Validation will fail if any of the properties marked with 
are missing. Additionally, incorrectly formatted input values can lead to validation failures, e.g. providing a blank value for a decimal property.
A default value will be provided for those properties marked with 
.
Please note; For rules that require netting, we will automatically do so, thus you should not net positions provided in the positions file. For more information on this please see here
For information on integrating via API, please see our technical documentation. For all other information please see our Zendesk HelpCentre
An asset is the specific position a portfolio has in an instrument. Instrument properties are independent of portfolio, whereas asset properties are specific to the portfolio
| Property Name | Applies To | Description | Data type | Valid values & notes | |||
|---|---|---|---|---|---|---|---|
| AssetId | |
All | Unique identifier for the asset | String(255) | e.g. Use InstrumentId + AssetClass to signify the unique asset, or another significant unique combination such as ISIN + LocalTicker or ISIN + Execution Venue (these are also provided by the exchange-level FIGI or quote-level PermID). 1. Must be unique for every asset in the portfolio (but may be duplicated across portfolios) or else validation will fail and 2. Consistent across NAV dates or else HasActivity will not work and the UI will mark all assets as new |
||
| AssetName | |
All | Name of the asset | String(255) | Used as the primary display name for the asset, so ensure this name is meaningful | ||
| Quantity | |
All | Equities - Number of shares held Bonds (including Convertibles) - Total nominal value of the position, divided by the FaceValue of the (single) bond instrument. ETF - Number of units held Derivatives - Number of contracts held |
Decimal | Short sale positions - Insert a negative quantity for positions resulting from short sale transactions. Lending/Borrowing/Collateral (SFTType) - For any asset which does NOT have an SFTType set to 'Normal', insert only positive quantities. CDS - For credit default swaps, use a negative quantity for protection buys (which is an effective short position) and a positive quantity for protection sells (which is an effective long position). |
An instrument is the portfolio independent information
| Property Name | Applies To | Description | Data type | Valid values & notes | |||
|---|---|---|---|---|---|---|---|
| AssetClass | |
All | Asset class (e.g. Equity, Bond, CFD etc.) | String(255) | Valid values: Commodity, Future, Option, Swap. To ignore this asset during checking, set to 'Ignore' |
||
| CallOrPut | |
Option | If an option / warrant is call or put | String(255) | Valid values: Call, Put. | ||
| CommoditySymbol | |
Future, Option, Swap | Exchange-specific commodity symbol (e.g. CL for NYMEX Crude Oil). This should be the FIA Tech Commodity Symbol. | String(255) | For in-scope Equity Swap instruments, you may provide a dummy CommoditySymbol (ex. CommoditySymbol = 'XX') and any DeliveryMonth to exclude such positions in your results or to pass validation as no such limits exist. | ||
| ContractSize | Future, Option | Contract size of a derivative (i.e. number of the underlying that a single contract converts into). For Position Limits, please refer to the contract specifications. | Decimal | e.g. 1000 would mean every option represents 1000 of the underlying. For Shareholding Disclosure, ContractSize is not generally required for derivatives on bonds. | |||
| DeliveryMonth | |
Future, Option, Swap | Delivery month of exchange-traded derivatives. If a contract month has delivery over two different months, FundApps recommend using the first delivery month unless the regulation states otherwise. | String(255) | ISO 8601 YYYY-MM format | ||
| Delta | Future, Option, Swap | The Delta measures the degree to which the derivative is exposed to shifts in the price of the underlying asset (price sensitivity with relation to the underlying). Under the European Transparency Directive (TDA) cash settled instruments should be Delta weighted. All cash settled instruments (where IsCashSettled=True) must have a Delta value. Under the Short-Selling Regulation (SSR) all derivatives (including convertibles) should be delta weighted regardless of settlement and therefore a delta must be provided. | Decimal | Valid Values: -1 to 1. For instruments with negative delta (e.g. put options), the system will accept the absolute value (i.e. positive value) and this will not affect the rule calculations and results. So for a put option with delta -0.5, both 0.5 and -0.5 are accepted by FundApps. | |||
| InstrumentCurrency | Commodity, Future, Option, Swap | Currency the instrument is denominated in. | String(255) | Valid values: ISO 4217 currency codes. | |||
| InstrumentId | |
All | Identifier to link assets to instruments and instruments to Underlying instruments | String(255) | Must be unique for every instrument in one upload | ||
| InstrumentName | |
All | Instrument name | String(255) | Used as the primary display name for the instrument, so ensure this name is meaningful | ||
| IsCashSettled | |
Future, Option, Swap | If the derivative is cash settled (as opposed to requiring physical delivery) | Boolean | Most countries capture physically settled derivatives, many (but less) are interested in cash settled derivatives. | ||
| Market | Future, Option, Swap | Market identification code (MIC) for the primary market that this instrument is traded on. | String(255) | ISO 10383 code (MIC). Insert the MIC of the primary market that the instrument is traded on. Where a specific market segment is different than the Operating MIC, please use the specific market segment since the Operating MIC is the parent market venue only. For instruments which are truly over-the-counter (OTC), use the value recommended by the ISO standard: XXXX For instruments where the market is completely unknown, use the value: XMIC (which is not an ISO code but a suggested default value in such cases). It is critical that for any market, segment MICs are provided. Please see ISO's official FAQs for the MIC standard under the section 'MIC LEVELS', making note of the definitions for 'market segment MIC' and 'operating MIC' including the point that 'The use of market segment MICs provides more accuracy.' FundApps is unable to validate whether our clients are providing the MICs at the granularity of segment MIC; we strongly recommend that you re-confirm with your data provider(s) that MICs are provided at segment MICs level. |
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| MarketWidePositionLimit | Future, Option, Swap | The maximum number of open contracts for a given underlying that can be held collectively by all market participants. | Decimal | Limit definitions that reference Market Wide Position Limits exist for select contracts on XNSE. This value can be sourced directly from the Exchange. | |||
| OpenInterestAllMonths | Future, Option, Swap | Total number of open or outstanding (not closed/settled or delivered) contracts that exist on a given trading day across all contract months. The property should represent the all month open interest value for a futures contract if defined on a future, or for all options (call and put) combined if defined on an option. | Decimal | ||||
| OpenInterestSingleMonth | Future, Option, Swap | Total number of open or outstanding (not closed/settled or delivered) contracts that exist on a given trading day for the single contract month. | Decimal | ||||
| Price | All | Price of the instrument in instrument currency. For bonds and convertibles, the price must be stated as a percentage of the face value of an individual bond (since this is the way bonds are quoted on the market). | Decimal | ||||
| TotalSharesInFreeFloat | Future, Option, Swap | [Issuer Property] The number of shares that can be publicly traded and are not restricted (i.e., held by insiders) of a company. | Decimal |
AssetClass, AssetId, AssetName, InstrumentCurrency, InstrumentId, InstrumentName, Price, Quantity
Asset classes which require exactly one underlying asset to pass validation are marked with 
Asset classes which can have multiple underlying assets are marked with 
| Asset Class | Description |
|---|---|
|
Future
|
A contract or agreement to buy or sell an asset at a certain date at a certain price |
|
Option
|
Financial derivatives that give the buyer the right to buy or sell the underlying asset at a stated price within a specified period. |
|
Swap
|
A derivative contract in which two parties exchange the cash flows or liabilities of two different financial instruments. Excludes Credit Default Swaps |
| Commodity | Physical Commodity. A physical economic good which has substantial fungibility |
A portfolio is the smallest unit that can hold assets (aka an account, fund etc.), an entity is a grouping of portfolios. The properties are generally set-up once and then only updated when changes occur. Portfolio properties can be entered directly into the UI and do not need to be provided in an input file.
The following are required for the rules / system to function correctly
| Property Name | Applies To | Description | Data type | Valid values & notes | |
|---|---|---|---|---|---|
| PortfolioId | |
Both | Unique identifier for the portfolio / entity | String(255) | This Id should NOT change over time (even during implementation). If it does a new portfolio / entity will be created. |
| PortfolioName | |
Portfolio | Name of the portfolio / entity | String(255) | |
| PortfolioType | |
Both | Portfolio: a container that holds assets (Accounts, Funds, Portfolios etc.); Entity: an aggregation of portfolios (Management Company, Controlling Entity, etc.) Umbrella: If a portfolio's direct parent is an umbrella and a portfolio level disclosure is required, A disclosure will be triggered on the parent umbrella, aggregating all portfolios underneath that specific umbrella |
String(255) | Valid values: Entity, Portfolio, Umbrella. Click here for more information on umbrellas |
| PortfolioCompany | |
Both | If a Chinese wall, or similar, exists, you will be able to limit the visibility to specific areas of the business. | String(255) | More information is available here |
| DefaultParentId | Both | Identifier (PortfolioId) of the Entity that a portfolio or (sub)Entity aggregates to | String(255) | Must match a PortfolioId of an Entity in the file. This is used to define the aggregation structure. In this case, an aggregation structure named 'Default' is used. For Entities which are at the top of the tree, the DefaultParentId will be its own PortfolioId. For clients with multiple aggregation structures, additional columns named 'XParentId' can be added, where X is the name of the tree (e.g. Voting, Legal, Management). More information here | |
| RuleFolders | Portfolio | Defines which rules run on the system. | List | Valid values all folders active in your system see bottom left panel in the rules page | |
| LiquidationDate | Both | When the portfolio / entity was / will be liquidated | Date | ||
| CompanyTypePL | Portfolio | Values that indicate classifications for a portfolio/entity that have effect on the application of certain Position Limit rules. | List | Valid values: MultiManagedFund, Proprietary. | |
| ExchangeAccountType | Both | Values that indicate classifications for a portfolio/entity that have effect on the application of certain definitions within Position Limit monitoring | List | Valid values: Valid Exchange Account types supported in FundApps for Position Limits monitoring only. See full descriptions here. See description of possible values here |
Last generated: 2024-11-18 10:02:35 UTC