Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 4 Next »

In addition to the details listed in the Buy Trades data table, use the following Contract Open guidelines for Interest Rate Swap, Currency Swap, Total Return Swap, Credit Default Swap, and Lock transactions.

Interest Rate Swap Contract Opens

Follow these guidelines for Interest Rate Swap Contract Opens:

  1. All rows for a given contract must contain the same value in tag 40.
  2. Contract Level (tag 4590 = C) must have tag 10485 = S and the Total Settlement Amount Local must be supplied in tag 7510.
  3. Tags 165 and 50 are derived as the Settlement Amount + the Pay Leg tag 49 value – the Receive Leg tag 49 value. Tag 478 is the base equivalent of the Net Amount Local (tag 50).

  4. For the Legs (tag 4590 = P or R):

    • Quantity (tag 40) must be the same for the Contract, Pay, and Receive Legs.
    • Price (tag 45) and Principal (tag 165) must be null or 0.
    • Traded Interest (tag 49) must contain the Accrued Interest Local.
    • Net Amount Local (tag 50) must match tag 49.
    • Net Amount Base (tag 478) must contain the base equivalent of tag 50.
    • Tag (12860) is used to give the user the option to settle fees and commission separate from the trade net amount

Currency Swap Contract Opens

Follow these guidelines for Currency Swap Contract Opens:

  1. Contract Level (tag 4590 = C) must have a Price (tag 45), Principal (tag 165 – Shares x Quantity Scale x Price x Price Multiplier), Net Amount Local (tag 50 – same as Principal), and Net Amount Base (tag 478 – base equivalent of tag 50).

  2. For the Legs (tag 4590 = P or R):

    • Paying Leg Initial Cash Amount (tag 316) and Paying Leg Forward Units (tag 8317) are required if the SMF attribute Initial Exchange of Principal (tag 8554) = Y.
    • Paying Leg Initial Cash Amount is required at the leg level only (tag 4590 = P or R) and should be the same across all rows (excluding the Contract where it should be 0), and equal the value in tag 40 for the Pay Leg. Paying Leg Forward Units is required at the contract and the leg level and should be the same for all rows.
    • Receiving Leg Initial Cash Amount (tag 366) and Receiving Leg Forward Units (tag 8318) are required if the SMF attribute Initial Exchange of Principal (tag 8554) = Y.
    • Receiving Leg Initial Cash Amount is required at the leg level only (tag 4590 = P or R) and should be the same across all rows (excluding the Contract where it should be 0), and equal the value in tag 40 for the Receive Leg. Receiving Leg Forward Units is required at the contract and the leg level and should be the same for all rows.
    • Value in tag 40 for the Leg should match the value in tag 40 of the Contract if the leg's Asset Currency matches the contract's Asset Currency.
    • Price (tag 45) and Principal (tag 165) must be null or 0.
    • Traded Interest (tag 49) must contain the Accrued Interest Local.
    • Net Amount Local (tag 50) must match tag 49.

Total Return Swap Contract Opens

Follow these guidelines for Total Return Swap Contract Opens:

  1. Contract Level (tag 4590 = C) must have a value in Notional Principal Value (tag 40), and Swap Fee (tag 7510), but should not have a value in Price (tag 45) or Principal (tag 165),
  2. If tag 10485 = P, the value in tag 50 should match the value in 7510, if 10485 = R then the value should be the value in 7510 * -1. Tag 478 is the base equivalent of tag 50.
  3. All applicable accounting tags may be populated at the leg level (Principal Value (tag 40), Price (tag 45), Principal (tag 165), Accrued Interest (tag 49), Net Amount Local (tag 50), and Net Amount Base (tag 478)
  4. The tag (3599) is used in the Total Return Swap open trade panel to give the user the open to enter Notional or units when processing a trade.

Credit Default Swap Contract Opens

Follow these guidelines for Credit Default Swap Contract Opens:

  1. Tag 10485 must be set to S, indicating that the settlement amount of the trade will be supplied.
  2. Quantity (tag 40), Principal (tag 165), Settlement Amount (tag 4404), Accrued Interest (tag 49), Net Amount Local (tag 50), and Net Amount Base (tag 478) must also be supplied.

Lock Opens

Follow these guidelines for Lock Opens:

  1. Quantity (tag 40) must also be supplied.
  2. Other accounting tags (165, 50, 478) must equal 0 or null.

back to top

  • No labels