FpML Issues Tracker

1273: shortSale scheme

January 5, 2022

closed

Tweak

N/A

Coding Scheme

awinkel

None

Summary

The short sale coding scheme value NTAV does not correspond to the standard used for reporting defined by ESMA's transaction reporting validation rules.

See rule 192, field short selling indicator: https://www.esma.europa.eu/document/transaction-reporting-validation-rules-2021-update

 

Notes:

  • mgratacos

    01/25/22 4:32 am

    One of the current FpML scheme’s values have a code different to that specified by ESMA. Thus, “Information not available” is “NTAV” in the FpML scheme but it should be”UNDI” according to ESMA documentation.

    There are different versions of the short sale FpML scheme (most recent one 16/12/2021):

    However, they all have the same values:

      NTAV = “Information not available”
      SELL = “No short sale”
      SESH = “Short sale with no exemption”
      SSEX = “Short sale with exemption”

    Nevertheless, in the following ESMA documentation:

    https://www.esma.europa.eu/sites/default/files/library/esma65-8-2594_annex_1_mifir_transaction_reporting_validation_rules.xlsx

    Specified values for rule 192 field 62 (“Short selling indicator”) are:

      ‘SESH’= “Short sale with no exemption”
      ‘SSEX’= “”Short sale with exemption”
      ‘SELL’= “No short sale”
      ‘UNDI’= “Information not available”

    Additionally, the document contains the following validation rule regarding this field: “If populated, only one of the following values can be populated: ‘SESH’, ‘SSEX’, ‘SELL’, ‘UNDI’.”

    In short, the way of expressing “Information not available” differs between FpML schemes (“NTAV”) and ESMA documentation (“UNDI”).

  • mgratacos

    02/20/22 5:35 am

    Minutes AWG 2022-02-10

    • This looks like it was a mistake. The value UNDI should be used instead of NTAV.
    • Action: We need to issue a new version of the scheme including UNDI and deprecate NTAV.

  • mgratacos

    03/28/22 6:21 am

    • The following coding scheme has been updated:
      • shortSaleScheme
        • Source: FpML
        • Version changed from 2-0 to 2-1
        • Publication Date: 2022-03-28
      • shortSaleScheme
        • New value added:
          • UNDI (Information Not Available. Replaces NTAV)
        • Deprecated value:
          • NTAV (Information Not Available. Replaced by NTAV)

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