Data Table for SMF Multi Leg Swaps

1076 – Update Indicator

Required

CHAR

Y/N indicator used within message stream process. Valid values:
Y = Update
N = New Asset
B = Both. Lookup to security based on Primary Asset ID. If found, update record; else insert.

55 – Event Type

Required – must be ADDSECMASTER

CHAR

Used by message stream processing.

1257 – Transaction Type

Optional

CHAR (30)

Switch used restrict database updates. Options include:
HISTORY_ONLY – restrict updates to only post to History tables

4590 – Swap Type

Required

VARCHAR2 (10)

Valid values:
C = Contract
P = Pay
R = Receive

961 – Issue Name

Required

VARCHAR2 (255)

Security name.

2294 – Leg number

Optional

CHAR

Leg number. Can be passed on legs only, must be null at contract level.

1432 – Primary Asset ID Type

Required

CHAR (30)

Security identifier type (CUSIP, ISIN, SEDOL) – Code Value.

14 – Primary Asset ID

Required

CHAR (100)

Security identifier.

11 – Investment Type

Required

CHAR (4)

Defaults at panel level to DERV.

3931 – Processing Security Type

Required

VARCHAR2 (15)

Valid values:
SWCOCR = Currency Rate Swap Contract
SWCOIF = Inflation Linked Swap Contract
SWCOIR = Interest Rate Swap Contract
SWCOTR = Total Rate Return Swap Contract
SWLEAC = Swap Leg Interest Accrual
SWLEDB = Swap Leg Total Rate of Return on Fixed Income
SWLEIF = Swap Leg Inflation Linked Interest Accrual
SWLXEQ = Swap Leg Total Rate of Return on Equity

2283 – Processing Security Type – Contract

Required

CHAR

Processing security type of the contract level record (tag 4590 = C). Must be the same for all records associated with a single contract.

12 – Quantity Type

Required

CHAR (12)

Defaults at panel level to PAR. Can be overridden. Description of quantity, that is, SHARES, PAR.

1952 – Xreference ID

n/a

CHAR (100)

Derived SWAPID (Primary Asset ID tag 14 + Leg Type tag 4590 + Leg Number tag 2294). Used in SMF change and trade processing.

1953 – Xreference Type

n/a

CHAR (30)

Defaulted to SWAPID

18 – Price Multiplier

Required

NUMBER (28,12)

Defaults at panel level to 1. Can be overridden. Used by STAR processing.

19 – Quantity Scale

Required

NUMBER (28,12)

Defaults at panel level to 1. Can be overridden. Used by STAR processing.

82 – Security Type

Optional

CHAR (15)

Used for reporting – Code Value.

1464 – Sub Security Type

Optional

CHAR (15)

Used for reporting – Code Value.

10536 – Country of Risk Code

Optional

VARCHAR2 (4)

ISO country of risk code – Code Value.

1418 – Issue Country Code

Required

CHAR (30)

ISO country code of security – Code Value.

85 – Asset Currency

Required

CHAR (30)

3 character currency code – Code Value.

17 – Primary Exchange Code

Optional – Defaults to ALL, unless the validation level is set to NONE.

CHAR (8)

Exchange on which the security is listed – Code Value.

5423 – Region

Optional

VARCHAR2 (50)

Region of the security – Code Value.

8554 – Initial Exchange of Principal

Conditionally Required – required if tag 2283 = SWCOCR. Must be the same for all rows in contract.

VARCHAR2 (1)

Valid values:
Y = Yes
N= No

8555 – Final Exchange of Principal

Conditionally Required – required if tag 2283 = SWCOCR. Must be the same for all rows in contract. Must match value passed in tag 8554.

VARCHAR2 (1)

Valid values:
Y = Yes
N= No

3314 – Reset Calc Price

Conditionally Required – required if tag3931 = SWLXEQ or SWLEDB.

CHAR (2)

Valid values:
C = Reset Day
P = Prior Business Day

10548 – Preceding Business Days

Conditionally Required – required if tag 3314 = P.

VARCHAR2 (4)

70 – Coupon

Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, or SWLEIF.

NUMBER (28,12)

1366 – Payment Schedule

Conditionally Required – required if tag 3931 = SWLXEQ or SWLEDB.

VARCHAR2 (30)

Valid values:
F = Fixed
M = Manual

97 – Coupon Type

Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, or SWLEIF.

CHAR (8)

Static List of Types. Valid values:
F = Fixed Rate
X = Floating Rate
S = Step Rate
V = Unscheduled Variable Rate
I = Variable Rate
R = Inverse Floater

471 – Day Count Basis

Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, or SWLEIF.

CHAR (20)

STAR day count basis for security processing – Code Value.

472 – Payment Frequency Code

Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, SWLEIR, or SWLXEQ and tag 1366 is not equal to M.

CHAR (8)

How often a security generates a cash flow – Code Value.

1536 – Business Day Convention

Optional

CHAR (10)

Business Day Payment Convention. Valid values:
ADJFWD = Following Business Day Adjusted
FWD = Following Business Day Unadjusted
ADJMBC = Modified Business Day Adjusted
MBC = Modified Business Day Unadjusted
ADJBACK = Preceding Business Day Adjusted
BACK = Preceding Business Day Unadjusted
NONE = None
ADJROLL = Following Business Day Adjusted Modified Payment Roll Convention

10551 – Coupon Day of Month

Conditionally Required – required if 1536 is not null

VARCHAR2 (4)

1480 – Business Calendar Name

Optional

VARCHAR2 (10)

Business Calendar name to use for Business Day Convention processing. Lookup to Calendars.

1533 – Day of Month Override

Optional

CHAR (10)

Used to identify what day of the month the instrument is to pay income based on a business calendar. Code value based on category – DAY MONTH OVRD.

1523 – Interest Payment Timing

Optional

CHAR (4)

Used to specify day of month for interest payment. Valid values:
LDM = Last Day of Month
SDM = Same Day of Month
NONE = None

1799 – Delay Days

Optional

INTEGER

68 – Issue Date

Required

DATE

Date of issue.

1183 – Dated Date

Required

DATE

Date to start earnings.

473 – First Coupon Date

Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, or SWLEIF and tag 1366 is not equal to M.

DATE

 From Issue Date, first Coupon Date.

474 – Last Coupon Date

Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, or SWLEIF and tag 1366 is not equal to M.

DATE

Based on First Coupon Date and Payment Frequency, the Modal period Last Coupon Date.

38 – Maturity Date

Required

DATE

Date of maturity. Must be the same across all rows associated with a contract.

11875 – Compounding Indicator

Optional

CHAR (12)

Y or N value.

11876 – Compounding Method

Conditionally Required – required if tag 11875 = Y

CHAR (12)

Valid values:
ALL= All
FLAT = Flat

11877 – Compounding Frequency

Conditionally Required – required if tag 11875 = Y

CHAR (12)

Must be a valid PAYMENT FREQ code value.

11878 – First Compounding Date

Conditionally Required – required if tag 11875 = Y

CHAR (12)

11879 – Last Compounding Date

Conditionally Required – required if tag 11875 = Y

CHAR (12)

2301 – Calculate First/Last Coupon Date

Optional – for short term bonds

CHAR

Valid values are Y or null. If Y, last Coupon Date is calculated during submit, and populates tags 473 and 474.

2337 – Generate Last Coupon Date

Optional – for long term bonds

VARCHAR2 (60)

Valid values are Y or null. If Y, last Coupon Date is calculated during submit and populates tag 474. If set to N, the value passed in tag 474 on the file is validated against the STAR calculated value.

10911 – First Rate Reset Date

Conditionally Required – required for coupon type code of X and R

CHAR

1788 – Reset Frequency Code

Conditionally Required – required for coupon type code of X and R

CHAR (4)

Used for STAR processing with Floating Rate bonds. Code Value lookup on short description for code category reset frequency.

10547 – Reset Look Back Days

Optional

VARCHAR2 (4)

Number of days to go back in the index price history to get the reset.

10907 – Periodic Cap

Optional

MONEYL

Amount the Coupon Rate can increase in an adjustment period.

10908 – Periodic Floor

Optional

MONEYL

Amount the Coupon Rate can increase in an adjustment period.

10909 – Lifetime Cap

Optional

MONEYL

Amount the Coupon Rate can increase during the life of the security.

10910 – Lifetime Floor

Optional

CHAR

Amount the Coupon Rate can decrease during the life of the security.

1141 – Underlying Issue Name

Optional

VARCHAR2 (255)

Underlying security name.

1348 – Underlying Asset ID

Conditionally Required – required when tag 97 = X or R, ortag 3931 = SWLEIF.

CHAR (100)

Underlying security identifier.

215 – Index Offset

Optional

NUMBER,

Benchmark Offset.

1553 – Inverse Floater Rate

Optional

NUMBER (28,12)

Identifies the Inverse Floater Rate.

4532 – Inverse Floater Multiplier

Optional

INTEGER

Identifies the Inverse Float Multiplier.

1550 – Dated Date CPI

Conditionally Required – required if tag 3931 = SWLEIF.

NUMBER (28,12)

Consumer Price Index on Dated Date for TIPS.

11808 – ILB Calculation Type

Conditionally Required – required if tag 3931 = SWLEIF.

DATE

11017 – ILB Index Precision

Conditionally Required – required if tag 3931 = SWLEIF.

INTEGER

11809 – ILB Deflation Protected Maturity

Conditionally Required – required if tag 3931 = SWLEIF.

DATE

1102 – Source Name

Required – can be defaulted

CHAR (15)

Source of SMF record. Used on SMF history tables.

1109 – Effective Date

Defaulted on panel to current day. Can be overridden if passed in on file.

DATE

Date SMF was created/changed. Effective Date of change. Used on SMF history tables.

2817 – Cost Basis Rule Type

Optional

VARCHAR2(20)

Used by STAR processing.

3998 – Maturity Delay Days Type

Optional

VARCHAR2 (1)

Maturity Delay Days Type

3999 – Coupon Delay Days Type

Optional

VARCHAR2 (1)

Coupon Delay Days Type

5076 – Last Trade Date

Optional

DATE

Last Trade Date

5089 – Legal Entity Indicator (LEI)

Optional

VARCHAR2 (20)

Alphameric LEI assignment for this security. For example, GYP225J5YLMZZGHN2C97.

5027 – Cleared Security

Optional

VARCHAR2 (1)

Cleared security