plan is to concatenate a small number of terms together to create a unique code (of 43 characters in length).
The AII reporting will come into effect in most countries in November 2008, however in the UK it is expected to be implement in Q1 09. To date, no rollout schedule has been announced by CESR.
From a regulatory transaction reporting perspective, each market will either be required to report ISINs or the AII. For example, the LSE is an ISIN, whilst LIFFE is an AII market.
An XML Schema and samples are available by going to the London Market Systems website: (http://www.londonmarketsystems.com/AII).
For further information please refer to the FSA Publications: FISD AII Update
The OCC Options Symbology Initiative
The Options Clearing Corporation (OCC) Options Symbology Initiative is based on a scheme that results in an options identifier of 21 characters in length, however unlike the AII, it achieves a smaller footprint by not using market conventions like ISO standards.
The cost of this initiative is existimated to be at least $245 million according to Securities Industry News[1].
FIX mapping of OCC Symbology
|
FIX Tag |
Name |
|
55 |
Symbol |
|
200 |
MaturityMonthYear# |
|
205 |
MaturityDay# |
|
201 |
PutOrCall (0 : Put, 1 : Call) |
|
202 |
StrikePrice |
- Tags 200 and 205 can be replaced by Tag 541 (MaturityDate)
Options Price Reporting Authority (OPRA) Symbology
|
Term |
Length |
Description |
|
Symbol |
5 |
(Exchange code 1st digit) plus unique instrument identifier.
Exchange Codes: C = CBOE A = AMEX B = PBW P = Pacific M = New York
|
|
Expiry Month Code |
1 |
A matrix of Month vs. Call Put. For example: Jan Call = A, Feb Call =B, ... Jan Put = M, Feb Put=N, ... |
|
Expiry Day |
2 |
|
|
Expiry Year |
2 |
|
|
Strike Price Denominator Code |
1 |
Used to indicate the number of digits before and after the decimal place. A = 123456.7 B = 12345.67 ... F = 1.234567 |
|
Strike Price |
7 |
Value without a decimal place . |
