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This is a very important and sensitive piece of the AIFMD Report preparation. It needs to be done very carefully. There is no client communication necessary, but you should confirm to a Manager when it is done. This check can only be completed once Check 6 has been completed and fully signed off, as this check is dependent on the instrument/derivative exchange information populated within FundWare.

Even where clients are preparing AIFMD Reports themselves, we must do this section and not leave it to clients. It may also need re-performed several times. Where something looks erroneous in the AIFM and AIF Reports themselves, then it may very likely be because of the data elements in this check being wrong or being omitted.

There are three very important pieces of information for AIFMD Reporting –

  • Market Code – the MIC code, e.g. XLON, for a market (which must be 4 digits), “XXX” for unlisted CIS, OTC for OTC trades
  • Market Type – “MIC” for anything traded on an exchange, “XXX” for unlisted CIS, or “OTC” for OTC trades
  • Instrument code Type – “ISIN” where the instrument has a valid 12-digit ISIN, “AII” for exchange traded derivatives, or “NONE” for everything else

These are uploaded to FundWare using upload files. This data enrichment is performed manually using other data elements populated in FundWare for guidance, i.e. exchange codes (please refer to the AIFMD check 6). The AIFMD-specific data elements are not provided by any security data vendor nor client data, so we perform this manual process in FundWare. When assigning a MIC code to an instrument you must ensure that they are in line with the ISO naming convention. Please refer to the following site to determine these: https://www.iso20022.org/10383/iso-10383-market-identifier-codes

These pieces of information drive many of the calculations in the Annex IV report. This check is therefore crucial in ensuring our numbers are right. It must be carried out with care and skill.

Please follow the steps outlined below when completing this check. The steps are also included in sheet 7 of your AIFMD preparation tracker.

*Please note that your market code, market type and instrument code type need to be in all caps e.g. XLON rather than xlon. Otherwise we get validation errors in GABRIEL. *

If there are any columns missing in your reports, such as Derivative Exchange Short Name, please ask a Manager to sign you in as SA so you can add them.

Part 1: Market Codes and Market Code Types
Market CodesComment
1. Download the Holding Report AIFMD - Holding Export for market code type and instrument code type for the AIFMD Reporting date. This includes the columns Asset type, Exchange Code, Derivative Exchange Short Name, Market Code and Market Type.

You will save a copy of this report to upload as AIFMD_MKTCD file to resolve any issues. Please check that the mapping for this file matches the column headers in your report – you may need to amend the mapping.
2. Filter on Market Code and confirm that there are no blanks. For the blanks, this should be edited to match the data in the Instrument Exchange short name column.

For derivatives, this should match the detail in the derivative exchange short name. Where this is blank, populate as OTC.
3. Compare Instrument Exchange Short Name (derivative exchange short name for derivatives) and market code and identify any differences and ensure they can be explained.

If there are any instruments whereby the Market code assigned to instrument are blank or OTC, but the instrument/derivative exchange name is populated, then you are required to update the market code column with the correct corresponding ISO MIC code outlined in the ISO MIC code document.
4. CIS:

a. Filter on the asset types column for assets types of collective investment schemes (you could also use the asset classification column = Funds)

b. Filter for any CIS that are traded on a market. For these instruments, the market code applied should correspond to the instrument exchange name. If there are any that do not match, then these will need to corrected by uploading the AIFMD_MktCd file.

c. For the remaining unlisted CIS, confirm that the Market Code is populated as XXX. These need to be populated as XXX and not OTC.

d. Confirm that for Investment Trusts / ETFs the Market Code = the Exchange Code
Market TypeComments
1. Filter on “Market Type”.
2. Confirm that there are no blanks. For blanks determine what these should be (MIC, XXX or OTC) and populate.
3. Exclude where market code is a code that we know stands for OTC, e.g. UNL, OOTC or is not a valid MIC code. Exclude any funds where the Market Code has been set as XXX, per step 3 above

For the remaining records, confirm the market type as MIC. Edit where these are wrong.
4. Filter on the Market Code of XXX.

Confirm that for all the Market Type is also populated as XXX. Edit where wrong.
5. Filter on Market Code of OTC.

Confirm that the Market Type is also populated as OTC. Edit where wrong.
Part 2: Instrument Code Type
Instrument Code TypeComments
1. Download the AIFMD - Holding Export for market code type and instrument code type for the AIFMD Reporting date. This includes the columns Asset type, SEDOL, ISIN, code type.

Sort alphabetically by ISIN
2. Filter on Code type and check that there are no blanks.

Blanks should be populated as ISIN for those with a valid ISIN (12 characters long), AII for exchange-traded derivatives, and NONE for all others.
3. Insert a new column and use the “LEN” function in excel to count the number of characters in the ISIN column
4. Filter on Code Type = ISIN

Check that for all these the length of ISIN column = 12. Check that they all look like they are valid ISINs (e.g. are 12 digits like AU000000SUN6 and don’t contain dummies (e.g. 99S0IZPW9).
5. Filter by the column where you have calculated the length of the ISIN column. Filter where the length is 12.

Check that all of these have a code type of ISIN, unless the records do not look like they are valid ISINs in any case.
Put on Filters to search for exchange traded derivatives

(e.g. asset type of (i) Futures (which will be exchange traded or (ii) options (which may be exchange traded).

Confirm that these are marked with a code of AII where an exchange is populated (unless they have a valid 12-digit ISIN, in which case the code type should be ISIN).
How to fix: Upload AIFMD_CodeType file – see data mapping.
Part 3: Exchange-traded derivatives
Exchange-traded derivativesComments
1. Download the holding report "AIFMD - Exchange traded derivative setup" for the AIFMD Reporting date.
2. Filter on the Code Type column for anything marked as AII (these will be your exchange traded derivatives)
3. Confirm that the ISIN column is populated for all exchange-traded derivatives.
Insert a new column and use the “LEN” function in excel to count the number of characters in the ISIN column.
Confirm that this looks sensible, is between 1 and 12 characters and has no spaces in it or special characters. It should be alphanumeric e.g. H6CMDTY or can be a valid 12-digit ISIN.
4. Put/call identifier: Review in the "Custom Attribute. Put/call identifier" column. This should default to “F” for futures (determined by asset type). For options, to edit to Put or Call, select the appropriate response in the “Generate Series” tab of the derivative master from the dropdown.
5. Expiry date: defaults to e.g. 2070. Review expiry date in the Expiry Date column. Correct to the expiry date which is noted in the security description using either a derivative master file to recreate the derivative, or else edit in the derivative series master.