Codification Tables PREDEFINED VALUES

Transcription

1 Codification Tables PREDEFINED VALUES MEFF S/MART v8.0 7 January 2008

2 The information contained in this document is subject to modification without notice. Unless otherwise indicated, the companies, names and data used in the examples are fictitious. No part of this document may be reproduced or transmitted in any form or by any means, be it electronic or otherwise, for any reason without written permission MEFF. All rights reserved 2006 MEFF. All rights reserved 2007 MEFF. All rights reserved 2008 MEFF. All rights reserved

3 Contents 1. Codification Tables...1 Table 1: Currency s...1 Table 2: Asset Types...1 Table 3: Invoicing Concepts...2 Table 4: Cash Movement Concepts...2 Table 5: Payment Methods...2 Table 6: Methods of Posting Margins...3 Table 7: Destination of Margins...3 Table 8: Give Up Status...3 Table 9: Order Types...4 Table 10: Order Status...4 Table 11: Order. Reason for Cancellation...5 Table 12: Order Types in FIX...5 Table 13: Time in Force in FIX...6 Table 14: Participant entity types...6 Table 15: Central Securities Depositories...6 Table 16: CFI...6 Table 17: Market s...8 Table 18: Clearing House s...8 Table 19: MEFF Trade Types...9 Table 20: Contract Groups...10 Table 21: Underlying Assets...13 Table 22: Orders: Action type...15 Tabla 23: Fee Groups...16 Tabla 24: Fee Types...16 i

4 1. Codification Tables Table 1: Currency s The currency codes used are those defined by ISO The current values can be consulted at the following site: For instance: EUR Concept Euro Table 2: Asset Types ACE BON CSH CUP EBN EST LET NDP OBL Concept Spanish shares Government Bonds (up to 5 years) Cash Segregated Coupon on Government Bonds Bonds Euro zone Stocks Euro zone Treasury Notes Segregated Principal on Government Bonds Government Bonds (long term) 7 January 2008 MEFF

5 Table 3: Invoicing Concepts Concept 01 Trading fees 02 Clearing fees 03 Interest income 04 Incentive scheme for Market Makers 05 Minimum commission 06 Access fee 07 Historical transfers 08 Position transfers 09 Pledges 10 Position adjustment out of time 11 Position adjustment increasing position 12 Non-Periodic interests 99 Other concepts Table 4: Cash Movement Concepts Concept 01 Initial margin 02 Other margins 03 Variation Margin 04 Daily fees 05 Premiums 06 Invoicing 07 Non-Periodic interests 99 Other concepts Table 5: Payment Methods Concept 01 Multilateral in Bank of Spain 02 Funds transfer order 99 Other payment method 7 January 2008 MEFF

6 Table 6: Methods of Posting Margins C I P R T Concept Cash Pledge in a CSD Pledge in IBERCLEAR Repo Transfer of securities Table 7: Destination of Margins GD GE GI Concept Initial margin Extraordinary margin General margin Table 8: Give Up Status Concept Visible for Clearing Member A Accepted by Clearing Member Yes C Cancelled by Executing Broker No H Non valid request Yes L Rejected by Clearing Member Yes N Accepted by Clearing Broker Yes P Pending No R Rejected by Clearing Broker No S Cancelled by central system Yes X Rejected request Yes 7 January 2008 MEFF

7 Table 9: Order Types Concept MEFF Eurex AT Attack X X L Limit X X LI Immediate limit X X M Market X X MM Market Maker X X Q Quote X - Sa Stop at rise - X Sb Stop at fall - X Sla Stop limit at rise X - Slb Stop limit at fall X - Sub Auction order price X - TN Fill or kill X - Table 10: Order Status AA AE AO E P PE PN PS Concept Cancelled automatically (Immediate limit, fill or kill, attack) Cancelled and partially executed Cancelled by trader Executed Pending Partially pending (part of volume executed) Pending confirmation Stop order pending trigger 7 January 2008 MEFF

8 Table 11: Order. Reason for Cancellation Adm Dab Des Concept By administrator Delta protection: Maximum absolute delta By disconnection Dmx Delta protection: maximum accumulated delta Dnc Eje Err IdE Lim Liq Mer Neg NEj Ope Otr Par Per Sme Vig Delta protection: number of contracts By execution By error Not valid QuoteID By limits Clearing filter (volume) Changes in market status Trading filter (price) Not executed immediately By trader Others Criteria for Quote order do not exist By permissions Cancelled by central system By end of validity Table 12: Order Types in FIX Concept 1 Market 2 Limit 3 Stop 4 Stop Limit 7 January 2008 MEFF

9 Table 13: Time in Force in FIX Concept 0 Day (default value) 2 At the Opening (OPG) 3 Immediate or Cancel (IOC) 4 Fill or Kill (FOK) Table 14: Participant entity types C L N Concept Custodian Clearing Trading Table 15: Central Securities Depositories Concept CLEARSTREAM EUROCLEAR IBERCLEAR Table 16: CFI CFI FFICSX Standardized financial future on an index. Cash settlement FFICNX Non-standardized financial future on an index. Cash settlement FMICXX Time spread of a future on an index. Cash settlement ÍNDEX OCEICS OCEICN Standardized European call option on an index. Cash settlement Non-standardized European call option on an index. Cash settlement OPEICS Standardized European put option on an index. Cash settlement OPEICN Non-standardized European put option on an index. Cash settlement 7 January 2008 MEFF

10 CFI MMMXXX Referential instrument on an index (external contract) MRIXXX Referential instrument on an index (index contract) FFSPSX Standardized financial future on stocks. Physical delivery FFSPNX Non-standardized financial future on stocks. Physical delivery FFSCSX Standardized financial future on stocks. Cash settlement FFSCNX Non-standardized financial future on stocks. Cash settlement FMSPXX Time spread of a future on stocks with physical deliveryº FMSCXX Time spread of a future on stocks with cash settlement OCASPS Standardized American call option on stocks. Physical delivery OCASPN Non-standardized American call option on stocks. Physical delivery OPASPS Standardized American put option on stocks. Physical delivery STOCKS OPASPN OCESPS Non-standardized American put option on stocks. Physical delivery Standardized European call option on stocks. Physical delivery OCESPN Non-standardized European call option on stocks. Physical delivery OPESPS Standardized European put option on stocks. Physical delivery OPESPN Non-standardized European put option on stocks. Physical delivery OCESCS Standardized European call option on stocks. Cash settlement OCESCN Non-standardized European call option on stocks. Cash settlement OPESCS Standardized European put option on stocks. Cash settlement OPESCN Non-standardized European put option on stocks. Cash settlement MRSXXX Referential instrument for stocks derivatives (external contract) 7 January 2008 MEFF

11 CFI ESXXXX Stocks (cash) FFDPSX Standardized financial future on bonds. Physical delivery BONDS FMDPXX Time-spread of futures on bonds. Physical delivery For further information see appendix 6-D CFI Usage ISO Classification of Financial Instrument (CFI ) of the document Financial Information Exchange Protocol (FIX) version 4.4 with errata ( Table 17: Market s M1 M3 G1 MEFF RF MEFF RV EUREX Table 18: Clearing House s C1 C2 C5 MEFF RF MEFF RV EUREX 7 January 2008 MEFF

12 Table 19: MEFF Trade Types The current trade types on a Market or Clearing House are informed daily in the corresponding raw data file that can be generated from a MEFF workstation MEFF Trade Type Trading Clearing A Cross trade out of trading hours X X C 1 Corporate Action X D Transfer from daily account X E Options exercise X G Give-up Trade X H Cross trade during trading hours X X J Large Trades X X L Delta X X M Market X X P Position adjustment X R Rollover X S Trade associated with rollover X X T Trade transfer X V Expiration X X Countertrade X Y Cancel countertrade X Z Position transfer X EUREX Trade Type Trading Clearing D Transfer from daily account X F Basis Trade X X G Give-up Trade X I Give-Out X X K Give-In X X M Market X X P Position adjustment X R Rollover X S Trade associated with rollover X X T Trade transfer X 1 It will be communicated by circular the date when it is effective from 7 January 2008 MEFF

13 Trade Type Trading Clearing V Expiration X X Countertrade X Y Cancel countertrade X Z Position transfer X Table 20: Contract Groups The current contract groups on a Market or Clearing House are informed daily in the corresponding raw data file that can be generated from a MEFF workstation MEFF RENTA FIJA 02 BONO 10 MEFF RENTA VARIABLE 20 MINI IBEX 21 IBEX 23 BBVA 24 ABERTIS 25 ENDESA 27 IBERDROLA 28 SCH 29 UNION FENOSA 30 REPSOL 31 TELEFONICA 33 ACERINOX 34 BANCO POPULAR 35 BANKINTER 36 ALTADIS 37 GAS NATURAL 38 INDRA 40 SOGECABLE 42 TPI 43 INDITEX 45 ACS 46 B.SABADELL 47 FERROVIAL 48 ACCIONA 49 METROVACESA 50 SACYR VALLE 7 January 2008 MEFF

14 MEFF RENTA VARIABLE 51 FCC 52 ENAGAS 53 RED ELECTRICA 54 GAMESA 55 CINTRA 56 TELECINCO 57 MAPFRE 58 ANTENA 3TV 59 FADESA 61 BANESTO 62 IBERIA 63 PRISA 64 AGUAS BCN 65 NH HOTELES 66 INMOBILIARIA COLONIAL 67 BME 68 GRIFOLS 69 ABENGOA AA AE AH AI AL AQ AR AZ BA BN BY CA CR DA DB DC DT EI EL EO FO AXA AEGON AHOLD ALLIED IRISH BANK ALCATEL AIR LIQUID ASSICURAZIONI GENERALI ALLIANZ BASF BNP PARIBAS BAYER CARREFOUR SUPER. CREDIT AGRICOLE DANONE DEUTSCH BANK DAIMLER CHRYSLER DEUTSCHE TELEKOM ENI ENEL E.ON FORTIS 7 January 2008 MEFF

15 MEFF RENTA VARIABLE FT GS IN IS LA LV LY MU NO OR PH RN RW SA SI SO SP TI TO UI UV VI FRANCE TELECOM SOCIETE GENERALE ING INTESA SANPAOLO LAFARGE LVMH SUEZ MUENCHENER RUECK NOKIA L OREAL PHILIPS RENAULT RWE SANOFI-AVENTIS SIEMENS SAiNT GOBAIN SAP TELECOM ITALIA TOTAL UNICREDITO UNILEVER VIVENDI EUREX 10 SCHATZ 20 BOBL 30 BUND 50 DAX 90 STOXX EUROSTOXX 50 7 January 2008 MEFF

16 Table 21: Underlying Assets MEFF RENTA FIJA BONO 10 MFF MEFF RENTA VARIABLE ABENGOA ABERTIS ACCIONA ACERINOX ACS AEGON AGUAS BCN AHOLD AIR LIQUID ALCATEL ALLIANZ ALLIED IRISH BANK ALTADIS ANTENA 3TV ASSICURAZIONI GENERALI AXA B.SABADELL BANCO POPULAR BANESTO BANKINTER BASF BAYER BBVA BME BNP PARIBAS CARREFOUR SUPER. CINTRA CREDIT AGRICOLE DAIMLER CHRYSLER DANONE DEUTSCH BANK DEUTSCHE TELEKOM E.ON ENAGAS ABG ABE ANA ACX ACS AEG AGS AHL AIR ALU ALV ALB ALT A3TV ASI AXA SAB POP BTO BKT BAS BAY BBVA BME BNP CAR CIN CAG DCX DAN DBK DTE EON ENG 7 January 2008 MEFF

17 MEFF RENTA VARIABLE ENDESA ENEL ENI FADESA FCC FERROVIAL FORTIS FRANCE TELECOM GAMESA GAS NATURAL GRIFOLS IBERDROLA IBERIA IBEX IBEX MINI INDITEX INDRA ING INMOBILIARIA COLONIAL INTESA SANPAOLO L OREAL LAFARGE LVMH MAPFRE METROVACESA MUENCHENER RUECK NH HOTELES NOKIA PHILIPS PRISA RED ELECTRICA RENAULT REPSOL RWE SACYR VALLE SAiNT GOBAIN SANOFI-AVENTIS SAP SCH ELE ENE ENI FAD FCC FER FOR FTE GAM GAS GRF IBE IBLA FIE FIEM ITX IDR ING COL SPI ORE LAF LVM MAP MVC MUV NHH NOK PHG PRS REE REN REP RWE SYV SGO SAS SAP SAN 7 January 2008 MEFF

18 MEFF RENTA VARIABLE SIEMENS SOCIETE GENERALE SOGECABLE SUEZ TELECINCO TELECOM ITALIA TELEFONICA TOTAL UNICREDITO UNILEVER UNION FENOSA VIVENDI SIE SOG SGC LYO TL5 TLI TEF TOT CRD UNC UNF VIV EUREX BOBL BUND DAX EUROSTOXX 50 SCHATZ STOXX 50 FGBM FGBL FDX STXE FGBS STXX Table 22: Orders: Action type AN CA CO DS MO OE OM OR RJ Order cancel request Order cancel confirmation Order request confirmation Stop order triggered Order modification request Executed order Order modification confirmation New order Request rejection 7 January 2008 MEFF

19 Tabla 23: Fee Groups 0 Fee group not associated to trades 1 IBEX Futures General fee 2 IBEX Futures Members own account 3 IBEX Mini Futures General fee 4 IBEX Mini Futures Members own account 5 IBEX Options General fee 6 IBEX Options Members own account 7 Single Stock Futures General Fee 8 Single Stock Futures Members own account 9 Equity Options 50 Bond Futures and Options General fee 51 Bond Futures and Options Members own account Tabla 24: Fee Types 1 Trading and Clearing 2 Expiration 3 Requested exercises 4 Assignments of exercises 5 Clearing department management 6 Position adjustment 7 January 2008 MEFF