CTM EQUITY TRADE COMMISSIONS: BEST PRACTICES

Transcription

1 CTM EQUITY TRADE COMMISSIONS: BEST PRACTICES JULY 31, 2018

2 Copyright 2018 The Depository Trust & Clearing Corporation ("DTCC"). All rights reserved. This work (including, without limitation, all text, images, logos, compilation and design) is proprietary and protected by copyright, and is for the exclusive use of users authorized by DTCC. If this work is received from DTCC in any electronic medium, authorized users of this work are granted a limited, non-exclusive, non-transferable, nonsublicensable and freely revocable license to make reproductions and transmissions necessary for downloading and storage of this work on the users' computers and to print one or more paper copies from the electronic version for their own use. Other than to this limited extent, no part of this work (including any paper copies thereof or print versions thereof) may be printed, copied, altered, modified, posted, reproduced, displayed, published, sold, licensed, used 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. DTCC is the brand name under which certain affiliates of The Depository Trust & Clearing Corporation provide services in particular geographic areas. The Depository Trust & Clearing Corporation does not provide services to clients. Each of The Depository Trust & Clearing Corporation s affiliates is a legally separate and independent entity, and each is subject to the laws and regulations of the particular country in which it operates. Please see for more information on the legal structure of The Depository Trust & Clearing Corporation and its related entities. All product or service names are the property of their respective owners. Publication Date: July 31, 2018 Publication Code: pub_code Service: CTM Title: Equity Trade Commissions: Best Practices

3 CONTENTS Contents 3 Preface 5 Audience 5 Changes in This Version of the Document 5 Related Documents and Training 5 Questions? 5 1. Best Practices 6 Introduction 6 How Commissions are Used in CTM 6 Terms 6 Additional Documentation 7 Introduction 7 How Commissions are Used in CTM 7 Terms 7 Additional Documentation 8 Submitting Commissions in the Direct XML Interface 9 Commission Fields 9 Commission Sharing Basis Indicator 9 Amount 10 Examples 11 Commission Calculation Based on Submission Type 11 Submitting a TradeDetail 11 Submitting a TradeDetail and TradeLevel 12 Submitting Commissions in Other Interfaces 13 Message Translation Interface 13 Broker/Dealers 13 Investment Managers 13 FIX Interface 14 Broker/Dealers Submitting Blocks and Confirmations/Contracts 14 Investment Managers Submitting Blocks and Allocations 15 Trade Blotter 16 Quick Entry Trades 16 Full Trade Entry Trades 16 Connect 16 Trade Level Commissions 16 Trade Detail Commissions 17 Directed Commissions 17 Directed Commission Fields 17 Directed Commission Examples 18 Direct XML Interface 18 Message Translation Interface for Broker/Dealers 18 Message Translation Interface for Investment Managers 19 FIX Interface 19 Trade Blotter 20 Net Commissions 20 Settlement and Depository Notification Mapping 21 Mapping to Settlement Information 21

4 Mapping to Enhanced Settlement Notification 21 Mapping to Canadian Depository for Securities 21

5 PREFACE This document defines terminology and fields relating to block and allocation or confirmation/contract commissions. It describes workflows and provides examples for various interfaces, including thectm and Connect services. Audience This document is for broker/dealers who use the CTM service. Changes in This Version of the Document This version contains branding updates only. Related Documents and Training For related documents and training in the DTCC Learning Center, go to Institutional Trade Processing CTM. Questions? The DTCC Client Center provides general assistance and technical help. Visit to: Enter a service request or check the status of an existing service request Search the knowledge base Obtain contact information Preface 5

6 1. BEST PRACTICES Introduction This document outlines best practices equity trade commission practices. How Commissions are Used in CTM Executing broker/dealers typically charge a commission when an investment manager buys or sells an equity. The CTM service represents a commission as a flat amount or percentage. CTM investment managers and broker/dealers can submit and match on commission information. The CTM service uses commission information in these ways: Matching Investment managers can establish a Level 2 (L2) matching profile to compare commission amounts to its broker/dealer counterparty s commission amount. Settlement Notification For investment managers who subscribe to Settlement Notification, CTM maps the broker/dealer s commission information to the investment manager s SWIFT instruction (MT541 or MT543). CTM forwards the MT54x to the custodian and interested parties. Third Party Notification For investment managers who subscribe to Enhanced Settlement Notification, CTM sends copies of settlement instructions to interested parties. Directed Commissions Investment managers can inform broker/dealers that commissions for an allocation are soft, hard, or directed to a broker of credit. Net Commissions Investment managers can inform broker/dealers about whether commissions for an allocation are included, or in addition to, gross consideration on a block. Terms Table 1 describes terms used in this document. Table 1 Terms DTCC Term auto-generated TradeLevel trade component TradeDetail TradeLevel Definition As an option, CTM creates a block (TradeLevel) for a trade side when you submit an allocation or confirmation/contract without submitting a block. Block-level clients set TradeLevelExpected to N. If a party submits additional allocations or confirmations/contracts, CTM updates the information in the auto-generated TradeLevel. allocation, confirm, contract, or block allocation, confirm, or contract block The following fields in this document require controlled values found in the Common Reference Data: CommissionReasonCode CommissionSharingBasisIndicator CommissionType PartyRole PartyValue For example, the CommissionSharingBasisIndicator field indicates how a commission amount is expressed numerically and allows only the following values: FLAT (per share) PERC (percent) Best Practices 6

7 PERU (amount) Note The term you in this document refers to broker/dealers and investment managers unless otherwise noted. Additional Documentation Table 2 lists documentation located on the DDTT Learning Center for more information about how to populate commission information for your [[[Undefined variable product_names.ctm_short]]] interface. Table 2 DTCC Documentation for CTM Interfaces CTM Interface/Area of Interest Direct XML Interface Trade Blotter Message Translation Interface Financial Information exchange Interface (FIX) Documentation XML Message Specification: Debt/EquityandCommonMessages TradeBlotterReference:Broker/Dealers TradeBlotterReference:InvestmentManagers MessageTranslationInterfaceSpecification:Broker/Dealers MessageTranslationInterfaceSpecification:InvestmentManagers FIX Interface Specification: Broker/Dealers FIX Interface Specification: Investment Managers Introduction This document outlines best practices equity trade commission practices. How Commissions are Used in CTM Executing broker/dealers typically charge a commission when an investment manager buys or sells an equity. The CTM service represents a commission as a flat amount or percentage. CTM investment managers and broker/dealers can submit and match on commission information. The CTM service uses commission information in these ways: Matching Investment managers can establish a Level 2 (L2) matching profile to compare commission amounts to its broker/dealer counterparty s commission amount. Settlement Notification For investment managers who subscribe to Settlement Notification, the CTM service maps the broker/dealer s commission information to the investment manager s SWIFT instruction (MT541 or MT543). The CTM service forwards the MT54x to the custodian and interested parties. Third Party Notification For investment managers who subscribe to Enhanced Settlement Notification, the CTM service sends copies of settlement instructions to interested parties. Directed Commissions Investment managers can inform broker/dealers that commissions for an allocation are soft, hard, or directed to a broker of credit. Net Commissions Investment managers can inform broker/dealers about whether commissions for an allocation are included, or in addition to, gross consideration on a block. Terms Table 3 describes terms used in this document. Best Practices 7

8 Table 3 Terms DTCC Term auto-generated TradeLevel trade component Definition As an option, the CTM service creates a block (TradeLevel) for a trade side when you submit an allocation or confirmation/contract without submitting a block. Block-level clients set TradeLevelExpected to N. If a party submits additional allocations or confirmations/contracts,the CTM service updates the information in the autogenerated TradeLevel. allocation, confirm, contract, or block TradeDetail TradeLevel allocation, confirm, or contract block The following fields in this document require controlled values found in the Common Reference Data, which is available in the Institutional Trade Processing CTM section of the DTCC Learning Center. CommissionReasonCode CommissionSharingBasisIndicator CommissionType PartyRole PartyValue For example, the CommissionSharingBasisIndicator field indicates how a commission amount is expressed numerically and allows only the following values: FLAT (per share) PERC (percent) PERU (amount) Note The term you in this document refers to broker/dealers and investment managers unless otherwise noted. Additional Documentation Table 1.4 lists documentation located on the Learning Center for more information about how to populate commission information for your [[[Undefined variable product_names.ctm_short]]] interface. Table 1.4 DTCC Documentation for CTM Interfaces CTM Interface/Area of Interest Direct XML Interface Trade Blotter Message Translation Interface Financial Information exchange Interface (FIX) Documentation XML Message Specification: Debt/EquityandCommonMessages TradeBlotterReference:Broker/Dealers TradeBlotterReference:InvestmentManagers MessageTranslationInterfaceSpecification:Broker/Dealers MessageTranslationInterfaceSpecification:InvestmentManagers FIX Interface Specification: Broker/Dealers FIX Interface Specification: Investment Managers Best Practices 8

9 Submitting Commissions in the Direct XML Interface The direct XML interface provides the following Commissions composite in the TradeDetail and TradeLevel. The composite enables you to submit commission values for allocations, contracts, blocks, or both. Commission information is optional. When you provide a value in the CommissionSharingBasisIndicator, CTM requires the CommissionType and Amount. Depending on the CommissionType, CTM requires information in additional fields. TradeDetail CTM allows up to four Commissions composites in a TradeDetail. <Commissions> <CommissionSharingBasisIndicator>PERC</CommissionSharingBasisIndicator> <CommissionType>LOCO</CommissionType> <Commission> <Sign>+</Sign> <Amount>,15</Amount> </Commission> <CommissionReasonCode>CUST</CommissionReasonCode> </Commissions> TradeLevel CTM allows up to four TradeCommissions composites in a TradeLevel. <TradeCommissions> <CommissionSharingBasisIndicator>FLAT</CommissionSharingBasisIndicator> <CommissionType>TCOM</CommissionType> <Commission> <Sign>+</Sign> <CurrencyCode>USD</CurrencyCode> <Amount>100,00</Amount> </Commission> <CommissionReasonCode>ANAL</CommissionReasonCode> </TradeCommissions> Note XML fields prefixed with Trade typically indicate that the field applies to a block. Commission Fields This section describes the fields CTM uses to construct commission information. Commission Sharing Basis Indicator The required CommissionSharingBasisIndicator field takes a controlled CTM value that describes how CTM calculates the commission type for a given trade component. Table 5 describes the allowed values. Best Practices 9

10 Table 5 Allowed CommissionSharingBasisIndicator Values Value Category Description Notes FLAT Flat currency amount For an allocation, contract, or block, commission is expressed in the traded currency and follows currency precision rules. PERC Percentage amount Commission is a percent of the trade amount. To send basis points, set the CommissionSharingBasisIndicator to PERC and divide the Amount field by 100. PERU Per unit amount Commission is an amount per share; that is the number of units of the trade currency, payable per share. If the CommissionType is TCOM, use FLAT in this field or the CTM service generates error S Auto-generated TradeLevels always insert FLAT in this field when CommissionType is TCOM. A CurrencyCode is required when FLAT is provided or the CTM service generates error S Do not provide a CurrencyCode when PERC is provided in this field or CTM generates error S A CurrencyCode is required when PERU is provided or CTM generates error S When CTM receives one or more TradeDetail commission types and no total commission, it creates the total commission (TCOM) for that trade component. Each trade component can have its own TCOM. An investment manager sends commission information into CTM on the block or allocation to match with the values on the broker/dealer s block or contract. When matching, CTM only compares counterparties TCOM. It does not compare any other commission types. Example: Suppose an investment manager sends in CommissionType=SPCN and a FLAT amount of $5.00 USD. If the broker/dealer sends in CommissionType=EXEC and a FLAT amount $5.00 USD, the corresponding TCOM values created by CTM match exactly. Suppose instead that the broker/dealer sent in a CommissionType=EXEC and a FLAT amount of $4.00 USD. If the investment manager s L2 matching profile for this type of trade has the matching tolerance EXCT (exact), the corresponding TCOM values mismatch. Commission Type Submission Rules. The following rules apply to CommissionType submissions for all CTM clients: Submit up to four CommissionType values on a single trade component using this document: o o You can submit the same CommissionType value more than once (up to three instances). You can submit TCOM only once. Each trade component can have its own TCOM value. If you submit only TradeDetails, CTM generates a TradeLevel and calculates TCOM on the block. It calculates the sum of the total commissions for the underlying trade components. If you submit three CommissionType values on a trade component,ctm returns four types (TCOM is the fourth) on the InfoResponse and InfoSettlementResponse messages. Except for TCOM, any values you submit in the CommissionType field result in response messages that contain autogenerated TradeDetail and TradeLevel CommissionType (total) values. When you submit a TCOM CommissionType value or when CTM generates TCOM, CTM that value for Level 2 (L2) matching. A client-generated TCOM value does not have to equal the sum of each of the underlying trade components. Amount The required commission Amount field uses a 17d syntax, which indicates: The field can have up to 16 digits and one comma. The mandatory comma represents the decimal for all currencies. Best Practices 10

11 Examples 50,20 USD = $ ,12 GBP = 12,345,678,912, , JPY = 30,500,250 The optional CommissionReasonCode field is a Common Reference Data type that describes the reason for the commission. describes each of the allowed values. Commission Calculation Based on Submission Type The CTM service calculates commission amounts depending on how you submit trade components. Submitting a TradeDetail Only When you only submit a TradeDetail (TradeLevelExpected=N),CTM generates atradelevel that both calculates and totals all TradeDetail commission amounts (Figure 1). Client submits TradeDetail_1... TradeDetail_1 <Commissions> <CommissionSharingBasisIndicator>FLAT</CommissionSharingBasisIndicator> <CommissionType>EXEC</CommissionType> <Commission> <Sign>+</Sign> <CurrencyCode>USD</CurrencyCode> <Amount>100,00</Amount> </Commission> <CommissionReasonCode>ANAL</CommissionReasonCode> </Commissions>...and TradeDetail_2 TradeDetail_2 <Commissions> <CommissionSharingBasisIndicator>PERC</CommissionSharingBasisIndicator> <CommissionType>EXEC</CommissionType> <Commission> <Sign>+</Sign> <Amount>,15</Amount> </Commission> <CommissionReasonCode>CUST</CommissionReasonCode> </Commissions> CTM auto-generates TradeLevel For a $ USD trade amount, 15% calculates to $30.00 USD. Auto-Generated TradeLevel <TradeCommissions> <CommissionSharingBasisIndicator>FLAT</CommissionSharingBasisIndicator> <CommissionType>TCOM</CommissionType> <Commission> <Sign>+</Sign> <CurrencyCode>USD</CurrencyCode> <Amount>130,00</Amount> </Commission> </TradeCommissions> Total trade commission is calculated as follows: $ $30.00 = $ USD. Figure 1 Commission Generation When Submitting TradeDetails Only Best Practices 11

12 Submitting a TradeDetail and TradeLevel When you submit one or more TradeDetails without a TCOM value,ctm uses your detail types and values to calculate the total commissions for each TradeDetail. In this example, the client submits a TCOM value on the TradeLevel. Figure 2 illustrates this scenario using the same values infigure 1. Figure 2 Commission Generation for Submitted TradeDetails and TradeLevel Client submits TradeDetail_1, TradeDetail_2, and TradeLevel TradeDetail_1 <Commissions> <CommissionSharingBasisIndicator>FLAT</CommissionSharingBasisIndicator> <CommissionType>EXEC</CommissionType> <Commission> <Sign>+</Sign> <CurrencyCode>USD</CurrencyCode> <Amount>100,00</Amount> </Commission> <CommissionReasonCode>ANAL</CommissionReasonCode> </Commissions> TradeDetail_2 <Commissions> <CommissionSharingBasisIndicator>PERC</CommissionSharingBasisIndicator> <CommissionType>EXEC</CommissionType> <Commission> <Sign>+</Sign> <Amount>,15</Amount> </Commission> <CommissionReasonCode>CUST</CommissionReasonCode> </Commissions> TradeLevel <TradeCommissions> <CommissionSharingBasisIndicator>FLAT</CommissionSharingBasisIndicator> <CommissionType>EXEC</CommissionType> <Commission> <Sign>+</Sign> <CurrencyCode>USD</CurrencyCode> <Amount>100,00</Amount> </Commission> <CommissionReasonCode>ANAL</CommissionReasonCode> <CommissionSharingBasisIndicator>PERC</CommissionSharingBasisIndicator> <CommissionType>EXEC</CommissionType> <Commission> <Sign>+</Sign> <Amount>,15</Amount> </Commission> <CommissionReasonCode>CUST</CommissionReasonCode> <CommissionSharingBasisIndicator>FLAT</CommissionSharingBasisIndicator> <CommissionType>TCOM</CommissionType> <Commission> <Sign>+</Sign> <CurrencyCode>USD</CurrencyCode> <Amount>130,00</Amount> </Commission> </TradeCommissions> Total commission (TCOM) on the client-submitted TradeLevel is the same as an auto-generated TradeLevel. Best Practices 12

13 Submitting Commissions in Other Interfaces This section provides the fields in each CTM interface where investment managers and broker/dealers provide commission information. Note For information on submitting commissions in the direct XML interface, see Submitting Commissions in the Direct XML Interface. Message Translation Interface The Message Translation Interface (MTI) is a file-based interface that allows broker/dealers and investment managers to send CSV format files to CTM. The CTM service accepts the files and then maps them to XML messages. Broker/Dealers Broker/dealers trade components to CTM and receive an investment manager s allocations and final trade data from CTM. Broker/dealers submit and receive commission information in the following fields: CommissionSharingBasisIndicator CommissionType CommissionAmount CommissionReasonCode Table 6 lists the transactions and records in which these fields occur. Table 6 CTM MTI for Broker/Dealers Commission Information Transaction import_eb_blockimport_contract import_contract export_allocation export_match_agreed_trade Record block_commissions contract_commissions allocation_commissions common_view_block_commissionscommon_view_contract_commissions Example: block_commissions,flat,exec,100 Investment Managers Investment managers submit only TradeDetails to CTM.The CTM service generates a TradeLevel with commission information on their behalf (Table 7). Table 7 CTM MTI for Investment Managers Commission Information File Field Format Description Outbound to CTM New or Amended TradeDetail Inbound to Investment Manager Status File Total Allocation Commission (TCOM) 37) Total Block Commission (19) Numeric,positive value Numeric,positive value For each allocation in a block, provide a value in this field. If there is a value and the value is not or.00,ctm maps the commission. Sum of Total Allocation Commission (TCOM) (37) values that share the same MasterReference (2) value. Best Practices 13

14 Table 7 CTM MTI for Investment Managers Commission Information (continued) File Field Format Description Examples: Outbound Record 1 2= =USD 37=25 Outbound Record 2 2= =USD 37=50 Inbound Record 3 2= =USD 19=75 37=50 FIX Interface The following examples show how CTM requires commission information FIX messages for broker/dealers and investment managers using the FIX interface. The Commissions (12) tag specifies the TradeDetail total commission amount. Note The CTM service requires the total commission breakdown in the NoMiscFees (136) repeating groups described in Table 8through Table 10. Broker/Dealers Submitting Blocks and Confirmations/Contracts Broker/dealers submit commissions/contracts on the Trade Capture Report (AE) for blocks and the Confirmation (AK) for contracts. Table 8 describes how to broker/dealers construct block commissions in the Trade Capture Report (AE). Table 8 Broker/Dealer Block Commission Trade Capture Report (AE) Tag FIX Field Value CB:StandardHeader(MsgType=AE) 9874 OmgeoNoBlockCommissions OmgeoBlockCommissionType EXEC(Executingbroker/dealeramount) 12 Commission CommType 3(Amount) 479 CommCurrency GBP 9867 OmgeoCommissionReason EXEC (Execution Commission) Example: 9874=1 12= =3 479=GBP 9865=EXEC 9867=EXEC Confirmation/Contract Commissions. Table 9 describes how broker/dealers submit commissions on a contract in the Confirmation (AK). Table 9 Broker/Dealer Allocation Commission Confirmation (AK) Tag FIX Field Value CB: Standard Header (MsgType=AK) 12 TCOMamount CommType 3 (absolute) 479 CommCurrency GBP Best Practices 14

15 Table 9 Broker/Dealer Allocation Commission Confirmation (AK) (continued) Tag FIX Field Value 136 NoMiscFees MiscFeeAmt MiscFeeCurr GBP 139 MiscFeeType 3 (local commission) 891 MiscFeeBasis 0 (absolute) 137 MiscFeeAmt MiscFeeCurr GBP 139 MiscFeeType 103 (EXECcommission) 891 MiscFeeBasis 0 (absolute) Example 12=25 13=3 479=GBP 136=2 137=10 138=GBP 139=3 891=0 137=15 138=GBP 139= =0 Investment Managers Submitting Blocks and Allocations Investment managers submit blocks and allocations on the Allocation Instruction (J). Block Commissions. Table 10 describes how investment managers construct block commissions in the Allocation Instruction (J). Table 10 Investment Manager Block Commission Allocation Instruction (J) Tag FIX Field Value CB: Standard Header (MsgType=J) 9874 OmgeoNoBlockCommissions OmgeoCommSharingBasisIndicator FLAT 9865 OmgeoBlockCommissionType TCOM 9866 OmgeoBlockCommissionAmount OmgeoBlockCommissionCurrency GBP 9867 OmgeoCommissionReason EXEC Example: 9874=1 9873=FLAT 9865=TCOM 9866= =GBP 9867=EXEC Allocation Commissions. Table 11 describes how investment managers construct allocation commissions in the Allocation Instruction (J). Table 11 Investment Manager Allocation Commission Allocation Instruction (J) Tag FIX Field Value CB: Standard Header (MsgType=J) 12 Commission CommType 3 (absolute) 479 CommCurrency GBP Example: 12=25 13=3 479=GBP Best Practices 15

16 Trade Blotter The trade blotter totals commissions for trade components depending on the trade entry method you select. Quick Entry Trades Figure 3 shows where to enter commissions in the quick entry screen. In the quick entry screen, the CTM service adds the commissions for a TCOM as you enter them in the corresponding fields. Figure 3 Commissions in the Quick Entry Screen Full Trade Entry Trades Figure 4 shows where to enter commissions in the full trade entry screen. In the full trade entry screen, provides a commission Reason drop-down list box. Figure 4 Trade Detail Commissions in the Trade Blotter Connect The Connect service supports both Trade Level commissions and Trade Detail commissions. Trade Level Commissions Figure 5 shows the Trade Level Commissions in the Connect service. Figure 5 Trade Level Commissions in Connect Best Practices 16

17 Trade Detail Commissions Figure 6shows the Trade Detail Commissions in the Connect service. Figure 6 Trade Detail Commissions in Connect Directed Commissions Directed commissions typically apply to a third party, such as a broker of credit, for providing the shares for the transaction. CTM investment managers identify the party that receives these commissions. Figure 7 shows two directed commission trade submissions for BACW and ACWF workflows. Read each workflow from left to right. Directed Commission Block-Level Workflow (BACW) #1 CTM Broker/Dealer TradeLevel TradeDetail A with Directed Commissions TradeDetail B with Directed Commissions TradeDetail C with Directed Commissions CTM Investment Manager Directed Commission Allocation-Confirmation Workflow (ACWF) #2 CTM Broker/ Dealer Contract A with Directed Commissions Contract B with Directed Commissions Contract C with Directed Commissions CTM Investment Manager Figure 7 Directed Commission for CTM Workflows Directed Commission Fields Table 12 describes the corresponding codes for directed commissions in the CTM service. Table 12 Directed Commission Codes in CTM CTM Interface Field Name Allowed Value Direct XML Interface and MTI for Broker/Dealers Code Descriptions CommissionSharingTypeIndicator CLDI Client Directed Commission belongs to a third party, typically a broker of credit or the step-in broker that provided the shares for the transaction. SOFT Trade Blotter Comm Sharing Type Indicator Same as direct XML interface. Soft A service is provided, such as research, and no payment is made. Best Practices 17

18 Table 12 Directed Commission Codes in CTM (continued) CTM Interface Field Name Allowed Value MTI for Investment Managers Code Descriptions HardSoftDir (26) H Hard This legacy field is not mapped to the CTM service. Do not use it as a value for HardSoftDir (26). FIX Interface OmgeoCommissionSharingType (9808) Same as direct XML interface. S D Soft the CTM service maps this field to the SOFT XML value, but no values are set for the broker of credit PartyType and PartyValue. Directed the CTM service maps this field to the CLDI XML value. Submit the XML PartyValue equivalent field later in the message using field, Other Broker of Credit (44). If you omit field 44, then the CTM service sets NOT SPECIFIED in the BrokerOfCredit PartyValue field. Directed Commission Examples This section provides examples of the directed commissions fields for each CTM interface. Direct XML Interface Table 13 describes how to populate each field in the DirectedCommission composite. Table 13 Directed Commissions in the CTM Direct XML Interface Field CommissionSharingTypeIndicator=CLDI PartyRole=BRCR PartyType=OTBC PartyValue=ABN Example: Description Commission sharing type is CLDI (client directed). The role of the beneficiary of the directed commission is BRCR (broker of credit). The type of broker of credit is OTBC (other broker of credit). PartyValue=ABN The party value or commission beneficiary is ABN AMRO....<DirectedCommission> <CommissionSharingTypeIndicator>CLDI</CommissionSharingTypeIndicator> <BeneficiaryofCommissions> <BrokerOfCredit> <PartyRole>BRCR</PartyRole> <PartyType>OTBC</PartyType> <PartyValue>ABN</PartyValue> </BrokerOfCredit> </BeneficiaryofCommissions> </DirectedCommission>... Message Translation Interface for Broker/Dealers Table 14 describes how to populate directed commission fields in an MTI Outbound file, which maps to a new TradeDetail. Best Practices 18

19 Table 14 Directed Commissions Message Translation Interface for Broker/Dealers Field CommissionSharingTypeIndicator=CLDI BrokerOfCreditRole=BRCR BrokerOfCreditType=OTBC BrokerOfCredit=ABN Description Commission sharing type is CLDI (client directed). The role of the beneficiary of the directed commission is BRCR (broker of credit). CTM maps BRCR to the PartyRole XML element. The type of broker of credit is OTBC (other broker of credit). CTM maps OTBC to the PartyType XML element. Commission beneficiary is ABN (ABN AMRO). CTM maps ABN to the PartyValue XML element. Example:...CLDI,BRCR,OTBC,ABN... Message Translation Interface for Investment Managers Table 15 describes how to populate directed commission fields in an MTI Outbound file, which mapsto a new TradeDetail. Table 15 Directed Commissions Message Translation Interface for Investment Managers Field HardSoftDir (26)=D Other Broker of Credit (44)=ABN Description Commission sharing type is D (directed).ctm maps CLDI to the CommissionSharingTypeIndicator XML element. Commission beneficiary is ABN (ABN AMRO). CTM maps ABN to the PartyValue XML element. Example:... D,<27-43>, ABN45-148)... FIX Interface Table 16 on page 19 describes how investment managers submit directed commissions in an Allocation Instruction (J), and how broker/dealers can expect to receive directed commissions. Table 16 Directed Commissions from Investment Manager Allocation Instruction (J) Field, Tag, and Value B: Standard Header (MsgType=J) Description NoNestedPartyIDs (539)=1 Number of parties eligible for directed commission beneficiaries is 1. NestedPartyID (524)=ABN NestedPartyIDSource (525)=U NestedPartyRole (538)=EXEC OmgeoCommissionSharingTypeIndicator (9808)=CLDI Example: Commission beneficiary is ABN (ABN AMRO). CTM maps ABN to the PartyValue XML element. Type of commission is directed. CTM maps CLDI to the CommissionSharingTypeIndicator XML element. The role of the beneficiary of the directed commission is EXEC (executing broker). CTM maps EXEC to the PartyRole XML element. Commission sharing type is CLDI (client directed). CTM maps CLDI to the CommissionSharingTypeIndicator XML element =J...<StartNestedPartiesComponentBlock> 539=1 524=THIRDPARTY 525=U 538=EXEC <EndNestedPartiesComponentBlock>9808=CLDI... Note If a commission indicator is not provided, DTCC assumes the commission is Hard. Best Practices 19

20 Table 17 describes how broker/dealers submit directed commissions in a Confirmation (AK). Table 17 Directed Commissions from Broker/Dealer Confirmation (AK) Field and Tag Value CB: Standard Header (MsgType=AK) TCOM amount (12) 10 (calculated by multiplying NoMiscFees (136) by MiscFeeAmt (137) CommType (13) 3 (absolute) CommCurrency (479) GBP (commission currency is British Pound Sterling) NoMiscFees (136) 1 (one commission fee) MiscFeeAmt (137) 10 (commission amount) MiscFeeCurr (138) GBP (commission currency is British Pound Sterling) MiscFeeType (139) 3 (local commission) MiscFeeBasis (891) 0 (absolute) OmgeoCommissionReason (9867) DIRE (Directed Commission) Example:..12=10 13=3 479=GBP 136=1 137=10 138=GBP 139=3 891=0 9867=DIRE... Trade Blotter Table 18 describes how to populate directed commissions fields in the trade blotter. Table 18 CTM Trade Blotter Field Comm Sharing Type=CLDI Party Role=BRCR Party Type=OTBC Description Commission sharing type is CLDI (client directed). The role of the beneficiary of the directed commission is BRCR (broker of credit) CTM maps BRCR to the PartyRole XML element. The type of broker of credit is OTBC (other broker of credit). CTM maps OTBC to the PartyType XML element. Party Value=ABN Commission beneficiary is ABN (ABN AMRO). CTM maps ABN to the PartyValue XML element. Net Commissions Type of price (TypeOfPriceIndicator) indicates if commission is included as part of gross consideration on a block. Table 19 describes the CTM fields and allowed values used for net commission. Table 19 TypeOfPriceIndicator XML Element (Net Commission) Code AVER EXEC NET1 Description Average Price Average price of instrument Executed Price Executed price of instrument Net Price Net of all charges, fees, and taxes CTM Direct XML Interface Broker/dealers provide net commission in TradeLevel/TradeLevelInformation/TypeOfPriceIndicator XPath. CTM Message Translation Interface (MTI) Broker/dealers provide net commission in the TypeOfPriceIndicator1 field in the trade_info record of the import_eb_block and import_contract transactions. CTM FIX Interface CTM automatically maps net commission from FIX to XML for fixed income trades. Best Practices 20

21 Settlement and Depository Notification Mapping CTM provides a Settlement Notification subscription for investment managers to send commission, settlement instructions, and other trade information to their custodians and interested parties. Investment managers can also retrieve broker/dealer delivery instructions for their internal system to construct their own instructions. Mapping to Settlement Information CTM allows investment managers to send settlement instructions to a custodian after the Match Agreed trade status in CTM is either: MATCH AGREED (MAGR) CANCEL MATCH AGREED (CMAG) Note Enhanced Settlement Notification subscribers can send settlement instructions before MAGR status. Mapping to Enhanced Settlement Notification. When DTCC builds a SWIFT message for an investment manager, CTM does not map the total commission (TCOM) on a block or confirmation/contract to the SWIFT message. Broker/dealers who send only TCOM and no detail fees prevent an investment manager from sending complete detail commission information to the custodian. The following guidelines apply: If multiple instances of detail commission types are provided on a client message, CTM does the following: o o Aggregates amounts with the same commission type Maps only one instance of the commission type to a SWIFT message CTM only maps detail commission types provided on the confirmation/contract (TradeDetail) to a SWIFT message. Mapping to Enhanced Settlement Notification Enhanced Settlement Notification (also known as Third Party Notification) is a CTM subscription option. This subscription option sends SWIFT or comma-separated value (CSV)-formatted messages to custodians and interested parties when the trade status is: MATCH AGREED (MAGR) CANCEL MATCH AGREED (CMAG) pre-magr (in some cases) Mapping to Canadian Depository for Securities DTCC offers a real-time link between CTM and the Canadian Depository clearing and settlement system (CDSX). When a trade reaches MATCH AGREED (MAGR) CTM sends an MT543 to CDSX. In response to a successful receipt, CDSX sends an MT548 to CTM, indicating acceptance or rejection of the trade. CTM maps broker/dealer detail commissions (not TCOM) on a TradeDetail to the SWIFT instruction and forwards it to the Canadian Depository for Securities (CDS). Best Practices 21

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