Data Table for SMF Multi Leg Swaps

The SMF Multi Leg Swaps stream currently supports the following processing security types:

SWCOCR
SWCOIF
SWCOIR
SWCOTR
SWLEAC
SWLEDB
SWLEIF
SWLXEQ

A separate leg must be sent for the Contract, Pay, and Receive leg. The Contract leg must be sent in first, followed by either the Pay or Receive leg.

The following table describes the required and optional data fields for SMF Multi Leg Swaps.

Tag # – Tag Name	Required/ Optional	Data Type	Value/Description of Field

Tag # – Tag Name	Required/ Optional	Data Type	Value/Description of Field
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)	Whether the Reset Lag Days is expressed in Calendar or Business days.
70 – Coupon	Conditionally Required – required if tag 3931 = SWLEAC, SWLEDB, or SWLEIF.	NUMBER (28,12)	The rate at which an asset accrues interest. Expressed as an annual rate.
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)	The day of the month that the coupon is payable.
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	Identifies the number of delay days for a debt instrument.
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	DATE	The first date the compounding will begin for the security.
11879 – Last Compounding Date	Conditionally Required – required if tag 11875 = Y	DATE	The end date of interest compounding.
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	DATE	The first date the coupon rate will change.
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 – Rate Reset Change Cap (formerly Periodic Cap)	Optional	MONEYL	Amount the Coupon Rate can increase in an adjustment period.
10908 – Rate Reset Change Floor (formerly Periodic Floor)	Optional	MONEYL	Amount the Coupon Rate can decrease in an adjustment period.
10909 – Rate Reset Cap (formerly Lifetime Cap)	Optional	MONEYL	Amount the Coupon Rate can increase during the life of the security.
10910 – Rate Reset Floor (formerly 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.	CHAR	The calculation method used by Inflation Linked Bonds.
11017 – ILB Index Precision	Conditionally Required – required if tag 3931 = SWLEIF.	INTEGER	Used to pass precision to stored procedure in calculating a ILB index. Foreign securities use a different precision than U.S. ILB.
11809 – ILB Deflation Protected Maturity	Conditionally Required – required if tag 3931 = SWLEIF.	CHAR	Determines if the ILB has a Deflation floor at Maturity.
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
2299 – Auto-Generate Swap Reset Schedule		CHAR	Auto-generate Swap reset schedule.