Security Reference Data Use Cases

Working Group members should contribute specific, "real-life" use cases that illustrate the challenges of dealing with security reference data that comes from different sources, with different identifiers and is also potentially incomplete. This is not limited to a specific asset class. Comments on use cases can be added using the comments section and should reference the Use Case number.

No.

Submitter Name

Use Case Workflow / Description

Challenge

Asset Class / Product / Data Sources

1

Sailesh Pandey (Nomura)

Create a new open source identifier similar to OCC code for US Equity Options that would facilitate linking of vendor records.

The standard for generating this new unique identifier should be open and all Financial institutions or interested parties could generate the code using known attributes of the derivative contract.

Root symbol for each Futures / Options series, padded with spaces to 6 characters.
Expiration date, 6 digits in the format yymmdd
Option type- P or C, for put or call
Exercise Type- E, A or B for European, American or Bermudan
Strike price, as the price multiplied by 1000 and front padded with 0s to 10 digits.

Example - Consider a US Treasury 10 Year Options listed on CME with strike price 94.5, Type = Put, Expiration = 2019-02-22, Exercise style = American

Let's assign a Root symbol = UST10 for this series, so the Unique identifier would be:

UST10 190222PA0000094500

Inability to link different vendor records in absence of a common Unique Identifier

Listed Futures & Options