DerivativeInstrument Component

<DerivInstrmt>

Tag Field Name AbbrName Req'd Comments
1214 DerivativeSymbol Sym Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)
Use "[N/A]" for products which do not have a symbol.
1215 DerivativeSymbolSfx Sfx Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price.
1216 DerivativeSecurityID ID Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.
1217 DerivativeSecurityIDSource Src Required if SecurityID is specified.
DerivativeSecurityAltIDGrp AID
1246 DerivativeProduct Prod Indicates the type of product the security is associated with (high-level category)
1228 DerivativeProductComplex ProdCmplx Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
1243 DerivFlexProductEligibilityIndicator FlexProdElig Used to indicate if a product or group of product supports the creation of flexible securities
1247 DerivativeSecurityGroup SecGrp An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
1248 DerivativeCFICode CFI Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
1249 DerivativeSecurityType SecTyp It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
Required for Fixed Income. Refer to Volume 7 - Fixed Income
Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)
1250 DerivativeSecuritySubType SecSubTyp Sub-type qualification/identification of the SecurityType (e.g. for SecurityType=MLEG). If specified, SecurityType is required.
1251 DerivativeMaturityMonthYear MMY Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S and P futures). Note MaturityDate (a full date) can also be specified.
1252 DerivativeMaturityDate MatDt Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S and P futures).may use MaturityMonthYear and or this field.
When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.
1253 DerivativeMaturityTime MatTm
1254 DerivativeSettleOnOpenFlag OpenCloseSettlFlag Indicator to determine if Instrument is Settle on Open.
1255 DerivativeInstrmtAssignmentMethod AsgnMeth
1256 DerivativeSecurityStatus Stat Gives the current state of the instrument
1276 DerivativeIssueDate IssDt Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.
1257 DerivativeInstrRegistry Rgstry The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.
1258 DerivativeCountryOfIssue Ctry ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
1259 DerivativeStateOrProvinceOfIssue StPrv A two-character state or province abbreviation.
1260 DerivativeLocaleOfIssue Lcl The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).
1261 DerivativeStrikePrice StrkPx Used for derivatives, such as options and covered warrants
1262 DerivativeStrikeCurrency StrkCcy Used for derivatives
1263 DerivativeStrikeMultiplier StrkMult Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
1264 DerivativeStrikeValue StrkValu Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
1265 DerivativeOptAttribute OptAt Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose.
1266 DerivativeContractMultiplier Mult For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
1267 DerivativeMinPriceIncrement MinPxIncr Minimum price increment for the instrument. Could also be used to represent tick value.
1268 DerivativeMinPriceIncrementAmount MinPxIncrAmt Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
1269 DerivativeUnitOfMeasure UOM
1270 DerivativeUnitOfMeasureQty UOMQty
1315 DerivativePriceUnitOfMeasure PxUOM
1316 DerivativePriceUnitOfMeasureQty PxUOMQty
1317 DerivativeSettlMethod SettlMeth Settlement method for a contract. Can be used as an alternative to CFI Code value
1318 DerivativePriceQuoteMethod PxQteMeth Method for price quotation
1319 DerivativeFuturesValuationMethod FutValMeth For futures, indicates type of valuation method applied
1320 DerivativeListMethod ListMeth Indicates whether strikes are pre-listed only or can also be defined via user request
1321 DerivativeCapPrice CapPx Used to express the ceiling price of a capped call
1322 DerivativeFloorPrice FlrPx Used to express the floor price of a capped put
1323 DerivativePutOrCall PutCall
1299 DerivativeExerciseStyle ExerStyle Type of exercise of a derivatives security
1225 DerivativeOptPayAmount OptPayAmt Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
1271 DerivativeTimeUnit TmUnit Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)
1272 DerivativeSecurityExchange Exch Can be used to identify the security.
1273 DerivativePositionLimit PosLmt Position Limit for the instrument.
1274 DerivativeNTPositionLimit NTPosLmt Near-term Position Limit for the instrument.
1275 DerivativeIssuer Issr
1277 DerivativeEncodedIssuerLen EncIssrLen Must be set if EncodedIssuer field is specified and must immediately precede it.
1278 DerivativeEncodedIssuer EncIssr Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
1279 DerivativeSecurityDesc Desc
1280 DerivativeEncodedSecurityDescLen EncSecDescLen Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
1281 DerivativeEncodedSecurityDesc EncSecDesc Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
DerivativeSecurityXML SecXML Embedded XML document describing security.
1285 DerivativeContractSettlMonth CSetMo Must be present for MBS or TBA
DerivativeEventsGrp Evnt
DerivativeInstrumentParties Pty
Used in the following messages and components
DerivativeSecurityListRequest DerivativeSecurityDefinition