Symbology
From FISD Wiki
Contents |
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).
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)
- Duration
- Nominal Value
- Currency
A Covered Warrant Representation – Example - “BP. CWC SG 700 GBX 20090320”
A Common (Ordinary) Share Representation – Example - “BP. Sh”
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).
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).
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.
