Derivatives on Structured Products

Data Adapter clients can use the BYOD service to submit positions in derivatives on structured products. This is available for both FundApps CSV file and FundApps XML file, with some differences explained below.

💡 Note that the service does not call your data provider for additional Instruments as the examples use OTC instruments

Example structure

OTC Option > OTC Structured Product > Composites of the Structured product

FundApps CSV file (CSV flow)

You can implement this using the below steps:

Supply Data Adapter with details of your derivative holding on the structured products, specifying an extra column ULAssetClass (Underlying Asset Class) to be StructuredProduct.

PortfolioId	AssetId	AssetName	Quantity	SFTType	Price	InstrumentCurrency	AssetClass	DataProviderId	ULAssetClass
GMF	OTC_SP	Option on StructuredProduct	1000	Normal	100	GBP	Option		StructuredProduct
GMF	MSFT_EQ	Microsoft Equity	1000	Normal	100	USD	Equity	MSFT US Equity
GMF	AAPL_EQ	Apple Equity	1000	Normal	100	USD	Equity	AAPL US Equity

Supply the Bring Your Own Data service (see: Bring your own data (BYOD) guide for details) with mappings for the constituents of the structured product.

⚠️ Make sure that CompositeId equals AssetId + ULAssetClass

In this example we have CompositeId = OTC_SP_StructuredProduct, because AssetId = OTC_SP and ULAssetClass = StructuredProduct.

CompositeId	CompositeIdType	ComponentId	ComponentIdType	Weighting	WeightingQuantity
OTC_SP_StructuredProduct	InstrumentId	MSFT US Equity	DataProviderId	0.2	5000
OTC_SP_StructuredProduct	InstrumentId	AAPL US Equity	DataProviderId	0.3
OTC_SP_StructuredProduct	InstrumentId	AMZN US Equity	DataProviderId	0.5

Once sent through, the Data Adapter service will generate the option on the structured product, while the BYOD service will then map any of the components you hold outright.

In this example, we would get…

<Equity InstrumentId="MSFT US Equity" InstrumentName="Microsoft Equity" ..../">
<Equity InstrumentId="AAPL US Equity" InstrumentName="Apple Equity" ..../">

<Option InstrumentId="OTC_SP" InstrumentName="Option on StructuredProduct" InstrumentCurrency="GBP" Price="100" InstrumentCurrency="GBP">
      <Component InstrumentId="OTC_SP_StructuredProduct"/>
</Option>
<StructuredProduct InstrumentId="OTC_SP_StructuredProduct" InstrumentName="Dummy StructuredProduct">
     <Component InstrumentId="MSFT US Equity" Weighting="0.2"/>
   <Component InstrumentId="AAPL US Equity" Weighting="0.3"/>
</StructuredProduct>

FundApps XML file (EXPOST flow)

You can implement this using the below steps:

Supply the Data Adapter with details of your derivative holding and its components. You also need to provide information about the components held by the derivative itself, as shown in the example with MSFT US Equity.

<Snapshot Date="2023-12-21">
  <Instruments>
    <Swap AssetClassCustomer="Swap" InstrumentCurrency="KRW" InstrumentId="swap_prop_kospi100" InstrumentName="Kospi Swap" IsCashSettled="true" Market="XXXX" MarketsListedIn="XXXX">
      <Component InstrumentId="OTC_SP_StructuredProduct" />
    </Swap>
    <Index AssetClassCustomer="Equity Index" InstrumentId="OTC_SP_StructuredProduct" InstrumentName="KOREA KOSPI 100 INDEX" InstrumentCurrency="KRW" IssuerId="1412562" LocalTicker="KOSPI100 Index" Price="2950.650000" />
    <Equity AssetClassCustomer="Equity" InstrumentCurrency="USD" InstrumentId="MSFT US Equity" InstrumentName="MSFT US" CUSIP="037833100" Market="XNYM" MarketsListedIn="XNYM" Price="123" />
  </Instruments>
  <Portfolios>
    <Portfolio PortfolioId="11">
      <Asset AssetId="swap_prop_kospi100" AssetName="Kospi Swap" InstrumentId="swap_prop_kospi100" MarketValue="100000" Quantity="100000" />
    </Portfolio>
  </Portfolios>
</Snapshot>

Supply the Bring Your Own Data service (see: Bring your own data (BYOD) guide for details) with mappings for the constituents of the structured product.

⚠️ Ensure that the CompositeId matches the InstrumentId in the EXPOST file. The component in the example is also an OTC and only has an InstrumentId, so ComponentIdType must be set to InstrumentId.

CompositeId	CompositeIdType	ComponentId	ComponentIdType	Weighting	WeightingQuantity
OTC_SP_StructuredProduct	InstrumentId	MSFT US Equity	InstrumentId	0.2	5000
OTC_SP_StructuredProduct	InstrumentId	AAPL US Equity	InstrumentId	0.3
OTC_SP_StructuredProduct	InstrumentId	AMZN US Equity	InstrumentId	0.5

Once sent through, BYOD service will then map any components that are held outright.

In this example, we would get…

<Snapshot Date="2023-12-21">
  <Instruments>
    <Swap AssetClassCustomer="Swap" InstrumentCurrency="KRW" InstrumentId="swap_prop_kospi100" InstrumentName="Kospi Swap" IsCashSettled="true" Market="XXXX" MarketsListedIn="XXXX">
      <Component InstrumentId="OTC_SP_StructuredProduct"/>
    </Swap>
    <Index AssetClassCustomer="Equity Index" InstrumentCurrency="KRW" InstrumentId="OTC_SP_StructuredProduct" InstrumentName="KOREA KOSPI 100 INDEX" Price="2950.650000" IssuerId="1412562" LocalTicker="KOSPI100 Index">
      <Component InstrumentId="MSFT US Equity" Weighting="0.2"/>
    </Index>
    <Equity AssetClassCustomer="Equity" InstrumentCurrency="USD" InstrumentId="MSFT US Equity" InstrumentName="MSFT US" Price="123" CUSIP="037833100" Market="XNYM" MarketsListedIn="XNYM"/>
  </Instruments>
  <Portfolios>
    <Portfolio PortfolioId="11">
      <Asset AssetId="swap_prop_kospi100" AssetName="Kospi Swap" InstrumentId="swap_prop_kospi100" MarketValue="100000" Quantity="100000"/>
    </Portfolio>
  </Portfolios>
</Snapshot>