Interactive Messaging
Participant Specifications for Comparison
Input and Output
Version 03
V3.0 saved 06/2014
May 2014
Contents
Contents
Overview ...........................................................................................................................................1
Contacts .................................................................................................................................................... 2
1. Introduction ...................................................................................................................................3
1.1 Interactive Messaging Enhancements in Version 3.0 ......................................................................... 4
1.1.1. Change Overview ........................................................................................................................ 4
1.1.2. Development/Testing Underway ................................................................................................ 5
1.1.3. Approach to Enhancements........................................................................................................ 6
1.1.4. Changes to Occur Automatically in Version 3.0 .......................................................................... 7
2. Interactive Message Guidelines ......................................................................................................9
2.1 Overview ............................................................................................................................................. 9
2.2 ISO 15022 Message Structure ............................................................................................................. 9
2.2.1. Message Header ....................................................................................................................... 10
2.2.2. Blocks and Sub-blocks ............................................................................................................... 10
2.2.3. Fields ......................................................................................................................................... 11
2.2.4. Tag and Field Format Illustrations and Chart ............................................................................ 12
2.2.5. Illustration of Message Structure ............................................................................................. 13
2.3 MT515 Message Overview................................................................................................................ 14
2.4 MT509 Message Overview................................................................................................................ 15
2.5 MT518 Message Overview ................................................................................................................ 18
2.6 MT599 Message Overview................................................................................................................ 21
2.7 Trade Flow......................................................................................................................................... 22
2.8 Important Data Changes from Existing Formats ............................................................................... 22
3. Communications Overview ...........................................................................................................24
3.1 Message Exchange ............................................................................................................................ 24
3.2 Communications Facility ................................................................................................................... 25
4. Message Specifications .................................................................................................................26
4.1 Message Format Guidelines .............................................................................................................. 27
4.2 MT515 Message ................................................................................................................................ 31
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Contents
4.2.1. MT515 Message Specification .................................................................................................. 31
4.2.2. MT515 Message Mapping ......................................................................................................... 31
4.3 MT509 Message ................................................................................................................................ 51
4.3.1. MT509 Message Specification .................................................................................................. 51
4.3.2. MT509 Field Analysis ................................................................................................................ 51
4.4 MT518 Message ................................................................................................................................ 64
4.4.1. MT518 Message Specification .................................................................................................. 64
4.4.2. MT518 Field Analysis ................................................................................................................ 65
4.5 MT599 Message ................................................................................................................................ 89
4.5.1. MT599 Message Specification .................................................................................................. 89
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Overview
Overview
Interactive Messaging for Real-time Trade Comparison
This document provides an overview of interactive messaging for real-time trade comparison along
with the required detailed input and output specifications for messages that will be used to support
the process. Additions and modifications to these specifications have already been made and will
continue to be required to support the new functionality associated with subsequent
implementation phases. This is therefore a "living" document that will be updated as interactive
services are expanded.
Audience
This document was written for systems and development personnel, including managers, analysts
and programmers. It presumes readers are familiar with technical concepts and terms, and have a
basic understanding of FICC GSD's products and services.
Related Materials
On December 6, 1999, FICC GSD issued a New Service Bulletin describing interactive messaging for
real-time comparison. FICC GSD also issued a New Service Bulletin describing the Participant Access
Network on June 3, 1998. On January 26, 2000, FICC GSD issued the first version of Interactive
Messaging Participant Specifications for Comparison (Version 1.0). An additional New Service
Bulletin was issued in August, 2000, describing many of the enhancements to interactive messaging
which have been incorporated into this specification. All of the above documents may be obtained
by contacting FICC GSD Participant Services at (212) 855-7651/2/3. They are also available on FICC
GSD's website at www.dtcc.com.
The specifications for interactive messages supporting trade comparison are based on SWIFT
messages. A high-level overview of how SWIFT messages are structured is included in the section
"Interactive Messaging Basics." This section of the document provides readers with a general idea of
how SWIFT messages are structured; it is not intended to replace SWIFT documentation in any way.
Readers are therefore strongly urged to refer to SWIFT user documentation to obtain a complete
and comprehensive understanding of these message standards. Resources include the SWIFT User
Handbook, Standards Release Guide 2000 (March 2000), and Category 5 Securities Markets Message
Usage Guidelines (September 2000). SWIFT information (including message formats) can also be
found on the Internet at www.iso15022.org.
FICC GSD will also release information on future project phases, as it is available.
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Overview
Contacts
FICC GSD's contacts for the interactive messaging project are provided below.
Message Specifications
Richard Betts at (212) 855-7461
Communications Issues
Prabir Das at (813) 470-2646
Business Issues
Sean Delap at (212) 855-7627
Technical Issues
Mike Swords at (212) 855-7566
Bjorn Thordarson at (813) 470-2644
Testing Matters
Aileen Rose at (212) 855-7565
Additional inquiries regarding Real-time Comparison services may be directed to FICC GSD
Participant Services at (212) 855-7651/2/3 or go to www.dtcc.com.
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Introduction
1. Introduction
FICC GSD's processing environment has traditionally been batch. Participants have submitted data
to, and received data from, FICC GSD using its proprietary, fixed-format, fixed-length batch input
and output messages. In addition, most members have historically submitted a single batch file to
FICC GSD at the end of the day containing data for all of their trades, the bulk of which settle the
next business date.
With the implementation of Real-time Comparison services:
•
•
•
•
Members have the ability to submit trade input to FICC GSD intra-day, as trades are
executed, using the SWIFT MT515 message format.
Submitters can immediately receive trade status information (i.e., notification of whether
the trade has been accepted or rejected) via the SWIFT MT509 message format. This format
is also used to provide up-to-the-minute trade status information to members as
transactions are processed by FICC GSD (for example, a message is sent when a trade
compares, is canceled or is modified).
Trade contraparties can also be notified immediately via a SWIFT MT518 message when a
trade has been submitted against them. The SWIFT MT518 message contains full trade
details, and is quite similar to the MT515. It is also used to communicate to the Participant
those changes that FICC GSD may have made to trade records that were previously
submitted.
Members are also appraised of FICC GSD system availability and major system events
through MT599
o Administrative Messages.
While FICC GSD continues to support its existing batch input and output facilities initially, plans are
to eventually stop supporting these older formats. Members are encouraged to make the shift from
batch to interactive processing as soon as it is feasible for them to do so. In order to incent
participants to submit their activity on a timely basis, FICC GSD implemented a 10% comparison rate
penalty in July, 2001 for all participants that do not submit their trades within one hour of
execution. FICC GSD will continue to implement disincentives to discourage members from
continuing to submit and receive data via the old batch formats. An additional incentive for
members to migrate to interactive processing will be to take full advantage of new services and
enhancements as they are developed, as new functionality, such as DK processing, will not be
incorporated into the old message formats.
To provide the most flexible input and output options during the transitional period when members
are converting from batch to interactive messaging, FICC GSD has allowed for members to receive
either interactive or batch output, regardless of their mode of input. That means that a member
could choose, at least initially, to submit interactive messages in real-time while continuing to
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Introduction
receive end-of-day batch output. To further increase flexibility during this period, members will also
be able to submit SWIFT messages in a batch mode as well as to receive batch output in SWIFT
formats. This exceptional processing will be discontinued after the transitional period.
FICC GSD's Comparison process will continue to run in real-time, enabling members to compare
trades as close as possible to their execution. With interactive messaging, however, members now
have the ability to submit trade data to FICC GSD, review output, and identify and correct any errors,
all within minutes of execution. To ensure participants are able to maintain a controlled
environment on a real-time basis, it is highly recommended that they process interactive output.
For additional service details, please refer to New Service Bulletins available on the Internet at
www.gscc.com.
1.1 Interactive Messaging Enhancements in Version 3.0
Note to Reader: Please note that while not highlighted, the entire Section 1.1 is new to this
specification. It is intended that as new versions are released, this section will change to provide an
overview of the changes incorporated into the current version of the document.
1.1.1. Change Overview
This next version of Interactive Messaging for Comparison contains a number of changes, some
of which will be implemented automatically when released into production. FICC GSD believes
it critical that participants are prepared to support these changes. Throughout this document,
text has been highlighted to facilitate identification of those changes that have been made to
the system.
Since the implementation of interactive messaging, FICC GSD has directed its efforts to conform
to the majority of the suggestions received from its participants at a series of meetings held to
review the new service. To this end we have identified an implementation approach in order to
minimize the number of new messages and the resulting impact on participant systems as new
releases of the software are put into production (Please refer to Appendix F of this document).
The approach, described in this section, was also applied to the interactive messaging
specification supporting MBSCC Real-time Trade Matching (RTTM).
In addition to the 'automatic' changes referred to above, this release of the FICC GSD
Interactive Messaging software will also provide participants with the ability to select specified
'services', or system options, that will enable them to 'phase-in' the implementation of a
number of messaging enhancements.
All participants will, however, need to examine their FICC GSD output processing mechanism
to determine if they need to make programming modifications to support the mandatory
changes implemented with the next version of Interactive Messaging. Those participants that
already have, in their programming, catered for the receipt of additional fields on already
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Introduction
existing messages, unexpected qualifiers in already existing fields (on known messages), and
receipt of unexpected messages, will most likely not need to make changes to support these
enhancements. Other participants, however, whose systems cannot facilitate receipt of
'unknown' events or new fields/values on messages, will need to modify their systems to
support the changes described in this section.
The following is a high-level summary of the mandatory changes that should be expected, by
message type. A more detailed description of these changes is provided later in this section.
Message Type
Proposed High-Level Changes
MT515
•
MT509
•
Message Type
Proposed High-Level Changes
•
MT518
•
•
•
MT599
Optional SETDET Block Settlement Indicator and Instruction
Override Qualifiers and Repo Narrative fields have been
eliminated
No mandatory changes
•
Already defined messages will be sent to participants at points
in the processing cycle which differ from flows originally
defined in Version 1.0
New fields/tags will be included on already existing messages
Optional SETDET Block Settlement Indicator and Instruction
Override Qualifiers and Repo Narrative fields have been
eliminated
Already defined messages will be sent to participants at points
in the processing cycle which differ from flows originally
defined in Version 1.0
No mandatory changes
1.1.2. Development/Testing Underway
Participants that are currently developing their messaging systems according to the
Specifications previously published on the FICC GSD website (Version 1.0), or that are currently
in the process of testing, are recommended to continue their efforts. All of the messages
defined in Version 1.0 of the specification will continue to be used. Although additional
messages have been added, and tags/fields have been added to already existing messages, none
of the messaging codes/mnemonics detailed in the original document have changed.
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Introduction
1.1.3. Approach to Enhancements
In order to facilitate new releases of system output, FICC GSD has pursued an approach to
provide participants with more information regarding comparison events, while at the same
time attempting to minimize the number of messages implemented and associated
development time and effort. This section provides a description of the approach used for new
message development, as well as a high- level understanding of those changes that have been
made to this specification.
All events will be communicated to the participant using specific messages, tags and qualifiers
(e.g., MT518's will continue to use the 22F field in the Confirmation Details (CONFDET) sequence
and MT509's will continue to use the 25D field in the Status (STAT) sequence to denote the
message type/event). Where the reasons that a given event might occur should differ, another
field, or designated characters in already existing fields, will be used to denote that reason.
As previously noted, FICC GSD has decided NOT to change any of the message codes or
qualifiers specified in the first release of this software. All future messaging, however, will be
developed (to the extent possible) using the guidelines specified.
On a high-level, the approach will be as follows:
•
MT509's
No current changes
•
MT515
FICC GSD will be eliminating the SETDET Block, tags 22F and 17B, as they are not used and
provide no pertinent data for the instruct message.
Also, the 70C Tag has been removed from the REPO Block as the fields are no longer
supported.
•
MT518's
FICC GSD will be adding a new field tag in the CONFDET Block in 22F (CPNR) to support the
indication that the coupon on your trade has been reset and the final money has been
changed to reflect the reset.
FICC GSD will be eliminating the SETDET Block, tags 22F and 17B, as they are not used and
provide no pertinent data for the instruct message.
Also, the 70C Tag has been removed from the REPO Block as the fields are no longer
supported.
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Introduction
It should also be noted that any new system events identified in the future may likely
require new message types/qualifiers to be developed. A detailed analysis for system events
(known to date) can be found in Appendix F.
1.1.4. Changes to Occur Automatically in Version 3.0
As previously indicated, changes will occur immediately when this next release of Interactive
Messaging goes into production at FICC GSD. These changes to FICC GSD output, if not catered
for in participant programming, can potentially cause participants to experience problems with
their interactive message processing:
•
A new tag has been added to an already existing message
Services
As previously mentioned, FICC GSD has built the ability for participants to subscribe to services,
which will enable them to manage the implementation of interactive messaging to fit their
business needs. In this way, when new releases of interactive messaging are implemented,
participants will be able to phase in new groups of messages to suit their requirements.
•
Demand Processing - Participants that enter into approved Demand processing
agreements will be required to have the ability to process messages that flag MT518
records as Demand. 1 Prior to a participant being flagged on FICC GSD's system as being
either a Demand submitter or recipient, no messages with these qualifiers will be sent
by FICC GSD to that participant.
All MT515 and MT518 messages will support new qualifiers to indicate if a trade is a
Demand cash or repo trade (versus Bilateral or Locked-in):
o
o
•
1
: 22F:: TRTR/GSCC/TRDC will now indicate that the trade being submitted, or
reported represents a Demand Cash trade.
: 22F:: TRTR/GSCC/TRDR will now indicate that the trade being submitted, or
reported represents a Demand Repo trade.
DK Processing - participants that are authorized for DK Service:
o will be able to submit the following message
 MT515 DK (:22F::PROC/GSCC/TDDK)
The Demand flag is not required, however, to be set on the inbound MT515.
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Introduction
o
•
may receive the following new messages
 MT509 DK Accepted (:25D::IPRC/GSCC/PADK)
 MT509 DK Rejected2 (:25D::IPRC//REJT and :70D::REAS//GSCC/DKRJ)
 MT509 DK Processed (:25D::IPRC/GSCC/DPPR)
 MT518 DK Advice (:22F::PROC/GSCC/NAFI)
 MT518 DK Remove Advice (:22F::PROC/GSCC/DCC'C)
Basic Service
All other comparison-related messages, not indicated as a component of either the DK
Processing or Advisory Service, will be part of the FICC GSD Basic Interactive Messaging
Service, and will be sent to participants automatically as events occur. As indicated
above, messages relating to Demand (or Locked-in) Processing will also only be sent
once a participant has been approved as either a Demand (or Locked-in) submitter, or
recipient.
2
While the MT509 Instruct Rejected (:25D::IPRC//REJT) message is not new, the message will also now be
used to indicate a DK reject by populating the :70D::REAS field with the value "DKRJ" as follows
":70D::REAS//GSCC/DKRJ".
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Interactive Message Guidelines
2. Interactive Message Guidelines
This section of the document provides some background information that may be useful for
interpreting the detailed message specifications that follow.
2.1 Overview
FICC GSD has adapted the ISO 15022 message formats for interactive comparison input and output.
These formats were developed in coordination with international securities industry working
groups (i.e., the ISO Technical Committee, TC68) in order to establish a viable and efficient industry
standard. This standard defines messages composed of required and optional variable-length
sequences of tags and data fields, maximizing the flexibility and practical application of the
messages.
The important aspect of this format is the ability to include only the data necessary for a specific
business transaction. Each trade message may require somewhat different fields. Coding for these
formats should allow new functionality to be added without requiring extensive, street-wide retesting.
The flexible format of the ISO 15022, continuing evolution message standards, and the ongoing
deployment of new FICC GSD services, makes it likely that new fields will be added to the standard.
Efforts should be made to implement a general, field-processing engine, rather than a hard-coded,
fixed implementation of the entire message specification. Chapter 14 of the SWIFT Standards
Category 5 Message Usage Guidelines document presents a programming guide that provides
suggestions for programming these ISO15022 message formats.
Much of the information that appears in this section of the document has been derived from the
"SWIFT Standards Category 5 Securities Market Message Usage Guidelines - September, 2000
Edition."
While FICC GSD has elected to use SWIFT standardized messages, it is not intending to utilize the
SWIFT network. The current plan is to utilize our proprietary network for communication between
FICC GSD and its members. The messages are intended, however, to be compliant with SWIFT
regulations so that the SWIFT network could be used in the future, if desired.
2.2 ISO 15022 Message Structure
ISO 15022 SWIFT message formats are constructed using a modular methodology based on the
premise that information can be identified and programmed once, then reused wherever needed.
Using this approach, data is configured into logical groups (i.e., generic fields and blocks) according
to business purpose. These groups are then uniquely identified (using tags, qualifiers and start/end
of block designators) so that they can be used whenever needed to fulfill particular business
purposes across a number of messages without requiring extensive reprogramming.
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Interactive Message Guidelines
If the basic message structure were diagramed from the top down (going from the more general to
the more specific), you would have a Message Header followed by one or more information blocks
(potentially containing sub-blocks), composed of one or more fields. Each of these components is
defined in the text below.
2.2.1. Message Header
The message header specifies the sending and receiving parties of the message and provides the
message type. FICC GSD has added a password to this header to provide an additional level of
security. The message header is the first component of every message. FICC GSD requires that the
fields in the header have a fixed format. The header is populated as a continuous string of data
(complying with the requirement specifying the allowable characters for a given line in a message)
and terminates as a regular data field (with a carriage return line feed "CRLF").
2.2.2. Blocks and Sub-blocks
A block may be defined as a group of fields containing related business information that is framed
by start-of-block and end-of-block designators. The use of a block is not restricted to any given
message; it can be reused across a number of messages and combined with other blocks to fulfill a
variety of business requirements. For example, the General Information block (found in the MT515,
MT509 and MT518) contains general information regarding the trade, such as trade reference
numbers. The Confirmation Details block (found in the MT515 and MT518) contains specific trade
information such as trade date, settlement date, price, security and information regarding the
confirming parties.
Each message contains one or more blocks. A typical message contains a General Information block,
followed by a series of detail blocks. These blocks may be mandatory or optional within a particular
message, and are structured as follows:
•
•
•
A start-of-block designator (represented by the tag 16R), indicating the start of a group
of related information
One or more sub-blocks and/or fields
An end-of-block designator (represented by the tag 16S), indicating the end of a group
of related information.
An information block may be further divided into sub-blocks containing groups of fields that further
define the block. The structure of a sub-block is the same as that of a block, the difference being
that it is "nested" or contained within the block. For example, the Confirmation Parties blocks are
sub-blocks of the Confirmation Details block. Sub-blocks, under certain circumstances, can be
repeated in a block (e.g., the Buyer and Seller Confirming Party sub-blocks).
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Interactive Message Guidelines
2.2.3. Fields
There are two types of fields: generic fields and discrete fields. As the names imply, generic fields
are multi-purpose fields used across messages and message types, whereas discrete fields in
messages are limited to a single purpose. Generic fields further support the flexibility and modular
message structure of the message formats. Each generic field is a basic group of business data that
is common throughout all messages, such as date and amount.
At a minimum, each field is composed of an identifying tag and its associated field data. A tag may
be thought of simply as a 2-digit number that represents the type of data contained in the field
followed by an alpha character that provides format information associated with the field contents.
For example, 98A is the generic tag used to indicate a date field in a particular format
(YYYYMMDD). 3 The format for a tag includes two delimiters - one to indicate the start of the tag, and
a second to indicate the end of the tag. These delimiters are indicated using a colon. Continuing with
the example above, the proper format for the generic tag used to indicate a date in the YYYYMMDD
format would be ":98A:".
Because there are a number of different types of dates that may be associated with any given trade,
the generic field tag must be further described if it is to be useful. Qualifiers are used to provide this
additional level of description. For example, the tag 98A followed by the qualifier SETT means that
the corresponding field data is the settlement date for the trade. The tag 98A followed by the
qualifier TRAD means the corresponding field data is the trade date for the trade. Qualifiers for
generic tags are always preceded by an additional colon ":".
The generic field for a settlement date of December 28, 2001 in the YYYYMMDD format, including
the generic tag, the qualifier and the field data would be:
98A::SETT//20011228
Although tags are numeric, they generally do not need to be placed in sequence, except if there is a
sequence dependency as part of the format. Tags that are part of a block must remain within the
"start" and "end" block tags.
3
Note that for each field, there may be several format options for expressing the data. The alpha character in
the tag is used to indicate which format option has been applied. If the alpha character in the tag is lowercase in
the SWIFT documentation, this means that there are several format options for the field and that there is free
choice to use any of these options. If the alpha character in the tag is uppercase, this means that, while there are
several format options for the field, the option designated by the uppercase alpha character must be used. For
example, 98A refers to a date in the YYYYMMDD format. 98C refers to a date that also includes the time. Note
that FICC GSD has mandated the options that Participants must use in the layouts.
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Interactive Message Guidelines
2.2.4. Tag and Field Format Illustrations and Chart
The illustration below shows the format for a generic field tag (e.g. :98A:) and its associated field
data. The illustrations are followed by charts providing the definitions of the elements delineated in
the illustrations:
Field Tag Components
Delimiter 1
Type of Field
Field Format
Delimiter 2
Example- Field Tag
Format
:
2!n
1!a
:
:98A:
Field Components
Generic Field Marker
Qualifier
Format
:
4!c
Delimiter 1
Optional Issuer Code
/
[8c]
Delimiter 2
Data Field
/
34x
ExampleTag/Qualifier/Data Field
:98A::SETT//200
11228
Definition
Shows the start of the field tag.
2-digit number representing the data type. Note
that “!” indicates a fixed field size.
The format of the contents of the data field.
Shows the end of the field tag.
“98” denotes Generic Date Field. “A” denotes date
8!n (YYYYMMDD) format.
Definition
Identifies the field as generic
Provides the business significance of the data, and
is mandatory.
Mandatory delimiter.
When SWIFT defined codes are not used, allows
for the use of market, or issuer, codes with a
maximum of 8 characters (e.g., FICC GSD).
Mandatory delimiter.
Data for the field. The format is specified by the
letter option of the field format (e.g., 98A specifies
a date format of 8!n = YYYYMMDD).
The colon preceding the qualifier “SETT” indicates
that this is a generic field. “:SETT//” with the tag
“98A”denotes that this field is a Settlement Date in
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Interactive Message Guidelines
the YYYYMMDD format.
2.2.5. Illustration of Message Structure
The figure below illustrates the basic SWIFT Message structure for ISO 15022 messages. For generic
structural illustrations of the MT515, MT509 and MT518 messages (as specified by SWIFT), refer to
Appendix D of this document.
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Interactive Message Guidelines
2.3 MT515 Message Overview
The SWIFT MT515 is specified as a Client Confirmation of Purchase or Sale. It can also serve as a
binding electronic contract. The MT515 message will be used by members and authorized Locked-in
submitters to submit trades to FICC GSD, to enter trade cancellations, to modify the Participant
reference numbers on previously submitted trades and to DK trades submitted against them. Field
22F PROC in the Confirmation Details (CONFDET) block will enable the Participant to indicate to FICC
GSD the type of record being sent. How this field is populated for each record type is detailed
below. The MT515 format will support the following message types:
1.
Message Type
Instruct Message
(:22F::PROC/GSCC/INST)
This message is used to:
Submit trade details to FICC GSD for regular buy/sell cash
trades and repurchase agreements executed by
Participants or approved Locked-in submitters. This
message will support:
1) all fields required to effect trade comparison;
2) collateral substitution stipulation fields for term repo
trades; and
2.
Cancel Message
(:22F::PROC/GSCC/CANC)
3) certain other SWIFT and FICC GSD mandatory and
optional fields.
Initiate the cancellation of a previously submitted trade. A
Cancel Message should be an exact copy of an Instruct
Message, and as such will contain full trade details. (It
should contain the last version of the trade on the FICC
GSD system.)
Once a trade has been canceled, a new trade may be
submitted using the same Participant reference number
as the original Instruct message.
If the trade is not Locked-in, both parties must submit a
Cancel Message, if the trade has already compared, based
upon matching Bilateral input.
If the trade has not been compared or it has been
recorded and registered based on the input of a valid
Locked-in submitter, only the original, or Locked-in,
submitter must submit a Cancel.
If the contraparty of a trade (Locked-in recipient),
submitted by an authorized Locked-in submitter, enters a
Cancel Message, the Locked- in submitter will receive a
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Interactive Message Guidelines
Message Type
Modify Message
(:22F::PROC/GSCC/MDFC)
3.
4.
DK Message
(:22F::PROC/GSCC/TDDK)
This message is used to:
Cancel Request.
Submit a modification to a previously entered trade.
Initially, the only field that may be modified using this
message will be the Participant Reference Number.
In order to modify any other trade information via an
MT515, the trade must be canceled and resubmitted
(using a Cancel Message and a new Instruct Message).
FICC GSD anticipates future increased functionality of
these messages to include other trade modifications, such
as full modify capability, which would include
substitutions, rate changes and closeouts.
Submit a notification to FICC GSD (and the Contraparty)
that it does not know, or agree with, the trade submitted
against it by the Contraparty. The DK message will reflect
the entire details of the Comparison Request received by
the DK’ing party, along with a reason for the DK.
Participants using interactive input will submit data to FICC GSD in real-time as trades/events occur,
and immediate notification regarding the trade's status will be generated via the MT509.
2.4 MT509 Message Overview
The SWIFT MT509 Message is specified as a Trade Status Message. It will be used by FICC GSD to
convey the status of each input message that has been submitted to FICC GSD for processing by a
broker, a dealer or an authorized Locked-in submitter. The MT509 message does not contain full
trade details, but rather provides the trade status along with the full set of reference numbers to
enable the Participant to identify the trade or record submitted. (i.e., Participant external reference
number, secondary reference number, contra-external reference number, broker reference number
and the FICC GSD -assigned transaction identification (TID) number, where appropriate.) Certain
status messages also include additional fields, such as reason codes for reject messages, etc. Field
25D in the Status (STAT) Block will indicate to the recipient the type of message being sent (in the
case of a Modify or DK reject, a second field, 70D in the Reason (REAS) block, must also be read to
determine the record type). The qualifiers for these fields are shown for each example below.
A SWIFT MT509 message will be generated for each of the following trade statuses:
1.
Status Message
Trade Input Accepted
(:25D::IPRC//PACK)
This status message will be …
Sent to the trade submitter to acknowledge that its
trade has been validated and is waiting on further
processing within FICC GSD’s systems.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
15
Interactive Message Guidelines
2.
Status Message
Trade Input Rejected
(:25D::IPRC//REJT)
3.
Repo Substitution Processed
(:25D::IPRC/GSCC/RPSP
4.
Modify Accepted
(:25D::IPRC/GSCC/MODA)
5.
Modify Rejected
(:25D::IPRC//REJT and
:70D::REAS//GSCC/MDRJ)
6.
Modify Processed
(:25D::IPRC/GSCC/MODP)
7.
Deleted Uncompared
Transaction
(:25D::IPRC/GSCC/DELE)
8.
DK Accepted
(:25D::IPRC/GSCC/PADK)
9.
DK Rejected
This status message will be …
Sent to the trade submitter to indicate that its trade
has been rejected as part of the validation process.
The reason for the rejection will also be indicated on
the message (:24B::REJT in the Reason (REAS) Block).
This message will always be used when an MT515 has
been rejected because the message was non-SWIFT
compliant.
Sent to all parties, indicating a substitution has
occurred and that FICC GSD has changed the terms
of the repo in its system to reflect the new details.
All parties will also receive an MT518 reflecting new
trade details.
Sent to the submitter of a Trade Modification to
acknowledge that the modification message has been
validated and is awaiting further processing within
FICC GSD’s systems.
Sent to the submitter of a Trade Modification to
indicate that the modification message has been
rejected as part of the validation process. The reason
for the rejection will also be indicated on the message
(:24B::REJT in the Reason (REAS) Block).
Note: Where an MT515 Modify cannot be read by
FICC GSD and is not SWIFT compliant, FICC GSD will
not generate a Modify Rejected Record. A Trade Input
Rejected message will be generated in this instance
with the reason code indicating the MT515 message
was not SWIFT compliant.
Sent to the submitting party when a trade
modification has been successfully performed within
FICC GSD’s processing system. The contraparty will
receive an MT518 reflecting new trade details.
Sent to the submitting party indicating that an
uncompared trade has been deleted from FICC GSD's
processing system. (Currently, trades are deleted if
they remain uncompared in the system for three days
or, in the case of when issued trades on auction date +
3, or for forward start repo trades on start date + 3).
The contraparty will receive an MT518 indicating that
the advisory has been deleted.
Sent to the DK submitter to acknowledge that the DK
sent has been validated and is awaiting further
processing within FICC GSD’s systems.
Sent to DK submitter to indicate that the DK sent has
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
16
Interactive Message Guidelines
Status Message
(:25D::IPRC//REJT and
:70D::REAS//GSCC/DKRJ)
10. DK Processed
(:25D::IPRC/GSCC/DPPR
11. Trade Canceled due to DK
(:25D::IPRC/GSCC/DEDK)
12. Cancel Accepted
(:25D::CPRC//PACK)
13. Cancel Rejected
(:25D::CPRC//REJT)
14. Cancel Processed
(:25D::CPRC//CAND)
This status message will be …
been rejected as part of the validation process. The
reason for the rejection will also be indicated on the
message (:24B::REJT in the Reason (REAS) Block).
Note: Where an MT515 DK cannot be read by FICC
GSD and is not SWIFT compliant, FICC GSD will not
generate a DK Rejected Record. A Trade Input
Rejected message will be generated in this instance
with the reason code indicating the MT515 message
was not SWIFT compliant.
Sent to the DK submitter to indicate that a trade
submitted against it has been marked with a DK
status. The contraparty (the original trade submitter)
has been notified of the DK and the reason for the DK
via an MT518.
Sent to the trade submitter to inform it that the trade
it submitted has been administratively canceled by the
FICC GSD system because it was DK’ed by the
contraparty.
This message is applicable only to Demand and
Bilateral Trades; it is not applicable to Locked-in
Trades.
Sent to the submitter of a Trade Cancel to
acknowledge that the message has been validated and
is awaiting further processing within FICC GSD’s
systems. With the exception of a Locked-in trade, if
the trade was previously compared, the cancel request
will be pending until such time as a cancel message is
sent to FICC GSD by the trade contraparty.
Sent to the submitter of a Trade Cancel to indicate
that the message has been rejected by the application
as part of the validation process. The reason for the
rejection will also be indicated on the message
(:24B::REJT in the Reason (REAS) Block).
Note: Where an MT515 Cancel cannot be read by
FICC GSD and is not SWIFT compliant, FICC GSD will
not generate a Cancel Rejected Record. A Trade Input
Rejected message will be generated in this instance
with the reason code indicating the MT515 message
was not SWIFT compliant.
Sent to all trade parties when a trade is successfully
canceled within FICC GSD’s processing system. Where
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
17
Interactive Message Guidelines
Status Message
15. Cancel Lifted by Participant
(:25D::CPRC/GSCC/UPBP)
16. Trade Compared
(:25D::MTCH//MACH)
17. Trade Compared Through
Par Summarization
(:25D::MTCH/GSCC/PSUM)
This status message will be …
the Participant has not received this message, the
cancel has not been processed into the FICC GSD
system for a given trade.
Sent to the Participant when a previously submitted
Cancel record (targeting an already compared trade)
has been removed/lifted from the system due to an
action it or FICC GSD performed (e.g., the Participant
has removed its Cancel record from the system).
Sent to all trade parties when a submitted trade has
been compared, either as a result of matched Bilateral
input or unilateral input by a valid Locked- in, or
Demand, submitter (administratively compared).
Sent to all trade parties when a submitted trade has
been compared during the enhanced comparison
process, based on a presumed match of data using
par summarization. One record will be sent to a
Participant for each submitted trade that was
compared via Par Summarization. No Contraparty
External Reference Numbers will be provided on
these messages.
Note: Par summarization presumes a match of trades
if the total par amount and final money of one or
multiple buy sides equals the total par amount and
final money of one or multiple sell sides.
2.5 MT518 Message Overview
The SWIFT MT518 Message is specified as a Market Side Securities Trade Confirmation. It will be
used to convey full trade information to the transaction contraparty associated with Instruct,
Cancel, Modify and DK input messages submitted against it. This message will also be used to
provide collateral substitution details and yield-to-price information to affected trade parties, and
will be used to notify participants when their trades have been DK'ed (or where previously
submitted DK's have been removed). As in the MT515 field :22F::PROC in the Confirmation Details
(CONFDET) block will indicate to the Participant the record type being sent. Additionally, field :70E::
TPRO// can indicate the reason for the event occurring preceded by the mnemonic MSGR (message
reason). On DK messages this field will also provide the reason for the DK having been submitted
against the recipient's trade (preceded by the mnemonic "DKRS" (DK reason)).
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
18
Interactive Message Guidelines
SWIFT MT518 Messages will include the following types:
1.
Message
Comparison Request
(:22F::PROC/GSCC/CMPR)
2.
Comparison Request Modify
(:22F::PROC/GSCC/CRQM)
3.
Comparison Request Cancel
(:22F::PROC/GSCC/CADV)
4.
Locked-in Trade Advice
(:22F::PROC/GSCC/LCTA)
5.
6.
This message will …
Inform a member that an Instruct Message has
been submitted against it.
In order to affect bilateral comparison, the member
must submit corresponding trade data to FICC GSD
for matching, if it has not already done so. (Where
the record is marked as Locked in or Demand, the
Participant can allow the trade to compare
administratively without submitting a corresponding
matching trade.)
Inform a member that a Modify Message has been
submitted by its contraparty for a trade that is pending
comparison.
In order to affect bilateral comparison, the member
must submit corresponding trade data to FICC GSD for
matching, if it has not already done so.
Inform a member that its contraparty or FICC GSD
has canceled an advice of a trade that has not yet
or has just compared.
The request for comparison has been canceled; the
member does not need to take any action with FICC
GSD. (This message was previously called ‘Cancel
Advice Precomparison’.)
Inform a member that a trade has been booked on
the participant’s behalf based on the submission of
either a Locked-in or Demand Trade against that
participant. This message will only be generated by
FICC GSD where a Locked-in or Demand trade is still
available for comparison at the end of the day, as
part of administrative comparison. Where a Lockedin Trade Advice is generated, the Locked-in, or
Demand, submitter will receive an MT518
Comparison Request.
Note: Where available, FICC GSD will append the Locked-in,
or Demand, submitter’s trade reference number to
the record. (A comparison message (MT509) will also
be sent).
Cancel Request
(:22F::PROC/GSCC/CREQ)
Cancel Request Cancel
::22F::PROC/GSCC/CCRQ)
Inform a member that its contraparty has submitted a
Cancel Message for a trade that has already
compared.
In order to cancel the trade, the member must submit
a corresponding Cancel Message to FICC GSD.
Notify a member that its contraparty has removed a
Cancel Message previously submitted for an already
compared trade. The trade is no longer pending
cancellation. The member does not need to take any
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
19
Interactive Message Guidelines
Message
7.
Post Comparison Cancel
Advice (of Locked-in Trade)
(:22F::PROC/GSCC/PCCA)
8.
Yield to Price - Assumed
Coupon
(:22F::PROC/GSCC/YTPA)
Yield to Price - Real Coupon
(:22F::PROC/GSCC/YTPR)
9.
10.
Coupon Reset
(:22F::PROC/GSCC/CPNR)
11.
Trade Compared with
Modifications
(:22F::PROC/GSCC/CMPM)
12.
Post Comparison Trade
Modification
(:22F::PROC/GSCC/MDAD)
Post Comparison Contra
Trade Modification
(:22F::PROC/GSCC/CMDA)
13.
14.
(Notification of) Default
Values Applied
(:22F::PROC/GSCC/DFVA)
15.
Screen Input Trade Replay
(:22F::PROC/GSCC/SITR)
This message will …
action with FICC GSD.
Inform a member that a Cancel Message has been
submitted against it by an authorized Locked-in
submitter for a Locked-in trade.
The trade has been canceled unilaterally; the member
does not need to take any action with FICC GSD.
Inform all parties to a when-issued trade that the final
money has changed based on a change in the assumed
coupon
Inform all parties to a when-issued trade of the
recalculated final money based on using the real
coupon announced at auction.
It will reflect the new fact that a trade you have has
been subject to a coupon reset and the final money
has been updated to reflect the new rate.
Reflect new trade details based on changes FICC GSD
may have made to a Participant’s trade during the
comparison process. Changes include change of trade
date, final money, executing broker and contraparty
flip. The broker or Locked-in submitter’s information
will continue to prevail, as will the seller’s money on a
dealer-to-dealer trade.
Where appropriate, provide full trade details for all
modifications that have been made to a Participant's
trade after comparison. (e.g., change in commission.)
Provide full trade details for all modifications the
contraparty has made to its (already compared) trade
record (that will not change the details of the
Participant’s trade).
During the initial phase, this message will reflect the
new external reference number on a contraparty trade
record that previously compared against a Participant's
trade
Provide full trade details back to the Participant where
FICC GSD has completed trade records with default
values (e.g., where the Participant has not provided net
money, or trade date, on the trade originally submitted
to FICC GSD).
Provide full trade details to the Participant where a
trade has been added, modified, or canceled via screen
input, rather than an automated interface. Using this
message, a Participant can ensure that the same
transaction events exist within its application.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
20
Interactive Message Guidelines
16.
17.
Message
DK Advice
(:22F::PROC/GSCC/NAFI)
DK Remove Advice
(:22F::PROC/GSCC/DCCX)
This message will …
Inform a member that its contraparty has submitted a
DK against the recipient’s previously submitted trade.
The message will also contain the contra’s reason for
submitting the DK. If a Demand or Bilateral trade
remains with a DK status at the end of the day, FICC
GSD will administratively cancel the trade from the
system. The member will receive an MT509 Cancel due
to DK message (:25D::IPRC/GSCC/DEDK) notifying it of
this ‘administrative cancellation’ event.
Inform a member that its contraparty has removed the
DK it previously submitted against the recipient’s trade.
The member does not need to take any action. The
trade remains pending comparison.
2.6 MT599 Message Overview
The MT599 Message is specified by SWIFT as a Free Format Message. FICC GSD will use this message
to convey system administrative information to participants.
1.
2.
3.
Message
GSCC Start-of-Day Notification
(:79:GSCC/GADM…/GSOD/)
GSCC Submission Cutoff Endof-Day Message
(:79:GSCC/GADM…/EDCS/)
GSCC Processing End-of-Day
Message
(:79:GSCC/GADM…/EODC/)
This message will be…
Sent in the beginning of each business day to inform
a member that the FICC GSD system is available.
Sent when participants may no longer submit
transactions to be included in processing for that
day. Any transactions submitted to FICC GSD after
this point will be included in the next business day’s
processing.
Sent to members to inform them that the FICC GSD
system has completed processing for that business
day, and that all interactive output to be generated
that day has been transmitted.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
21
Interactive Message Guidelines
2.7 Trade Flow
A typical trade message flow for a cash trade submitted Bilaterally for traditional comparison is
depicted below: 4
A set of detailed message flows for various scenarios is provided in Appendix B.
2.8 Important Data Changes from Existing Formats
SWIFT messages employ certain standards for data fields that are different from those currently
supported by FICC GSD in its proprietary batch formats. In order to comply with the standard and
potentially allow access through the SWIFT network in the future, FICC GSD will make several
modifications to its existing batch input and output. These differences are summarized in the
following chart.
4
It should be noted that new messages and new messages in previously defined flows are highlighted in
italics.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
22
Interactive Message Guidelines
Please note that where the FICC GSD field is smaller than the SWIFT field, FICC GSD will continue to
support the smaller value. Participants should expect to populate the message with the smaller
value, where applicable. All of these differences are highlighted in the specification that follows in
this document.
Field
Transaction Identification Number (TID)
Deal Price
Settlement Amount
Quantity
Commission
Close Leg Settlement Amount
Repo Rate
Interactive
16
15d
15d
15d
15d
15d
[N] 15d
FICC GSD Proprietary
11
14
18
18
11 5
18
14
5
The FICC GSD Commission field of 11 characters is for a rate, versus the 15 character SWIFT amount field. In
this instance, if ever applicable, Participants may fully populate the SWIFT field of 15d.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
23
Communications Overview
3. Communications Overview
As part of the real-time processing implementation, FICC GSD has implemented MQ Series as
a message exchange facility to support reliable submission of trade messages and delivery of
status messages. As noted in the Introduction, at this point in time FICC GSD does not intend
to use the SWIFT network as a communications facility. FICC GSD will, however, attempt to
comply with SWIFT requirements to facilitate the transition to the SWIFT network, should it
be deemed desirable in the future. FICC GSD has implemented the Participant Access
Network as a TCP/IP communications facility to support a reliable, secure connection to
Participants' systems. These facilities are explained in further detail below.
3.1 Message Exchange
FICC GSD has implemented a message exchange facility in order to support receipt of trade
messages and delivery of status and advisory messages to/from Participant systems. A
message exchange facility requires support for the implementation of queues, which are
typically time-ordered lists of messages (trade messages, cancellation messages, status
messages, etc.). This allows Participant systems to generate trade messages as trades are
executed, and these trade messages are "queued" onto the "FICC GSD" queue. If the
communications connection is enabled (including all the links, from the dial-up or leased line
up to the messaging product itself), then the message is immediately sent to FICC GSD.
Otherwise, messages will accumulate on the queue until a connection is completely
established.
The same procedure holds true on the return side - meaning as FICC GSD processes trades,
from trade acceptance through comparison (and eventually through netting) - status updates
will be queued for delivery back to Participant systems. Participants' systems must have a
connection enabled and a program (i.e., a process or thread) that is waiting for messages to
appear on the "From FICC GSD" queue in order to process FICC GSD responses interactively.
FICC GSD has implemented the MQ Series product from IBM to support the FICC GSD
Interactive Message specification. This product implements a reliable message exchange
protocol, which deals completely with sequence numbers, connection recovery and other
messaging-related issues. The use of this product precludes the traditional requirement of
developing a custom message exchange protocol for each new clearing corporation interface.
MQ Series is available for the majority, if not all, of the systems platforms in use at FICC GSD's
Participants' data-centers (including MVS, VMS, most common versions of Unix and NT) and
is the primary messaging facility now in place at FICC GSD's clearing banks. Many of FICC
GSD's Participants already use this product either in-house or to connect with the clearing
banks.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
24
Communications Overview
FICC GSD's messaging implementation will provide a "To FICC GSD" queue and a "From FICC
GSD" queue for each Participant. Additional details, including the full naming convention that
will be utilized, will be distributed to participants separately.
3.2 Communications Facility
FICC GSD implemented the Participant Access Network in early 1998 and provided high-level
details of that network in a New Service Bulletin dated June 3, 1998. This document is
available on FICC GSD's Web Site (www.dtcc.com) in the Important Documents section, under
Other Important Documents, and is also available to members upon request.
The FICC GSD Access Network basically provides a financial industry "Extranet" operated by
SIAC, and utilized by DTCC (formerly known as NSCC), as well as MBSCC. Participants may
connect using their own equipment through their choice of connection. Most alternatives are
supported including dial-up, 56KB, ISDN, fractional and full T1, and frame relay. DSL is
currently being researched.
The connection is a full, secure, TCP/IP connection to the Access Network which provides
FICC GSD members with full access to the services of FICC GSD including:
•
•
•
•
•
MQ Series connectivity between the MQ implementation at Participants' datacenters and FICC GSD's MQ hub.
Web browser access to FICC GSD's application screens from multiple users operating
from different workstations within a member's organization using a single
connection.
Members' ability to conduct multiple screen sessions on a single workstation. Users
may perform multiple functions simultaneously, such as viewing unmatched trades
and advisories while monitoring GCF positions in real-time. The real-time interactive
messaging system will have a comprehensive set of real-time displays, lists and
reports to provide in-depth feedback on comparison results.
Access to FICC GSD's new Web Report Center Facility, giving members the ability to
use a standard Web Browser to view and print reports on-line as soon as they are
generated by FICC GSD's system. Members may also use this facility to view up to 6
years of historical print-image output.
Use of a single connection for sending and receiving both their regular cash DVP and
GCF Repo systems input and output in addition to DTCC and MBSCC sessions. (This
is an alternative to the existing Broker Network for batch file communications.)
This same single connection that also provides access to DTCC and MBSCC systems will
likely provide access to other clearing corporation systems down the road. The SNA
protocol continues to be available through the Broker Network, and will support the
MQ connection.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
25
Message Specifications
4. Message Specifications
This section contains the detailed specification for the MT515, MT509, MT518, and MT599
messages to be used to support Real-time Comparison, and is organized into the following
subsections:
Section 4.1
Message Format
Guidelines
Section 4.2 MT515
Section 4.3 MT509
Provides formatting rules and conventions for FICC GSD
interactive messaging using SWIFT messages
•
Section 4.2.1 - contains the layout and field
descriptions for the MT515 message that will be used
by Participants to send instructions to FICC GSD.
•
Section 4.2.2 - provides a mapping of the MT515
message to the FICC GSD proprietary layout for an
INSTRUCT record.
Section 4.3.1 - contains the layout and field
descriptions for the MT509 message. The record types
supported by this message will be generated by FICC
GSD to notify Participants of the status of trades, and
other records, submitted to FICC GSD.
•
•
Section 4.4 MT518
•
•
Section 4.5 MT599
•
Section 4.3.2 - provides a detailed analysis of those
fields that can appear on all record types using the
MT509 format.
Section 4.4.1 - contains the layout and field
descriptions for the MT518 message. This message
will be created by FICC GSD for one of the following
three reasons:
o to send an advisory to a contraparty of a trade
submitted against it.
o to advise a Participant of a Locked-in trade
that was booked/canceled on the FICC GSD
system on its behalf.
o to advise where changes have been made to a
Participant’s trade record (including certain
status changes, such as DK’s).
Section 4.4.2 - provides a detailed analysis of those
fields that can appear on all record types using the
MT518 format.
Section 4.5.1 - Contains the layout and field
descriptions for the MT599 message. The message will
be created by FICC GSD to notify participants of the
following events:
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
26
Message Specifications
o
o
o
that the FICC GSD system is available for a
given business day.
that no more records can be submitted for
inclusion in that day’s comparison/netting
processes.
that the FICC GSD system has completed
creating all interactive output for that business
day.
4.1 Message Format Guidelines
Formatting Rules
The following Message and Message Field rules apply to all messages in the FICC GSD Interactive
Message Specification:
Message Rules
1.
2.
Direction
Variable Length
3.
4.
Header
Terminator
5.
6.
7.
Message Type
Message Fields
Character Set
Messages are sent either to or from FICC GSD.
All messages can vary in length up to a maximum allowable
number of characters per message type.
All messages begin with a standard fixed length header.
All messages end with a standard terminator sequence
reflected by a Carriage Return/Line Feed and a Dash (“CRLF –”)
Each message belongs to a specified message type.
A message is composed of one or more message fields.
A-Z, a-z, 0-9, white space and the following punctuation “:/,-”
Message Field Rules
1.
2.
Field Tag
Tag Format
3.
Tag Delimiter
4.
Field Data
5.
6.
7.
Data Format
Data Elements
Qualifiers
Each field begins with a field tag.
Each tag is composed of 2 digits and an optional character
(2!c[1a])
Each tag is prefixed and suffixed by the character “:” (e.g.,
:23G:)
Field data (including qualifiers and sub-qualifiers) immediately
follows the tag suffix delimiter. Generic tags are prefixed by an
additional “:”
Data conforms to format rules for a specified tag.
Field data may be divided into multiple elements or subfields.
Qualifiers within a data field provide additional format
definition. If a qualifier is used, it must appear immediately
after the tag suffix delimiter (e.g., :98A::SETT). If further data
is required after the qualifier, and the data complies with
SWIFT standards, the qualifier is delimited by the
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
27
Message Specifications
8.
Field Delimiter
characters“//” and the data follows (e.g.,
:98A::SETT//19991228 or :20C::MAST//19960815). If the data
is FICC GSD specific, then the FICC GSD issuer code is included
(e.g. :95R::BUYR/GSCC/PART8520).
The field delimiter sequence is Carriage Return Line Feed,
“CRLF” (ASCII Character 13, ASCII Character 10). This sequence
immediately follows the data. The combination of Carriage
Return Line Feed, Colon (“CRLF:”) indicates the end of one
field and the beginning of the next.
Format Conventions
Please note that all the layouts for each of the messages (included in this Section of the document)
are organized using the following columns of data:
Column Heading
Description
M/O
The M/O column defines whether the field is always Mandatory, or is
Optional in the particular message according to SWIFT requirements.
This column does not provide information as to whether the field is
required or optional for FICC GSD. Please refer to the Appendix A,
which provides a list of required fields for both REPO and CASH trades.
Tag
The Tag column defines the exact tag value that must precede the field.
Tags are always delimited by “:” (meaning a “:” would be the character
immediately before and after the tag (e.g., “:98A:” indicates a date with
a format of YYYYMMDD will follow).
Block or Qualifier
The Block or Qualifier column specifies the Block Name in the case of a
start block (16R) or end block (16S) tag. Otherwise, it specifies the
required qualifier for the tag (e.g., :98A::SETT indicates a Settlement
Date field).
Subqualifier/Options
The Options column specifies the different options available for
individual qualifiers for a tag. Each tag, qualifier and option combination
uniquely specifies a data element (e.g., 90A::DEAL//YIEL/ indicates a
trade price will follow with a “yield” price type).
Field Description
The Field Description column provides a text description of the purpose
or use of a data field.
Data Format
The Data Format column specifies the size and characters allowed within
a data field, as specified by SWIFT. The Field Specifications that follow
each layout indicate how each field should be populated for FICC GSD
input/output. The format provided in this column reflects the data that
the Participant must populate the field with (e.g., :98A::SETT// has a
format of YYYYMMDD).
It should be reiterated that the Mandatory/Optional (M/O) Field on the layout indicates if the
field is SWIFT mandatory or optional for the message/sequence. It does not denote, however, if
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
28
Message Specifications
the field is required for submission to FICC GSD. Participants must refer to Appendix A of this
document to identify FICC GSD required fields for both cash and repo trades. Those fields that are
SWIFT mandatory and/or FICC GSD mandatory must be reflected on the MT515, or the message
(Instruct, Modify, Cancel, or DK) will be rejected.
The Data Format field on the layouts is intended to reflect the format of the data that Participants/
FICC GSD must use to populate the field. For example, the format for the Settlement Date field
(:98A::SETT//20011228) is reflected as "YYYYMMDD."
It should also be noted that there are not only differences in data field sizes (as noted previously in
this document), but field formats can also be different for the population of the SWIFT record. For
example, date fields on the MT515, MT509 and MT518 SWIFT records are reflected as "YYYYMMDD"
rather than "MMDDYYYY", which is used on the FICC GSD proprietary layout. Another difference can
be found in the commission field. On the SWIFT layout, the commission should be reflected as
"amount per trade", whereas on the FICC GSD layout the commission is stated on a percentage
basis.
In addition, all fields on the SWIFT messages are left justified, and if the field has a decimal format
(d), it must use a decimal comma, rather than a decimal.
As a supplement to the layout, a detailed description of each field format follows which reflects the
options, defines the usage and provides an example of each field.
The following characters may appear in the Data Format Column or in any discussion of data format
and content:
Character
A
C
D
E
N
X
/
[]
[N]
!
Meaning
Upper Case Alpha Characters
Alphanumeric Characters (upper case
only)
Decimal Number (decimal comma)
Space
Numeric Characters
Any Printable ASCII Symbol
The literal “/” as a separator
Optional element format
Optional “sign” (negative) format
Fixed length field
Example
Format
6a
6c
15d
1e
8n
20x
6c/2a
[/4c]
[N]
12!c
Example Usage
ABCDEF
AB12EF
2035,45
(1blank space)
20011228
Anytime & Anyplace
AB12EF/NY
[optional data]
:92A::REPO//N5,45
ABCDEFGHIJKL
All fields are, by definition, variable in length with a maximum field size specified, unless a fixed
length format is defined by inclusion of the "!", in which case the size specified is the fixed field size.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
29
Message Specifications
In the case where the data value in the fixed length field is smaller than the field size specified, the
data should be left justified with trailing blank.
Typical Message Form
Form
<PASSWORD><SENDER><MESSAGE TYPE>
<RECEIVER><cr><lf>
:<BLOCK START TAG>:<BLOCK NAME><cr><lf>
:<GENERIC TAG 1>::QUALIFIER//DATA FIELD 1
<cr><lf>
:<TAG2>:DATA FIELD2<cr><lf>
:<GENERIC TAG 3>::QUALIF/ISSUER CODE/DATA
FIELD3<cr><lf>
:<BLOCK START TAG>:<BLOCK NAME><cr><lf>
:<GENERIC TAG 4>::QUALIFIER//DATA FIELD
3<cr><lf>
:<BLOCK END TAG>:<BLOCK NAME><cr><lf>
:<BLOCK END TAG>:<BLOCK NAME><cr><lf>
Example
ABCDEFGH 9500 515/000/GSCC
GSCCTRRS
:16R:GENL
:20C::SEME//004354NY4355
:23G:NEWM
:22F::TRTR/GSCC/CASH
:16R:LINK
:20C::MAST//ABCD1234
:16S:LINK
:16S:GENL
As can be seen from the above example, blocks are demarcated by "start" (16R) and "end" (16S)
block tags, with an associated block name. The tags contained within provide the data associated
with the purpose of the block. Subsequent blocks, (i.e. the confirming party block), may be repeated
as necessary (i.e. to identify the buyer of securities, the seller of securities, etc.).
Generic fields, as previously described in this document, are designed to serve a particular function,
with a qualifier code specifying a specific business purpose to that function. In the preceding
example, the "20C" tag is a generic reference number, and the "SEME" qualifier in the GENL block
indicates that this is the Sender's Message identifier. In the LINK subsequence, however, 20C is used
to provide a Master Reference Number (Participant External Reference). Processing code can
thereby be designed to be reused for creating or validating generic fields as the fields are reused
within a message, or across messages.
Message Header Format
M/O
Tag
Block or Qualifier
Options
Data Format
Field Description
M
12!c
Password
M
8!c
Sender
M
3!n/3!n/4!c
Message Type
M
8!c
Receiver
The Message Type Field contained in the message header defines the purpose of the message. As
indicated previously, this message header will be utilized on all FICC GSD - interactive messages:
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
30
Message Specifications
MT515, MT509, MT518 and MT599. The password field will be blank - filled on all FICC GSD
outgoing messages (MT509, and MT518, and MT599).
MT599 Format Differences
It is important to note that the MT599 message is an older SWIFT message type, which is slightly
different in format from the other ISO 15022 messages we are using to support real-time
comparison.
As can be noted on the following pages:
•
•
•
there are no beginning- and end-of-block tags (16R and 16S),
tags do not always include the optional 1 character format suffix, and
there are no generic fields, qualifiers or repeating sequences.
We have included qualifiers in Tag 79 in an attempt to maintain similar formats to other messages
implemented, given that SWIFT allows any type of text to be included in narrative fields. FICC GSD,
for this purpose, has attempted to delineate, and label, the 'subfields' included in this tag in a similar
manner to those on other messages in the interactive messaging specification. Tag 79 will reflect a
reference to the record type being sent, which always follows the message preparation date and
time.
4.2 MT515 Message
This section includes the following subsections:
4.2.1. MT515 Message Specification
This section includes the detailed specification for the MT515 message. The message type will be
used by Participants to send instructions to FICC GSD. The MT515 will be used for the following
record types:
•
•
•
•
Instruct
Cancel
Modify
DK
4.2.2. MT515 Message Mapping
This section provides a mapping of the MT515 message to FICC GSD's proprietary inbound INSTRUCT
record. It is intended to provide a guide as to how to best populate the new MT515 messages. From
the mapping it can be noted where there are differences in data requirements, field sizes and field
formats. The mapping is presented using the MT515 format.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
31
Message Specifications
MT515 GENERAL FORMAT
M/O
Tag
Block/
Qualifier
M
M
M
M
M
M
:16R:
:20C:
GENL
:SEME//
M
:23G:
NEWM
O
:98C:
CANC
:PREP//
M
:22F:
:TRTR/
Subqualifier/
Options
GSCC/CASH
GSCC/REPO
GSCC/TRLK
GSCC/TRLR
GSCC/TRDC
GSCC/TRDR
M
:16R:
LINK
M
:20C:
:MAST//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:PREV//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:LIST//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:BASK//
Field Description
Message Header
Password
Sender
Message Type
Receiver
Mandatory Block Start
Sender’s Reference for
this Msg
Message Function = New
or
Cancel
Preparation Date/Time
Cash Trade Indicator or
Repo Trade Indicator or
Locked-in Cash Trade
Indicator or
Locked-in Repo Trade
Indicator or
Demand Cash Trade
Indicator or
Demand Repo Trade
Indicator
Mandatory Repeat Block
Start
Master Reference
Number
(External Reference)
Repeat Block End
Repeat Block Start
Previous Reference
Number (Previous
External Reference)
Repeat Block End
Repeat Block Start
FICC GSD Assigned
Reference (TID)
Repeat Block End
Repeat Block Start
Broker Reference
Number
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
Data Field
Format
12!c
8!c
3!n/3!n/4!c
8!c
16x
4!c
YYYYMMDD
HHMMSS
4!c
16x
16x
16x
16x
32
Message Specifications
M
M
M
M
:16S:
:16S:
:16R:
:98C:
LINK
GENL
CONFDET
:TRAD//
Repeat Block End
Block End
Mandatory Block Start
Trade Date & Time
M
M
:98A:
:90A:
:SETT//
:DEAL/
/PRCT/
O
M
:19A:
:22H:
:SETT/
:BUSE/
/YIEL/
/DISC/
/USD
/BUYI
O
:22F:
:PROC/
/SELL
GSCC/INST
GSCC/CANC
GSCC/MDFC
GSCC/TDDK
/APMT
M
:22H:
:PAYM/
M
:16R:
CONFPRTY
M
O
O
:95R:
:20C:
:70E:
:BUYR/
:PROC//
:DECL/
GSCC/PART
/GSCC
/CORR
O
:70C:
:PACO/
M
M
:16S:
:16R:
CONFPRTY
CONFPRTY
M
O
O
:95R:
:20C:
:70E:
:SELL/
:PROC//
:DECL/
/GSCC
/TDID
GSCC/PART
/GSCC
/CORR
O
:70C:
:PACO/
/GSCC
Settlement Date
Deal Price - Percentage
or
Yield
or
Discount
Settlement Amount
Trade Type - Buy (REVR)
or
Sell (REPO)
MT515 Record TypeInstruct or
Cancel or
Modify or
DK
Against Payment
Indicator
Mandatory Repeat
Block Start
Party = Buyer
Contra Buyer X-ref
Narrative/Additional
Reference
Numbers/Information
Party = Buyer’s
executing firm
Participant Contact
Narrative
Buyer Contra Trader ID
Repeat Block End
Mandatory Repeat
Block Start
Party = Seller
Contra Seller X-ref
Narrative/ Additional
Reference Numbers/
Information
Party = Seller’s
Executing Firm
Participant Contact
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
YYYYMMDD
HHMMSS
YYYYMMDD
15d
15d
4!c
4!c
4!c
34x
16x
(10*35x)
5c
(4*35x)
20c
34x
16x
(10*35x)
5c
(4*35x)
33
Message Specifications
/TDID
M
M
:16S:
:36B:
CONFPRTY
:CONF/
M
:35B:
/US/
O
:70E:
:TPRO/
/FAMT/
/GSCC
/DKRS
M
M
M
M
M
M
O
:16R:
:16R:
:19A:
:16S:
:16S:
:16R:
:98A:
SETDET
AMT
:LOCO/
AMT
SETDET
REPO
:REPU//
O
:20C:
:SECO//
O
O
:92A:
:19A:
:REPO//
:REPA/
M
:16S:
REPO
/USD
/USD
Narrative
Seller Contra Trader ID
Repeat Block End
Quantity as Face
Amount (Par)
Security Identifier CUSIP
Trade Instruction
Processing Narrative
DK Reason (see
Appendix E)
Optional Block Start
Optional Block Start
Commission Amount
Block End
Block End
Optional Block Start
Date of Repo Off Leg
Settlement
Secondary Reference
Number
Repo Rate
Close-leg Settlement
Amount
Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
20c
15d
4 * 35x
(10*35x)
4!c
15d
YYYYMMDD
16x
[N]15d
15d
34
Message Specifications
MT515 FIELD SPECIFICATIONS
Block Tag
Message
Header
Password
Sender
Message
Type
Receiver
20C
23G
Notes
Each Message must contain a message header. All header fields are mandatory
fixed format with trailing blanks, where required
12!c
A password will be assigned by FICC GSD enabling
the sender to submit trades on behalf of specific
participant(s).
8!c
Participant ID
3!n/3!n/4!c
The first three characters indicate to the recipient
the message type (515); the second three positions
reflect the version of the message interface
(currently always 000). The last four characters
indicate the issuer code to be used in the message
(“GSCC”).
8!c
GSCCTRRS (GSCC Trade Registration and
Reconciliation System) will always be the recipient
of the MT515 messages.
This Mandatory block provides general information regarding the message. It
appears only once in a trade contract.
Sender Message Reference
• SEME// - This field contains the sender’s message reference number. It is
mandatory and must contain a unique number to unambiguously identify
each message sent to FICC GSD. (This is a communications message
number, not a trade number.) It is suggested that participants use a
number that includes a date followed by either a time stamp or a sequence
number. In this way uniqueness can be ensured.
Note: While the SWIFT message accommodates both Upper and Lower case
alphanumeric and certain symbols, for FICC GSD purposes, this field must be
populated with an upper case alphanumeric value. It cannot contain symbols or
hyphens.
e.g., :20C::SEME//200109150001
Function of the Message
This mandatory field identifies the function of the message. It will either be a new
message (NEWM) for an Instruct, Modify or DK, or a cancellation (CANC) of a
previous message. Because we will not support the Replace (REPL) message via
interactive messaging, participants must submit a cancel (CANC) and a new trade
(NEWM) to replace a previously existing trade in the system. Participants may
choose to retain their original reference number on the new trade, or use a new
reference number, where desired.
• NEWM - will be used for a new trade or a trade modification or DK
message.
• CANC - will be used to request the cancellation of a trade.
e.g., :23G:NEWM
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
35
Message Specifications
Block Tag
98C
Notes
Preparation Date and Time
• PREP// -This field contains the date and time the message sent to FICC GSD
was prepared.
Note: The “C” format for this (98) tag indicates a date/time format of
“YYYYMMDDHHMMSS”.
22F
Trade Transaction Type Indicator (TRTR)
This mandatory field specifies whether the trade is cash or repo and if the trade is
Bilateral, Locked-in or Demand.
• TRTR/GSCC/CASH - This qualifier/option should be used on buy/sell trades
requiring two-sided (Bilateral) comparison.
TRTR/GSCC/REPO - This qualifier/option should be used on repo trades requiring
two- sided comparison.
• TRTR/GSCC/TRLK - This qualifier/option should be used on Locked-in cash
trades.
• TRTR/GSCC/TRLR - This qualifier/option should be used on Locked-in repo
trades.
• TRTR/GSCC/TRDC -This qualifier/option should be used on Demand cash
trades.
• TRTR/GSCC/TRDR - This qualifier/option should be used on Demand repo
trades.
e.g., :98C::PREP//19991215102015
e.g., :22F::TRTR/GSCC/TRLK
20C
The LINK Block can be repeated for the various reference qualifiers required on a
Trade Contract. It is intended to provide the required information to identify the
trade. Each reference number must be enclosed within a Start Link Block
(:16R:LINK) and End Link Block (:16S:LINK). Each LINK repeating subsequence is
within the GENL Block. At least one LINK sequence is required on the MT515
message.
Reference
The Reference Numbers provided by the Participant must contain Upper Case
AlphaNumeric characters - and must not contain symbols or hyphens. As indicated
above, each reference number must be enclosed in a LINK Start and End block.
MT515 DK messages (submitted against contraparty trades) will not contain
reference numbers in this sequence, but require the MAST qualifier to be included
on the record
•
MAST// - Master Reference Number - This qualifier contains the
Participant’s Reference Number for the trade (External Reference
Number). This field must be unique for an Instruct, and should be
populated with the primary reference number that the participant will
use to track trades on the FICC GSD system. It is mandatory for inbound
MT515 INSTRUCT and DK messages. For DK’s this field should be
populated with the value “NONREF”. For Cancels and Modifies, the
participant can elect to send either the External Reference Number
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
36
Message Specifications
Block Tag
CONFDET
98C
98A
Notes
(MAST) or the FICC GSD Reference Number (LIST).
• PREV// - Previous Reference Number - This qualifier is used on either
Trade Modify or Trade Cancel MT515 records. On Modify records, it is
used to modify the reference number and should contain the
Participant’s Previous External Reference Number. For MT515 Cancel
records you are submitting (:23G:CANC and :22F::PROC/GSCC/CANC in
the Confirmation Details (CONFDET) block), this field should be
populated with the value “NONREF”. This field will not be used on
Instruct or DK records.
• LIST// - FICC GSD Reference Number – This qualifier contains FICC GSD’s
reference number (TID) for the trade. (This can be used on Modify and
Cancel records - and where supplied, will be used by FICC GSD to identify
the trade, rather than the reference provided in the Master Reference Field,
“MAST”) For Cancels and Modifies, the participant can elect to send either
the External Reference Number (MAST) or the FICC GSD Reference Number
(LIST). This field will not be used on Instruct or DK records.
• BASK// - Broker Reference Number - This qualifier specifies the broker
reference, which is required for broker submitted trades. This field will
not be used on DK records.
Note: While the SWIFT message accommodates both Upper and Lower case
alphanumeric and certain symbols, for FICC GSD purposes, this field must be
populated with an upper case alphanumeric value. It cannot contain symbols or
hyphens, except where the reference number is assigned by FICC GSD.
e.g., :20C::MAST//PARTREF1
The Mandatory CONFDET (Confirmation Details) block appears only once in a
Trade Contract. It contains Trade and Confirming Party Details
Trade Date
• TRAD// - This field is used on all messages to specify Trade Date and Trade
Time. (The “C” format for this (98) tag indicates a date/time format of
“YYYYMMDDHHMMSS”.)
e.g., :98C::TRAD//19991215095510
Settlement Date
• SETT// - This field is used on all messages to specify settlement date for a
cash trade, or the “Start-leg” settlement date, in the case of a repo. (The
“A” format for this tag (98) indicates a date format of “YYYYMMDD”.)
e.g., :98A::SETT//19991216
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
37
Message Specifications
Block Tag
90A
Notes
Deal Price
This field is reflected on all messages. It contains the Execution Price Type and
Price. Only one Tag 90A is allowed per trade contract. The price is in SWIFT
Standard format, which is left justified, with commas removed, and a comma used
instead of a decimal. The following price types may be specified:
• DEAL//PRCT/ - This qualifier/option is used for dollar prices and repo rates.
(Where the trade is a repo, however, the price portion of the field must be
populated with “0,”.) Repo rates can be found in the REPO Block.
• DEAL//YIEL/ - This qualifier/option is used for Yield priced trades.
• DEAL//DISC/ - This qualifier/option is used for Discount Rates.
Note: While the SWIFT format accommodates 15d characters (with decimal), the
FICC GSD system supports a field size of 14d. The field should be populated with a
value no larger than 14d.
e.g., :90A::DEAL//PRCT/99,625
98A
Settlement Date
• SETT// - This field is used on all messages to specify settlement date for a
cash trade, or the “Start-leg” settlement date, in the case of a repo. (The
“A” format for this tag (98) indicates a date format of “YYYYMMDD”.)
90A
Deal Price
This field is reflected on all messages. It contains the Execution Price Type and
Price. Only one Tag 90A is allowed per trade contract. The price is in SWIFT
Standard format, which is left justified, with commas removed, and a comma used
instead of a decimal. The following price types may be specified:
• DEAL//PRCT/ - This qualifier/option is used for dollar prices and repo rates.
(Where the trade is a repo, however, the price portion of the field must be
populated with “0,”.) Repo rates can be found in the REPO Block.
• DEAL//YIEL/ - This qualifier/option is used for Yield priced trades.
• DEAL//DISC/ - This qualifier/option is used for Discount Rates.
Note: While the SWIFT format accommodates 15d characters (with decimal), the
FICC GSD system supports a field size of 14d. The field should be populated with a
value no larger than 14d.
19A
Settlement Amount
• SETT// - This field is used to specify the Settlement Amount for buy/sell
trades and the “Start-leg” settlement amount for Repo trades.
The amount is in SWIFT Standard format, which is left justified, with commas
removed, and a comma used instead of a decimal. The amount is always preceded
by a 3-character ISO currency code (“USD” for FICC GSD trades).
For repo trades, this field must be populated with the Start-leg settlement amount.
Note: The SWIFT format can accommodate a value of 15d in this field. This is a
change from the 18 character field on the FICC GSD proprietary layouts.
e.g., :98A::SETT//19991216
e.g., :90A::DEAL//PRCT/99,625
e.g., :19A::SETT//USD1000500,5
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
38
Message Specifications
Block Tag
22H
Notes
Trade Type Indicator (BUSE)
This field is required on all messages and has two allowable values for this BUSE
qualifier:
• BUSE//BUYI - This qualifier/option indicates that the trade submitted is
either a buy, in the case of a cash trade, or a reverse, in the case of a repo
trade.
• BUSE//SELL - This qualifier/option indicates that the trade submitted is
either a sell, in the case of a cash trade, or a repo, in the case of a repo
trade.
Note: The inclusion of a REPO block and the use of a Repo qualifier in Tag 22F
(TRTR/GSCC/REPO, TRTR/GSCC/TRLR or TRTR/GSCC/TRDR) in the GENL block will
indicate that the trade is a repo trade, rather than a cash trade.
e.g., :22H::BUSE//BUYI
22F
Processing Indicator (PROC)
This processing indicator enables the participant to indicate to FICC GSD the type of
record/command being submitted on this MT515.
The allowable values for this field are:
• PROC/GSCC/INST - This qualifier/option indicates that the MT515 is an
INSTRUCT record.
• PROC/GSCC/CANC - This qualifier/option indicates that the MT515 is a
CANCEL record.
• PROC/GSCC/MDFC - This qualifier/option indicates that the MT515 is a
MODIFY record.
• PROC/GSCC/TDDK - This qualifier/option indicates that the MT515 is a DK
record.
22H
Payment Indicator (PAYM)
This Payment indicator field is mandatory for the MT515 message. All trades
submitted to FICC GSD must provide the following qualifier:
• PAYM//APMT - This qualifier/option indicates that the trade will settle
against payment.
e.g., :22F::PROC/GSCC/INST
e.g., :22H::PAYM//APMT
36B
Quantity of Securities (CONF)1
• CONF//FAMT/ - This field is mandatory, and for the purposes of FICC GSD,
must use the option ‘FAMT’ - indicating face amount (par). The quantity of
the financial instrument is in SWIFT Standard Format, which is left justified,
with commas removed, and a comma used instead of a decimal.
Note: The SWIFT format can accommodate a value of 15d in this field. This is a
change from the 18-character field on the FICC GSD proprietary layouts
35B
Identification of Security1
The security/collateral involved is identified in the US by specifying the ISO country
identifier(‘/US/’), followed by the CUSIP number
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
e.g., :36B::CONF//FAMT/1000000,
39
Message Specifications
Block Tag
70E
Notes
Note: While the SWIFT layout accommodates a format of 4 * 35x, a 9!c (alpha
numeric) value should populate the field for the CUSIP
1
e.g., :35B:/US/9128275N8
Trade Instruction Processing Narrative (TPRO)
This field is intended to reflect transaction related information not supported by the
MT515 layout. It will be used on all MT515 DK messages to reflect the reason for
the DK.
• TPRO//GSCC - denotes narrative trade instruction processing information
related to FICC GSD.
• /DKRS - Should be used to specify the reason for the DK. The four character
code can be found in Appendix E of this document
e.g., :70E::TPRO//GSCC/DKRSE008
Tags 36B, 35B and 70E::TPRO// in the CONFDET block must be placed on the FICC GSD MT515 message following the
confirming party subsequences.
1
95R
The Mandatory Confirming Party Block must be repeated for each party to a
trade. Each party specified must be enclosed within a Start Party block
(:16R:CONFPRTY) and End Party block (:16S:CONFPRTY). Please note that on
every trade there should be at least two (one buyer and one seller) repeating
Confirming Party sequences, and one of these parties will also be the submitter of
the MT515 record. It should be noted that certain fields in this block must follow
the Confirming Party subsequences (36B, 35B and 70E).
Party
• BUYR/GSCC/PART - specifies the Buying, or Reversing, Party. (the “FICC
GSD” issuer code allows the specification to include the FICC GSD
participant or contra ID, depending on whom is acting as buyer or seller).
• SELL/GSCC/PART - specifies the Selling, or Repoing, Party.
Note: While the SWIFT layout supports a format of 35x for this field, the
participant must populate the field with the appropriate qualifier and 4 character
Participant ID, for buyer or seller.
e.g., :95R::BUYR/GSCC/PART9501
20C
Processing Reference
• PROC// - This field must be used on DK messages in the appropriate buyer
or seller subsequence to indicate the Contraparty’s External Reference
Number of the trade being DK’ed.
70E
Narrative (DECL)
This field will be used in each subsequence to identify the executing firm, where
applicable
• DECL//GSCC - denotes narrative information specific to FICC GSD.
• /CORR – should be used in the BUYR and/or SELL confirming party
sequence(s) to indicate the buyer and/or seller’s executing (correspondent)
firm(s).
Note: While this field can support a narrative 10 * 35x, the participant, at this time,
should only provide the above qualifiers and the FICC GSD assigned executing firm
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
e.g., :20C::PROC//CONTRAXREF1
40
Message Specifications
Block Tag
Notes
code in this field. In the future, this narrative field can be used to support
additional information related to the buyer or seller, where required.
e.g., :70E::DECL//GSCC/CORRATGN
70C
Participant Contact Narrative (PACO)
This field will be used in the appropriate buyer or seller confirming party sequence
on MT515 Instructs, Cancels or Modifies submitted to provide information
regarding the individual/desk at the contraparty that executed the trade. It should
be noted that the trader ID field is for informational purposes only, and will be
captured for the purposes of passing the information to the contraparty on MT518
Request for Comparison messages. This field will not be compared or validated, nor
will it be a basis for rejection or DK capabilities
• PACO//GSCC - denotes participant contact narrative information specific to
FICC GSD.
• /TDID - should be used in the appropriate BUYR or SELL confirming party
sequence to indicate the following.
o on MT515 Instruct, Cancel or Modify Records, this qualifier should
be used by the submitter to indicate the buyer or seller contraparty
ID of the trader that executed the trade.
o on MT515 DK messages, this qualifier should be used to reflect the
buying or selling submitter’s ID of the trader that executed the
trade (as originally submitted by the contraparty).
SETDET
This Optional Block and the AMT subsequence, are necessary only when
commission is specified on the trade. Currently, FICC GSD accepts commission on
WI trades for coupon bearing instruments submitted prior to auction, or on Repo
trades.
As indicated above, this Optional sequence is only necessary to support the
inclusion of broker commission on a WI trade or a commission amount on Repo
Trades. This block should always be included within the Settlement Details
(SETDET) block
Commission Amount
• LOCO//USD - This field specifies the broker’s commission amount on WI
trades or Repo trades. The commission amount field is in SWIFT Standard
Format, which is left justified, with commas removed, and a comma used in
lieu of a decimal. The amount must be preceded by a 3-character ISO
currency code.
Note: The value in this field is an AMOUNT - this differs from the rate field format
on the FICC GSD proprietary layouts and within the FICC GSD system. The
Commission Amount per trade should be included in this field – e.g., where the
commission is $40 per million, for a two million dollar trade the field should be
displayed “LOCO//USD80,”.
Note: The commission amount submitted for a Repo trade should not be
included in the net money. At this point in time, FICC GSD will not process the
e.g., :70C::PACO//GSCC/TDIDFRED1
AMT
19A
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
41
Message Specifications
Block Tag
REPO
98A
20C
92A
19A
Notes
value in this field for Repo trades.
e.g., :19A::LOCO//USD40,
The Optional Repo Block appears only on trade contracts involving a repurchase/
reverse repurchase trade. It appears only once in the contract. Its inclusion
indicates that the trade is either a Repo or Reverse trade, based on the BUSE
indicator in the CONFDET Block (BUYI = Reverse, SELL = Repo). This block must be
included on a Repo MT515 record.
Repurchase Date
• REPU// - This Mandatory field specifies the Repo Close-leg Settlement Date
in SWIFT format (YYYYMMDD).
e.g., :98A::REPU//19991217
Secondary Reference
• SECO// - This field is optional, but if used, should include the qualifier
“SECO” to support an additional reference number for the participant’s
REPO trade.
Note: Please note that while the SWIFT message accommodates both Upper and
Lower case alphanumeric and certain symbols, for FICC GSD purposes, this field
must be populated with an upper case alphanumeric value. It cannot contain
symbols or hyphens.
e.g., :20C::SECO//REPOREF2
Repo Rate
• REPO// - The Mandatory REPO Rate field is in SWIFT standard format - left
justified with a comma inserted in lieu of a decimal.
Note: While the SWIFT format accommodates 15d characters (with decimal), the
FICC GSD system supports a field size of 14d. The participant should populate the
field with a value no larger than 14d.
e.g., :92A::REPO//3,75
Repurchase Amount
• REPA// - The Close-leg settlement amount is always prefixed by the ISO
currency code (USD) and is in SWIFT standard format – left-justified with
commas removed, and a comma used in lieu of a decimal.
Note: The SWIFT format can accommodate a value of 15d in this field. This is a
change from the 18- character field on the FICC GSD proprietary layouts.
e.g., :19A::REPA//USD1001000
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
42
Message Specifications
M515 Instruct Message Mapping
SWIFT Record
M/O Tag
Block/Qualifier Subqualifier/
Options
Field Description
FICC GSD Record Fields
Data Format
FICC GSD
Field
Length
Start
End
Format
Comments
Message Header
M
Password
12!c
Password
12
17
28
A/N
To be assigned by FICC GSD trailing blanks
M
Sender
8!c
Participant ID
4
33
36
N
Participant ID - trailing blanks. Where
submitter is not Participant, FICC GSD
to assign ID
M
Message Type
3!n/3!n/4!c
Message type/version/issuer ID
515/000/GSCC
Version = “000”
M
Receiver
M
:16R:
GENL
Block Start
M
:20C:
:SEME//
Sender’s Reference for this
Message
8!c
FICC GSD receiving system “GSCCTRRS”. This field will be used to
route the message to the appropriate
application.
16x
No corresponding field on FICC GSD
proprietary layout.
Participant Message number
(communications)– any combination of
upper case alphanumeric characters - no
symbols/hyphens.
M
O
:23G:
:98C:
NEWM
Message Function = New
or
CANC
Cancel
:PREP//
Preparation Date/Time
4!c
Where 23G = NEWM, the record will
either be an Instruct, Modify, or a DK
message.
Where 23G = CANC, the record will be
mapped to a Cancel record
YYYYMMDD
HHMMSS
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
No corresponding field on FICC GSD
proprietary layout.
43
Message Specifications
SWIFT Record
FICC GSD Record Fields
M/O Tag
Block/Qualifier Subqualifier/
Options
Field Description
Data Format
FICC GSD
Field
Length
Start
End
Format
Comments
M
:TRTR/
Cash Trade Indicator or
4!c
Locked-in
1
210
210
A/N
Where 22F = TRTR/GSCC/REPO or
CASH, the trade is submitted for bilateral
comparison
:22F:
GSCC/CASH
Where 22F = TRTR/GSCC/TRLR or
TRLK, the trade is locked-in
Where 22F = RTR/GSCC/TRDC or
TRDR, the trade is demand.
GSCC/REPO
Repo Trade Indicator or
GSCC/TRLK
Locked-in Cash Trade
Indicator or
GSCC/TRLR
Locked-in Repo Trade
Indicator or
Demand Cash Trade
Indicator or
GSCC/TRDC
GSCC/TRDR
Demand Repo Trade
Indicator
M
:16R:
LINK
Repeat Block Start
M
:20C:
:MAST//
Master Reference Number
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
16x
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
External
Reference
Number
16
63
78
A/N
This field is required on all Instruct
Records. All Cancel and Modify records
must reflect either the “External Reference
Number” (MAST) or the TID (LIST) of the
trade record being canceled or modified.
DK records must reflect “NONREF” in the
“MAST” field.
44
Message Specifications
SWIFT Record
M/O Tag
Block/Qualifier Subqualifier/
Options
Field Description
O
:PREV//
Previous Reference
Number
:20C:
FICC GSD Record Fields
Data Format
FICC GSD
Field
Length
Start
End
Format
16x
Comments
NA for Instruct and DK Records
For MT515 Modify Records, this field will
contain the Participant’s Previous External
Reference.
On MT515 Cancel records, the Participant
must populate the field with the value
“NONREF”.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:LIST//
FICC GSD Assigned
Reference Number
This field may be populated by
Participants, on Cancels and Modifies,
such as change of x-ref.
16x
NA for Instruct and DK records.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:BASK//
Broker Reference Number
M
:16S:
LINK
Repeat Block End
M
:16S:
GENL
Block End
M
:16R:
CONFDET
Block Start
M
:98C:
:TRAD//
Trade Date & Time
16x
Broker
Reference
Number
16
43
58
A/N
YYYYMMDD
HHMMSS
Trade Date
8
87
94
A/N
199
MMDDYY
YY
A/N
Trade Time
6
194
If broker submits trade, required Broker
Reference Number is mapped here. NA for
DK records.
Please note differences in date format.
HHMMSS
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
45
Message Specifications
SWIFT Record
FICC GSD Record Fields
M/O Tag
Block/Qualifier Subqualifier/
Options
Field Description
Data Format
FICC GSD
Field
Length
Start
End
Format
Comments
M
:SETT//
Settlement Date
YYYYMMDD
Settlement
Date
8
95
102
A/N
MMDDY
YYY
Where trade is a cash trade, map
settlement date here.
A/N
MMDDY
Where trade is a repo trade, map repo
start date here.
YYY
Please note differences in date format.
:98A:
Start Date
M
:90A:
:DEAL/
/PRCT/
/YIEL/
/DISC/
O
:19A:
M
O
:22H:
:22F:
:SETT/
:BUSE/
:PROC/
/USD
/BUYI
GSCC/INST
Deal Price - Percentage or
Yield or
Discount
Settlement Amount
Trade Type - Buy (RV) or
Instruct Processing
Indicator or
15d
15d
15d
15d
4!c
4!c
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
8
239
246
Please note differences in date format.
Pricing
Method
1
150
150
A/N
Where price type is Dollar Price or Repo
Rate - populate field with “PRCT”.
Price/Repo
Rate
14
136
149
A/N
If trade is repo, price must be “0,”
otherwise, place dollar price here.
Pricing
Method
1
150
150
A/N
YIEL = ‘Y’ = Yield
Price/Repo
Rate
14
136
149
A/N
Pricing
Method
1
150
150
A/N
Price/Repo
Rate
14
136
149
A/N
Net Money
18
151
168
A/N
Where trade is a cash trade, map net
money here.
Start Amount
18
221
238
A/N
Where trade is a repo trade, map Start
Amount here.
Transaction
Type
4
83
86
A/N
Where trade is Buy or Reverse, populate
field with “BUYI”.
Transaction
Type
4
83
86
A/N
Where trade is Sell or Repo, populate
field with “SELL”.
Command
Type
4
29
32
A/N
Where 22F = PROC/GSCC/INST
populate command type = “INST”
DISC = ‘D’ = Discount
46
Message Specifications
SWIFT Record
M/O Tag
M
M
Block/Qualifier Subqualifier/
Options
Field Description
GSCC/CANC
:22H:
:PAYM/
:16R:
CONFPRTY
:95R:
:BUYR/
O
:20C:
:PROC//
O
:70E:
:DECL/
O
:70C:
:PACO/
FICC GSD Record Fields
Data Format
FICC GSD
Field
Length
Start
End
Format
Comments
Cancel Processing
Indicator or
Command
Type
4
29
32
A/N
NA for INST record
GSCC/MDFC
Modify Processing
Indicator or
Command
Type
4
29
32
A/N
NA for INST record
GSCC/TDDK
DK Processing Indicator
Command
Type
4
29
32
A/N
/APMT
Against Payment Indicator
4!c
NA for INST record
This field is SWIFT mandatory for all
MT515 records.
Repeat Block Start
GSCC/PART
Party = Buyer
34x
Participant ID
4
33
36
N
Where Buying party is Participant, map
Participant ID here.
Contra Firm
4
169
172
N
Where Buying party is Contraparty, map
Contra Firm ID here.
Contra Buyer x-ref
16x
NA for INST record. Applicable to DK
record only.
/GSCC
Narrative/ Additional
Reference Numbers/
Information
(10*35x)
The below fields can be included within
this narrative field, where appropriate.
/CORR
Party = Buyer’s executing
firm
5c
/GSCC
Participant Contact
Participant’s
Executing Firm
5
200
204
A/N
Contra’s
Executing Firm
5
205
209
A/N
Where Buying party has an executing firm,
populate field with either Participant or
Contra Executing firm, as appropriate.
(4*35x)
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
47
Message Specifications
SWIFT Record
M/O Tag
Block/Qualifier Subqualifier/
Options
/TDID
Field Description
Data Format
Contra Trader ID
20c
M
:16S:
CONFPRTY
Repeat Block End
M
:16R:
CONFPRTY
Repeat Block Start
M
:95R:
:SELL/
O
:20C:
:PROC//
O
:70E:
:DECL/
O
M
:70C:
:16S:
:PACO/
CONFPRTY
GSCC/PART
FICC GSD Record Fields
Party = Seller
Contra Seller x-ref
34x
FICC GSD
Field
Length
Start
End
Format
On Instruct, Modify and Cancel, populate
this field with Contraparty Trader ID,
where known. (On DK records this will
represent submitter’s Trader ID).
No corresponding field on FICC GSD
proprietary layout.
Participant ID
4
33
36
N
Where Selling party is Participant, map
Participant ID here.
Contra Firm
4
169
172
N
Where Selling party is Contraparty, map
Contra Firm ID here.
16x
/GSCC
Narrative/ Additional
Reference Numbers/
Information
(10*35x)
/CORR
Party = Seller’s Executing
Firm
5c
/GSCC
Participant Contact Narrative (4*35x)
/TDID
Contra Trader ID
20c
Comments
NA for INST record. Applicable to DK
record only.
The below fields can be included within this
narrative field, where appropriate.
Participant’s
Executing Firm
5
200
204
A/N
Contra’s
Executing Firm
5
205
209
A/N
Where Selling party has an executing firm,
populate field with either Participant or
Contra Executing firm, as appropriate.
On Instruct, Modify and Cancel, populate
this field with Contraparty Trader ID, where
known. (On DK records this will represent
submitter’s Trader ID).
No corresponding field on FICC GSD
proprietary layout.
Repeat Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
48
Message Specifications
SWIFT Record
FICC GSD Record Fields
M/O Tag
Block/Qualifier Subqualifier/
Options
Field Description
Data Format
M
:36B:
:CONF/
15d
M
:35B:
/US/
Quantity as Face Amount
(Par)
CUSIP
9!c
(4 * 35x)
O
:70E:
:TPRO/
/FAMT/
/GSCC
/DKRS
Trade Instruction
Processing Narrative
DK Reason Code (see
M
:16S:
CONFDET
Block End
O
:16R:
SETDET
Optional Block Start
M
:16R:
AMT
Block Start
M
:19A:
:LOCO//USD
Commission Amount
FICC GSD
Field
Length
Start
End
Format
Quantity
18
118
135
A/N
CUSIP
9
103
111
A/N
Comments
(10*35x)
4!c
NA for INST record. Applicable to DK
record only.
This sequence is required where there is
broker commission on WI trades - or to
support submission of commission
information on REPO trades.
15d
Commission
11
179
189
A/N
For WI trades as well as REPO trades.
Total Commission Amount should be
stated on a per-trade amount, rather than
on a rate basis.
NOTE: For REPO trades submitted, this
commission amount should NOT be
included in net money.
FICC GSD systems will maintain the
commission for WI trades in rate, rather
than amount, format.
M
:16S:
AMT
Block End
M
:16S:
SETDET
Block End
O
:16R:
REPO
Optional Block Start
O
:98A:
:REPU//
Date of Repo Close-leg
Settle or
This block must be included on repo
trades. NA for cash trades
YYYYMMDD
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
Settlement
date
8
95
102
A/N
MMDDYY
This field = settlement date of close-leg.
Please note differences in date formats.
49
Message Specifications
SWIFT Record
FICC GSD Record Fields
M/O Tag
Block/Qualifier Subqualifier/
Options
Field Description
Data Format
FICC GSD
Field
Length
Start
End
Format
Comments
O
:20C:
:SECO//
Secondary Reference
Number
16x
Secondary
Reference
Number
16
247
262
A/N
Where 22F = TRTR/GSCC/REPO or
TRLR, map this field to Participant
Secondary Reference number.
O
:92A:
:REPO//
Repo Rate or
[N]15d
Price/Repo
Rate
14
136
149
A/N
For repo trades, map Price/Repo Rate
here.
O
:19A:
:REPA//USD
Close-leg Settlement
Amount
15d
Net Money
18
151
168
A/N
For repo trades, map Net Money here.
M
:16S:
REPO
Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
50
Message Specifications
4.3 MT509 Message
This section includes the following subsections:
4.3.1. MT509 Message Specification
This section provides the detailed specification for the MT509 message. The message type will be
used by FICC GSD to notify Participants of the status of trades, or records, submitted. As described
in the MT509 Overview in this document, the MT509 will be sent by FICC GSD to the Participant for
the following events:
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
Trade Input Accepted
Trade Input Rejected
Repo Substitution Processed
Modify Accepted
Modify Rejected
Modify Processed
Deleted Uncompared Transaction
DK Accepted
DK Rejected
DK Processed
Trade Canceled due to DK
Cancel Accepted
Cancel Rejected
Cancel Processed
Cancel Lifted by Participant
Trade Compared
Trade Compared through Par Summarization
4.3.2. MT509 Field Analysis
This section contains an analysis of the fields that may be found on each MT509 message. For each
record type, a check mark will be found where it is possible for that field to appear on that record. It
should be noted, however, that where a check mark appears, the check mark is not intended to
indicate that a field is mandatory for a given record type. Where there is no check mark in a given
box, that field is not applicable for the record type in question.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
51
Message Specifications
MT509 General Format
M/
O
Tag
Block/
Qualifier
M
M
:16R:
:20C:
GENL
:SEME//
M
:23G:
INST
O
:98C:
CAST
:PREP//
M
M1
:16R:
:20C:
LINK
:MAST//
M
M
O
M
M
O
:16S:
:16R:
:20C:
:16S:
:16R:
:20C:
LINK
LINK
:PREV//
LINK
LINK
:RELA//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:INDX//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:LIST//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:PROG//
M
M
O
M
:16S:
:16R:
:20C:
:16S:
LINK
LINK
:BASK//
LINK
Subqualifier/
Options
Options
Field Description
Message Header
Password
Data Field
Format
12!c
Sender
8!c
Message Type
3!n/3!n/4!c
Receiver
Block Start
Sender’s Reference for this
Message
Message Function - Instruct
or
Cancel
Preparation Date/Time
8!c
Repeat Block Start
Participant External
Reference Number
Repeat Block End
Repeat Block Start
Previous Reference Number
Repeat Block End
Repeat Block Start
Related Reference Number
(Sender’s Reference)
Repeat Block End
Repeat Block Start
Secondary External
Reference Number
Repeat Block End
Repeat Block Start
FICC GSD Assigned
Reference Number
Repeat Block End
Repeat Block Start
Contraparty Reference
Number
Repeat Block End
Repeat Block Start
Broker Reference Number
Repeat Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
16x
4!c
YYYYMMDDH
HMMSS
16x
16x
16x
16x
16x
16x
16x
52
Message Specifications
M/
O
M
M
Tag
:16R:
:25D:
Block/
STAT
:IPRC/
Subqualifier/
Options
/PACK
/REJT
GSCC/RPSP
GSCC/MODA
GSCC/MODP
GSCC/DELE
:CPRC/
:MTCH/
M
M
:16R:
:24B:
REAS
:REJT/
O
:70D:
:REAS/
M
M
M
:16S:
:16S:
:16S:
REAS
STAT
GENL
GSCC/PADK
GSCC/DPPR
GSCC/DEDK
/PACK
/REJT
/CAND
GSCC/UPBP
/MACH
GSCC/PSUM
/GSCC
/MDRJ
/DKRJ
Field Description
Repeat Block Start
Trade Input
Accepted/Validated
or
Trade, Trade Modify, or DK
is rejected or
Repo Substitution Processed
or
Modify Accepted or
Modify Processed or
Deleted Uncompared
Transaction or
DK Accepted or
DK Processed or
Trade Canceled due to DK or
Cancel Accepted or
Cancel Rejected or
Cancel Processed or
Cancel Lifted by Participant
(Uncancel processed) or
Trade Compared or
Trade Compared through
Par Summarization
Optional Repeat Block Start
Reject Reason Code (see
Appendix E)
Reject Reason Narrative
Modify Rejected or
DK Rejected
Narrative
Repeat Block End
Repeat Block End
Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
Data Field
Format
4!c
4!c
(6*35x)
4!c
53
Message Specifications
Block/Tag
Message
Header
Password
Sender
Message
Type
Receiver
GENL
20C
Notes
Each Message must contain a message header. All header fields are
mandatory fixed format with trailing blanks, where required
12!c
Password fields will be blank filled on MT509 messages.
8!c
GSCCTRRS (GSCC Trade Registration and Reconciliation
System) will always be the sender of the MT509 messages
in this document.
3!n/3!n/4!c
The first three characters indicate to the recipient the
message type (509); the second three positions reflect the
version of the message interface (currently always 000).
The last four characters indicate the issuer code to be used
in the message (“GSCC”).
8!c
Participant ID
This mandatory block provides general information regarding the
message. It appears only once in a Status Message.
Sender Message Reference
• SEME// - This mandatory field contains the sender’s (GSCC)
message reference number. It is used on all messages sent by FICC
GSD and will contain a unique number to unambiguously identify
each message. (This is a communications message number, not a
trade number.)
Note: While the SWIFT message accommodates both Upper and Lower case alphanumeric
and certain symbols, for FICC GSD purposes, this field will be populated with an upper case
alphanumeric value. It will not contain symbols or hyphens.
23G
98C
e.g., :20C::SEME//GSCCCOMREF1
Function of the Message
This mandatory field is used on all messages to identify the function of the
message. It will either be the status of an Instruct, Modify, or DK (INST), or
regarding the submission of a cancellation of a previous message (CAST).
• INST - This qualifier will be used for trade status messages usually
referring to Instructs, Modifies or DK’s. It will also be reflected on
all MT509 reject messages where the MT515 was rejected for
being non-SWIFT compliant
• CAST - This qualifier will be used on the various messages
referring to cancellations.
e.g., :23G:INST
Preparation Date and Time
• PREP// - This field will be reflected on all messages to indicate the
date and time the message was prepared by FICC GSD.
Note: The “C” format for this (98) tag indicates a date/time format of
“YYYYMMDDHHMMSS”.
LINK
e.g., :98C::PREP//19991215112515
The LINK Block will be repeated for as many reference qualifiers as need
to be included in a Trade Status Message. Each subsequence contains
reference numbers to identify the trade or record for which the status is
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
54
Message Specifications
20C
being reported. Each reference number will be enclosed within a Start
Link Block (:16R:LINK) and End Link Block (:16S:LINK). All LINK repeating
subsequences are within the GENL Block.
Reference
As indicated above, each reference number will be enclosed in a LINK Start
and End Block.
• MAST// - Master Reference Number - This qualifier contains the
Participant’s Reference Number for the trade (External Reference
Number). The MAST qualifier will be present on all MT509’s except
where an MT515 message was rejected for being non-SWIFT
compliant, and on MT509’s referring to MT515 DK records
submitted
• PREV// - Previous Reference Number - This qualifier is used only
on records where the External Reference Number has been
modified by the Participant and will contain the Participant’s
Previous Reference Number.
• RELA// - MT515 Sender’s Message Reference Number - This
qualifier will contain the Sender’s Message Reference Number
(20C::SEME//) from the MT515 submitted by the Participant. It
will only appear on those MT509 messages, which are
acknowledgements of receipt, or rejections, of MT515 Participant
messages. This will be the only 20C qualifier in the LINK block
where an MT509 Reject message is being created for a non-SWIFT
compliant MT515.
• INDX// - Secondary Reference Number - This qualifier will contain
the Participant’s Secondary Reference Number, on status
messages for repo trades, where it has been provided by the
Participant.
• LIST// - FICC GSD Reference Number - This qualifier will contain
FICC GSD’s reference number (TID) for the trade.
• PROG// - Contraparty X-Ref - This field reflects the Contraparty
External Reference Number. It will only appear on MT509
messages related to Comparison Notification (e.g., Trade
Compared (:25D::MTCH//MACH), and on MT509 messages
providing the status of MT515 DK records submitted to FICC GSD.)
• BASK// - Broker Reference Number - This field specifies the
Participant’s broker’s reference and will be reflected only where
the receiving Participant is a broker. (This field is required for
broker submitted trades.)
Note: Please note that while the SWIFT message accommodates both Upper and Lower
case alphanumeric and certain symbols, for FICC GSD purposes, this field will be populated
with an upper case alphanumeric value. It will not contain symbols or hyphens except
where the reference number has been assigned by FICC GSD.
STATUS
e.g., :20C::MAST//PARTREF1
The Status Block will appear on every MT509 message and will notify the
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
55
Message Specifications
25D
Participant of the type of MT509 record being sent, as well as the status
of the trade, or record, that was submitted to FICC GSD.
Status Code
The Status code indicates the record type/type of status message
being sent by FICC GSD. The following are the various message types,
which will be used for interactive messaging to support real-time
comparison.
• IPRC//PACK - This qualifier/option is used to indicate that an
instruction message has been accepted by FICC GSD.
• IPRC//REJT - This qualifier/option is used to indicate that an
Instruct, a Modify, or a DK message has been rejected by FICC
GSD. Where this is used to indicate that a Modify, or DK record
has been rejected, field 70D in the REAS block will be populated
as follows: “:70D::REAS//GSCC/MDRJ” or
“:70D::REAS//GSCC/DKRJ”. The IPRC//REJT qualifier will be used
in all instances where an incoming MT515 is rejected for being
non-SWIFT compliant (:24B::REJT/GSCC/F999).
• IPRC/GSCC/RPSP - This qualifier/option is used to indicate to all
parties to a repo trade that a repo substitution has been
processed.
• IPRC/GSCC/MODA - This qualifier/option is used to indicate to
the submitter that a trade modification record has been
accepted.
• IPRC/GSCC/MODP - This qualifier/option is used to indicate to the
submitter that the trade modification requested has been
processed.
• IPRC/GSCC/DELE - This qualifier/option is used to indicate to the
submitter that a trade that was pending comparison has been
deleted.
• IPRC/GSCC/PADK - This qualifier/option is used to indicate to the
submitter that a DK record has been accepted and is awaiting
further processing.
• IPRC/GSCC/DPPR - This qualifier/option is used to indicate to the
submitter that a DK record accepted by the system has been
processed.
• IPRC/GSCC/DEDK - This qualifier/option is used to indicate that a
trade previously submitted to FICC GSD has been Canceled due to
DK.
• CPRC//PACK - This qualifier/option is used to indicate to the
submitter that a Cancel Record has been accepted by FICC GSD.
• CPRC//REJT - This qualifier/option is used to indicate to the
submitter that a Cancel Record submitted to FICC GSD has been
rejected.
• CPRC//CAND - This qualifier/option is used to indicate that a
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
56
Message Specifications
•
•
•
Cancel instruction has been processed (trade instruction has been
canceled). This record will be sent when FICC GSD has processed
a cancellation requested by a Participant.
CPRC/GSCC/UPBP - This qualifier/option is used to indicate that a
Cancel record previously submitted has been removed or ‘lifted’
by either the participant or FICC GSD.
MTCH//MACH - This qualifier/option is used to indicate to the
parties on a trade that a trade has compared.
MTCH/GSCC/PSUM - This qualifier/option is used to identify
the trades that have compared via par summarization. These
records will be sent to a Participant for its trades that have
been par summarized.
e.g., :25D::IPRC//PACK
REASON
24B
70D
The Reason Block will only appear on MT509 messages where an MT515
(Instruct, Modify, Cancel or DK) submitted by the Participant has been
rejected by FICC GSD. Each Reason Code must be enclosed within a Start
Reason (:16R:REAS) and End Reason (:16S:REAS) Block.
Reason Code
This field is mandatory in the block and will appear on all Reject messages.
There can be multiple reason codes on any MT509 Reject Message; each
Reason Code must be enclosed within a Start Reason (:16R:REAS) and End
Reason (:16S:REAS) Block. The Reason Code will be populated with the
following value:
• REJT/ - this qualifier will be reflected on all messages that indicate
to the Participant that the MT515 they submitted was rejected by
FICC GSD.
Note: As the list of error codes can be expanded in the future, the list will be amended,
without modifying the entire specification. Please see Appendix E, which provides a list of
all error conditions (and associated codes) that would result in the rejection of a
Participant MT515 message.
e.g., :24B::REJT/GSCC/E020
Reason Narrative (REAS)
• REAS//GSCC - The reason narrative field can contain narrative on
those MT509 reject messages created in response to receiving a
non-SWIFT compliant MT515, or can contain the following
qualifier:
• /MDRJ - This qualifier will be included on an MT509 Instruct
Reject Message when a trade modification MT515 is rejected by
FICC GSD.
• / DKRJ - This qualifier will be included on an MT509 Instruct
Reject Message when an MT515 DK submitted is rejected by FICC
GSD.
Note: This narrative field will appear in the first repeating REAS sequence.
e.g., :70D::REAS//GSCC/MDRJ
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
57
Message Specifications
MT509 FIELD ANALYSIS
SWIFT MT509 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
MT509 Records
IPRC
PACK
IPRC
REJT
IPRC
GSCC
RPSP
IPRC
IPRC
GSCC GSCC
MODA MDRJ
IPRC
IPRC
GSCC GSCC
MODP DELE
IPRC
GSCC
PADK
IPRC
GSCC
DKRJ
IPRC
GSCC
DPPR
IPRC
GSCC
DEDK
Message Header
Password
x
x
x
x
x
x
x
x
x
x
x
Sender
x
x
x
x
x
x
x
x
x
x
x
Message Type
x
x
x
x
x
x
x
x
x
x
x
Receiver
x
x
x
x
x
x
x
x
x
x
x
M
:16R:
GENL
Block Start
M
:20C:
:SEME//
Sender’s Reference for this
x
x
x
x
x
x
x
x
x
x
x
M
:23G:
INST
Message Function- Instruct
or
x
x
x
x
x
x
x
x
x
x
x
CAST
Cancel
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
O
:98C:
:PREP//
Preparation Date/Time
M
:16R:
LINK
Repeat Block Start
M
:20C:
:MAST//
Participant Reference
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:PREV//
Previous Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:RELA//
Related Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:INDX//
Secondary External
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:LIST//
FICC GSD Assigned
x
x
x
x
x
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
x
x
x
58
Message Specifications
SWIFT MT509 Layout
M/O Tag
Block/
Qualifier
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:PROG//
Contraparty Reference
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:BASK//
Broker Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
STAT
M
:25D:
:IPRC/
:CPRC/
:MTCH/
Subqualifier
:16R:
REAS
M
:24B:
:REJT/
O
:70D:
:REAS/
IPRC
PACK
x
IPRC
REJT
x
IPRC
GSCC
RPSP
x
IPRC
IPRC
GSCC GSCC
MODA MDRJ
x
x
IPRC
IPRC
GSCC GSCC
MODP DELE
x
IPRC
GSCC
PADK
IPRC
GSCC
DKRJ
IPRC
GSCC
DPPR
x
x
x
x
IPRC
GSCC
DEDK
x
Repeat Block Start
/PACK
Trade Accepted/ Validated
/REJT
Trade Rejected
GSCC/RPSP
Repo Substitution Processed
GSCC/MODA
Modify Accepted
GSCC/MODP
Modify Processed
GSCC/DELE
Deleted Uncompared
GSCC/PADK
DK Accepted
GSCC/DPPR
DK Processed
GSCC/DEDK
Trade Canceled due to DK
/PACK
Cancel Accepted
/REJT
Cancel Rejected
/CAND
Cancel Processed
GSCC/UPBP
Cancel Lifted by Participant
/MACH
Trade Compared
GSCC/PSUM
M
Field Description
MT509 Records
x
x
x
x
x
x
x
x
x
x
x
Trade Compared through Par
Optional Repeat Block Start
Reject Reason Code (see
x
/GSCC
Reject Reason Narrative
x
/MDRJ
Modify Rejected
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
x
x
x
59
Message Specifications
SWIFT MT509 Layout
M/O Tag
Block/
Qualifier
M
:16S:
REAS
Repeat Block End
M
:16S:
STAT
Repeat Block End
M
:16S:
GENL
Block End
Subqualifier
/DKRJ
Field Description
MT509 Records
IPRC
PACK
DK Rejected
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
IPRC
REJT
IPRC
GSCC
RPSP
IPRC
IPRC
GSCC GSCC
MODA MDRJ
IPRC
IPRC
GSCC GSCC
MODP DELE
IPRC
GSCC
PADK
IPRC
GSCC
DKRJ
IPRC
GSCC
DPPR
x
60
IPRC
GSCC
DEDK
Message Specifications
MT509 FIELD ANALYSIS
SWIFT MT509 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
MT509 Records
CPRC//
CPRC//
CPRC//
CPRC//
MTCH//
MTCH//
Password
x
x
x
x
x
x
Sender
x
x
x
x
x
x
Message Type
x
x
x
x
x
x
Receiver
x
x
x
x
x
x
x
x
x
x
x
x
Message Header
M
:16R:
GENL
Block Start
M
:20C:
:SEME//
Sender’s Reference for this
M
:23G:
INST
Message Function- Instruct or
CAST
Cancel
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
O
:98C:
:PREP//
Preparation Date/Time
M
:16R:
LINK
Repeat Block Start
M
:20C:
:MAST//
Participant Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:PREV//
Previous Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:RELA//
Related Reference Number. (MT515
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:INDX//
Secondary External Reference
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:LIST//
FICC GSD Assigned Reference
M
:16S:
LINK
Repeat Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
x
61
Message Specifications
SWIFT MT509 Layout
M
:16R:
Block/
Qualifier
LINK
O
:20C:
:PROG//
Contraparty Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
LINK
Repeat Block Start
O
:20C:
:BASK//
Broker Reference Number.
M
:16S:
LINK
Repeat Block End
M
:16R:
STAT
M
:25D:
:IPRC/
M/O Tag
:CPRC/
:MTCH/
Subqualifier
:16R:
REAS
M
:24B:
:REJT/
O
:70D:
:REAS/
M
:16S:
REAS
CPRC//
CPRC//
CPRC//
CPRC//
MTCH//
MTCH//
Repeat Block Start
x
x
x
x
x
x
x
Repeat Block Start
/PACK
Trade Accepted/ Validated
/REJT
Trade Rejected
GSCC/RPSP
Repo Substitution Processed
GSCC/MODA
Modify Accepted
GSCC/MODP
Modify Processed
GSCC/DELE
Deleted Uncompared Transaction
GSCC/PADK
DK Accepted
GSCC/DPPR
DK Processed
GSCC/DEDK
Trade Canceled due to DK
/PACK
Cancel Accepted
/REJT
Cancel Rejected
/CAND
Cancel Processed
GSCC/UPBP
Cancel Lifted by Participant
/MACH
Trade Compared
GSCC/PSUM
M
Field Description
MT509 Records
x
x
x
x
x
Trade Compared through Par
x
Optional Repeat Block Start
Reject Reason Code (see Appendix
/GSCC
Reject Reason Narrative
/MDRJ
Modify Rejected
/DKRJ
DK Rejected
x
Repeat Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
62
Message Specifications
SWIFT MT509 Layout
M
:16S:
Block/
Qualifier
STAT
M
:16S:
GENL
M/O Tag
Subqualifier
Field Description
MT509 Records
CPRC//
CPRC//
CPRC//
CPRC//
MTCH//
MTCH//
Repeat Block End
Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
63
Message Specifications
4.4 MT518 Message
This section includes the following subsections:
4.4.1. MT518 Message Specification
This section contains the detailed specification for the MT518 message. The SWIFT layout for the
MT518 is almost identical to that of the MT515 message used by Participants to submit instructions
to FICC GSD.
It should be noted that the various types of MT518's described previously in the document can be
divided into three categories of messages:
•
•
•
Advisories
Locked-in Trade Advices
Modifications/Events based on Your Trades.
Advisories
Advisories sent to a Participant reflect the trade record as submitted by the contraparty. The
Buy/Sell indicator (transaction type) on the record is from the perspective of the recipient of the
MT518.
The following MT518 record types are advisories:
•
•
•
•
Comparison Request - CMPR
Comparison Request Modify - CRQM
Comparison Request Cancel - CADV
Post Comparison Contra Trade Modification – CMDA
Locked-in Trade Advices
Locked-in Trade Advice MT518's are intended to notify a recipient that a trade was booked (or
canceled) at FICC GSD on behalf of the Participant, having been submitted by an Authorized Lockedin or Demand Submitter.
The following MT518's are Locked-in Advices:
•
•
Locked-in Trade Advice - LCTA
Post Comparison Cancel Advice (of Locked-in Trade) – PCCA
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
64
Message Specifications
Modifications/Events based on Your Trades
These MT518's primarily reflect your trade records after changes have been made. In the majority
of cases, the changes have been made by FICC GSD to your trade
The following MT518's reflect modifications or events based on your trade:
•
•
•
•
•
•
•
•
•
•
•
•
Cancel Request (of already compared trade) - CREQ
Cancel Request Cancel – CCRQ
Coupon Rest - CPNR
Yield to Price - Assumed Coupon - YTPA
Yield to Price - Real Coupon - YTPR
Repo Substitution Details - RPSD
Trade Compared with Modifications - CMPM
Post Comparison Trade Modification - MDAD
Default Values Applied - DFVA
Screen Input Trade Replay - SITR
DK Advice- NAFI
DK Remove Advice- DCC'C
4.4.2. MT518 Field Analysis
This section contains an analysis of the fields that may be found on each MT518 message. For each
record type, a check mark will be found where it is possible for that field to appear on that record. It
should be noted, however, that where a check mark appears, the check mark is not intended to
indicate that a field is mandatory for a given record type. Where there is no check mark in a given
box, that field is not applicable for the record type in question.
M/O
Tag
Block/
Qualifier
M
M
M
M
M
M
:16R:
:20C:
GENL
:SEME//
M
:23G:
NEWM
Subqualifier/
Options
Field Description
Message Header
GSCC
Password
Sender
Message Type
Receiver
Mandatory Block Start
Sender’s Reference for
this Message
Message Function = New
or
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
Data
Field
Format
12!c
8!c
3!n/3!n/
4!c
8!c
16x
4!c
65
Message Specifications
O
:98C:
CANC
:PREP//
M
:22F:
:TRTR/
Cancel
Preparation Date/Time
GSCC/CASH
GSCC/REPO
GSCC/TRLK
M
:16R:
LINK
O
:20C:
:MAST//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:PREV//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:LIST//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:BASK//
M
M
M
M
:16S:
:16S:
:16R:
:98C:
LINK
GENL
CONFDET
:TRAD//
Cash Trade Indicator or
Repo Trade Indicator or
Locked-in Cash Trade
Indicator
or
Locked-in Repo Trade
Indicator
or
Demand Cash Trade
Indicator or
Demand Repo Trade
Indicator
Optional Repeat Block
Start
Master Reference
Number (External
Reference)
Repeat Block End
Repeat Block Start
Previous Reference
Number (Previous
External Reference)
Repeat Block End
Repeat Block Start
FICC GSD Assigned
Reference Number(TID)
Repeat Block End
Repeat Block Start
Broker Reference
Number
Repeat Block End
Block End
Mandatory Block Start
Trade Date & Time
M
:98A:
:SETT//
Settlement Date
M
:90A:
:DEAL/
GSCC/TRLR
GSCC/TRDC
GSCC/TRDR
/PRCT/
/YIEL/
Deal Price - Percentage or
Yield or
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
YYYYM
MDDHH
MMSS
4!c
16x
16x
16x
16x
YYYYM
MDDHH
MMSS
YYYYM
MDD
15d
15d
66
Message Specifications
Message Header
Password
Sender
Message Type
M
M
M
M
M
M
:16R:
:20C:
GENL
:SEME//
M
:23G:
NEWM
O
:98C:
CANC
:PREP//
M
:22F:
:TRTR/
Receiver
Mandatory Block Start
Sender’s Reference for
this Message
Message Function = New
or
Cancel
Preparation Date/Time
GSCC/CASH
GSCC/REPO
GSCC/TRLK
GSCC/TRLR
GSCC/TRDC
GSCC/TRDR
M
:16R:
LINK
O
:20C:
:MAST//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:PREV//
M
M
O
:16S:
:16R:
:20C:
LINK
LINK
:LIST//
M
:16S:
LINK
Master
Reference
Number
(External
Reference)
Cash Trade Indicator or
Repo Trade Indicator or
Locked-in Cash Trade
Indicator
or
Locked-in Repo Trade
Indicator
or
Demand Cash Trade
Indicator or
Demand Repo Trade
Indicator
Optional Repeat Block
Start
16x
Repeat Block End
Repeat Block Start
Previous Reference
Number (Previous
External Reference)
Repeat Block End
Repeat Block Start
FICC GSD Assigned
Reference Number(TID)
Repeat Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
GSCC
12!c
8!c
3!n/3!n/
4!c
8!c
16x
4!c
YYYYM
MDDHH
MMSS
4!c
16x
16x
67
Message Specifications
M
O
:16R:
:20C:
LINK
:BASK//
M
M
M
M
:16S:
:16S:
:16R:
:98C:
LINK
GENL
CONFDET
:TRAD//
Repeat Block Start
Broker Reference
Number
Repeat Block End
Block End
Mandatory Block Start
Trade Date & Time
M
:98A:
:SETT//
Settlement Date
M
:90A:
:DEAL/
O
M
:19A:
:22H:
:SETT/
:BUSE/
O
:22F:
:PROC/
/PRCT/
/YIEL/
/DISC/
/USD
/BUYI
/SELL
GSCC/CMPR
GSCC/CRQM
GSCC/CADV
GSCC/LCTA
GSCC/CREQ
GSCC/CCRQ
GSCC/CPNR
GSCC/PCCA
GSCC/YTPA
GSCC/YTPR
GSCC/RPSD
GSCC/CMPM
GSCC/MDAD
GSCC/CMDA
Deal Price - Percentage or
Yield or
Discount
Settlement Amount
Trade Type - Buy (REVR)
or
Sell (REPO)
Comparison Request or
Comparison Request
Modify or
Comparison Request
Cancel or
Locked-in Trade Advice or
Cancel Request or
Cancel Request Cancel
or
Coupon Reset
Post Comparison Cancel
Advice (of locked-in
trade) or
Yield to Price –assumed
coupon
or
Yield to Price – real
coupon or
Repo Substitution Details
or
Compared with
Modifications or
Post Comparison Trade
Modification
or
Post Comparison Contra
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
16x
YYYYM
MDDHH
MMSS
YYYYM
MDD
15d
15d
15d
15d
4!c
4!c
68
Message Specifications
GSCC/DFVA
GSCC/SITR
GSCC/NAFI
GSCC/DCCX
/APMT
M
:22H:
:PAYM/
M
:16R:
CONFPRTY
M
O
:95R:
:20C:
:BUYR/
:PROC//
GSCC/PART
O
:70E:
:DECL/
/GSCC
/PREV
/CORR
O
:70C:
:PACO/
/GSCC
/TDID
M
M
:16S:
:16R:
CONFPRTY
CONFPRTY
M
O
:95R:
:20C:
:SELL/
:PROC//
GSCC/PART
O
:70E:
:DECL/
/GSCC
/PREV
/CORR
O
M
M
:70C:
:16S:
:36B:
:PACO/
CONFPRTY
:CONF/
/GSCC
/TDID
/FAMT/
Trade
Modification or
Default Values Applied
or
Screen Input Trade
Replay or
Trade DK Advice or
DK Remove Advice
Against Payment
Indicator
Mandatory Repeat Block
Start
Party = Buyer
Buyer (Contra) External
Reference
Narrative/ Additional
Reference Numbers/
Information
Buyer (Contra) Previous
External
Reference
Party = Buyer’s executing
firm
Participant Contact
Narrative
Trader ID
Repeat Block End
Mandatory Repeat Block
Start
Party = Seller
Seller (Contra) External
Reference
Narrative/ Additional
Reference Numbers/
Information
Seller (Contra) Previous
External Reference
Party = Seller’s Executing
Firm
Participant Contact
Narrative
Trader ID
Repeat Block End
Quantity as Face Amount
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
4!c
34x
16x
(10*35x)
16x
5c
4*35x
20c
34x
16x
(10*35x)
16x
5c
4*35x
20c
15d
69
Message Specifications
M
O
:35B:
:70E:
/US/
:TPRO/
/GSCC
/MSGR
/DKRS
M
M
M
M
M
M
M
O
:16S:
:16R:
:16R:
:19A:
:16S:
:16S:
:16R:
:98A:
CONFDET
SETDET
AMT
:LOCO/
AMT
SETDET
REPO
:REPU//
O
O
O
:20C:
:92A:
:19A:
:SECO//
:REPO//
:REPA/
M
:16S:
REPO
/USD
/USD
(Par)
Security Identifier - CUSIP
Trade Instruction
Processing Narrative
Message Reason (see
Appendix E)
DK Reason (see Appendix
E)
Block End
Optional Block Start
Optional Block Start
Commission Amount
Block End
Block End
Optional Block Start
Date of Repo Off Leg
Settle
Secondary Reference
Repo Rate
Close-leg Settlement
Amount
Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
4 * 35x
10*35x
4!c
4!c
15d
YYYYM
MDD
16x
[N]15d
15d
70
Message Specifications
MT518 FIELD SPECIFICATIONS
Block/Tag
Message
Header
Password
Sender
Message
Type
Receiver
GENL
20C
23G
98C
Notes
Each Message must contain a message header. All header fields are mandatory
fixed format with trailing blanks, where required.
12!c
Password fields will be blank filled on MT518 messages
8!c
GSCCTRRS (GSCC Trade Registration and Reconciliation System)
will be the
sender of the MT518 messages in this document.
3!n/3!n/4
The first three characters indicate to the recipient the message
!c
type (518); the second three positions reflect the version of the
message interface (currently always 000). The last four
characters indicate the issuer code to be used in the message
(“GSCC”).
8!c
Participant ID
This mandatory block provides general information regarding the message. It
appears only once in a trade confirm.
Sender Message Reference
• SEME// - This mandatory field contains the sender’s (GSCC) message
reference number. It is used on all messages and will contain a unique
number to unambiguously identify each message sent by FICC GSD. (This
is a communications message number, not a trade number.)
Note: While the SWIFT message accommodates both Upper and Lower case alphanumeric and
certain symbols, for FICC GSD purposes, this field will be populated with an upper case
alphanumeric value. It will not contain symbols or hyphens.
e.g., :20C::SEME//GSCCCOMREF1
Function of the Message
This mandatory field is used on all messages to identify the function of the
message. It will either be a new message (NEWM) related to an Instruct, Modify,
DK or the cancellation of a previous trade (CANC).
NEWM - This qualifier will be used for a new trade, a trade modification, or a DK
message.
CANC - This qualifier will be used for various cancellation messages.
Preparation Date and Time
•
22F
e.g., :23G:NEWM
PREP// - This field will be reflected on all messages to indicate the date
and time the message sent by FICC GSD was prepared.
Note: The “C” format for this (98) tag indicates a date/time format of “YYYYMMDDHHMMSS”
e.g., :98C::PREP//19991215112515
Trade Transaction Type Indicator (TRTR)
This mandatory field specifies whether the trade being reported is Cash or Repo,
and if the trade is Bilateral, Locked-in or Demand.
• TRTR/GSCC/CASH - This qualifier/option will be used on buy/sell trades
requiring two- sided (Bilateral) comparison.
• TRTR/GSCC/REPO - This qualifier/option will be used on repo trades
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
71
Message Specifications
requiring two-sided (Bilateral) comparison.
TRTR/GSCC/TRLK - This qualifier/option will be used on Locked-in cash
trades.
• TRTR/GSCC/TRLR - This qualifier/option will be used on Locked-in repo
trades.
• TRTR/GSCC/TRDC - This qualifier/option will be used on Demand cash
trades.
• TRTR/GSCC/TRDR - This qualifier/option will be used on Demand repo
trades.
e.g., :22F::TRTR/GSCC/CASH
The LINK Block can be repeated for as many reference qualifiers as need to be
included in a Trade Contract. It is intended to provide the required information
to identify the trade. Each reference number must be enclosed within a Start
Link Block (:16R:LINK) and End Link Block (:16S:LINK). Each LINK repeating
subsequence is within the GENL Block.
Reference
This set of fields in the MT518 will contain the relevant reference numbers
associated with your trade. The four types of reference numbers that may appear
in the LINK block are:
1. the master reference number (MAST), generally referred to as the
external reference number or x-ref
2. the previous reference number for the trade (PREV)
3. the FICC GSD reference number (LIST), also referred to as the TID
4. the broker reference number (BASK).
The data provided in these reference number fields for any given trade are
determined based upon a number of criteria. These include: submitter type
(broker, dealer or Locked-in submitter), message category (advisory, Locked-in
Trade advices or advices referring to trades submitted by the message receiver
(“your trades”), and message type (Cancel, Modify, etc.). The basic rules for
reporting data for each reference number type are provided below.
It should be noted that, on MT518 Advisories, where contraparty trade reference
numbers are provided, the contraparty’s external as well as previous reference
numbers will appear in the appropriate Buyer or Seller Confirming Party
Subsequence. They will not appear in this subsequence.
• MAST// - Master Reference Number – On advices referring to your
trades, this field will contain your external reference number. On Lockedin Trade Advices supporting Locked-in or Demand trades, this field will
contain the external reference number generated by FICC GSD on your
behalf. This field will not appear on advisories.
• PREV// - Previous Reference Number – Under most circumstances, this
field will not appear on MT518’s (advisories, Locked-in Trade advices, or
advices referring to your trades).
One exception to this rule is for Cancels. There is a SWIFT requirement that the
data field associated with the “PREV” qualifier be populated on all MT518 and
MT515 cancel (:23G:CANC) records. All MT518 Cancel records will therefore
•
LINK
20C
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
72
Message Specifications
reflect the PREV qualifier populated with the value “NONREF”.
The second exception to this rule is for Screen Input Trade Replay Records
(:22F::PROC/GSCC/SITR) where the Participant has made entries on a FICC GSD
terminal. For these trades, the data field associated with the PREV qualifier will
be populated as follows:
•
•
•
If the screen input was a trade cancellation, the data field associated with
the PREV qualifier will be populated with “NONREF”.
If the screen input was a trade modification, which included the
modification of an external reference number, the data field associated
with the PREV qualifier will contain the Participant’s Previous External
Reference Number.
At this point in time, this field will not appear under any other
circumstances.
As indicated above, if the contraparty has changed its external reference
number, the contraparty’s previous reference number will appear in the
appropriate Buyer or Seller Confirming Party Subsequence (not in this field).
•
LIST// - GSCC Reference Number – On Locked-in trade advices, for
Locked-in or Demand trades, and advices referring to your trades, this
field will contain the FICC GSD assigned reference number (TID) for the
trade. This field will not appear on advisories
•
BASK// - Broker Reference Number – For trades submitted by brokers,
this field will contain the Broker’s Reference Number on advices,
referring to the broker’s trade. This field will not appear on advisories or
Locked-in trade advices.
Note: Please note that while the SWIFT message accommodates both upper and lowercase
alphanumeric and certain symbols, for FICC GSD purposes, this field will be populated with an
uppercase alphanumeric value. It will not contain symbols or hyphens except where the reference
number has been assigned by FICC GSD.
CONFDET
98C
98A
e.g., :20C::MAST//PARTREF1
The CONFDET (Confirmation Details) block appears only once in a Trade
Contract. It contains Trade and Confirming Party Details.
Trade Date
• TRAD// - This field is used on all messages to specify Trade Date and
Trade Time. (The “C” format for this (98) tag indicates a date/time
format of YYYMMDDHHMMSS”).
e.g., :98C::TRAD//19991213121212
Settlement Date
• SETT// - This field is used on all messages to specify the settlement date
for a cash trade, or the “Start-leg” settlement date, in the case of a repo.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
73
Message Specifications
(The “A” format for this tag (98) indicates a date format of
“YYYYMMDD”.)
90A
e.g., :98A::SETT//19991214
Deal Price
This field is reflected on all MT518 messages. It contains the Execution Price
Type and Price. Only one Tag 90A is allowed per trade contract. The following
price types may be specified:
• DEAL//PRCT/ - this qualifier/option is used for dollar prices and repo
rates. (Where the trade is a repo, the price portion of the field will be
populated with “0,”.) Repo rates can be found in the REPO Block.
• DEAL//YIEL/ - this qualifier/option is used for Yield priced trades.
• DEAL//DISC/ - this qualifier/option is used for Discount Rates.
Note: While the SWIFT format accommodates 15d characters (with decimal), the FICC GSD
system supports a field size of 14d. The field will, therefore, be populated with a value no larger
than 14d.
19A
e.g., :90A::DEAL//YIEL/4,5
Settlement Amount
• SETT// - This field is used to specify the Settlement Amount for buy/sell
trades and the “Start-leg” settlement amount for Repo trades.
The amount is in SWIFT Standard format, which is left justified, with commas
removed, and a comma used in lieu of a decimal. The amount is always
preceded by a 3-character ISO currency code (“USD” for FICC GSD trades).
Note: The SWIFT format can accommodate a value of 15d in this field. This is a change from the
18- character field on the FICC GSD proprietary layouts.
22H
22F
e.g., :19A::SETT//USD2000000,
Trade Type Indicator (BUSE)
This field is reflected on all messages and has only two allowable values for this
qualifier:
• BUSE//BUYI - this qualifier/option indicates that the record represents
either a buy, in the case of a cash trade, or a reverse, in the case of a
repo trade.
• BUSE//SELL - this qualifier/option indicates that the record represents
either a sell, in the case of a cash trade, or a repo, in the case of a repo
trade
Note: The inclusion of a REPO block as well as the use of a Repo qualifier in Tag 22F
(TRTR/GSCC/REPO, TRTR/GSCC/TRLR or TRTR/GSCC/TRDR) in the GENL block will indicate that the
trade is a repo, rather than a cash, trade.
e.g., :22H::BUSE//SELL
Processing Indicator (PROC)
This processing indicator enables FICC GSD to indicate to the Participant the type
of record/command being submitted on this MT518. The allowable values for this
field are:
• PROC/GSCC/CMPR - This qualifier/option indicates that the MT518
record is a Comparison Request.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
74
Message Specifications
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
PROC/GSCC/CRQM -This qualifier/option indicates that the MT518
record is a Comparison Request Modify.
PROC/GSCC/CADV - This qualifier/option indicates that the MT518
record is a Comparison Request Cancel Advice (previously called a
Precomparison Cancel Advice).
PROC/GSCC/LCTA - This qualifier/option indicates that the MT518 record
is a Locked-in Trade Advice.
PROC/GSCC/CREQ - This qualifier/option indicates that the MT518
record is a Cancel Request (of an already compared trade).
PROC/GSCC/CCRQ - This qualifier/option indicates that the MT518
record is for a Cancel Request Cancel
PROC/GSCC/PCCA - This qualifier/option indicates that the MT518 record
is a Post Comparison Cancel Advice (of a Locked-in Trade).
PROC/GSCC/CPNR – This qualifier/option indicates that the MT518
record is for a coupon that has been reset and the final money on the
trade has been changed to reflect the reset basis.
PROC/GSCC/YTPA - This qualifier/option indicates that the MT518 record
is a Yield to Price recalculation using an assumed coupon.
PROC/GSCC/YTPR - This qualifier/option indicates that the MT518 record
is a Yield to Price recalculation using the real coupon.
PROC/GSCC/RPSD - This qualifier/option indicates that the MT518
record is for Repo Substitution Details.
PROC/GSCC/CMPM - This qualifier/option indicates that the MT518
record is a Compared with Modifications
PROC/GSCC/MDAD - This qualifier/option indicates that the MT518
record is a Post Comparison Trade Modification (recipient’s trade).
PROC/GSCC/CMDA - This qualifier/option indicates that the MT518
record is a Post Comparison Contra Trade Modification.
PROC/GSCC/DFVA - This qualifier/option indicates that the MT518
record is for Default Values Applied.
PROC/GSCC/SITR - This qualifier/option indicates that the MT518 record
is for Screen Input Trade Replay.
PROC/GSCC/NAFI - This qualifier/option indicates that the MT518 record
is for a DK Advice (DK of the recipient’s previously submitted trade).
PROC/GSCC/DCCX - This qualifier/option indicates that the MT518
record is for DK Remove Advice (removing the DK status from the
recipient’s trade).
e.g., :22F::PROC/GSCC/YTPR
22H
Payment Indicator (PAYM)
This Payment indicator field is mandatory for the MT518 message. All MT518
records will reflect the following tag/qualifier:
• PAYM//APMT - Indicates that the trade will settle against payment.
e.g., :22H::PAYM//APMT
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
75
Message Specifications
36B
35B
70E
Quantity of Securities (CONF)1
CONF//FAMT/ - This field is mandatory, and for the purposes of FICC GSD, must
use the option ‘FAMT’ - indicating face amount (par). The quantity of the
financial instrument is in SWIFT Standard Format, which is left justified, with
commas removed, and a comma used in lieu of a decimal.
Note: The SWIFT format can accommodate a value of 15d in this field. This is a change from the
18- character field on the FICC GSD proprietary layouts.
e.g., :36B::CONF//FAMT/2000000,
Identification of Security1
The security/collateral involved is identified in the US by specifying the ISO
country identifier (‘/US/’), followed by the CUSIP number.
Note: While the SWIFT layout accommodates a format of 4 * 35x, a 9!c (alpha numeric) value will
populate the field for the CUSIP.
e.g., :35B:/US/313386AA2
Trade Instruction Processing Narrative (TPRO)1
This field is intended to reflect transaction related information not supported by
the MT518 layout. It will be used on all MT518 DK messages to indicate the
reason for the DK. It may also be used on all MT518 Messages to indicate the
reason for the message/event being reported.
TPRO//GSCC - denotes narrative trade instruction processing information related
to FICC GSD.
/MSGR - will be used to indicate the message reason (see Appendix E for
message reasons).
/DKRS - will be used to indicate the reason for the DK message (see Appendix E
for DK reasons).
e.g., :70E::TPRO//GSCC/MSGRCOAC
Tags 36B, 35B and 70E::TPRO// in the CONFDET block must be placed on the message following the confirming party
subsequences
1
95R
20C
The Confirming Party Block must be repeated for each party to a trade. Each
party specified must be enclosed within a start party block (:16R:CONFPRTY)
and end party block (:16S:CONFPRTY). Please note that on every MT518
record there will be at least two (one buyer and one seller) repeating
Confirming Party sequences.
Party
• BUYR/GSCC/PART - specifies the Buying, or Reversing, Party. (The “FICC
GSD” issuer code allows the specification to reflect the FICC GSD
Participant or Contra ID, depending on which party is acting as buyer or
seller).
• SELL/GSCC/PART - specifies the Selling, or Repoing, Party.
Note: While the SWIFT layout supports a format of 35x for this field, FICC GSD will populate the
field with the appropriate qualifier and 4 character Participant ID, for buyer or seller.
e.g., :95R::SELL/GSCC/PART9538
Reference
• PROC// - Processing Reference Number - This field will reflect the
Contraparty External Reference in the appropriate buyer or seller
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
76
Message Specifications
confirming party subsequence. It will only appear on MT518 Advisory
and Locked-in Trade Advice records.
70E
e.g., :20C::PROC//CONTRAREF2
Narrative (DECL)
This field will be used in each MT518 subsequence to identify the Contraparty’s
Previous Reference number (where the Contra has changed their External
Reference Number) and/or the Buyer’s and/or Seller’s executing firm, where
applicable.
• DECL//GSCC- denotes declaration narrative information specific to FICC
GSD.
• /PREV – will be used in the BUYR or SELL confirming party sequence to
indicate the Previous Contra External Reference Number on a Trade
Modification Advisory (Comparison Request Modify or Post Comparison
Contra Modification Advice). Where this field is populated, this
communicates to the recipient of the MT518 that the Contra’s X- ref has
changed. The recipient should use this reference number to locate the
original advisory/trade that has changed. Where this field is populated,
the current X-ref will always be in the field described above (:20C::PROC).
•
/CORR – will be used in the BUYR and/or SELL confirming party
sequence(s) to indicate the buyer and/or seller’s executing
(correspondent) firm(s). Where there is no Previous External Reference
Number or Executing broker for either the buyer or seller confirming
party, this field will not appear on the MT518 record.
Note: While this field can support a narrative 10 * 35x, the Participant, at this time, will only
receive the above qualifiers and the 16 character Previous Reference Number and/or the FICC GSD
assigned executing firm code in this field. In the future this field can be used to support additional
information related to the buyer and/or seller, where required.
e.g., :70E::DECL//GSCC/PREVCONTRAREF1/CORRATGN
70C
Participant Contact Narrative (PACO)
This field will be used in the appropriate buyer or seller confirming party
sequence on MT518 messages to provide information regarding the
individual/desk that executed the trade.
• PACO//GSCC - denotes participant contact narrative information specific
to FICC GSD.
• /TDID - will be used in the appropriate buyer or seller sequence to
indicate the following:
o On MT518’s sent to the trade submitter, this will represent the
contraparty’s trader ID.
o On MT518 advisories, this will represent the recipient’s trader ID.
SETDET
This block, and the AMT subsequence, is necessary only when broker
commission is specified on the trade. Currently, FICC GSD accepts commission
on WI trades for coupon bearing instruments submitted prior to auction, or on
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
:70C::PACO//GSCC/TDIDFRED1
77
Message Specifications
AMT
19A
Repo trades.
As indicated above, this sequence is only necessary to support the inclusion of
broker commission on a WI trade, or a Commission Amount on Repo trades.
This block will always be included in the Settlement Details (SETDET) block.
Commission Amount
•
LOCO//USD - This field specifies the broker’s commission amount on WI
trades or Repo trades.
The commission amount field is in SWIFT Standard Format, which is left
justified, with commas removed, and a comma used in lieu of a decimal. The
amount must be preceded by a 3- character ISO currency code (USD).
REPO
98A
Note: The value in this field is an AMOUNT - this differs from the rate field format on the FICC
GSD proprietary layouts and within the FICC GSD system. The Commission Amount per trade will
be included in this field – e.g., where the commission is $40 per million, for a two million dollar
trade the field will be displayed “LOCO//USD80,”.
Note: The commission amount submitted for a Repo trade will not be included in the net money.
e.g., :19A::LOCO//USD60,
The Repo Block appears only on trade contracts involving a
repurchase/reverse repurchase trade. It appears only once in the contract. Its
inclusion indicates that the trade is either a Repo or Reverse trade based on
the BUY/SELL indicator in the CONFDET Block (BUYI = Reverse, SELL = Repo).
Repurchase Date
•
20C
REPU// - This Mandatory field specifies Repo Close-leg Settlement Date
in SWIFT format (YYYYMMDD). In future phases this field will be used to
denote that the repo is open ended.
e.g., :98A::REPU//20000203
Secondary Reference
• SECO// - This field is optional, but if used, will include the qualifier
“SECO” to support an additional reference number for the Participant’s
REPO trade. This field will be populated on MT518 records related to
your trade, and where included on the MT518, will reflect your
Secondary Reference Number. Advisories will not reflect the Contra
Secondary Reference Number.
Note: Please note that while the SWIFT message accommodates both Upper and Lower case
92A
alphanumeric and certain symbols, for FICC GSD purposes, this field must be populated with an
upper case alphanumeric value. It will not contain symbols or hyphens.
e.g., :20C::SECO//SECONDARYREF1
Repo Rate
•
19A
REPO// - The Mandatory REPO Rate field is in SWIFT standard format left justified with a comma inserted in lieu of a decimal.
Note: While the SWIFT format accommodates 15d characters (with decimal), the FICC GSD
system supports a field size of 14d. The field will be populated with a value no larger than 14d.
e.g., :92A::REPO//4,3
Repurchase Amount
•
REPA// - The Close-leg settlement amount is always prefixed by the
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
78
Message Specifications
ISO currency code (USD) and is in SWIFT standard format – leftjustified with commas removed, and a comma used in lieu of a
decimal.
Note: The SWIFT format can accommodate a value of 15d in this field. This is a change from the
18- character field on the FICC GSD proprietary layouts.
e.g., :19A::REPA//USD2002000,
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
79
Message Specifications
MT518 FIELD ANALYSIS
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
Advisories
Locked-in-Advices
CMPR
CRQM
CADV
CMDA
LCTA
PCCA
Password
x
x
x
x
x
x
Sender
x
x
x
x
x
x
Message Type
x
x
x
x
x
x
Receiver
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Message Header
M
:16R:
GENL
Start of Block
M
:20C:
:SEME//
Sender’s Reference for this message
x
x
M
:23G:
NEWM
Message Function = New Message
x
x
CANC
Cancel
O
:98C:
:PREP//
Preparation Date/Time
x
x
x
x
M
:22F:
:TRTR/
GSCC/CASH
Trade Indicator= Cash Trade or
x
x
x
x
GSCC/REPO
Repo Trade or
x
x
x
x
GSCC/TRLK
Locked-in Cash Trade or
x
x
x
x
x
x
GSCC/TRLR
Locked-in Repo Trade or
x
x
x
x
x
GSCC/TRDC
Demand Cash Trade or
x
x
x
x
x
GSCC/TRDR
Demand Repo Trade
x
x
x
x
x
M
:16R:
LINK
Repeat Block Start
O
:20C:
:MAST//
Master Reference Number
M
:16S:
LINK
End of Block
M
:16R:
LINK
Repeat Block Start
O
:20C:
:PREV//
Previous Reference Number
M
:16S:
LINK
End of Block
M
:16R:
LINK
Repeat Block Start
O
:20C:
:LIST//
FICC GSD Reference Number
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
x
x
x
x
x
x
80
Message Specifications
SWIFT MT518 Layout
M
:16S:
Block/
Qualifier
LINK
M
:16R:
LINK
O
:20C:
:BASK//
Broker Reference Number
M
:16S:
LINK
End of Block
M
:16S:
GENL
End of Block
M
:16R:
CONFDET
Start of Block
M
:98C:
:TRAD//
Trade Date/Time
M
:98A:
:SETT//
M
:90A:
:DEAL/
M/O Tag
Subqualifier
Advisories
Field Description
Locked-in-Advices
CMPR
CRQM
CADV
CMDA
LCTA
PCCA
x
x
x
x
x
x
End of Block
Repeat Block Start
Settlement Date
x
x
x
x
x
x
/PRCT/
Deal Price Percentage or
x
x
x
x
x
x
/YIEL/
Yield or
x
x
x
x
x
x
/DISC/
Discount or
x
x
x
x
x
x
O
:19A:
:SETT/
/USD
Settlement Amount
x
x
x
x
x
x
M
:22H:
:BUSE/
/BUYI
Trade Type Buy (REVR) or
x
x
x
x
x
x
/SELL
Sell (REPO)
x
x
x
x
x
x
O
:22F:
:PROC/
GSCC/CMPR
Comparison Request or
x
GSCC/CRQM
Comparison Request Modify or
GSCC/CADV
Comparison Request Cancel
GSCC/LCTA
Locked-in Trade Advice or
GSCC/CREQ
Cancel Request or
x
x
GSCC/CCRQ
Cancel Request Cancel or
GSCC/PCCA
Post Comparison Cancel Advice
GSCC/CPNR
Coupon Reset
GSCC/YTPA
Yield to Price –Assumed Coupon
GSCC/YTPR
Yield to Price – Real Coupon or
GSCC/RPSD
Repo Substitution Details
GSCC/CMPM
Compared with Modifications or
GSCC/MDAD
Post Comparison Trade
x
or
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
81
Message Specifications
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
M
:22H:
:PAYM/
M
:16R:
CONFPRTY
M
:95R:
:BUYR/
O
:20C:
:PROC//
O
:70E:
:DECL/
O
:70C:
:PACO/
M
:16S:
CONFPRTY
M
:16R:
CONFPRTY
M
:95R:
:SELL/
O
:20C:
:PROC//
O
:70E:
:DECL/
O
:70C:
:PACO/
M
:16S:
CONFPRTY
M
:36B:
:CONF/
M
:35B:
O
:70E:
:TPRO/
Advisories
Subqualifier
Field Description
CMPR
GSCC/CMDA
Post Comparison Contra Trade
GSCC/DFVA
Default Values Applied
GSCC/SITR
Screen Input Trade Replay or
GSCC/NAFI
DK Advice
CRQM
CADV
Locked-in-Advices
CMDA
LCTA
PCCA
x
or
or
GSCC/DCCX
DK Remove Advice
/APMT
Against Payment Trade
GSCC/PART
x
x
x
x
x
x
Party = Buyer
x
x
x
x
x
x
Buyer reference
x
x
x
x
x
x
Repeat Block Start
/GSCC
Declaration Details Narrative
/PREV
Buyer (Contra) Previous External
/CORR
Buyer’s executing firm
/GSCC
Participant Contact Narrative
/TDID
Trader ID
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Party = Seller
x
x
x
x
x
x
Seller reference
x
x
x
x
x
Repeat Block End
Repeat Block Start
GSCC/PART
/GSCC
Declaration Details Narrative
/PREV
Seller (Contra) Previous External
/CORR
Seller’s executing firm
/GSCC
Participant Contact Narrative
/TDID
Trader ID
/FAMT/
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Quantity as Face Amount (Par)
x
x
x
x
x
x
/US/
Identification of Financial
x
x
x
x
x
x
/GSCC
Trade Instruction Processing
Repeat Block End
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
82
Message Specifications
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
/MSGR
Message Reason (see Appendix E)
/DKRS
DK Reason (see Appendix E)
Advisories
Locked-in-Advices
CMPR
CRQM
CADV
CMDA
LCTA
PCCA
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
M
:16S:
CONFDET
End of Block
M
:16R:
SETDET
Start of Optional Sequence
M
:16R:
AMT
M
:19A:
:LOCO/
M
:16S:
AMT
End of Block
M
:16S:
SETDET
End of Block
M
:16R:
REPO
Start of Optional Sequence
O
:98A:
:REPU//
Date of Repo Close-leg Settle
O
:20C:
:SECO//
Secondary Reference
O
:92A:
:REPO//
Repo Rate
x
x
x
x
x
x
O
:19A:
:REPA/
Close-leg Settlement Amount
x
x
x
x
x
x
M
:16S:
REPO
Repeat Block Start
/USD
/USD
Commission Amount
End of Block
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
83
Message Specifications
MT518 FIELD ANALYSIS
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
Advices Referring to Your Trades
CREQ
CCRQ
YTPA
YTPR
RPSD
CMPM
MDAD
DFVA
SITR
NAFI
DCCX
x
x
x
x
x
x
x
x
x
x
x
Message Header
Password
Sender
x
x
x
x
x
x
x
x
x
x
x
Message Type
x
x
x
x
x
x
x
x
x
x
x
Receiver
x
x
x
x
x
x
x
x
x
x
x
M
:16R:
GENL
Start of Block
M
:20C:
:SEME//
Sender’s Reference for this x
message
x
x
x
x
x
x
x
x
x
x
M
:23G:
NEWM
Message Function = New
Message
x
x
x
x
x
x
x
x
x
CANC
Cancel
x
x
Preparation Date/Time
x
x
x
x
x
x
x
x
GSCC/REPO
Trade Indicator = Cash
Trade or
Repo Trade or
x
x
GSCC/TRLK
Locked-in Cash Trade or
x
x
x
x
x
O
:98C:
:PREP//
M
:22F:
:TRTR/
GSCC/CASH
GSCC/TRLR
Locked-in Repo Trade or
x
GSCC/TRDC
Demand Cash Trade or
x
x
Demand Repo Trade
x
x
x
x
x
x
GSCC/TRDR
M
:16R:
LINK
Repeat Block Start
O
:20C:
:MAST//
Master Reference Number
M
:16S:
LINK
End of Block
M
:16R:
LINK
Repeat Block Start
O
:20C:
:PREV//
Previous Reference
M
:16S:
LINK
End of Block
x
x
x
x
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
84
Message Specifications
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
M
:16R:
LINK
Repeat Block Start
O
:20C:
:LIST//
FICC GSD Reference
M
:16S:
LINK
End of Block
M
:16R:
LINK
Repeat Block Start
O
:20C:
:BASK//
Broker Reference Number
M
:16S:
LINK
End of Block
M
:16S:
GENL
End of Block
M
:16R:
CONFDET
Start of Block
M
:98C:
:TRAD//
M
:98A:
:SETT//
M
:90A:
:DEAL/
Subqualifier
Field Description
Advices Referring to Your Trades
CREQ
CCRQ
YTPA
YTPR
RPSD
CMPM
MDAD
DFVA
SITR
NAFI
DCCX
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Trade Date/Time
x
x
x
x
x
x
x
x
x
x
x
Settlement Date
x
x
x
x
x
x
x
x
x
x
x
/PRCT/
Deal Price Percentage or
x
x
x
x
x
x
x
x
x
/YIEL/
Yield or
x
x
x
x
x
x
x
x
/DISC/
Discount or
x
x
x
x
x
x
x
x
x
x
O
:19A:
:SETT/
/USD
Settlement Amount
x
x
x
x
x
x
x
x
x
x
x
M
:22H:
:BUSE/
/BUYI
Trade Type Buy (RV) or
x
x
x
x
x
x
x
x
x
x
x
/SELL
Sell (RP)
x
x
x
x
x
x
x
x
x
x
x
GSCC/CMPR
Comparison Request or
GSCC/CRQM
GSCC/LCTA
Comparison Request
Modify or
Comparison Request
Cancel or
Locked-in Trade Advice or
GSCC/CREQ
Cancel Request or
GSCC/CCRQ
Cancel Request Cancel or
GSCC/PCCA
Post Comparison Cancel
Advice (locked-in td) or
O
:22F:
:PROC/
GSCC/CADV
x
x
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
85
Message Specifications
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
GSCC/YTPA
Yield to price- Assumed
Coupon or
GSCC/CPNR
Coupon Reset
GSCC/YTPR
Yield to price- Real Coupon
or
GSCC/RPSD
Repo Substitution Details
or
Compared with
Modifications or
GSCC/CMPM
M
:22H:
:PAYM/
M
:16R:
M
:95R:
CONFPRT
Y
:BUYR/
O
:20C:
:PROC//
O
:70E:
:DECL/
Advices Referring to Your Trades
CREQ
CCRQ
YTPA
YTPR
RPSD
CMPM
MDAD
DFVA
SITR
NAFI
DCCX
x
or
GSCC/MDAD
Post Comparison Trade
Modification or
GSCC/CMDA
Post Comparison Contra
Trade Modification or
GSCC/DFVA
Default Values Applied or
GSCC/SITR
Screen Input Trade Replay
or
GSCC/NAFI
DK Advice or
GSCC/DCCX
DK Remove Advice
/APMT
Against Payment Trade
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Repeat Block Start
GSCC/PART
Party = Buyer
Buyer reference
/GSCC
/PREV
/CORR
Declaration Details
Narrative
Buyer (Contra) Previous
External Reference
Buyer’s executing firm
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
86
Message Specifications
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
Subqualifier
Field Description
O
:PACO/
/GSCC
Participant Contact
Narrative
/TDID
Trader ID
:70C:
M
:16S:
M
:16R:
M
:95R:
CONFPRT
Y
CONFPRT
Y
:SELL/
O
:20C:
:PROC//
O
:70E:
:DECL/
:70C:
M
:16S:
M
:36B:
M
:35B:
O
:70E:
:PACO/
CONFPRT
Y
:CONF/
:TPRO/
GSCC/PART
CONFDET
YTPA
YTPR
RPSD
CMPM
MDAD
DFVA
SITR
NAFI
DCCX
x
x
x
x
x
x
x
x
x
x
x
Party = Seller
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Seller reference
/GSCC
Declaration Details
Narrative
Seller (Contra) Previous
External Reference
/CORR
Seller’s executing firm
/GSCC
Participant Contact
Narrative
/TDID
Trader ID
Repeat Block End
/FAMT/
Quantity as Face Amount
(Par)
x
x
x
x
x
x
x
x
x
x
x
/US/
Identification of Financial
x
x
x
x
x
x
x
x
x
x
x
/GSCC
Transaction Processing
Narrative
Message Reason (see
Appendix E)
DK Reason (see Appendix
E)
End of Block
x
x
x
x
x
x
x
x
x
/DKRS
:16S:
CCRQ
Repeat Block Start
/MSGR
M
CREQ
Repeat Block End
/PREV
O
Advices Referring to Your Trades
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
x
x
87
Message Specifications
SWIFT MT518 Layout
M/O Tag
Block/
Qualifier
M
:16R:
SETDET
Start of Optional Sequence
M
:16R:
AMT
Repeat Block Start
M
:19A:
:LOCO/
M
:16S:
AMT
End of Block
M
:16S:
SETDET
End of Block
M
:16R:
REPO
Start of Optional Sequence
O
:98A:
:REPU//
O
:20C:
:SECO//
Date of Repo Close-leg
Settle
Secondary Reference
O
:92A:
:REPO//
O
:19A:
:REPA/
M
:16S:
REPO
Subqualifier
/USD
/USD
Field Description
Advices Referring to Your Trades
CREQ
CCRQ
YTPA
YTPR
RPSD
CMPM
MDAD
DFVA
SITR
NAFI
DCCX
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Repo Rate
x
x
x
x
x
x
x
x
x
Close-leg Settlement
Amount
End of Block
x
x
x
x
x
x
x
x
x
Commission Amount
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
88
Message Specifications
4.5 MT599 Message
4.5.1. MT599 Message Specification
This section includes the MT599 message specification.
The MT599 message is a free-format SWIFT message which FICC GSD is utilizing to communicate
administrative messages to Participants (and their service providers, where appropriate). FICC GSD
will continue to use this message type to notify Participants regarding start and end-of-day
processing, as well as cutoffs for trade submission. Beginning and end-of-day messages, while
initially specified to be used for comparison-related functions, will now be used by FICC GSD to
specify system events encompassing all FICC GSD system functions.
One start-of-day message will be sent out for each business day, when the FICC GSD system is open
for trade submission:
•
/GSOD/ - This start-of-day message will signal to Participants that the FICC GSD system is
available for submission of trades to be included in that day's processing.
Two end-of-day messages will be sent to Participants nightly:
•
/EDCS/ - This first end-of-day message will indicate to Participants that FICC GSD will not
accept any more trade submissions for inclusion in that day's processing. Any trades
submitted after this point will be held and included in the next business day's comparison
process. No acknowledgements or rejections will be sent to Participants for these trades
until the system is next available (after the '/GSOD/' start-of-day message is sent).
•
/EODC/ - The second end-of-day message will indicate to Participants that FICC GSD has
completed batch processing, and that no more interactive messages will be sent by FICC
GSD for that business day.
All MT599 messages sent by FICC GSD will provide the Participant with the date and time of
message preparation and the date for the business day in question. End-of-day messages will also
contain the next FICC GSD valid trade submission date.
In later implementation phases, this MT599 message will most likely be used by FICC GSD to send
additional administrative information to Participants, as well as to possibly receive administrative
information from Participants, where appropriate.
GSCCTRRS (GSCC Trade Registration and Reconciliation System) will be the sender of the MT599
Administrative System Messages specified in this document.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
89
Message Specifications
MT599 Format Differences
It is important to note that this MT599 message is an older SWIFT message type, which is slightly
different in format from the other ISO 15022 messages we are implementing to support Real-time
Comparison.
As can be noted on the following pages:
•
•
•
there are no beginning- and end-of-block tags (16R and 16S),
tags do not always include the optional 1 character format suffix, and
there are no generic fields, qualifiers or repeating sequences.
We have included qualifiers in Tag 79 in an attempt to maintain similar formats to other messages
being implemented, given that any type of text can be included in narrative fields. FICC GSD, for this
purpose, has attempted to delineate, and label, the 'subfields' included in this tag in a similar
manner to those on other messages in the interactive messaging specification distributed. Tag 79
will provide a reference to the record type being sent, which always follows the message
preparation date and time.
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
90
Message Specifications
MT599- GENERAL FORMAT OUTBOUND ADMINISTRATIVE MESSAGE
M/O
Tag
M
M
M
M
M
:20:
M
:79:
Block/Qualifier
GSCC/GADM
/PREP/
/GSOD/
/EDCS/
/EODC/
/NXTD/
Subqualifier/
Options
Field Description
Message Header
Password
Sender
Message Type
Receiver
Transaction (sender’s
message) Reference
Number
Narrative
GSCC Administrative
Message
Preparation Date/Time
GSCC Start-of-Day
Notification or
GSCC Submission Cutoff
End-of-Day Message or
GSCC Processing End-ofDay Message
Next GSCC ‘Trade
Submission’ Day
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
Data Field Format
12!c
8!c
3!n/3!n/4!c
8!c
16x
(35*50x)
4!c/4!c
(8!n6!n)
YYYYMMDDHHMMSS
YYYYMMDD
YYYYMMDD
YYYYMMDD
YYYYMMDD
91
Communications Overview
OUTBOUND MT599 FIELD SPECIFICATIONS
Block/Tag
Message
Header
Password
Sender
Message
Type
Receiver
20
79
Notes
Each Message must contain a message header. All header fields are mandatory
fixed format with trailing blanks, where required
12!c
This field will be blank-filled on all outbound MT599 Messages
8!c
GSCCTRRS (GSCC Trade Registration and Reconciliation System)
will be the sender of the MT599 Administrative messages in this
document.
3!n/3!n/4!c
The first three characters indicate to the recipient the message
type (599); the second three positions reflect the version of the
message interface (currently always 000). The last four
characters indicate the issuer code to be used in the message
(“GSCC”).
8!c
Participant ID
Transaction (Sender’s Message) Reference Number
• This field contains the sender’s message reference number. It is
mandatory and will contain a unique number to unambiguously identify
each message sent from FICC GSD. (This is a communications message
number, not a trade number.)
Note: While the SWIFT message accommodates both Upper and Lower case alphanumeric and
certain symbols, for FICC GSD purposes this field will be populated with an upper case alphanumeric
value. It will not contain symbols or hyphens.
e.g., :20:ABCDEFG1
Narrative
This field will contain the various administrative message data, including the type
of message, using the following qualifiers:
• GSCC/GADM - this qualifier/option indicates that this is an administrative
message being sent by FICC GSD.
• /PREP/ - this field contains the message preparation date and time.
• /GSOD/ - This qualifier indicates to participants that this MT599 message is
FICC GSD’s beginning of day notification for the business date noted.
Subsequent to receiving this message, participants can begin to send
transactions to FICC GSD to be included in that day’s processing. Any
messages received by FICC GSD after this point, and before the end-of-day
submission cutoff, will result in immediate acknowledgement/rejection.
FICC GSD will also, at this point, begin sending acknowledgement/rejection
MT509 output for all trades received after the prior business day’s cutoff
point.
• /EDCS/ - this qualifier indicates that this MT599 message is FICC GSD’s
notification to the participant that any trades received by FICC GSD after
this time will not be included in that day’s processing. All trades received
by FICC GSD after this cutoff (until the next night’s cutoff/ “EDCS” message)
will be included in processing for the next processing/trade date indicated
below (following the qualifier ‘/NXTD/’).
• /EODC/ - This qualifier indicates that this MT599 message is FICC GSD’s
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
92
Communications Overview
•
notification to participants that FICC GSD has completed its batch processes
and no more interactive comparison output will be generated for FICC GSD
for that business day. Any comparison- related output sent by FICC GSD
after this point (through the generation of the next ‘EODC’ message) will be
for the business day indicated below (following the qualifier ‘/NXTD/’).
/NXTD/ - this field provides the next valid FICC GSD trade submission date,
and will be included on all FICC GSD end-of-day messages.
e.g., :79:GSCC/GADM/PREP/20000322200150/EDCS/20000322
/NXTD/20000323
PARTICIPANT SPECIFICATIONS FOR FICC GSD REAL-TIME TRADE MATCHING
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