Sample Records and Data Tables for Conversion Trades

PART1

USTAX

20040617

20031230

Y

CONVERSION

L

CUSIP

E

FI

20021205

20021205

20021210

1000000

0.95

950000

103.125

5.875

0

979687.5

3958.33

983145.83

1

979687.5

3958.33

983145.83

20031231

TICK1265.231

F

20031201

ISSUER_ID

IO_ISSUER_NAME

55 – Event Type

Required – defaults on panel. Used by message stream for identification of event. Must be CONVERSION.

CHAR

Used for STAR processing.

1163 – Entity ID

Required – either tag 1163 or tag 1164 must be sent in

CHAR (8)

The entity identification code. 

1164 – Entity Name

Required – either tag 1163 or tag 1164 must be sent in

CHAR (30)

The name of the portfolio/composite. 

21 – Accounting Basis

Required

VARCHAR2(5)

Accounting Basis for the conversion record. Conversion messages are basis specific.

457 – Original Trade ID

Optional

CHAR

Trade ID of the transaction. You must use the same value when loading the same lot on multiple accounting bases.

761 – Trade Ticket #

Conditionally Required – required for processing message stream cancels

VARCHAR2 (55)

Unique trade identifier.

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

Optional

CHAR (4)

FI or EQ.

30 – Post Date

Optional

DATE

Defaults on panel to CD. Can be overridden by sending tag/value.

35 – Conversion Date

Required

DATE

Trade date for the conversion.

37 – Conversion Settle Date

Required

DATE

Date the conversion is to settle and for Fixed Income securities to begin earnings.

15 – Long/Short Indicator

Required

CHAR

Defaulted to L for Long. Valid values:
L = Long
S = Short

216 – Original Acquisition Date

Required

DATE

Original trade date of the conversion record.

164 – Open Holding Period Date

Required

DATE

Original trade date of the conversion record.

154 – Original Open Settlement Date

Required

DATE

Original settlement date of the conversion record.

7000 – Calculate Accrued Interest Indicator

Required – Fixed Income securities only

CHAR

Valid values:
0 or N = Calculate None
1 – Traded Interest/Amort Yield/OID Yield/Trade Yield
2 – Traded Interest/OID Yield/Trade Yield
3 or Y – Amort Yield/OID Yield/Traded Interest
4 – Amort Yield/Trade Yield
5 – Amort Yield/OID Yield/Trade Yield
6 – Traded Interest/Amort Yield/Trade Yield
7 – OID Yield/Trade Yield
8 – Traded Interest/Amort Yield/OID Yield/Trade Yield/Deferred Income

2283 – Compare Accrued Interest Flag

Conditionally Required – Fixed Income securities only. Defaults to N.

CHAR

Y or N value. If set to Y and tag 7000 is set to N, STAR compares the accrued interest passed on the file to the STAR calculated accrued interest. If the difference exceeds 1, an error results. If 2283 = N, the accrued interest comparison does not occur.

41 – Original Face

Required – on all MBS, TIPS, and SINK trades

NUMBER(38,12)

The ORIGINAL face of an asset-backed security trade.

40 – Quantity/Current Face

Required

NUMBER(38,12)

Traded quantity. 

91 – Factor

Required – on all MBS and SINK trades

NUMBER (28,12)

Trade factor as of Conversion Date.

4483 – TIPS Index Ratio

Required – on all TIPS trades

DEC

Trade index ratio (daily value) as of the Conversion Settle Date.

965 – Current TIPS Quantity

Required – on all TIPS trades

DEC

Quantity X TIPS index ratio.

45 – Price

Required

DEC

Original trade price.

75 – Amort Yield

Optional

DEC

Conversion Traded Amortization Yield.

39 – OID Yield

Optional

NUMBER (28,12)

Conversion Traded Original Issue Discount Yield.

3746 – Original Acquisition Cost Base

Required

MONEYB

Original Trade Base Cost – no amortization.

3747 – Original Acquisition Cost Local

Required

MONEYL

Original Trade Local Cost – no amortization.

49 – Period to Date Accrued Interest Local

Conditionally Required – for Fixed Income securities depending on value for tag 7000.

MONEYL

For FI securities, Conversion Settle Date minus one. Required if tag 7000 is set to N or 0.

11571 – Deferred Income Local

Optional

CHAR

Deferred income as of Conversion Settle Date minus one.

475 – Period to Date Accrued Interest Base

Conditionally Required – required if tag 7000 is set to N

MONEYB

For Fixed Income securities, Conversion Settle Date minus one, depending on value for tag 7000.

11572 – Deferred Income Base

Optional

CHAR

Deferred Income in the entity's base currency as of conversion settle date minus one.

972 – Life to Date Amortization Local

Required for all Fixed Income messages even if value is zero

DEC

The LTD amortization local as of conversion settlement date minus one. If negative, must be sent in with a negative sign.

971 – Life to Date Amortization Base

Required for all Fixed Income messages even if value is zero

DEC

The LTD amortization base as of conversion settlement date minus one. If negative, must be sent in with a negative sign.

50 – Net Amount Local

Required value for equity securities. Required/Optional for Fixed Income securities depending on value for tag 2286.

MONEYL

Original Cost Local + Period to Date Accrued Interest Local + Life to Date Amortization Local. If tag 2286 is set to Y, this value is calculated by STAR.

478 – Net Amount Base

Required value for equity securities. Required/Optional for Fixed Income securities depending on value for tag 2286.

MONEYB

Original Cost Base + Period to Date Accrued Interest Base + Life to Date Amortization Base. If tag 2286 is set to Y, this value is calculated by STAR.

87 – Trade Date FX Rates

Required

DEC

Historical FX Rates of the lot being converted.

1364 – Credit Protection

Conditionally Required – required if tag 3931 = SWCDCO.

VARCHAR2 (10)

Valid values:
Sell Protection = Sell Protection
Buy Protection = Buy Protection

11509 – ILB Original Acquisition Index Ratio

Conditionally Required – required if tag 3931 = DBFLTP.

VARCHAR2 (100)

Index ratio as of original settlement date.

47 – Commission Amount Local        

Optional

MONEYL (2)

The commission paid to a broker to execute a trade.

48 – SEC Fee

Optional

MONEYL (2)

Any miscellaneous fee paid on a trade. 

46 – Tax Amount Local

Optional

MONEYL (2)

The taxes paid on the trading of a security. 

51 – Stamp Duty Tax Local

Optional

MONEYL (2)

Stamp duty tax of the transaction 

3752 – Other Fee Local

Optional

MONEYL (2)

Other fees.

11508 – Life to Date ILB Income Local

Conditionally Required – required if tag 3931 = DBFLTP

VARCHAR2 (100)

Amount of inflation income as of conversion settlement date minus one.

11516 – Life to Date ILB Income Base

Conditionally Required – required if tag 3931 = DBFLTP

CHAR

Amount of inflation income as of conversion settlement date minus one.

7250 – Accrued Interest Tolerance Percent

Conditionally Required – required if tag 2283 = Y. Defaulted to 3.

INTEGER

When comparing accrued interest = Y, specify the tolerance percentage as a whole number. If the tolerance percentage is exceeded, either an error or warning results.

853 – Period to Date Interest Tax Withholding Local

Optional

MONEYL

Interest Tax Withholding as of settlement date minus one.

852 – Period to Date Interest Tax Reclaim Local

Optional

MONEYL

Interest Tax Reclaim as of settlement date minus one.

854 – Period to Date Interest Tax Withholding Base

Optional

MONEYB

Interest Tax Withholding as of settlement date minus one

851 – Period to Date Interest Tax Reclaim Base

Optional

MONEYB

Interest Tax Reclaim as of settlement date minus one.

2285 – Override Conversion Edit Checks  

Optional

CHAR

The conversion panel is designed to perform edit checks that may result in a load failure. By setting this field to Y, the panel skips the edit checks without error.

2286 – Calculate Net Amounts Switch

Optional

CHAR

If this switch is set to Y, tag 50 (Net Amount Local) and tag 478 (Net Amount Base) is calculated by the panel; else it is expected they are passed in on the message.

4598 – Performance Price      

Optional

DEC

Price used by SPD process to calculate local flows in CASH_ACTIVITY table.

24 – Cost Basis Type

Required

CHAR

For known cost basis, set this tag/value to F.

105 – Factor Date

Required – for Factor Based Conversion Lots

DATE

Date of factor being provided on Conversion Lot.

88 – Broker Code

Optional

CHAR (20)

Executing the Broker Code.

1897 – Settlement Instructions 1

Optional

CHAR

Settlement notes.

575 – LTD OID Income Local

Optional

MONEYL

Calculated life-to-date OID income in local currency.

590 – LTD OID Income Base

Optional

MONEYB

Calculated life-to-date OID income in base currency.

4578 –OID Adjusted Issue Price

Optional

DEC (8)

Adjusted issue price. 

3728 – FAS 115 Code

Optional

CHAR

Trade category. Valid values:
TRD = Trading
AFS = Available for Sale
HTM = Held to Maturity

56 – Reason

Optional

VARCHAR2(255)

Trade notes.

25 – Event ID

Optional – for setting the Event ID

VARCHAR2(55)

Must be unique or is rejected.

4404 – Total Settlement Amount Local

Conditionally Required – tag 3931 = SWCDCO, SWCDCX, or SWCOIR and tag 10485 = S

MONEYS

The total settlement amount of the trade, including interest.

5548 – Life To Date Amortization at Disposition Local

Optional

MONEYL (2)

Projected local life-to-date amortization for an 'amort at disposition' lot. 

5549 – Life To Date Amortization at Disposition Base

Optional

MONEYB

Projected base life-to-date amortization for an 'amort at dispositon' lot.

7050 – Use a Blended Local to Base FX Rates

Optional

CHAR

If Calculate Accrued Interest (tag 7000) = 1, 2, 3, Y, 6, or 8 and you would like to calculate the base interest using a blended FX Rates then set this to Y.

7960 – Blended FX Rates

Conditionally Required – tag 7050 = Y

DEC (12)

Blended FX rates.

10485 – Data Entry Method

Conditionally Required – tag 3931 = SWCDCO

VARCHAR2 (4)

For Credit Default Swaps. Must be set to S.
S – Enter Total Settlement Amount

3715 – Accrued Interest Type

Optional – Defaults to CUM

CHAR

Valid values are CUM and EX.

2425 – Acquisition Type

Optional

CHAR

Valid values are:
G = Gift
I = Inheritance

2426 – Ownership Transfer Date

Optional

DATE (99)

Used to denote the gift date or date of death

2427 – Fair Market Value Flag

Conditionally Required – Tag 2425 = G

CHAR

Valid Values are:
Y = Yes
N = No

2452 – Fair Market Value Price

Conditionally Required – Tag 2425 = G and 2427 = Y

DEC (8)

The fair market value price on gift date. Used for gift transfers. 

2428 – Fair Market Value Local

Conditionally Required – Tag 2425 = G and 2427 = Y

MONEYL (2)

Panel will calculate this value if tag 2428 is not supplied and tag 2452 is supplied.

2429 – Fair Market Value Base

Conditionally Required – Tag 2425 = G and 2427 = Y

MONEYB (2)

 The fair market value on gift date.

11018 – Retro Indicator

Optional

INTEGER

Flags the position for Retrospective Amortization, a one–time amortization adjustment from original settlement date to settlement date of the conversion lot.
Valid values:
Y= YES
N = NO

1144 – Issuer ID

Optional

CHAR (20)

The issuer id. 

1173 – IO Issuer Name

Optional

VARCHAR2 (255)

The name of the issuer. 

3300 – Letter of Authorization

Optional

CHAR

Allows gifted shares to be received into an average cost position. When the fair market value (FMV) of the shares at the time of the gift is less than the donor's adjusted cost basis, the gift recipient must provide a letter of authorization stating they wish to permanently establish the cost basis as FMV.

9153 – Panel MC_MODE Option

CHAR

Defaults to MC_MODE. In MC mode, several tag validation/lookups are suppressed in the panel to improve processing throughput. You must view the rule to locate each case MC mode is used to bypass lookups and validations.

5013 – MC_MODE override1

Allows you to re-enable validations for certain tags when MC_MODE has been set and no validation/lookup would otherwise occur.

CHAR

You set to Y to enable validations within the following set of tags (if used in the rule):
4404, 165, 50, 4483, 41, 64, 40, 3747, 4597, 91,1603,11509, and 11508.

5014 – MC_MODE override2

Allows you to re-enable validations for certain tags when MC_MODE has been set and no validation/lookup would otherwise occur.

CHAR

You set to Y to enable validations within the following set of tags (if used in the rule):
87, 478, 963, 3746, 11572, 475, 5549, 971, 11516, 854, and 851.

4911 - Wash Sale Close Security Alias

Optional

CHAR

Washsale Close Security Alias

4917 - Wash Sale Close Event ID

Optional

CHAR

Washsale Close Event ID

4919 - Wash Sale Close Event Type

Optional

CHAR

Washsale Close Event Type

4920 - Wash Sale Close Post Date

Optional

DATE

Washsale Close Post Date

4921 - Wash Sale Close Acct Date

Optional

DATE

Washsale Close Acct Date

4922 - Wash Sale Close Monthly Accounting Date

Optional

DATE

Washsale Close Monthly Accounting Date

4923 - Total Open Quantity

Optional

DEC

Total Open Quantity

4924 - Total Close Quantity

Optional

DEC

Total Close Quantity

4925 - Wash Sale Original Open Trade Ticket Number

Optional

CHAR

Washsale Original Open Trade Ticket Number

2700 – Impairment/credit loss LTD amount in local currency

Optional

MONEYL (2)

Impairment/credit loss LTD amount in local currency.

2701 – Impairment/credit loss LTD amount in base currency

Optional

MONEYB (2)

Impairment/credit loss LTD amount in base currency.

2704 – Non-credit loss amount in local currency

Optional

MONEYL (2)

Non-credit loss amount in local currency.

2705 – Non-credit loss amount in base currency

Optional

MONEYB (2)

Non-credit loss amount in base currency.

2706 – Identified cost offset due to impairment in local currency

Optional

MONEYL (2)

Identified cost offset due to impairment in local currency.

2707 – Identified cost offset due to impairment in base currency

Optional

MONEYB (2)

Identified cost offset due to impairment in base currency.

2708 – Average cost offset due to impairment in local currency

Optional

MONEYL (2)

Average cost offset due to impairment in local currency.

2709 – Average cost offset due to impairment in base currency

Optional

MONEYB (2)

Average cost offset due to impairment in base currency.

2710 – Amortization offset due to impairment in local currency

Optional

MONEYL (2)

Amortization offset due to impairment in local currency.

2711 – Amortization offset due to impairment in base currency

Optional

MONEYB (2)

Amortization offset due to impairment in base currency.

2783 – Credit loss amount in local currency

Optional

MONEYL (2)

Credit loss amount in local currency

2784 – Credit loss amount in base currency

Optional

MONEYB (2)

Credit loss amount in base currency

16231 – Impairment Fx Ltd

Optional

MONEYB (2)

Reflects the LTD impairment amount caused by FX impairment adjustments.

16232 – Previous FX impairment

Optional

MONEYB (2)

Stores previous FX impairment.

16084 – EMA Treatment

Required

CHAR

Basis-level treatment flag for the treatment of assets held under the Equity method of accounting. 

16092 – EMA Cost Flag

Required

CHAR 

Flag to indicate whether basis is using EMA, CMA or STAR method of accounting. 

5 – Entity ID

CHAR

Account or portfolio Identifier​. 

961 – Issue Name/1233 –XREF Security ID

CHAR

Issue name/security identifier value.

2700 – Impairment Ltd Local

MONEYL (2)

Impairment/credit loss LTD amount in local currency. 

2704 –Noncredit Loss Local

MONEYL (2)

Non-credit loss amount in local currency. 

2783 –Credit Loss Local

MONEYL (2)

Credit loss amount in local currency. 

2708 –Impairment Cost Avg Offset L

MONEYL (2)

Average cost offset due to impairment in local currency. 

2706 – Impairment Cost Id Offset L

MONEYL (2)

Identified cost offset due to impairment in local currency. 

2710 – Impairment Amort Offset L

MONEYL (2) 

Amortization offset due to impairment in local currency. 

2701 – Impairment Ltd Base

MONEYB (2)

Impairment/credit loss LTD amount in base currency. 

16231 – Impairment Fx Ltd

MONEYB (2) 

This field reflects the LTD impairment amount caused by FX impairment adjustments. 

2705 – Noncredit Loss Base

MONEYB (2) 

Non-credit loss amount in base currency. 

2784 – Credit Loss Base

MONEYB (2)  

Credit loss amount in base currency. 

2709 – Impairment Cost Avg Offset B

MONEYB (2)  

Average cost offset due to impairment in base currency. 

2707 – Impairment Cost Id Offset B

MONEYB (2)

Identified cost offset due to impairment in base currency. 

2711 – Impairment Amort Offset B

MONEYB (2)

Amortization offset due to impairment in base currency.