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

Interest Rate Swap Contract Closes

Follow these guidelines for Interest Rate Swap Contract Closes:

  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):

    • Price (tag 45) and Principal (tag 165) must contain a value of 0 of null.
    • 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.

Currency Swap Contract Closes

Follow these guidelines for Currency Swap Contract Closes:

  1. Contract Level (tag 4590 = C) must have a Notional Principal Value (tag 40), 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):

    • 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 contain a value of 0 or null.
    • 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.

Total Return Swap Contract Closes

Follow these guidelines for Total Return Swap Contract Closes:

  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 = R, the value in tag 50 will match the value in 7510, if 10485 = P then the value will be the value in 7510 * -1.
  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).

Credit Default Swap Contract Closes

Follow these guidelines for Credit Default Swap Contract Closes:

  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 Closes

Follow these guidelines for Lock Closes:

  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), Net Amount Local (tag 50), and Net Amount Base (tag 478) must also be supplied.

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