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This example details the correct setup of a U.S. Treasury Inflation Index Security.

In this example:

  • Processing Security Type is equal to DBFLTP

  • First Coupon and Last Coupon Date are in sync, based on the Payment Frequency (Semiannual)

  • Dated Date CPI is populated with the value of the index that measures inflation on the Dated Date of the security

You enter values that measure inflation, based on the underlying index in the Variable Rate table.

SMF Field

Value

Long Term Debt Identification

Issue Name (tag 961) 

3-3/8% 10-Year Notes

Issue Description (tag 962) 

Series A-2007

Ticker (tag 13)

CUSIP/SEDOL Check Digit Control Flag (tag 2292)

Primary Asset ID Type (tag 1432)

CUSIP

Primary Asset ID (tag 14)

9128272M3

Alt Asset ID Type (tag 5501)

Alt Asset ID (tag 1795)

Long Term Debt Xreference Identification

ISIN (tag 1955)

Sedol (tag 1958)

Reuters (tag 1961)

Bloomberg ID (tag 1964)

SICOVM (tag 1967)

Valoren (tag 1970)

CEDEL (tag 1973)

INTERNAL (tag 1976)

CINS (tag 1979)

XREF Exchange (tag 1981)

NYSE

Long Term Debt Details

Investment Type (tag 11) 

FI

Processing Security Type (tag 3931)

DBFLTP

Security Type (tag 82)

Sub Security Type (tag 1464)

Quantity Type (tag 12)

PAR

Price Multiplier (tag 18)

0.0100

Quantity Scale (tag 19)

1.00

Country Of Risk (2288)

Country Of Risk Code (tag 10536)

Issue Country (tag 1418)

UNITED STATES

Issue Country Code (tag 2290)

US

Asset Currency (tag 85)

USD

Settlement Currency (tag 63)

USD

Income Currency (tag 1186)

USD

Issue Tax Type (tag 668)

STOCK

Primary Exchange (tag 2291)

NEW YORK STOCK EXCHANGE

Primary Exchange Code (tag 17)

NYSE

Region (tag 5423)

State Code (tag 1343)

Amount Issued (tag 1537)

0.0000

Amount Outstanding (tag 3130)

0.0000

Muni Industry Classification (tag 3130)

SIC Code (tag 1789)

Long Term Debt Coupon Periods

Coupon (tag 70)

3.375000

Coupon Type Code (tag 97)

Fixed Rate

Day Count Basis (tag 471)

ACT/ACT

Payment Frequency (tag 2287)

Semiannual

Payment Frequency Code (tag 472) 

6_M

Business Day Convention (tag 1536)

Day of Month Override (tag 1533)

Interest Payment Timing (tag 1523)

Long Term Debt Dates

Issue Price (tag 69)

99.37500000

Issue Date (tag 68)

19970115

Dated Date (tag 1183)

19970115

First Coupon Date (tag 473)

19970715

Last Coupon Date (tag 474)

20070115
(see note that follows)

Maturity Date (tag 38)

20070115

Maturity Price (tag 42)

100.00

Long Term Debt Flags

Trading Flat (tag 3949)

No

Zero Coupon Indicator (tag 1300)

No

OID Indicator (tag 218)

Yes

Convertible Indicator (tag 1531)

No

Call Flag (tag 1182)

Put Flag (tag 1546)

Sink Flag (tag 1780)

US Federal Tax Indicator (tag 1545)

Muni Refund Indicator (tag 3132)

Muni Funding Flag (tag 3131)

AMT Flag (tag 3113)

Insured Flag (tag 3104)

Default Indicator (tag 1551)

Default Date (tag 10142)

IO/ PO Flag (tag 10143)

PIK Flag (tag 1777)

Restricted Flag (tag 1139)

Underlying Information

Underlying Issue Name

CPI-U

Underlying

Ticker 

Ticker 

CPI-U

Underlying Asset ID

CPI-U

Dated Date CPI

158.43548

ILB Calculation

Type 

Type 

ACT_3M (US / Canadian)

ILB Index

Precision 

Precision 

5

ILB Deflation Protected

Maturity 

Maturity 

Yes

ILB Min Index

Ratio 

Ratio 

1.000000000000

Issuer Information

Credit Enhancement

Issuer ID Name

Issuer ID

Issuer Alias

Country Of Incorporation Code

Issuer Industry

Info

Because this security has a normal Last Coupon Date value, the Last Coupon Date value can be equal to the Maturity Date value or be equal to the penultimate coupon date (that is, 20060715). If the coupon period is Long last coupon period or Short last coupon period, then the Last Coupon Date value must be equal to the penultimate coupon date.

Asset ID

Effective Date

Variable Rate

Schedule Period Types

CPI-U

19960901

157.8


CPI-U

20031030

158.3


CPI-U

20040130

158.6