Page Comparison

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• Asset Currency (85): currency in which the security will accrue and be valued
• Settlement Currency (63): default trade settlement currency, which can be overridden at trade time
• Income Currency (1186): currency in which coupon payments will settle
  • Cannot be changed between pay periods
• Dual Currency Indicator (11802) = Yes
• Dual Currency Conversion Factor (11803): stores the initial FX rate at issuance to convert the local currency to settlement currency
• Principal Currency (11813): currency in which the security pays principal
  • Currency in which corporate actions and maturities will settle
  • Must match either Asset Currency or Income Currency
  • Cannot be changed between pay periods
• Settlement Rate Option (11816): FX source to convert local amounts into settlement currency
• FX Rate Type (11817): defines which FX fixing rate to use from the Settlement Rate Option; valid options are Ask (A), Bid (B), and Last (L)
• FX Fixing Period Multiplier (12027): number of periods to look back or forward; can
  • Can be negative (look back) or positive (look forward), but cannot be
  set to
  • zero or null
  • For example: -1 invokes a 1 period lookback
• FX Fixing Period (11818): length of the fixing period (Day, Week, Month, or Year), also referred to as lookback days
• FX Fixing Period Date Type (12028): defines if the fixing period uses B (Business) or C (Calendar) days
  • Business can only be used if FX Fixing Period = Day
  • Calendar is used by default when FX Fixing Period = Week, Month, or Year
• Fixing Business Day Convention (12029): used in conjunction with FX Fixing Period to determine how the date is adjusted if it falls on a non-business day
  • Following: adjusts the fixing date to the following business day
  • None: if FX Fixing Period Date Type is set to Business, this field shows the value as None, and if Calendar is selected, it must be a value other than None
  • Preceding: adjusts the fixing date to the previous business day
• FX Fixing Business Center (12340): when FX Fixing Period Date Type = Business, this field identifies the business calendar used to calculate fixing period start and end dates
• FX Fixing Date Relative To (12341): specifies which date is the anchor for selecting FX rates
  • Payment Date: for income and principal payments, all the FX fixing parameters are applied to settlement date
  • Calculation End Date: fixing parameters are applied to the last accrual date of a coupon period, or the effective/termination date of the principal transactions

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