3.03 ID System Trade Output File Function User s Guide

Transcription

1 CCF/CCF-II/MDH Transmission Guides 3.03 ID System Trade Output File Function User s Guide Records 1 and 2 Version 01 Release 02 Records 3 and 4 Version 01 Release 02 The Depository Trust & Clearing Corporation ovember 2005

2 Copyright 2005 by The Depository Trust & Clearing Corporation ( DTCC ). All rights reserved. This work is proprietary and is intended for exclusive use by DTCC s Participants and other users of DTCC s services. o part of this work may be reproduced or distributed (including by transmission) in any form or by any means, or stored in any information storage and retrieval system, without DTCC s prior written permission. All requests for additional copies of this work or inquiries about this work should be directed to DTCC Participant Interface Planning, The Depository Trust & Clearing Corporation, 55 Water Street, ew ork, 10041, USA ID TRADE OUTPUT FILE ii ovember 2005

3 DOCUMET HISTOR: 6/00 - Added code 10 = Prime Brokerage to position 315 of the Detail Record 1 Field Description ID TRADE OUTPUT FILE iii ovember 2005

4 3.03 ID Trade Output File via CCF, CCF-II or MDH Function User s Guide Table of Contents Section Page 1. Objectives of This Chapter ID Trade Output File via CCF, CCF-II, MDH: Overview Availability Format Specifications Records i Description of Second Record ii Description of Third Record iii Description of Fourth Record iv Restrictions on Receiving Second, Third and Fourth Records Additional Parties Change Of Eligibility Validation Trade Output File Formats ID Header Record ID Trailer Record Detail Records i Detail Record ii Detail Record iii Detail Record iv Detail Record Appendix: Modifications June ID Record 1 Added/Modified Fields ID Record 2 Added/Modified Fields ID Record 1 Deleted Fields ID TRADE OUTPUT FILE iv ovember 2005

5 1 Objectives of This Chapter The objectives of this chapter are to: Give an overview of new Trade Output File function Provide templates for required file formats 2 ID Trade Output File via CCF, CCF-II, MDH: Overview DTC s enhanced Computer-to-Computer Facility (CCF), Computer-to- Computer Facility II (CCF-II), and Mainframe Dual Host (MDH) processing allow for interactive receipt and distribution of ID data. Please note the following: all detail records contain a transaction header and a mailbox prefix for all records. A full description of this processing is available in Interface Control Manager 2.1 Availability Interactive output is available throughout the day (approximately 2:00 am to midnight, Eastern Time). Users can send and receive confirmations interactively, records are not sorted and do not contain ID headers or trailers. End-of-day reports (Cumulative Eligible Trades and Unaffirmed Reports) do, however, include a header and a trailer. Change of eligibility confirms are produced at end of day and are included within the message queue (the mailbox), but do not contain headers and trailers ID TRADE OUTPUT FILE 1 ovember 2005

6 3 Format Specifications 3.1 Records The Interactive Output Specifications described in this document consist of one required record and three optional records. CCF/MDH recipients can choose to receive the second record either all of the time, or only for municipal securities, or not at all. They can choose to receive the third and fourth records on an optional basis. Users wishing to receive any record should fax their requests to the ID Support Unit at Transmission of the second, third and fourth records is controlled from the ID Master File in order to minimize the amount of data sent to CCF/MDH recipients that do not wish to receive the information in those records. 3.1.i Description of Second Record The second record was added to meet the specific requirements of security description for municipal debt securities. Five lines of 78 characters are available for security description and are located as follows: Line 1 in Record 1, position , and Lines 2 to 5 in Record 2, positions If a security description is received from J. J. Kenny for municipal securities, it is shown in Lines 1, 2 and 3. The same J. J. Kenny information is also provided in discrete fields, mostly in numeric values, in the Record 2, positions i Description of Third Record The third record has been added in order to relate institution instructions to confirms. The record contains internal account numbers, additional interested parties, institutional reference numbers, etc. 3.1.i Description of Fourth Record The fourth record has been added to meet the specific requirements of mortgage-backed securities trades. 3.1.i Restrictions on Receiving Second, Third and Fourth Records Interactive ID users receive the second, third and fourth records for all Confirm and Change of Eligibility report types, but not for the Unaffirmed and Cumulative Eligible Trade reports ID TRADE OUTPUT FILE 2 ovember 2005

7 In order to allow for interactive distribution of data, a transaction header has been included as part of the detail records, and a message prefix has been added to the record. The message prefix is not considered application-oriented and therefore is shown separately. 3.2 Additional Parties Additional parties include Customer, Interested Parties and Sub-Custodians (refer to Chapter 3.4, Section 9, Additional Parties).There is room for three additional parties (including a customer) on confirmations settling at DTC, and up to two additional parties (including a customer) for trade confirmations not settling at DTC. Trades that do not settle at DTC contain one less additional party, since the first slot continues to be used for settlement information (either contra sub-custodian or account identifier at depositories other than DTC). Space for additional interested parties on confirmations may be added at a later date. 3.3 Change Of Eligibility ID function re-evaluates eligibility for confirms with a settlement location of DTC or Broker Custody (BRC) at the close of each business day (through S 2). When eligibility changes, a duplicate confirmation (same DTC control number) is generated with the new eligibility status and included in the designated message queue (the mailbox). Change of eligibility can be determined by a value of COELIG in the Record Type field (positions 3 8 of the Transaction Header record). 3.4 Validation ID field validation occurs when appears in the Validation column. When the DTC Validation column equals, the data received from the submitter or J. J. Kenny is reported intact (not validated). When the DTC Validation column equals, this indicates the data is being generated by DTC ID TRADE OUTPUT FILE 3 ovember 2005

8 4 Trade Output File Formats 4.1 ID Header Record One ID header record precedes a detail record or a batch of detail records for end-of-day Cumulative Eligible Trade (CUMETR) reports and Unaffirmed (S1MUAF, S1UAF or S2UAF) reports. Position Length Format Field ame Validate ID Header Record Field Description Positions 1 through 26: Transaction Header Character Character Character X(6) Feedback Indicator Production/Test Indicator Record Type * = If no errors? = If record contains errors This field is used by DTC to indicate the return of this record because of errors. A full description of this processing is available in a separate document Interface Control Management. Required indicator: P = production T = test Type of data contained in the message: CUMETR = Cumulative Eligible Trade Report MIDDA = Midday Cutoff Message S1MUAF = S-1 Midday Unaffirmed Report S1UAF = S-1 Unaffirmed Report S2UAF = S-2 Unaffirmed Report umeric 9(2) Record Suffix Record number identifier, since more than one record may be contained in a single logical record: 01 = General Confirm Record umeric 9(2) Version umber Version number that defines the record format, incremented by DTC as fields are added or deleted from the format Character (X6) Character X(8) Filler DTC use only; do not use. Addressee DTC destination of the user for whom the record was produced, enabling a group user to redistribute the record Character Record Type 0 = ID header record 3.03 ID TRADE OUTPUT FILE 4 ovember 2005

9 Position Length Format Field ame Validate ID Header Record Field Description Character X(8) Receiver umber Eight-digit ID of receiver assigned to the user receiving output; right justified, zero filled umeric 9(6) Process Date Processing date when the output was created, in MMDD format Character Character X(02) Character X(934) Filler Receiver Type Filler DTC use only; do not use. Type of user receiving the output: 01 = Institution 02 = Agent 03 = Broker-dealer 04 = Interested Party 05 = Reserved 06 = Broker Sub-custodian 07 = Agent Sub-custodian 08 = Clearing Broker 09 = Clearing Agent 10 = Customer DTC use only; do not use ID TRADE OUTPUT FILE 5 ovember 2005

10 4.2 ID Trailer Record One ID trailer record follows a detail record or a batch of detail records for end-ofday Cumulative Eligible Trade (CUMETR) reports and Unaffirmed (S1MUAF, S1UAF, and S2UAF) reports. Position Length Format Field ame Validate ID Trailer Record Field Description Positions 1 through 26: Transaction Header Character Feedback Indicator * = If no errors? = If record contains errors This field is used by DTC to indicate the return of this record because of errors. A full description of this processing is available in a separate document Interface Control Management Character Production/Test Indicator Required indicator: P = production T = test Character X(6) Record Type Type of data contained in the message: CUMETR = Cumulative Eligible Trade Report MIDDA = Midday Cutoff Message S1MUAF = S-1 Midday Unaffirmed Report S1UAF = S-1 Unaffirmed Report S2UAF = S-2 Unaffirmed Report umeric 9(2) Record Suffix Record number identifier, since more than one record may be contained in a single logical record: 01 = General Confirm record umeric 9(2) Version umber Version number that defines the record format, incremented by DTC as fields are added or deleted from the format Character (X6) Character X(8) Filler DTC use only; do not use. Addressee DTC destination of the user for whom the record was produced, enabling a group user to redistribute the record Character Record Type 9 = ID trailer record 3.03 ID TRADE OUTPUT FILE 6 ovember 2005

11 Position Length Format Field ame Validate ID Trailer Record Field Description Character X(8) Character X(2) umeric 9(9) Receiver umber Receiver Type Record Count Eight-digit identifier of user receiving output; right justified, zero filled Identifier of the type of User receiving the output 01 = Institution 02 = Agent 03 = Broker-dealer 04 = Interested Party 05 = Reserved 06 = Broker Sub-custodian 07 = Agent Sub-custodian 08 = Clearing Broker 09 = Clearing Agent 10 = Customer umber of physical records on the file including header and trailer records; right justified, zero filled umeric Quantity 9(12)V9(5) Share quantity of entire file; right justified, zero filled umeric 9(12)V Character X(901) et Amount Filler et amount of the entire file; right justified, zero filled. DTC use only; do not use ID TRADE OUTPUT FILE 7 ovember 2005

12 4.3 Detail Records Each detail record or batch of detail records of the type CUMETR, S1UAF, S2UAF, or S3UAF is preceded by an ID Header Record (see page 4) and followed by an ID Trailer Record (see page 6). Detail records of the type COFRM and AOCCF have no header and trailer records. 4.3.i Detail Record 1 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Positions 1 through 26: Transaction Header Character Feedback Indicator * = If no errors? = If record contains errors This field is used by DTC to indicate the return of this record because of errors. A full description of this processing is available in a separate document Interface Control Management Character Production/Test Indicator Required indicator: P = production T = test Character X(6) umeric 9(2) Record Type Type of data contained in the message COFRM = Confirm COELIG = Change of Eligibility CUMETR = Cumulative Eligible Trade Report MIDDA = Midday Cutoff Message S1MUAF = S-1 Midday Unaffirmed Report S1UAF = S-1 Unaffirmed Report S2UAF = S-2 Unaffirmed Report AOCCF = Advice of Confirm Correction/Cancellation Record Suffix Record number identifier, since more than one record may be contained in a single logical record: 01 = General Confirm Record 3.03 ID TRADE OUTPUT FILE 8 ovember 2005

13 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(2) Character (X6) Character X(8) umeric 9(1) Version umber Version number that defines the record format, incremented by DTC as fields are added or deleted from the format; see the cover of this document for current version number. Filler DTC use only; do not use. Addressee DTC destination of the user for whom the record was produced, enabling a group user to redistribute the record Transaction Type 1 = ew Confirm 3 = Cancellation 4 = Resubmission 5 = Correction 6 = Affirmation/Confirmation Reversal 9 = Midday Cutoff Message Character Filler DTC use only; do not use umeric 9(8) Executing Broker- Dealer ID umber Eight-digit broker-dealer identifier; right justified, zero filled umeric 9(8) Institution ID umber Eight-digit institution identifier, right justified, zero filled. ote: When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field is filled or replaced with data on SID umeric 9(8) Agent umber ID Eight-digit agent identifier, right justified, zero filled (see note at position 37) 3.03 ID TRADE OUTPUT FILE 9 ovember 2005

14 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(12) Security Identifier The original Security umbering System populates this field when Security umber Translation processing is not used. When a security number translation occurs, this field is populated with the converted Security umbering System X(02) = ISI Country Code (for ISI only, otherwise spaces) X(09) = security number X(01) = ISI check digit (for ISI only, otherwise spaces) If the security identifier is less than 9 bytes in length, it must be left justified and space filled to the right. For a list of ISO Country Codes, see Chapter 4, Interactive ID Input/Output Information umeric 9(1) Settlement Type 1 = Regular way 2 = When issued 3 = When distributed 4 = When issued and distributed Required; may contain zeros for When- Issued or When-Distributed trades Character umeric 9(1) Filler Role DTC use only; do not use. 1 = Executing Broker-Dealer acted as agent for customer 2 = Executing Broker-Dealer acted as principal for own account 3 = Executing Broker-Dealer acted as agent for a person other than customer 4 = Executing Broker-Dealer acted as agent for both the customer and another person 5 = Average Price Trade (the broker-dealer acted as principal for some executions and agent for others in the trade 3.03 ID TRADE OUTPUT FILE 10 ovember 2005

15 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(2) Market Code Market on which the trade was executed (see Chapter 3.4 for acceptable Market Code Values). When used in the Market field, Average Price indicates that the order was executed over multiple markets (for example, SE, AMEX, and OTC) umeric 9(1) umeric 9(5)V9(6) Side Code 1 = Sell; Broker-Dealer is receiving 2 = Buy; Broker-Dealer is delivering et Price Difference between the quoted price and the mark-up or mark-down (Rule 10b-10); right justified, zero filled. Shares or Face Value; right justified, umeric Shares/ Face 9(12)V9(5) Value 1 zero filled; maximum of nine integers with leading zeros; the fraction must be zero for DTC settlement Character X(11) umeric 9(12)V99 Price 2 Price per share at which this security was traded; can contain a floating decimal in any position; all other positions are numeric; whole numbers do not require the use of a decimal point; right justified, zero filled. Principal Amount 3 Shares/face value multiplied by the price; right justified, zero filled umeric 9(7)V99 Registration/Shipping or Fees Registration/shipping (for trades not settling in US) or fees (for trades settling in US); right justified, zero filled 1 If for when-issued or when-distributed trades, entry can be zero; otherwise must be greater than zero. 2 If for when-issued or when-distributed trades, entry can be zero; otherwise must be greater than zero. 3 If for when-issued or when-distributed trades, entry can be zero; otherwise must be greater than zero ID TRADE OUTPUT FILE 11 ovember 2005

16 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(9)V umeric 9(7)V umeric 9(7)V umeric 9(7)V umeric 9(7)V umeric 9(12)V99 Interest Interest accrued on a bond and to be accounted for in its sale; right justified, zero filled. Local Tax State/local/province taxes that apply to this trade; right justified, zero filled. Country Tax Country taxes that apply to this trade; right justified, zero filled. Commission Commission either directly charged or allocated to this trade; right justified, zero filled. Other Charges Sum of any charges that apply to this trade for which no other field has been designated; right justified, zero filled. et Amount 4 Cash settlement amount; that is, sum of the principal and interest, +/ the following fields: Registration/Shipping/ Fees, Interest, Local Tax, Country Tax, Commission and Other Charges fields; right justified, zero filled. 4 If for when-issued or when-distributed trades, entry can be zero; otherwise must be greater than zero ID TRADE OUTPUT FILE 12 ovember 2005

17 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(3) Expanded Security Type ABS = Asset-Backed Security AGS = Agencies BAS = Banker s Acceptances CDS = Corporate Debt Securities CER = Representative Certificates CMO = Collateralized Mortgage Obligation COD = Certificate of Deposit CO = Convertible Bond CPA = Commercial Paper CP = Coupons CSH = Cash EBD = Eurobonds ECD = Euro CD ECP = Euro CP ET = Euronotes FMR = Freddie Mac REMICS FM = Fannie Mae FPA = Face or Principal or ominal Amount FRM = Freddie Mac GDS = Government Debt Securities GMR = Ginnie Mae REMICS GM = Ginnie Mae ITS = Indexed Treasury Securities MBS = Mortgage Backed Securities MMI = Money Market Instruments MSC = Miscellaneous MT = Medium Term otes MU = Municipal Bonds SD = on-us Sovereign Debt OMB = Other Mortgage Backed Securities OMM = Other Money Market Instruments OPC = Options Contracts OPS = Option Shares PRC = Premium Contracts PRS = Premium Shares RTE = Rentes RTS = Rights SHS = Equities (Shares) TBI = Treasury TEM = Tax Exempt Money Markets TRB = Treasury Bonds TR = Treasury otes UT = Units (Continued) 3.03 ID TRADE OUTPUT FILE 13 ovember 2005

18 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Expanded Security Type (continued) WTS = Warrants XCP = Tax Exempt Commercial Paper DTC attempts to obtain security descriptions and fixed fields for DTCeligible municipal securities as well as for any security the submitter identifies as a municipal (security type = MU) from J. J. Kenny. This data replaces the Broker-Dealer's data Character AOC Indicator = es, an Advice of Confirm Correction Cancellation has been issued for this trade. Space = /A Character Split Currency Settlement Indicator Split currency indicator used when securities and cash settle in different locations: = es = o Character Quality Control Reporting Exempt Indicator Indicates whether the confirm should be excluded from Quality Control Reporting: = excluded from reporting Entering space or any other value = include Confirm in Quality Control Report Character Filler DTC use only; do not use ID TRADE OUTPUT FILE 14 ovember 2005

19 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(3) Settlement Location Country or depository in which the security is settled; left justified, space filled; primary values: DTC = The Depository Trust Company BRC = Broker Custody (DTC Trade where DTC is also Custodian Agency) CED = CEDEL EUR = Euroclear FED = The Federal Reserve Bank of ew ork FB = First ational Bank of Chicago London PTC = Participants Trust Co US = US Physical See Chapter 3.4, ISO Country Codes, for country of settlement ID TRADE OUTPUT FILE 15 ovember 2005

20 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(2) Security umbering System The original Security umbering System populates this field when Security umber Translation processing is not used. When a security number translation occurs, this field is populated with the converted Security umbering System. AT = Wertpapierennummer (Austria) AU = Australia BE = Secretariat des Valeurs Mobilières-SVM (Belgium) BR = Brazil CE = CEDEL CH = Valorennummer (Switzerland) DE = Wertpapierennummer (Germany) DK = Fondskode (Denmark) ES = Spain EU = Euroclear FR = SICOVAM (France) GB = SEDOL (United Kingdom) IE = Ireland IS = ISI IT = CODICE UIC (Italy) JP = QUICK (Japan) LU = Luxembourg MX = Mexico L = etherlands o = orway RU = Reuters SE = Sweden US = CUSIP (United States) XS = Comon Code for CEDEL/Euroclear 99 = User Originated Character X(3) Currency Code Currency of the security traded. If the trade is to settle in a currency other than the currency of the security, the Alternate Currency Conversion Rate (position 774) is reported. For ISO currency codes, see Chapter ID TRADE OUTPUT FILE 16 ovember 2005

21 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(12) Original Broker Confirm umber Broker-Dealer Confirm umber, for use if Transaction Type (position 27) = 3 (cancellation) or = 4 (resubmission); otherwise blank Character X(4) Filler DTC use only; do not use umeric 9(6) umeric 9(6) Trade Date Date when the trade was executed in format MMDD Settlement Date Date when the trade will settle in MMDD format. When-issued or when-distributed trades, entry can be zero Character X(78) Security Description Line 1 5 The name of the security traded; four additional 78-character security descriptions can be reported on Detail Record 2 DTC attempts to obtain security descriptions and fixed fields for DTCeligible municipal securities as well as for any security the submitter identifies as a municipal (security type = MU) from J. J. Kenny. This data replaces the Broker-Dealer's data. 5 If data is obtained from J. J. Kenny (if Expanded Security Type, position 194, = MU; or if DTC carries the security as a municipal security eligible for settlement), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value ID TRADE OUTPUT FILE 17 ovember 2005

22 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(2) Account Type 02 = Cash/DVP; for orders which settle on a Payment On Delivery (POD) or Collect On Delivery (COD) basis 05 = Short; for short sale orders 09 = Margin; for orders where financing is provided by the Broker-Dealer 99 = Other; for any miscellaneous account types 10 = Prime Brokerage Character X(2) Character Filler Payment Method Indicator All five categories are deemed to fall within SE Rule 387/ASD Rule 64/MSRB Rule G15 (COD/POD Orders) and are reported in Quality Control. DTC use only; do not use. 0 = ot Applicable: the settlement location is not DTC or BRC 1 = Same-Day Funds settlement 2 = ext-day Funds settlement Determined from DTC's master file of eligible securities ID TRADE OUTPUT FILE 18 ovember 2005

23 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(3) Cancellation/Correction Reason Code 000 = Original or Resubmitted Confirm 001 = Trade Date wrong 002 = Settlement Date wrong 003 = Security umber wrong 004 = Security umber System wrong 005 = Security Type wrong 006 = Security Descript wrong 007 = Settlement Type wrong 008 = Settlement Location wrong 009 = Buy-Sell wrong 010 = Shares/Face Value wrong 011 = Price wrong 012 = Principal Amount wrong 013 = Interest wrong 014 = Currency Code wrong 016 = Commission wrong 017 = Split Indicator wrong 018 = Security Fees wrong 019 = Registration/Ship wrong 020 = Local Tax wrong 021 = Country Tax wrong 022 = Other Charges wrong 023 = et Amount wrong 024 = Account umber wrong 040 = Role wrong 041 = Market wrong 042 = et Price wrong 043 = Account Type wrong 044 = Alternate Currency Code wrong 046 = Alternate Conversion Rate wrong 047 = Alternate et Amount wrong 048 = Institution wrong 049 = Agent wrong 050 = Interested Party wrong 051 = Broker Sub-customer wrong 052 = Agent Sub-customer wrong 053 = Amortization/accretion Factor wrong 054 = Special Instruction wrong 999 = Other The confirm contains the above text explanation. See Chapter 3.4, Cancellation Reason Codes ID TRADE OUTPUT FILE 19 ovember 2005

24 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(12) Agent Internal Account umber Agent internal account number. When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field is filled or replaced with data on SID Character X(12) Broker-Dealer Internal Account umber The Broker-Dealer's internal account number Character X(12) Broker-Dealer Confirm umber Broker-Dealer's confirm number that uniquely identifies each trade Character X(32) Special Instruction Character X(32) Character X(32) Character X(32) Character X(32) Character X(32) Character X(32) Character X(32) Special Instruction 2 Special Instruction 3 Special Instruction 4 Special Instruction 5 Special Instruction 6 Special Instruction 7 Special Instruction 8 Free-form text added by the Broker- Dealer to the confirmation. Enter spaces in any unused Special Instruction fields. Special Instructions 1 4: When the Broker-Dealer is using SID, the Split Currency Indicator (Value: ) is used to retrieve currency settlement information for the entity receiving the currency (if available). This information replaces Special Instructions 1, 2, 3 and 4. Special Instruction 1: Midday Cutoff (transaction type =9) populates Special Instruction 1 with a cutoff message, Midday Cutoff has been taken Character DTC Settlement Option 0 = ot Determined 2 = DTC 4 = SCC, Prime Broker CS Settlement Option is determined during affirmation processing. Before affirmation, this field is set to 0, ot Determined ID TRADE OUTPUT FILE 20 ovember 2005

25 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(6) Character Confirm Process Time Security Form Code Time when DTC processed this trade (Eastern Time), in format HHMMSS. This field can be used in conjunction with the Confirm Process Date (positions ) by the institution to limit the Affirm All feature of PTS Affirmations to only those confirmations received up to that point in time. This field can also be used in conjunction with the Confirm Processing Date for Midday Cutoff message (transaction type = 9). 0 = Undetermined security form code 1 = ot bearer bond 2 = Bearer bond umeric 9(8) Character X(12) Character X(25) Additional Party #1 ID umber 6 Eight-digit identifier of a Customer, Interested Party or Sub-Custodian (determined by Additional Party #1 Type, position 819); right justified, zero filled. If there is no Additional Party #1, this field is zero filled. Sub-Custodian can appear for trades that do not settle at DTC. Additional Party #1 Additional party #1 account number. Account umber 7 Additional Party #1 Instruction Line 1 8 Line 1 of text appears on Instruction Line 1 of the confirmation associated with Additional Party #1; usually for the beneficial name of account. 6 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID. 7 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID. 8 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID ID TRADE OUTPUT FILE 21 ovember 2005

26 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(25) umeric 9(8) Character X(12) Character X(25) Character X(25) Additional Party #1 Instruction Line 2 9 Line 2 of text appears on Instruction Line 2 of the confirmation associated with Additional Party #1; usually for the beneficial name of account. Additional Party #2 ID umber, 10 Eight-digit identifier of a Customer, Interested Party or Sub-Custodian (determined by Additional Party #2 Type, position 820); right justified, zero filled. If there is no Additional Party #2, this field is zero filled. Sub-Custodian can appear for trades that do not settle at DTC. Additional Party #2 Account umber 11 Additional party #2 account number. If there is no Additional Party #2, this field is zero filled. Sub-Custodian can appear for trades that do not settle at DTC. Field Specific (position ). Additional Party #2 Instruction Line 1 12 Line 1 of text appears on Instruction Line 1 of the confirmation associated with Additional Party #2; usually for the beneficial name of account. If there is no Additional Party #2, this field is zero filled. Sub-Custodian can appear for trades that do not settle at DTC. Additional Party #2 Instruction Line 2 13 Line 2 of text appears on Instruction Line 2 of the confirmation associated with Additional Party #2; usually for the beneficial name of account. 9 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID. 10 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID. 11 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID. 12 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID. 13 When trade input includes a Broker-Dealer Internal Account umber linked to Institution information on SID, data for this field can be filled or replaced with data on SID ID TRADE OUTPUT FILE 22 ovember 2005

27 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(9) DTC Control umber umber assigned by DTC to a Broker- Dealer's trade Character X(2) Transaction Sequence umber Sequence number assigned by DTC to distinguish when there is a second record associated with this record. 11 = one of one 12 = one of two 13 = one of three 14 = one of four umeric 9(5)V9(5) Alternate Currency Conversion Rate Used in conjunction with the Alternate Currency ISO Code for information purposes, or with both the Alternate Currency ISO Code and Alternate Currency et Amount fields below for settlement purposes; if unused, must be zero filled Character X(3) Alternate Currency ISO Code Required if the trade settles in a currency different from the currency of the security (position 206). Optional for informational purposes in conjunction with the Alternate Currency Conversion Rate. Must be spaces if Alternate Currency Conversion Rate and Alternate Currency et Amount are zeroes. See Chapter 3.4, ISO Currency Codes and Conversions, for ISO Currency Codes umeric 9(12)V99 Alternate Currency et Amount The Alternate Currency et Amount, coupled with the Alternate Currency ISO Code, designates the settlement amount when different from the currency of the security. If the security is to settle in the currency shown in position , this field is zero filled ID TRADE OUTPUT FILE 23 ovember 2005

28 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric Amortized/Accreted 9(6)V9(12) Factor Proration of the outstanding principal balance on Pass-thru: Ginnie Maes, Freddie Macs and Fannie Maes to its original principal balance expressed as a decimal; right justified, zero filled Character Character Character Additional Party #1 Type Additional Party #2 Type Additional Party #3 Type Enter space if there is no additional party #1. C = Customer P = Interested Party B = Broker Sub-Custodian A = Agent Sub-Custodian Enter space if there is no additional party #2. C = Customer P = Interested Party B = Broker Sub-custodian A = Agent Sub-Custodian Enter space if there is no additional party #3. C = Customer P = Interested Party B = Broker Sub-Custodian A = Agent Sub-Custodian umeric X(8) Character X(12) Additional Party #3 ID umber 14 ID number for Customer, Interested Party or Sub-Custodian (determined by Additional Party #3 Type, position 821); right justified and zero filled; if no Additional Party #3, zero filled. Sub- Custodian can appear for trades that settle away from DTC. Additional Party #3 Account number for Additional Party Account umber 15 #3. Sub-Custodian can appear for trades that settle away from DTC. 14 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field can be filled or replaced with data on SID. 15 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field can be filled or replaced with data on SID ID TRADE OUTPUT FILE 24 ovember 2005

29 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character X(25) Character X(25) Character X(18)) Additional Party #3 Instruction Line 16 Line 1 of text to appear on the confirmation associated with Additional Party #3. Sub-Custodian can appear for trades that settle away from DTC. Additional Party #3 Instruction Line 17 Line 2 of text to appear on the confirmation associated with Additional Party #3. Sub-Custodian can appear for trades that settle away from DTC. Institution Contact Phone number of the contact at the institution to call to resolve affirmation problems; for use with unaffirmed reports Character Character Bypass SID Settlement Instructions Indicator Cancellation After Acknowledged B = SID bypassed for settlement instructions which are taken from broker input; affirm processing will be followed Space = SID accessed for all data See Chapter 3.4. Indicator of Broker-Dealer's attempt to cancel trade after matching or affirmation = Cancellation attempted after matching or affirmation Space = /A Character Matched Indicator Indicates whether the trade is intended for matching to Institution Instructions and whether it has matched 0 = ot intended for matching 1 = Intended for matching, but unmatched 2 = Trade has matched institution instructions 16 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field can be filled or replaced with data on SID. 17 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field can be filled or replaced with data on SID ID TRADE OUTPUT FILE 25 ovember 2005

30 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(1) Character DTC Eligibility Indicator SID Account Found Indicator Indicates whether the issue traded is eligible for DTC settlement. 0 = ot applicable 1 = eligible 2 = ineligible 3 = Late Affirm (eligible trade affirmed after S-2 = settle ex-id) For securities settling away from DTC (0 = not applicable) applies. For DTCeligible securities, the confirmation may show 2 = Ineligible. See position 916. = Account found, trade input filled or replaced = Account not found, trade input used exclusively Character Disaffirmation Indicator Spaces = Trade Disaffirmed by Prime Broker = /A umeric 9(10) Eligibility Reason Codes A 10-position numeric field containing all trade eligibility messages pertaining to this trade. This area has five continuous 2-position codes. For a specific breakdown of these values, see Chapter 3.4, Eligible Codes and Eligibility Character X(7) Matching Variance Difference between the net amount of this trade and the net amount on the matching institution instruction ID TRADE OUTPUT FILE 26 ovember 2005

31 Position Lengt h Format Field ame Validate Detail Record 1 Field Description Character Character Variance Direction I = Institution instruction net amount greater than broker trade input B = Broker trade input net amount greater than institution net amount Spaces = Institution net amount equals broker net amount or confirm not intended for matching Designated Affirming Identifies which party can affirm the Party Type 18 trade: B = Institution or Agent I = Institution A = Agent P = Interested Party C = Customer umeric 9(8) Designated Affirming Eight-digit ID number of the Interested Party umber 19 Party or Customer that is affirming the trade. This field contains zeroes when the Institution And/or Agent is affirming the trade Character X(2) umeric 9(6) Filler DTC use only; do not use. Confirm Process Date 20 Date when this trade was initially processed or affirmed, or when change of eligibility occurred, in MMDD format. This field can be used in conjunction with Confirm Process Time (position ) for the Midday Cutoff Message (transaction type = 9). 18 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field is filled or replaced with data on SID. 19 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field is filled or replaced with data on SID. 20 This field can be used in conjunction with the Confirm Process Time (positions ) by 3.03 ID TRADE OUTPUT FILE 27 ovember 2005

32 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(2) umeric 9(1) umeric 9(8) Report Receiver Type Affirming Party Indicator Clearing Broker- Dealer umber Identifier of intended report recipient 01 = Institution 02 = Agent 03 = Broker-Dealer 04 = Interested Party 05 = Reserved 06 = Broker Sub-Custodian 07 = Agent Sub-Custodian 08 = Clearing Broker 09 = Clearing Agent 10 = Customer This field is used in the affirmed and matched/affirmed confirmations to indicate the party that has affirmed the trade: 0 = Trade not yet affirmed (confirmation stage) 1 = Trade affirmed by agent 2 = Trade affirmed by institution 3 = Affirming party not specified trade affirmed by agent as determined by DTC 4 = Affirming party not specified trade affirmed by institution as determined by DTC 5 = Trade affirmed by customer or interested party (new option for Interactive ID) Eight-digit identifier of Broker-Dealer's clearer; right justified, zero filled If the settlement location is DTC, this field contains the DTC Participant number; otherwise, it contains the Broker-Dealer number ID number. the institution to limit the Affirm All feature of PTS Affirmations to only those confirmations received up to that point in time ID TRADE OUTPUT FILE 28 ovember 2005

33 Position Lengt h Format Field ame Validate Detail Record 1 Field Description umeric 9(8) umeric 9(1) Clearing Agent umber Security Description Type Eight-digit identifier of the agent's clearer; right justified, zero filled If the settlement location is DTC, this field contains the DTC Participant number; otherwise, it contains the agent number ID number. Source of security descriptions 0 = o Security Description 1 = Broker-Dealer trade input 2 = J. J. Kenny Information Systems 3 = Depository Trust Company Character X(8) Depository Third Party 21 Depository third party designator; that is, the receiver's identification number within the reciprocal depository for trades which settle in DTC with reciprocal settlement. 21 When trade input includes a Broker-Dealer Internal Account umber linked to institution information on SID, data for this field is filled or replaced with data on SID ID TRADE OUTPUT FILE 29 ovember 2005

34 4.3.i Detail Record 2 Position Length Format Field ame Validate Detail Record 2 Field Description Positions 1 through 26: Transaction Header Character Feedback Indicator * = If no errors? = If record contains errors This field is used by DTC to indicate the return of this record because of errors. A full description of this processing is available in a separate document Interface Control Management Character Production/Test Indicator Required indicator: P = Production T = Test Character X(6) Record Type Type of data contained in the message: COFRM = Confirm COELIG = Change of Eligibility CUMETR = Cumulative Eligible Trade Report S1MUAF = S-1 Midday Unaffirmed Report S1UAF = S-1 Unaffirmed Report S2UAF = S-2 Unaffirmed Report umeric 9(2) Record Suffix Record number identifier, since more than one record may be contained in a single logical record: 02 = Municipal/ame Record umeric 9(2) Version umber Version number that defines the record format, incremented by DTC as fields are added or deleted from the format; see the cover of this document for current version number Character (X6) Character X(8) Character Filler DTC use only; do not use. Addressee DTC destination of the user for whom the record was produced, enabling a group user to redistribute the record. Filler DTC use only; do not use ID TRADE OUTPUT FILE 30 ovember 2005

35 Position Length Format Field ame Validate Detail Record 2 Field Description Character Character X(78) Security Description Line 2 1 Security Description Line 3 2 Issuer and Issue elements which can be segmented into two additional 78-character fields which are merged with the 78- character description from the first detail record. The elements could include: ame of Issuer Issuer Location Title of Company Description of Obligor or Lien Position Revenue Type and all other applicable MSRB data elements (as required) Character X(78) Character X(78) Security Description Line 4 Security Description Line 5 Two additional 78-character fields. The first three lines of the Security Description field are used for data furnished by DTC or obtained from J. J. Kenny. Lines 4 and 5 can be used by the Broker-Dealer for additional information. If security descriptions are not available from DTC or J. J. Kenny, the Broker-Dealer can use all five lines for the security description umeric 9(2)V9(3) Discount Rate at which trade was discounted Rate 3, Character Filler DTC use only; do not use. 1 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 2 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 3 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 4 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI) ID TRADE OUTPUT FILE 31 ovember 2005

36 Position Length Format Character Character Character Field ame Validate Detail Record 2 Field Description Legal 0 = Undetermined/ot MSRB Ex-legal Status 5, 6 1 = MSRB Ex-legal Payment Status 7, 8 0 = Undetermined/no payment 1 = o periodic payments 2 = Callable below maturity value 3 = on-registered security 4 = o periodic payments, callable below maturity value Bond Type Code 9, 10 0 = Undetermined/no bond type 1 = General obligation 2 = Revenue bond 3 = G.O./limited tax Character Basis Indicator 11, 12 0 = Undetermined/o basis 1 = ield Basis 2 = Dollar Basis 3 = Par Basis 4 = Discount Basis 5 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 6 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI). 7 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 8 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI). 9 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 10 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI) ID TRADE OUTPUT FILE 32 ovember 2005

37 Position Length Format Field ame Validate Detail Record 2 Field Description Character X(2) Result Indicator 13, = Undetermined/no result 01 = Price to call 02 = Price to par option 03 = Price to maturity 04 = ield to call 05 = ield to par option 06 = ield to maturity 07 = Par basis Character X(6) Interest Accrual 15, 16 Date Interest accrual date in MMDD format Character X(6) Interest Payment 17, 18 Date Interest payment date in MMDD format. 11 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 12 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI). 13 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 14 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI). 15 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value. 16 This field is either zero filled if numeric (denoted 9...) or space filled if alphanumeric (denoted X...) for all security types other than DTC-eligible municipals or those defined by the inputter as municipals (occurs when the Expanded Security Type, in position 194 of the first record, is input as MUI). 17 If data is obtained from J. J. Kenny (the Expanded Security Type = MU in position 194 of the first record, or this trade is determined by DTC to be a municipal), the Broker-Dealer supplied value for this field is replaced by the J. J. Kenny value ID TRADE OUTPUT FILE 33 ovember 2005