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Standard Identifiers
Derivatives and Non-Custody Assets

For equities, bonds and funds, Funds-Axis of the client can provide the market data, e.g. from ICE, Refinitiv, Bloomberg.

For non-custody assets, much of the project complexity can be avoided if we can identify Funds-Axis “standard identifiers” from your data. Our approach is summarised below.

Asset TypeStandard Identifier
Cash“Cash-“++Asset Currency
e.g. Cash-GBP, Cash-EUR etc
MarginMargin: Margin-GBP, Margin-EUR
Margin RiskfreeMargin Riskfree: MarginRF-GBP, MarginRF-EUR
FFX“FFX-“ ++ Asset currency,
e.g. FFX-USD, FFX-GBP, FFX-EUR etc
Spot FX“SpotFFX-“ ++ Asset currency,
e.g. SpotFX-GBP, SpotFX-EUR etc
Shareclass FX“SCFFX-“ ++ Asset currency,
e.g. SCFFX-GBP, SCFFX-EUR etc
SundriesSundries Asset Type ++ Asset Currency.
E.g. Administration Fee-USD, Custody Fees-USD, Annual Report-USD etc.

Notes:
- We have a set of standard sundry asset types. We can run an automation script to extract and normalise the Sundry asset type from the descriptions; and
- Sundries should be c. 1% to 2% NAV and not strictly required for investment compliance.
Futures

(Index futures, currency futures, commodity futures, government bond futures, interest rate futures etc)		Please use industry recognised identifiers
E.g.
ESN3 INDEX - S&P 500 E-Mini Futures
BPM3 CURNCY – British Pound Futures
CFDsCFD-Isin
Interest Rates - Underlyings
Duration Buckets		Duration Buckets:
0 to 2 years
2 to 7 years etc.
Alternatively, interest rates:
GB003M, EUR006m etc.
CDS- Index CDSPlease use standard codes
CDS - Sovereign CDSCDS_US105756BV13
115CCB
CDS_Brazil
CDS – single nameCDS_ISIN

Cheat Notes:

Below are some notes on data requirements for specific asset types. Note these additional details may be easiest provided along with the Holdings File.

  1. For all derivatives, we need to be able to identify the underlying. Where the underlying is a security, please provide the Isin;
  2. Interest rate swaps – for more accurate exposure calculations, we need to be able identify (i) whether the leg is Payable or Receivable and (ii) whether it is Fixed or Floating;
  3. Options – we ideally should be able to identify whether it is a put or a call, the strike and maturity date;
  4. Currency options, we need to be able to identify both currencies, whether it is a put or call the strike and maturity date;
  5. For other assets such as property, infrastructure etc, alternative funds, we need to be able to identify the country, sector, asset class etc.
  6. Counterparty should be provided in the holdings file, where applicable. This will include for cash, margin, collateral, FFX, Spot-FFX, Shareclass FX and all OTC Derivatives and structured products. We have a standard set of counterparties and deposit takers. See worksheet “Standard Counterparties” within the HW_Holdings template.
  7. Against each derivative, we need to be able to identify the correct unrealised profit or loss (in local and base currencies). Where derivatives are booked on two-legs for fund accounting purposes, it is important that we have the unrealised P&L on a single leg. That leg should also identify the counterparty where applicable (e.g., OTC Derivatives).