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DATA DICTIONARY October 7, 2015 Version: 3.9

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Table of Contents

Data Dictionary ..................................................................................................... 1 Appendix 1: Currency Codes ............................................................................. 63 Appendix 2: Prepayment Types ......................................................................... 69 Appendix 3: Product Sub-Flags ......................................................................... 71 Appendix 4: Security Identifier Flag Codes ........................................................ 74 Appendix 5: Settlement Location Codes ............................................................ 75 Appendix 6: Transaction Record Types ............................................................. 78 Documentation History ........................................................................................ 90

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Data Dictionary

Field Name Comments

24 Hour Trade Flag Indicates if trade was done during 24-hour trading. Valid values: Y=Yes N=No

24 Hour Trade Ticket Number The ticket number of a trade done during 24-hour trading.

Account/Counterparty Short Name The short name of the firm account/counterparty. Valid values: any “short name” in the DFA function.

Account/Counterparty Status

The status of the account/counterparty. Valid values: 1=Delete 2=New/Update 3=New/Update 4=Delete 5=New/Update 6=Replace

Account LEI Fund Legal Entity Identifier.

Account Segment The field is deprecated.

Accrual Start Date Starting accrual date for Standard North American credit default swap (CDS) contracts.

Accrued Interest Override This flag indicates if the user has overridden the system calculated accrued amount Valid values: Y=Yes N=No

Accrued Interest/ Repo Interest The accrued interest on the trade. For a Repo transaction, this field contains the Repo interest from the ticket.

Accrued Interest/Repo Interest Fractional Indicator

See Fractional Indicator.

Adjusted Rate Fractional Indicator See Fractional Indicator.

Adjusted Term Money For Repos. Termination Money adjusted for Coupon and Interest.

Adjusted Term Money Fractional Indicator


Affiliated Ticket number Used to indicate the futures Roll Trades.

Agency Trade Reference Ticket Number

When acting as an agent on a trade, the corresponding Buy or Sell ticket number.

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Field Name Comments

All-In Price For Repo transactions. This value is the price of the security, including accrued interest.

All-In Price Fractional Indicator See Fractional Indicator. Allocate By (Traded) Currency Value Indicates if FX trade was traded by first or second iso

currency, that is, the currency to which the Buy/Sell indicator applies.

Alternative Security Id Forty-seven character alphanumeric string, used as a method of uniquely identifying a derivative contract when reporting a trade upon such a contract. The Alternative Instrument Identifier (AII) method of identifying derivatives contracts for trade reporting purposes was created by the Committee of European Securities Regulators (CESR), in line with Markets in Financial Instruments Directive (MiFID's) objective to increase post-trade transparency of European derivatives markets.

Amortization The extent to which principal owed on a loan has been reduced through regular payments.

Amortization Adjustment If the repayment date is on a non-working day, the day on which the payment should take place.

Amortization Amount The constant amount by which the loan/deposit is amortized.

Amortization First Payment Date The date on which the first repayment takes place.

Amortization Frequency Frequency of the repayments.

Amount Sales’ commission amount. Does not affect the value of the principal reported on the trade feed.

Amount Fractional Indicator See Fractional Indicator. AsOfTradeDate The trade date on the ticket, in Date format (YYYYMMDD).

This date comes from the as of field on the trade ticket.

AsOfTradeTime The time of transaction, in Time Format (HHMM). The Time comes from the “As of Time” field on the ticket.

Asset Swap Spread The asset swap spread is derived by valuing a bond’s cash flows via the swap curve’s implied zero rates.

Asset Swap Spread Indicator The Asset Swap Spread Indicator Valid values: Y=Yes N=No

Average Cost The average cost of the position held using a daily mark to market. Used for calculating unrealized P&L.

Average Life The Average Life based off the traded price and prepayment speed.

Average Life Fractional Indicator See Fractional Indicator.

Auto-Ex Dealers in Competition For Auto-Ex. Number of Dealers in Competition for Request for Quotes (RFQs).

Auto-Ex Order or Inquiry Flag marking an Auto-Ex order as an Order or an Inquiry.

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Field Name Comments

Auto-Ex Sequence Number For Auto-Ex trades. The Sequence Number from BLOT.

Auto-Ex Status Status of an Auto-Ex trade. Valid Values: PAS, COV, TWA, and TIE.

Auto-Ex Trade Flag Indicates whether the transaction was done by Auto-Ex. Valid values for all record types (except 140): Y=Yes N=No Valid values for Canceled Pending Tickets (140): E=Expired Pending R=Rejected Pending

Barrier Direction The option must be crossed in this direction. Option direction is Up or Down.

Barrier End Date The date on which the barrier no longer applies.

Barrier Start Date The beginning date from which the barrier applies.

Base Currency Returns the base currency of the currency pair. For a USDJPY currency pair, the base currency is the USD.

Base Price on Ticket Ticket price excluding retail commission.

Base Price on Ticket Fractional Indicator


Base Yield on Ticket Ticket yield calculated from Base Price on Ticket.

Base Yield on Ticket Fractional Indicator


Basket Default Swap ISIN 1-20 ISIN of an underlying basket member for CDSN basket default swap.

Basket ID Basket identifier for multi-security orders. (0 if a single security order.)

B/E Finance Rate Fractional Indicator See Fractional Indicator.

Benchmark CUSIP of the benchmark used for a spread-based trade.

Benchmark Curve For DEPO tickets only. Reference curve for MTM calculations.

Benchmark Identifier Flag The type of identifier used for the benchmark security. See Security Identifier.

Benchmark Price Value Price of the benchmark for spread-to-benchmark trades.

Benchmark Security Identifier For a matrix priced bond, the security identifier for the benchmark security. For actively priced securities, this field is blank.

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Field Name Comments

Benchmark Spread The spread to benchmark for a matrix priced bond. As an example, for a yield or discount spread, if the bid quote on the benchmark is 9.00, and the benchmark spread, is 0.10, the yield (discount) of the matrix priced bond is 9.10. For a price spread, if the benchmark bid price is 100, and the benchmark spread is –10.25, the price of the matrix priced bond is 89.75.

Benchmark Spread Flag The type of spread used to price the matrix priced bond. Valid values: 1=Price spread 2=Discount spread 3=Yield spread 4=Basis

Benchmark Spread Fractional Indicator


Benchmark Trader The name of the Trader pricing the benchmark security. This field only applies to matrix priced securities.

Benchmark Yield The Benchmark Yield

Benchmark Yield Fractional Indicator See Fractional Indicator.

BESA Convention For Repo transactions. For South African bonds on Buy/Sellback trades. Indicates if using BESA Convention for calculations. Valid values: Y=Using BESA Convention N=Using Conventional Repo Calculations

Bid/Offer Spread:

The spread between the bid and offer side. If the bid/offer spread flag is 1, it is the spread between the bid and offer prices. If the flag is 3, it is the spread between the bid and offer yield.

Bid/Offer Spread Flag:

The bid/offer spread may be a price spread or a yield spread, or for discount quoted instruments, a discount spread. This flag identifies what kind of spread is being sent. Valid values: 1=Price spread 2=Discount spread 3=Yield spread

Bid Quote For actively priced bonds, this field contains the bid quote. If the bond is price quoted, it contains the bid price. For yield quoted instruments, it contains the bid yield. For discount-quoted securities, it contains the bid discount. If the bond is matrix priced, this field equals 0.

Block Name Block name (aka, "Strategy Name") for Program/Basket Trade for buy-side OMS.

Bloomberg Functions 1-4 Mnemonic of a Bloomberg function (BTT, TKT, or TARL) used to create/amend transaction.

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Field Name Comments

Bloomberg Global Identifier Unique global identifier assigned by Bloomberg for all securities across every asset class.

Bloomberg Identifier The Bloomberg Identifier of the security. This field may be applicable for securities, such as Private securities, and corps or mortgages that do not have valid CUSIPs.

Bond Borrow Fee Amount Bond Borrow Fee Amount for Japanese Repo.

Bond Borrow Rate Bond Borrow Rate for Japanese Repo.

Book Currency Accrued Interest Amount of Accrued interest calculated in Fund currency (using market rate at the time of trade entry).

Book Currency Accrued Interest Fractional Indicator


Book Currency Principal Amount Principal amount of the trade calculated in Fund currency (using market rate at the time of trade entry).

Book Currency Principal Amount Fractional Indicator


Book Currency Transaction Costs Sum of transaction costs calculated in Fund currency (using market rate at the time of trade entry).

Book Currency Transaction Costs Fractional Indicator


Break-Even Finance Rate (TBAs) For TBA transactions. The reinvestment rate needed for the roll and hold to match in value, with other parameters held constant.

Broker/Dealer DCM The Derivative Clearing Member (DCM) who will be clearing the transaction.

Broker Short Name The counterparty short name as set up in AFA.

Bunched Order Indicates if the trade was done as a bunched order. A bunched order combines multiple executions of the same security into a single order. Valid Values: Y=Yes N=No

Business Day Currency Valid settlement dates for the chosen currency.

Buy Side/Sell Side Flag Specifies if the ticket is from "Buy Side" or "Sell Side" based on which side of the trade the user resides. Valid Values: BUY SIDE SELL SIDE

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Field Name Comments

Buy Side Reason Code The Reason Code. Valid values (If not customized on OD): 1=Best Execution 2=Directed Business 3=Miscellaneous 4=Soft Dollar 5=Research 6=Syndicate 7=Wrap Business 8=Crosses 9 =Exit Position 10=Establish Position 11=Reduce Position 12=Increase Position 13=Rebalance Portfolio 14=Swap 15=Arbitrage 16=Contingent 17=Roll 18=Gain/Loss

Buy/Sell/Cover/Short Flag The side of the trade. Valid values: B=Buy S=Sell C=Cover H=Short

BXT Login BXT login for VCON (Voice Confirmation) trades.

Calculation Indicator Valid values: Y=Yes. YAS and other calculations on trade were automatically calculated on the system. N=No. New pricing information was not automatically calculated user manually inputted values.

Call/Put Ccy Call/Put currency. This field returns the call/put currency as specified when the option was the option was saved. If the call/put currency was saved as JPY for USD/JPY trade, this field returns JPY.

Cancel Date Date when a trade was cancelled.

Cancel Time Time when a trade was cancelled.

Cancel Due To Correction This flag indicates if a canceled ticket is due to a correction. This helps the user distinguish outright canceled trades from cancel/corrected trades. Valid values: Y=Yes N=No A=Allocated from XSMT

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Field Name Comments

Cancel Due to Match For Trader Slates. Indicates whether the slate was canceled during the matching process or whether it was manually canceled by a trader. Valid values: Y=Yes N=No

Cancel Transaction P&L Attribution Profit and loss (P&L) attributed to the cancelled transaction.

Cap For Mortgage securities, this value is the upper limit to interest rates on a variable rate bond.

Cash Broker Code Broker for the cash adjustment ticket. This field is most useful when cash ticket is booked to transfer or pledge cash as a collateral.

Cash Reversal Date Future date on which cash adjustment can be booked with automatic reversal.

Cash Reversal Offset Ticket Indicator Indicates that the ticket in question is a reversal offset ticket. Reversal offset tickets are automatically created when a cash adjustment is booked with automatic reversal for certain future date.

Cash Linked Reversal Ticket Number Original linked ticket for the reversal ticket or the reversal linked ticket for the original ticket. If a cash adjustment is booked with automatic forward reversal, it creates an additional reversal ticket.

CCP Venue Central Counter Party Clearing Venue

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Field Name Comments

CDS Contract Type Indicates the type of CDS Contract. Valid values: A - SNAC = Standard North American Corporate Contract E - STEC = Standard European Corporate Contract S - SSEI = Standard Subordinated European Insurance Corporate Contract W - SWES = Standard Western European Sovereign Contract F - SEEL = Standard Emerging European Corporate LPN Contract M - STEM = Standard Emerging European Corporate Contract O - SEME = Standard Emerging European & Middle Eastern Sovereign Contract R - SAUC = Standard Australia Corporate Contract V - SNZC = Standard New Zealand Corporate Contract D - SAUS = Standard Australia Sovereign Contract Z - SNZS = Standard New Zealand Sovereign Contract H - STSC = Standard Singapore Corporate Contract I - STAC = Standard Asia Corporate Contract G - STSS = Standard Singapore Sovereign Contract X - STAS = Standard Asia Sovereign Contract J - SJAC = Standard Japan Corporate Contract P - SJAS = Standard Japan Sovereign Contract K - SUKC = Standard Sukuk Corporate Contract U - SUKS = Standard Sukuk Sovereign Contract B - SLAB = Standard Latin America Corporate B Contract L - SLBL = Standard Latin America Corporate BL Contract T - SLAS = Standard Latin American Sovereign Contract 1 - MFFC = U.S. Municipal Full Faith and Credit Contract 2 - MUGF = U.S. Municipal General Fund Contract 3 - MUNR = U.S. Municipal Revenue Contract C - CONV = Conventional Contract 9 - CHIN = Standard China Contract Q - INDI = Standard India Contract i - SAFC = Standard Asia Financial Corporate r - SAUF = Standard Australia Financial Corporate c - SEEF = Standard Emerging European Financial Corporate f - SEFL = Standard Emerging European Financial CorporateL PN e - SEFC = Standard European Financial Corporate d - SECF = Standard European CoCo Financial Corporate j - SJFC = Standard Japan Financial Corporate b - SLFB = Standard Latin America Financial Corporate Bond g - SLFL = Standard Latin America Financial Corporate Bond Or Loan v - SNZF = Standard New Zealand Financial Corporate a -SNAF = Standard North American Financial Corporate h - SSFC = Standard Singapore Financial Corporate k - UFC = Standard Sukukh Financial Corporate

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Field Name Comments

CDS Is not Standard Contract Indicates if the deal is a Standard North American Contract.

CDS Recovery Rate For Swaps. The percentage (expressed in decimals) of the Recovery Claim that the credit default swap seller expects to recover in the event that the underlying reference entity defaults.

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Field Name Comments

CDS Recovery Rate (Transaction) Percentage (expressed in decimals) of the reference obligation to be recovered, or auction recovery rate, per transaction. This is on a per transacation basis as opposed to the prior definition which is on a deal basis. As of Date/Time Time-Zone Text: Time-Zone description corresponding to As of Date & Time. Valid values: Etc/GMT+12 Pacific/Midway Pacific/Honolulu America/Anchorage America/Los_Angeles America/Denver America/Phoenix America/Mexico_City America/Chicago America/Regina Etc/GMT+5 America/Bogota America/New_York America/Santiago America/Caracas America/Halifax America/St_Johns America/Argentina/Buenos_Aires America/Sao_Paulo America/Noronha Atlantic/Azores Europe/London Etc/GMT Europe/Berlin Europe/Athens Europe/Kiev Africa/Johannesburg Asia/Jerusalem Africa/Cairo Asia/Riyadh Europe/Moscow Asia/Tehran Asia/Dubai Asia/Kabul Asia/Karachi Asia/Calcutta Asia/Dhaka Africa/Tunis Africa/Tripoli America/Guyana Africa/Casablanca

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Field Name Comments

CDS Recovery Rate (Transaction) Asia/Bangkok Asia/Shanghai Asia/Hong_Kong Asia/Tokyo Australia/Adelaide Australia/Darwin Australia/Melbourne Australia/Brisbane Australia/Hobart Asia/Vladivostok Asia/Magadan Pacific/Auckland Pacific/Fiji Asia/Almaty America/Puerto_Rico America/Montevideo Africa/Lagos America/Cayman America/Guatemala Africa/Tunis Africa/Tripoli America/Guyana Africa/Casablanca Asia/Ulaanbaatar Australia/Perth Pacific/Apia Asia/Yekaterinburg Asia/Tashkent Asia/Baku Asia/Rangoon Asia/Kathmandu America/Asuncion

CDS Recovery Rate Fractional Indicator


CDS Date Generation Method The date generation method. Valid values: F=generates coupon dates forward from the effective date or the first coupon date (depending on which was last changed). B=generates coupon dates backwards from the maturity date or the next-to-last coupon date (depending on which was last changed). I=generates coupon dates backwards so that they fall on IMM dates.

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Field Name Comments

CDS Funded Price The Clean Dollar Price, calculated as (1 - Principal Value/Notional) x 100.

CDS Funded Price Fractional Indicator See Fractional Indicator.

CDS Market Contract Type Valid values: SNAC = Standard North American Corporate Contract STEC = Standard European Corporate Contract SSEI = Standard Subordinated European Insurance Corporate Contract SWES = Standard Western European Sovereign Contract SEEL = Standard Emerging European Corporate LPN Contract STEM = Standard Emerging European Corporate Contract SEME = Standard Emerging European & Middle Eastern Sovereign Contract SAUC = Standard Australia Corporate Contract SNZC = Standard New Zealand Corporate Contract SAUS = Standard Australia Sovereign Contract SNZS = Standard New Zealand Sovereign Contract STSC = Standard Singapore Corporate Contract STAC = Standard Asia Corporate Contract STSS = Standard Singapore Sovereign Contract STAS = Standard Asia Sovereign Contract SJAC = Standard Japan Corporate Contract SJAS = Standard Japan Sovereign Contract SUKC = Standard Sukuk Corporate Contract SUKS = Standard Sukuk Sovereign Contract SLAB = Standard Latin America Corporate B Contract SLBL = Standard Latin America Corporate BL Contract SLAS = Standard Latin American Sovereign Contract MFFC = U.S. Municipal Full Faith and Credit Contract MUGF = U.S. Municipal General Fund Contract MUNR = U.S. Municipal Revenue Contract CONV = Conventional Contract SAFC = Standard Asia Financial Corporate SAUF = Standard Australia Financial Corporate SEEF = Standard Emerging European Financial Corporate SEFL = Standard Emerging European Financial CorporateL PN SEFC = Standard European Financial Corporate SECF = Standard European CoCo Financial Corporate SJFC = Standard Japan Financial Corporate SLFB = Standard Latin America Financial Corporate Bond SLFL = Standard Latin America Financial Corporate Bond Or Loan SNZF = Standard New Zealand Financial Corporate SNAF = Standard North American Financial Corporate SSFC = Standard Singapore Financial Corporate UFC = Standard Sukukh Financial Corporate

CDS Reference Entity Data Legal Name

Reference Obligation Database (RED) long legal name for reference entity of the single name CDS according to the jurisdictional documentation.

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Field Name Comments

CDS Reference Entity Data Pair Code Reference Obligation Database (RED) Pair CLIP to identify the primary reference obligation of the single-name CDS. The first six characters are the corresponding RED entity CLIP, which represents the reference entity. The seventh and eighth characters represent the bond and last a check digit.

CDSI Accrued Days The number of days’ worth of interest accrued as of settlement.

CDSI Last Coupon Date The date on which the previous coupon was paid.

CDX Reference Index Identifier Specifies the CUSIP of the underlying index used for creating a CDS Index Swap.

Clearing Account When Clearing Channel is Bloomberg, the clearing house's account identifier for the clearing firm. Default is set automatically by the server. When Clearing Model is Agency or Principal, dealer can override this with a different account at any point during negotiation.Warning: Before client can use a clearing account, that account must be registered on a Bloomberg system.

Clearing Broker The contra clearing broker.

Clearing Channel This is the channel used for clearing, and can be Bloomberg or Markitwire.

Clearing Threshold Specifies whether a non-financial party is above or below the clearing threshold. This is blank for financial counterparties. Valid values: "" (Blank) Below Above

Clearinghouse Flag Specifies the clearinghouse, if any, the CDS is allowed to go to.

Clearinghouse Security ID Security identifier for the credit CDS as assigned by the clearinghouse.

Client is US Person Client is a US person.

CMO Tranche For CMOs only. This value is available on the DES page of the security.

Code Sales commission code used to determine the value of the commission amount.

Collateral For CMOs only. This value is available on the DES page of the security.

Commission Amount Sales commission amount. Does not affect the value of the principal reported on the trade feed.

Commission Code Sales commission code used to determine the value of the commission amount.

Commission Overrides 1-5 Indicates if user performed a manual override of computed commission.

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Field Name Comments

Commodity Currency This field returns the commodity currency of the currency pair. For a USDJPY currency pair, the commodity currency is the JPY.

Commodity/Index Exchanges For a list of Valid values, see the CEM function.

Company ID Bloomberg number assigned to all companies that issue securities. Mortgages/Structure Finance: This code may not identify a unique entity, and can instead be associated with more than one distinct vehicle used for similar securitization purposes by the same originator or arranger.

Compression Indicates whether the transaction is a result of compression. Valid values: Y=Yes N=No

Concession/Stipulation Variance/Repo Rate Fractional Indicator


Contingent Flag (Y/N) Contingent field indicates to the trading desk that the order should be completed together. Applies to buy-side order management.

Concession/Stipulation Variance/Repo Rate

For transactions involving municipal securities, this field contains the concession value associated with the transaction. For transactions involving Mortgage TBAs, this field contains the PSA variance. For Repo transactions, this field contains the Repo rate.

Contract Size Number of shares that can be exchanged for each option contract exercised. e.g. For Equity Options traded on US exchanges, Contract Size will be 100.

Contract Size Fractional Indicator See Fractional Indicator.

Convexity The rate of change in OAS duration as the bid yield changes.

Corrected Transaction P&L Attribution Profit and loss (P&L) attributed to the corrected transaction.

Correction As Original Indicates a correction whose original ticket was released from TARL.

Counterparty Legal Entity Identifier Legal entity identifier (LEI) for the counterparty of a given transaction, which is generally defined at a firm account or book level.

Coupon Reinvestment Dates 1-3 For Repo transactions. If collateral has a coupon payment, this indicates the first reinvestment date.

Coupon/Strike Price Coupon of the security. If the security is an option, this field contains the strike price.

Coupon Fractional Indicator See Fractional Indicator.

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Field Name Comments

Coupon Refix Frequency The number of times per year the coupon gets reset. Valid values: 1=Annual 2=Semi-Annual 4=Quarter 6=Every Other Month 12=Monthly 26=Every Other Week 52=Weekly 203=Mortgage (3 Year) 205=Mortgage (5 Year) 365=Daily 999=Other 000=Not Applicable

Credit Event Type Credit event type in trading system ticketing database indicating how the ticket was generated from mid-office functionality.

Cumulative Accrued Interest The total accrued interest for an open Repo when the Repo rate has been changed.

Cumulative Accrued Interest Frac. Ind. See Fractional Indicator

Currency ISO Code Identifies the security. For a list of valid values, see Appendix 1: Currency Codes.

Current Floater Coupon The current coupon for a floating rate bond.

Current Floater Coupon Fractional Indicator


Curve ID for G-Spread The yield curve used to determine the G-Spread.

Custody Bank Destination ID ID of the Custody Bank automatically assigned to the trade by the Trading System. In order to get this field Fund/Custody bank, setup must be done.

Custody Safekeeping Number Custodian Account number for a Fund (specific per Custody Bank/Prime Broker).

Customer Account/ Counterparty The counter party for the trade. If the trade is a trader to trader trade, this field contains the name of the trader book of the trade was done with.

Curve The yield curve against which to measure the spread.

Cut-off Time (UTC) The cut-off time of the option, expressed as UTC (Universal Coordinated Time, aka GMT).

D-Spread The duration matched yield spread between the bond’s modified duration and the interpolated modified duration for the yield curve specified in the CRV# field from YAS. The yield spread is derived by subtracting the interpolated yield on the swap curve from the selected bond’s yield to workout.

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Field Name Comments

D-Spread Fractional Indicator See Fractional Indicator.

Date Roll Convention For Swaps. Indicates the type of rolling business day convention for paying and receiving interest.

Date Trade Was Authorized The date that a trade was authorized for release in TARL.

Day Count Day types are used to determine how accrued interest is calculated and how coupon periods are determined. A given day type is described by two day counting conventions and is displayed as XX/YY, where XX describes how to calculate the number of days for accrued interest, and YY is used to calculate the number of days in a coupon period (i.e., between coupon dates). Valid values: ACT=Actual Day Count 29=30/360 MSRB 30= Each Month Contains 30 Days NL=No Leap Day Convention Day types 1 – 9 follow end-of-month day count convention: Valid values: 1=ACT/ACT 2=ACT/360 3=ACT/365 4=30/ACT 5=30/360 6=30/365 7=NL/ACT 8=NL/360 9=NL/365 Day types 10 – 18 do not follow end-of-month convention: Valid values: 10=ACT/ACT 11=ACT/360 12=ACT/365 13=30/ACT 14=30/360 15=30/365 16=NL/ACT 17=NL/360 18=NL/365 Day types 19 – 21 follow the ISMA end-of-month convention: Valid values:

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Field Name Comments 19=ISMA-30/ACT 20=ISMA-30/360 21=ISMA-30/365

Day Count Day types 22 – 24 follow the ISMA non-end-of-month convention: Valid values: 22=ISMA-30/ACT: NON-EOM 23=ISMA-30/360 : NON-EOM 24=ISMA-30/365 : NON-EOM Day Types 27 - 55 are used for certain commodity/govt/mmkt/corp/pfd securities: Valid values: 27=ACT/364 28=ACT/365-66 29=US MUNI: 30/360 30=ACT/364 NON-EOM 32=MUNI30/360 NON-EOM 33=BUS DAYS/252 35=GERMAN:30/360 36=BUS DAY/252NON-EOM 37=ACT/365-66 NON-EOM 38=GER:30/360 NON-EOM 40=US:WIT ACT/ACT 41=US:WIB ACT/360 44=ISDA SWAPS:30/360 45=ISDA SWAPS:30/365 46=ISDA SWAPS:30/ACT 47=ISDA30/360 NON-EOM 48=ISDA30/365 NON-EOM 49=ISDA30/ACT NON-EOM 50=ISDA 30E/360 51=ISDA 30E/365 52=ISDA 30E/ACT 53=ISDA 30E/360 N-EOM 54=ISDA 30E/365 N-EOM 55=ISDA 30E/ACT N-EOM

Day types 91 – 93 are used for certain mortgage securities: Valid values: 91=ACT/ACT NOMINAL 92=ACT/360 NOMINAL 93=ACT/365 NOMINAL 99=Unknown Day Types 101-207 are used for certain mtge securities:

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Field Name Comments Valid values: 101=ACT/ACT(101) 102=ACT/360(102) 103=ACT/365(103) 104=30/360(104) 105=ACT/ACT NOM(105) 106=ACT/360 NOM(106) 107=ACT/365 NOM(107) 108=ACT/360(108) 131=ISMA 30/360(131) 201=ISDA ACT/ACT(201) 202=AFB ACT/ACT(202) 203=ISDA ACT/ACT NOM(203) 204=AFB ACT/ACT NOM(204) 206=ISMA ACT/ACT(206) 207=ISMA ACT/ACT NOM(207)

DCM Client Indicator Indicates whether the client who initiated this trade is a Direct Clearing Member (DCM) client. Valid values: True False

Dealer Book Book name of the dealer for an FX customer trade with a linked dealer ticket. Available for FX customer trades with linked inter-desk tickets.

Dealer Buy-Sell Flag Indicates if the dealer ticket is a buy or sell for the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets

Dealer CCY1 Amount Currency 1 amount on the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets.

Dealer CCY1 Amount Fractional Indicator


Dealer CCY2 Amount Currency 2 amount on the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets.

Dealer CCY2 Amount Fractional Indicator


Dealer is US Person Dealer is a US person.

Dealer Legal Entity Identifier Legal entity identifier (LEI) for the dealer of a given transaction, which is generally defined at a firm account or book level.

Dealer Points Points on the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets.

Dealer Points Fractional Indicator See Fractional Indicator.

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Field Name Comments

Dealer Rate Rate on the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets.

Dealer Rate Fractional Indicator See Fractional Indicator.

Dealer Spot Rate Spot rate on the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets.

Dealer Spot Rate Fractional Indicator See Fractional Indicator.

Dealer Ticket Number Ticket number of the linked dealer ticket for an FX customer trade. Available for FX customer trades with linked inter-desk tickets.

Delayed Delivery Date Delayed delivery day for TBA transactions.

Delivery Date The delivery date field returns the delivery date of the underlying security.

Delivery Type The transaction delivery types for Repo transactions. Valid values: DP=Delivery Versus Payment TP=Tri-Party HC=Hold In Custody BC=Bulk Collateral FD=Free Delivery

Delta Delta of FX option at time of transaction.

Delta Fractional Indicator See Fractional Indicator.

Direction Possible returns for vanillas and benefits. Valid values: B=Buy S=Sell Returns the following for one-touch and no-touch options: R=Receive P=Pay

Dirty Price Full price of a bond, including accrued interest that the seller is entitled to receive.

Dirty Price Fractional Indicator See Fractional Indicator.

Dirty Price Flag Indicates if security is Dirty Priced (accrued if rolled into price).

Discount Rate For trade feed, discount rate is for discount quoted securities, and this field contains the discount rate at which the trade was done.

Discount Rate Fractional Indicator See Fractional Indicator.

DollarRoll Determines if the transaction has a dollar roll flag set on it. Valid values: True/False.

Duration The weighted average maturity of the security’s cash flows, where the present values of the cash flows serve as the weights.

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Field Name Comments

Early Closeout Flag Indicates an early closeout of a term repo (repo with a set termination date).

Early Delivery Flag This flag indicates whether a Repo trade was closed out prior to the termination date. Valid values: Y=Yes N=No

Edit Transaction P&L Attribution Profit and loss (P&L) due to the edit of the transaction.

Effective Date For Swaps. The date on which interest begins to accrue.

Effective Duration (TBAs) For TBA transactions. The Effective Duration of the security.

Electronic Trade Indicates that a Fixed Income trade was executed on electronic execution venues.

EMIR Action Type Action type of the swap transaction as per European Market Infrastructure Regulation (EMIR) requirements. Valid values: New Modify Error Cancel Compression Valuation Update Other Unknown

EMIR Action Type Details Additional details of EMIR Action Type for the swap transaction to explain any necessary details beyond the actual action type code.

EMIR Trade ID Unique trade identifier as per European Market Infrastructure Regulation (EMIR) requirements.

Entry Of Mutual Fund Shares Was By Sell All

For trades on mutual funds, indicates if shares amount was entered by Sell All.

Equity TRS Counterparty For Total Return Swap for AIM clients. Trade Counterparty (Broker) of the Total Return Swaps. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

EQPL Sub Flag For Equity Private Placement securities. The type of security. Valid values: 0=Common Stock 3=Warrant 8=Mutual Fund 9=Right 14=Preferred Stock

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Field Name Comments

Estimate Flag For buy/sellbacks or sell/buybacks, Valid values: Y= Indicates that the future price is estimated. N=Future price is not estimated.

Estimated NAV For Mutual Funds For trades on mutual funds, indicates if NAV is actual or estimated.

Estimated TIPS Factor Flag Treasury Inflation-Protected Securities (TIPS) Factor applied is an estimate.

Euro Discrepancy Euro Repo interest discrepancy.

Euro Discrepancy Fractional Indicator See Fractional Indicator.

Ex-Dividend Date This field represents the date, between announcement and payment, when a stock goes ex-dividend.

Execution Counterparty Name of the execution counterparty. For clearing swap trades, the execution counterparty is the original party the trade is made with; can be null if it is an anonymous trade.

Execution Platform Identifies platform through which trade was entered. Valid values: 0=Manual 1=FIET 2=FXGO 3=MARKETAXESS 4=TRADEWEB 5=QUIK 6=TRADEBOOK FX 7=FXCONNECT 8=OTHEROMS 9=BONDVISION 10=FXALL 11=TRADEWEB EUROPE 12=TRADEWEB US 13=TRADEWEB ASIA

Execution Type Flag Execution Type Flag indicator from Order Management (EMS).

Exercise Type Exercise Type for vanilla FX option. Valid values: American European

Expiration City The city and its local time where the option expires.

Extended Precision Price The price of the trade with extended precision.

Extended Precision Price Fractional Indicator


External Block Trade ID On an allocation, this is an external client order ID assigned by a client for a block trade.

External Trade ID Trade ID assigned by client for electoric trades. Value can be submitted in Execution ID tag via FIX CMF.

22


Field Name Comments

Extension Date For Tri-Party Repo transactions. A date for which the repo transaction has been extended.

Factor This field displays the factor used in the current face calculation for mortgages. For Brady bonds, this field contains the current Brady factor. For inflation-linked treasuries, the Index factor is passed.

FCM LEI FCM Legal Entity Identifier.

Fee Amount Dollar amount of the tender fee.

Fee Fractional Indicator See Fractional Indicator.

Feed Reason Code Feed reason code is send only for trade feed messages that represent additional events which happen for a trade. If FeedReasonCode is present, then this message does not represent a new trade, but rather a status change for an existing trade. Valid values: BlockTrailer: 1 = Block action (new, cancel) is complete and all relevant allocations were sent down. ElectronicTrade: 4 = Electronic trade was executed. Other: (no numeric code) = Other reason. TCTMStatusChange: 5 = Change in trade status was recorded on TCTM blotter. VCONConfirmed: 2 = Trade was confirmed in VCON. VCONUnconfirmed: 3 = Trade was unconfirmed in VCON. 7 = Trade UTI Update

Finance Rate The rate used for calculation of the cost of carry income/expense.

Firm As Of Date (YYYYMMDD) If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the as of date in the Primary admin time zone.

Firm As Of Time (HH:MM:SS) If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the as of time in the Primary admin time zone.

Firm Cancel Date If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the cancel date in the Primary admin time zone.

Firm Cancel Time If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the cancel time in the Primary admin time zone.

Firm Date (YYYYMMDD) If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the trade date in the Primary admin time zone.

Firm Time (HH:MM:SS) If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the trade time in the Primary admin time zone.

Firm Time Of Sales (HH:MM:SS) If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the slate time in the Primary admin time zone.

23


Field Name Comments

Firm Time Of Slate (HH:MM:SS) If firm is on for "AS OF TIME DISPLAY IN USR TIMEZONE", then this is the slate date in the Primary admin time zone.

Firmbook Or Matchbook For Swing Trader

For Repo transactions. Valid values: F=Firmbook M=Matchbook

Firmbook Or Matchbook For Trader For Repo transactions. Valid values: F=Firmbook M=Matchbook

First Coupon Date The first coupon payment date following the initial settlement date.

Fixing Date YYYYMMDD Non-Deliverable Forward (NDF) Fixing Date. Default fixing date for 10-30 currency objects.

Fixing Rate Fractional Indicator For NDFs. The Fractional Indicator for NDF Rate Value

Fixing Rate Value For NDFs. The Fixing Rate.

Fixing Time HH:MM For NDFs. The Fixing Time.

Float Lag Term For Swaps. Refers to the number of days before the next accrual date that the new rate is fixed.

Forward Date For Repo transactions. The date entered through RTH on which re-rating occurs. (For Trade Feed Version 5.6, this date overlays the settlement date in bytes 64-71.)

Forward Price For Repo transactions. The price entered on the ticket discounting the difference between coupon interest and Repo interest accrued over the number of term days for the trade.

Forward Price Fractional Indicator See Fractional Indicator.

Forward Ticket number (TBAs) For TBAs. The forward Ticket Number.

24


Field Name Comments

Fractional Indicator The Fractional Indicator is used in calculating the number associated with it. The delineation of the whole number portion of the number and the decimal/fraction portion of the number is defined by the fractional indicator code. Example A Coupon of 10.04 is sent as follows: Coupon Fractional Indicator Coupon

2 1004 FRACTIONAL INDICATORS ARE AS FOLLOWS: Fractional Indicator Code 1/1 0 1/10 1 1/100 2 1/1,000 3 1/10,000 4 1/100,000 5 1/1,000,000 6 1/10,000,000 7 1/100,000,000 8 1/1,000,000,000 9

Full Trade Amount The amount of the transaction.

Full Term Profit Sharing Profit sharing rate applied to the full term of the loan/deposit.

FX 1st Cross Points When doing a deal that involves two foreign currencies, the rate per US dollar is calculated for each currency. For example, If doing a deal for EUR/JPY, then the rate for EUR/USD (1st Cross Point) and USD/JPY (2nd Cross Point) must be calculated to come up with the rate for the deal.

FX 1st Cross Points Fractional Indicator


FX 1st Cross Rate When doing a deal that involves two foreign currencies, the rate per US dollar is calculated for each currency. For example, If doing a deal for EUR/JPY, then the rate for EUR/USD (1st Cross Point) and USD/JPY (2nd Cross Point) must be calculated to come up with the rate for the deal.

FX 1st Cross Rate Fractional Indicator See Fractional Indicator.

FX 1st Cross Source The pricing source for the 1st currency’s cross points.

FX 2nd Cross Points See FX 1st Cross Points

FX 2nd Cross Points Fractional Indicator


FX 2nd Cross Rate See FX 1ST Cross Rate

25


Field Name Comments

FX 2nd Cross Rate Fractional Indicator See Fractional Indicator.

FX 2nd Cross Source The pricing source for the 2nd currency’s cross points.

FX Deal Type The FX deal types. Valid values: 1=Spot 2=Forward 3=Swap

FX Inverted Flag The Inverted filed inverts the market rate. The rate is quoted as Sell currency per Buy currency. If Y is entered in the Invert field, the currency is quoted as Buy currency per Sell currency. Valid values: Y=Yes N=No

FX ISO Code Of 1st Currency The currency ISO Code. For a list of valid values, see Appendix 1: Currency Codes.

FX ISO Code Of 2nd Currency The currency ISO Code. For a list of valid values, see Appendix 1: Currency Codes.

FX Market Rate The rate at which that currency is currently being traded.

FX Market Rate Fractional Indicator See Fractional Indicator.

FX Market Rate Source The pricing source for the market rate.

FX Market Spot Date The settlement date for the spot trade (T+2).

FX Market Spot Source The pricing source for the market rate.

FX Option Type This field returns 'V' for vanilla, 'B' for barrier, or 'T' for digital (one touch and no touch).

FX Outright Spot Rate The Spot rate (T+2) for the outright (longer than T+2) deal.

FX Outright Spot Rate Fractional Indicator


FX Points Points for FX Forwards

FX Points Fractional Indicator See Fractional Indicator.

FX Strategy Code For Foreign Exchange Trades. The strategy code. Valid values: A=Active C=Cover H=Hedge

FX Strategy Identifier Character identifier of the master FX option security when a multi-leg strategy is created.

FX Swap Leg The FX swap ticket creates two legs: Near and Far. For example, if the near leg is USD/JPY then the far leg is JPY/USD.

26


Field Name Comments

FX Swap Ticket Number The ticket number for the FX Swap Transactions.

FX Use Standard Instructions Flag Indicates whether to use Standard Instructions Flag. Valid values: Y=Yes N=No

Gamma Gamma of FX option at time of transaction.

Gamma Fractional Indicator See Fractional Indicator.

General Ledger Account The general ledger account. The GLAA function allows for the entry of one account per single currency trader, and one account per currency for multi-currency traders.

Generic Label For Tri-Party Repo transactions. The generic label pair for the trade. Valid values: 2 = ABS Investment Grade 3 = ABS Non Investment Grade 4 = Agency CMO’s 5 = Agency Debentures & Strips

GMT Cut Time Cut-off time. This field returns the cut-off time of following regions: N=New York L=London T=Tokyo

GMT Offset HH:MM For NDFs. The Offset between GMT and the time zone of where the fixing occurs

Good Million Number For TBA allocations. This field expresses the ordering of the allocated pools against a specified TBA security. For non-TBA allocations this field is zero.

G-Spread The 'I-Spread', in basis points, calculated for the security using the Yield & Spread Analysis (YAS<GO>) method, to determine the interpolated point on the corresponding government curve.

Haircut For Repo transactions. A percentage discount subtracted from the settlement amount.

Haircut Fractional Indicator See Fractional Indicator.

Haircut Option Denotes the type of haircut. Valid values: 1=PTS - Percentage of price 2=BP - Basis points 3=OC - Percentage of the loan proceeds

Hedge Ticket Number For tickets, which have FX hedge, indicates ticket number of the hedge.

Historical Rerate Date The date the user re-rates on RTH.

27


Field Name Comments

I-Spread The spread between the selected bond and the interpolated yield from the CRV# field. This spread is based on the selected bond’s nominal maturity date.

I-Spread Fractional Indicator See Fractional Indicator.

Impact Flag Indicates whether or not the trade impacts the account’s cash. Valid values: Y=Yes N=No

Initial Deal Amount Size of the original trade. Amount is the total amount on all take up pieces plus the remaining balance on the take up deal tickets. Take up is the full amount owed on a margined security in order to take full ownership of that security.

Initial Deal Amount Fractional Indicator


Initiator in Trader-to-Trader Trade Indicates if the leg is the initiator in trader to trader transactions. Valid values: Y=Yes N=No

Interest At Maturity Interest at maturity (“profit”) for MMKT securities.

Interest At Maturity Fractional Indicator


Internal/External Trade Indicator For Auto-Ex Trades. Indicates whether the trade (AE/EX) was done internally by a sales/trader or externally by a customer. Valid values: E=External I=Internal

Intra Group Indicates if the trade is an intragroup transaction. Valid values: Y=Yes N=No

In Units Flag Indicates when the amount is denominated in units. Valid values: Y=Yes N=No

Invert Flag Indicates when the currency rate used in the calculation of the money has been inverted to be displayed in terms of first ISO currency units per ISO 2nd currency unit. Valid values: Y=Yes N=No

28


Field Name Comments

Invert Points For FX trades, if Invert Flag is set, then this field indicates FX points calculated using inverted rate.

Invert Rate For FX trades. If Invert Flag is set, then this field indicates inverted FX rate.

Invert Rate Fractional Indicator See Fractional Indicator.

Invert Spot Rate For FX trades, if Invert Flag is set, then this is the inverted rate as entered by the user.

IPO Flag For Equity trades. Indicates if the stock was issues out of an IPO. Valid values: Y=Yes N=No

Is CFD Contracts for Difference (CFD) trade. CFD is a derivative product in which an investor deposits a margin with his broker and that margin rises and falls with the investor's portfolio.

ISDA Agreement Year Available for Credit Default Swaps (CDS) tickers. Valid values: 2014 2003

Is NDF Indicates if Currency Pair is Non Deliverable FX (NDF). Valid values: Y=Yes N=No

Is SEF Trade Transaction executed on Bloomberg's Swap Execution Facility.

IsThis A Mutual Fund NAV Cut Trade Valid values: Y=Yes N=No

Issuer The name of the issuing entity of the security.

Issuer Code Used by some firms to internally identify a MMKT program.

Issue Date Issue date of the security.

Japanese Bond Type This field is only populated for Japanese bonds. Valid values: H=Honken Bearer HF=Hikazei Furiketsu (No tax book entry) KF=Kazei Furiketsu (Taxable book entry) HT=Hikazei Torokusai (No tax register) KT=Kazei Toroksai (Taxable register)

Japan Number The unique Japanese domestic code assigned to define the bond. Can be 8 or 9 digits. Applies to Govt and Corp securities.

29


Field Name Comments

Joint Repo A Repo where the collateral assigned in the repo is allocated to all the cash allocations on the trade together. A non-joint repo allocates the collateral to each account separately. (Version 9.15 and above). Valid values: Y=Yes N=No

Journal Reason Reason for Journal ticket. Used primarily to indicate journal trades done as a result of Prime Broker/ Strategy changes for AIM clients.

JP Commission Amount Broker commission for Japanese-style allocations.

JP Commission Amount Fractional Indicator


JP Net Money Net amount for Japanese-style allocations.

JP Net Money Fractional Indicator See Fractional Indicator.

JP Other Market Fees Other fees for Japanese-style allocations.

JP Other Market Fees Fractional Indicator


JP Tax Amount Tax for Japanese-style allocations.

JP Tax Amount Fractional Indicator See Fractional Indicator.

JP Trade Amount Principal amount for Japanese-style allocations.

JP Trade Amount Fractional Indicator See Fractional Indicator.

Last Login The user login of the last trader who executed, canceled, or corrected the transaction.

Last Login UUID The UUID of the last user who entered, cancelled, or corrected the transaction. For AIM clients, this field follows buy-side logic to recognize "Trader" vs. Portfolio Manager", and carries original Trader UUID.

Last Reset Date The last date on which the coupon was reset. Applies to floating rate securities. When the settle date for a given security reaches the next coupon payment date, this field rolls forward to return the refix date that applies to the following (future) coupon payment.

Level of SDR Reporting Level of SDR reporting. Valid values: 1=Realtime 2=Primary Economic Terms (PET) 3=Confirmation (CONF) 4=RT/PET 5=RT/PET/CONF

Limit Price The limit price/yield/or discount rate set by the portfolio manager. Applies to buy side only.

30


Field Name Comments

Limit Price Fractional Indicator See Fractional Indicator.

Local Exchange For Equity trades for AIM clients enabled to set exchange code on a trade. This is the execution exchange.

Long As of Trade Time The As of Time of the trade, including seconds. HH:MM:SS

Long Note (1-8) The Long Note on the ticket. There are eight available Long Note Fields.

Long Trade Time Stamp The time the ticket was entered, including seconds. (HH:MM:SS)

Long Time of Slate For Matched Tickets. The time the trader slate was entered, including seconds.

Lot Amount Tax Lot share amount.

Lot Number 1-15 Tax Lot ID for buy-side system, turned on for Tax Lots. Only sent for Tax Lot Method = 10 ("Lot Specific").

Lot Price Amount Tax lot price amount.

Lot Price Fractional Indicator See Fractional Indicator.

Lower Barrier Level The price/rate for the lower barrier.

Lower Barrier Level Fractional Indicator


Lower Rebate The amount paid should the option not knock in.

Lower Rebate Fractional Indicator See Fractional Indicator.

Mandatory to Clear Whether traded security mandatory to clear.

Margin For Repo transactions. (Price + Accrued) is divided by the margin to reach the all-in price.

Margin Fractional Indicator See Fractional Indicator.

Mark To Market Price The closing price for the security (used in calculating unrealized P&L). If a price is unavailable for a position, a price of –999 is sent.

Market Sector Two Number of the market sector of the security. Valid values: 1=Commodity 2=Equity 3=Municipals 4=Preferred 6=Money Market 7=Government 8=Corporate 9=Index 10=Currency 11=Mortgage

Master Account Number Master Account Number for a counterparty as defined in AMA.

31


Field Name Comments

Master Account Name Master Account Name for a counterparty as defined in AMA.

Master Or Swing Ticket For Repo transactions.. Indicates if the ticket is a master ticket or a swing ticket. Valid values: M=Master Ticket S=Swing

Master Ticket Number Master ticket number for allocation tickets.

Match Date Date of a Slate/Sales match. Applies to sell-side systems.

Match Time Time of a Slate/Sales match. Applies to sell-side systems.

Maturity Date The maturity date of the security. For OTC securities this contains the expiration date.

Meets First Block Trade Requirements Indicates whether the first block trade of a multi-leg interest rate swap (IRS) trade meets the block trade size requirements. Valid values: Y=Yes N=No

Meets Second Block Trade Requirements

Indicates whether the second block trade of a multi-leg interest rate swap (IRS) trade meets the block trade size requirements. Valid values: Y=Yes N=No

Meets Third Block Trade Requirements

Indicates whether the third block trade of a multi-leg interest rate swap (IRS) trade meets the block trade size requirements. Valid values: Y=Yes N=No

Middle Office Trade Indicator A field on the trade feed should indicate Y/N to reflect if a trade is being sent to Omgeo Central Trade Manager.

Mid Price Pre-Trade Mid Market Mark, i.e., the mid value from Bid/Ask at the time of execution.

Mid Price Fractional Indicator See Fractional Indicator.

Minimum Notice Period For Tri-Party Repo transactions. Minimum notice period (in days) of the transaction.

MMKT Days to Maturity For MMKT securities. The actual number of days from settlement to maturity.

MMKT Issuer Code For MMKT securities. Issuing bank’s ID code.

Mortgage/ Brady/ Index Bond Factor Current Mortgage Factor for Mortgages. Index ratio for index-linked government securities.

32


Field Name Comments

Mortgage/Brady/Index Bond Fractional Indicator


Mortgage Factor Correction Trade Indicates a trade done as a result of a correction to the mortgage factor. Valid values: Y=Yes N=No

Mortgage Factor Date Month and year associated with the most recently reported factor. The day returned is always the first of the associated month.

MSRB Price Code MSRB special price code. Applied to Muni trades, reportable to MSRB. 15-MINUTE REPORTS 0=0000 Not special price 1=M100 Traded flat 2=M900 Settle at non-market price 3=M200 Away from market price 3-HOUR REPORTS (not in security master): 4=M010 Not special price 5=M110 Traded flat 6=M910 Away from market price (other reason) 7=M210 Away from market price – non-standard settle EOD REPORTS (variable or auction rate/CP product): 8=M030 Not special price 9=M130 Traded flat 10=M930 Away from market price (other reason) 11=M230 Away from market price – non-standard settle SYNDICATION (by manager/member): 12=M020 Traded at list price - EOD report 13=M120 Traded flat - EOD report 14=M920 Away from market price (other reason) 15=M220 Away from market price – non-standard settle

MSRB Reportable For Municipal Bonds. Indicates whether or not the bond is MSRB Reportable. Valid values: Y=Yes N=No

Mutual Fund NAV Is Corrected Actual MAV

For trades on mutual funds, indicates if NAV is corrected actual NAV.

33


Field Name Comments

Name Of User Who Authorized Trade This field is populated either with the login name of the user who authorized the release of the trade or populated with ‘AUTO=RELEASE’. If a trade meets any criteria (set up by firm), it is automatically released.

NDF GMT Offset Sign Sign of the time zone offset for NDF Fixing date.

NDF Market Type The NDF Market Type. Valid values: R=Regular N=Offshore NDF O=Onshore NDF

NDF Settlement Currency The Settlement Currency for NDFs.

Net Wire (TBAs) For TBA transactions. The difference between to net money of the original trade and the net money of the pair-off.

Net Wire Fractional Indicator See Fractional Indicator.

Next Coupon Date The date the next coupon payment is due.

Next Reset Date The date which the next coupon resets.

New Transaction P&L Attribution Profit and loss (P&L) due to the new transaction.

Non Regular Settle Repo Rate The repo rate applied to adjust the price for non-regular settle dates.

Notional Amount Notional Amount for FX option.

Notional Amount Fractional Indicator See Fractional Indicator.

Notional Currency This field shows the currency in which the notional amount is specified.

Notional Principal Flag This flag identifies Interest Only (IOs) mortgage CMOs. Valid values: Y=Yes N=No

Number Of Days Accrued Number of days for which the accrued interest field is being generated.

Number Of Legs This field returns the number of legs that contains the option. For example, risk reversal is a two-leg strategy; therefore, this should return 2.

Number of Substitutions For Repo trades. The number of substitutions of collateral that are allowed for a Repo trade.

Number Substituted The numbers of times substitutions have been performed.

OAS Spread Number of basis points the spot curve would have to shift for the present value of the cash flows to equal the security’s price.

OAS Spread Fractional Indicator See Fractional Indicator.

OAS Volatility The volatility value used on the OAS calculation.

OAS Volatility Fractional Indicator See Fractional Indicator.

34


Field Name Comments

OCC Option Ticker 21-character option symbol standardized by the Options Clearing Corporation (OCC) to identify a U.S. option.

OMS Good Till Date Order Management Good Till Date (GTD) for GTD Order Types. The date an order expires and is no longer active.

OMS Limit Price Order Management Limit Price. Maximum Price a broker can buy a security for a client as specified in limit order type.

OMS Limit Price Fractional Indicator See Fractional Indicator.

OMS Order Type Order Management Order Type Valid values: 1 = MKT (Market) 2 = LMT (Limit) 3 = SL (Stop Limit) 4 = MOC (Market on Close) 7 = OC (On Close) 8 = LOC (Limit on Close) 9 = ST (Stop) 12 = FUN (Funari/convert unfilled limit order to a Market on Close order)

OMS Transaction ID Last fill/execution identifier.

OMS Stop Price Order Management Stop Price. The price at which to initiate a Stop Order.

OMS Stop Price Fractional Indicator See Fractional Indicator.

OMS Time In Force Order Management Time in Force. The time an order remains active. Valid values: 1 = DAY (Day) 2 = GTC (Good til Cancel) 3 = GTD (Good til Date) 4 = IOC (Immediate or Cancel) 5 = FOK (Fill or Kill) 6 = OPG (At the Open) 7 = ATC (At the Close)

Open Repo Close-Out Flag For Repos with no termination date, this flag indicates the end of the Repo transaction. Valid values: Y=Yes N=No

Open Repo Flag Indicates if the trade is an open Repo. An open Repo trade defaults to a term date of 1. Valid values: Y=Yes N=No

35


Field Name Comments

Operand For Stipulation TBA Transactions. Valid values: 0= < 1= <= 2= = 3= >= 4= >

Option Call Frequency For Swaps. Option Call Frequency.

Options Delta The change in the value of an option for each dollar change in the market price of the underlying asset.

Option Spot Price FX rate used to calculate premium on transaction.

Option Spot Price Fractional Indicator See Fractional Indicator.

Option Status Status of FX Option. Valid values: Active Exercise Expire Barrier Hit Upper Barrier Hit Lower Barrier Hit Pending Barrier Missed

Order Management Reason Code For equity orders. Valid values: 1=Best Execution 2=Directed Business 3=Miscellaneous 4=Soft Dollar 5=Research 6=Syndicate 7=Wrap Business 8=Crosses 9=Exit Position 10=Establish Position 11=Reduce Position 12=Increase Position 13=Rebalance Portfolio 14=Swap 15=Arbitrage 16=Contingent 17=Roll 18=Gain/Loss

Order Number from Order I For Order Management Tickets. The order number.

36


Field Name Comments

Order Number from Order Management

For Order Management Tickets. The order number.

Order Type For Equity Orders. The order type. Valid values: 1=Market 2=Limit 3=Stop Limit 4=Market On Close 5=Fill Or Kill 6=On Open 7=On Close 8=Limit On Close 9=Stop 10=Not Held 11=Careful Discretion

Original Repo Trade Reference For Repo transactions. The original ticket number connected to a rerate (single or multiple).

Pac Lower Collar For CMOs. This field represents the lowest prepayment speed for a PAC bond.

Pac Upper Collar For CMOs. This field represents the highest prepayment speed for a PAC bond.

Partial Allocation Exists Valid values: Y=Yes N=No

Partial Closeout Bit Indicates if swap transaction is a partial closeout or assignment.

Participant Status Specifies Participant status in the swap market. Valid values: SD= Swap Dealer MSP= Major Swap NONE= Neither Status is Applicable

Pay Currency For Swaps. The currency in which the swap payments are denominated.

Pay Final Amount For Swaps. This is the final exchange of money on the pay side.

Pay Final Amount Fractional Indicator See Fractional Indicator.

Pay Floating Rate Index For Swaps. Floating Rate Index of the swap used to retrieve reset rates to calculate cashflows in the valuation of the Swap.

Pay Floating Rate Index Yellow Key Bloomberg Yellow Key of a Floating Rate Index for pay leg of IRS swap, or underlying asset for TRS swap.

37


Field Name Comments

Pay Frequency For Swaps. The frequency of cashflows of the payer leg of the Swap. Calcrt id SW012. Value values: A=Annual M=Monthly Q=Quarterly S=Semi-Annual W=Weekly Z=Zero Coupon/Interest at Maturity

Pay Initial Amount For Swaps. Initial exchange of money on the pay side.

Pay Initial Amount Fractional Indicator See Fractional Indicator.

Pay Notional For Swaps. The principal amount in 1000s to be used to determine the swaps interest payments.

Pay Previous Coupon Payment Date Date the previous coupon was paid for the pay leg.

Pay/Receive Fixed For Swaps. The fixed coupon amount you are obligated to pay/receive in the swap agreement.

Pay Reset Frequency For Swaps. Reset frequency for the swap pay leg.

Pay Side Accrual Day Adjustment For Swaps. Pay Side Business Day Adjustment. Calcrt id SW254. XML trade feed tag: PaySideBusinessDayAdjustment Valid values: 1=AHEAD 2=BACK 3=AHEAD-NOT NXT MON 4=BACK-NOT NXT MON

Pay Side Calculation Calendars 1-2 For Swaps. Pay Side Calculation Calendars 1-2.

Pay Side Day Counts For Swaps. The day count basis used to compute interest obligations. Calcrt id SW026.

Pay Side Fixing Calendars 1-2 For Swaps. Pay Side Fixing Calendars 1-2.

Pay Side Payment Adjustment For Swaps. Pay Side Date Rolling Convention. Valid values: 1=Forward 2=Backward 3=Forward End of Month 4=Backward End of Month

Pay Side Settlement Calendars 1-2 For Swaps. Pay Side Settlement Calendars 1-2.

Pay Stub Reset For Swaps. Reset rate from settlement date to the next reset date for the pay side of the deal.

Pay Stub Reset Fractional Indicator See Fractional Indicator.

38


Field Name Comments

Payment Frequency This value displays the number of times per year the coupon pays. Valid values: 0= AT MATURITY Comdty,Muni,Govt,Corp 1=ANNUAL Comdty,Muni,M-Mkt,Govt,Corp 2=SEMI-ANNUAL Comdty,Muni,M-Mkt,Govt,Corp 3=3 TIMES/YR M-Mkt 4=QUARTERLY Comdty,Muni,Pfd,M-Mkt,Govt,Corp 6=6 TIMES/YEAR Comdty,Govt,Corp, M-Mkt 7=7 DAY Comdty,Pfd,Govt,Corp 12=MONTHLY Comdty,Muni,Pfd,M-Mkt,Govt,Corp 28=28 DAY Comdty,Pfd,Govt,Corp 35=35 DAY Comdty,Pfd,Govt,Corp 49=49 DAY Comdty,Pfd,Govt,Corp 52=WEEKLY Comdty,Muni,Govt,Corp 360=DAILY Comdty,Govt,Corp

Platform of Trade Execution Fixed income trading (FIT) platform where the trade was executed for Bloomberg Trade Order Management Solutions (TOMS) tickets.

Platform Name Identifies the name of an electronic platform through which a trade was entered.

Pool Number/CMO Group & Series/Ex-Dividend Date

For pools, this field contains the pool number. For CMOs, it contains group and series. For Equities, this field represents the date, between announcement and payment, when a stock goes ex-dividend.

Premium Premium on FX option at time of transaction.

Premium Date Premium date for FX options, matches Settlement Date.

Premium Fractional Indicator See Fractional Indicator.

Prepayment Speed And Type/Contract Size

This field is for mortgages only. It displays the PSA/CPR/MPR speed.

39


Field Name Comments

Pre-Payment Type The type of mortgage prepayments. For a list of valid values, see Appendix 2: Prepayment Types.

Price For trade feeds. Price of the trade.

Price Currency This field returns the currency in which the premium is specified.

Price Fractional Indicator See Fractional Indicator.

Price Method For Repo transactions. The price method for new Gensaki trades. Valid values: C=Clean Price Method A=All In Price Method

Price Rounding Flag For Repo transactions. Indicates whether the price entered on the ticket is being rounded. Rounding can be done to the nearest 1/8th, 1/16th, 1/32nd, or 1/64th.

Primary Exchange Code Exchange code for the main exchange on which security is listed.

Primary MMKT ID Defines whether the security is a Primary MMKT security of Secondary. Valid values: Y=Yes N=No True=Yes/Primary for XML feed

Primary Price Flag For the systems where we provide all prices. Valid values: Y=The Price Is Primary N=Price Is Not Primary.

Primary Reference Obligation (ISIN) For Swaps. ISIN of the primary reference obligation for the single name credit default swap.

Principal/ Loan Amount The principal amount of the trade. For Repos, this is the loan amount.

Principal/Agency Flag Principal trades involve the assumption of risk while as-agent trades are riskless transactions where the net position in the security is, or will be, zero. The field is blank if neither is entered on the ticket. Valid values: P=Principal A=Agency

Principal/Loan Amount Fractional Indicator


Product Sub-Flag For a list of valid values, see Appendix 3: Product Sub-Flags.

Profit Sharing Ratio For Repo transactions. At the termination of a Repo trade, the percent of interest earned on the interest that goes to the counterparty.

40


Field Name Comments

Profit Sharing Ratio Indicator See Fractional Indicator.

Program/Basket Trade Program/Basket Trade indicator from Order Management (EMS).

Put/Call Indicator Valid values: P=Put C=Call

Quote Type Identifies the type of quote being passed. For most securities, the quotes are prices. However, if the security is a yield or discount quoted, the quote is the yield or discount, respectively. Valid values: 1=Price 2=Discount 3=Yield

Rate For Repo transactions. If collateral has a coupon payment, this indicates the rate at which coupon is reinvested.

Rate Fractional Indicator See Fractional Indicator.

Receive Currency For Swaps. The currency in which the receive leg of the swap is denominated.

Receive Final Amount For Swaps. The final exchange of money on the receive side.

Receive Final Amount Fractional Indicator


Receive Floating Rate Index For Swaps. Floating Rate Index of the swap used to retrieve reset rates to calculate cashflows in the valuation of the swap for the receive side.

Receive Frequency For Swaps. The frequency that the swap participant receives interest. Calcrt id Sw013. Value values: A=Annual M=Monthly Q=Quarterly S=Semi-Annual W=Weekly Z= Zero Coupon/Interest at Maturity

Receive Initial Amount For Swaps. This field contains the initial exchange of money on the receive side.

Receive Initial Amount Fractional Indicator


Receive Notional For Swaps. The principal amount in 1000s to be used to determine the swaps interest payments.

Receive Previous Coupon Payment Date

Date the previous coupon was received for the receive leg.

41


Field Name Comments

Receive Reset Frequency For Swaps. How frequently the floating coupon is reset to the market level.

Receive Side Accrual Day Adjustment For Swaps. Receive Side Business Day Adjustment. Calcrt id SW255. XML trade feed tag: ReceiveSideBusinessDayAdjustment Valid values: 1=AHEAD 2=BACK 3=AHEAD-NOT NXT MON 4=BACK-NOT NXT MON

Receive Side Calculation Calendar (1) For Swaps. Receive Side Calculation Calendar 1.

Receive Side Calculation Calendar (2) For Swaps. Receive Side Calculation Calendar 2.

Receive Side Day Counts For Swaps. The day count basis used to compute interest obligations. Calcrt id SW027.

Receive Side Fixing Calendar (1) For Swaps. Receive Side Fixing Calendar 1.

Receive Side Fixing Calendar (2) For Swaps. Receive Side Fixing Calendar 2.

Receive Side Payment Adjustment For Swaps. Receive Side Date Rolling Convention. Valid values: 1=Forward 2=Backward 3=Forward End of Month 4=Backward End of Month

Receive Side Settlement Calendar (1) For Swaps. Receive Side Settlement Calendar 1.

Receive Side Settlement Calendar (2) For Swaps. Receive Side Settlement Calendar 2.

Receive Stub Reset For Swaps. Reset rate from settlement date to the next reset date for the receive side of the deal.

Receive Stub Reset Fractional Indicator


Record Type See Transaction Types.

Redemption Currency Accrued Interest

Accrued interest of the trade in redemption currency, which is the currency in which the bond will be redeemed. Especially useful for dual-currency bonds.

Redemption Currency Accrued Interest Fractional Indicator


Redemption Currency Principal Amount

Principal amount of the trade in redemption currency, which is the currency in which this bond will be redeemed. Especially useful for dual-currency bonds.

Redemption Currency Principal Amount Fractional Indicator


42


Field Name Comments

Redemption Currency Transaction Costs

Sum of transaction costs of the trade in redemption currency, which is the currency in which this bond will be redeemed. Especially useful for dual-currency bonds.

Redemption Currency Transaction Costs Fractional Indicator


Reference Bond ID For Swaps. The Reference Bond CUSIP or BB number. This is used by Credit Default Swaps only.

Related Sales Ticket Number For Matched Tickets. The related Sales ticket number.

Related Slate Ticket Number For Matched Tickets. The related Slate ticket number.

Relative Swing Ticket Number For Repo transactions. The related Swing ticket number.

Repo Dealer Rate New dealer rate.

Repo Over a Coupon Period Flag Flag set when the term of the repurchase agreement crosses over a coupon pay date for the security used as collateral. Valid values: Y=Yes N=No

Repo Product Type The Repo product class designated in the Repo product type set up function.

Repo Rate Fractional Indicator See Fractional Indicator.

Repo Re-rate Date Date for which the historical/future rate was changed via RTHB (Repo rate maintenance).

Repo Re-rate Flag Indicates that this is a Repo re-rate message from RTHB. The user receives a Repo re-rate message for each historical or future re-rate they make.

Repo Re-rate Fractional Indicator See Fractional Indicator.

Repo Re-rate Rate New Repo rate for a given Repo re-rate date.

Repo Rollover A trade created on XFIN, by taking the data off a terminated Repo and using that information to create a new trade. Valid values: Y= Yes N=No

Repo Status Indicator Valid values: 0=default (no significance) 1=RTH rate change – cancellation 2=RTH rate change – correction 3=MCL or MC reprice-cancellation 4=MCL or MC reprice-old legs (reprice today) 5=MCL or MC reprice-recent leg (reprice today) 6=RTH forward rerate ticket 7=RTH cancellation of forward ticket not due to

43


Field Name Comments correction 8=RTH cancellation of forward ticket due to correction 9=RTH correction of forward ticket 10=MCL current leg of forward repriced ticket 11=MCL forward repriced ticket Scenario of cancelled forward ticket 12=MCL cancelled forward ticket due to cancellation 13=MCL cancelled recent leg due to forward ticket cancellation 14=MCL corrected recent leg due to forward ticket cancellation Scenario of correcting forward ticket 15=MCL cancelled forward ticket due to correction 16=MCL corrected forward ticket 17=MCL cancelled recent leg due to forward ticket correction 18=MCL corrected recent leg due to forward ticket correction Scenario for buy side substitutions: 19=MC substitution – cancellation 20=MC substitution – old legs 21=MC substitution – recent leg 22=RTHB clean up Repo interest ticket. (buy side only) 26 = cancel due to partial closeout 27 = 1st leg due to partial closeout 28 = 2nd leg due to partial closeout 29 = cancel due to reallocation 30 = 1st leg due to reallocation 31 = 2nd leg due to reallocation

Repo Trader Assignment The name of the trader/account that the REPO has been designated to.

Reporting Party Indicator Indicates if the party is a reporting party for the swap transaction. Valid values: Y=Yes N=No

44


Field Name Comments

Report to EMIR Indicates whether the party is responsible for reporting the transaction downstream to European Market Infrastructure Regulation (EMIR). Valid values: Y=Yes N=No

Report to Financial Conduct Authority Indicates whether the trade will be reported to the Financial Conduct Authority (FCA) via Bloomberg Trade Order Management Solutions (TOMS), where users are enabled for this.

Report To SEF Whether swap trade (CDS/IRS) is reported to Swap Execution Facility (SEF).

Reserved For Bloomberg Use A filler field: these bytes should be left as blank spaces.

Restructuring Type For Swaps. This is restructuring type of for the single name credit default swap. Valid values: 0 = DFLT Default Restructuring 1 = XR14 No Restructuring 2 = MM14 Modified-Modified Restructuring 3 = MR14 Modified-Restructuring 4 = MH14 Multiple Holder Obligation 5 = CR14 Full Restructuring 6 = XR No Restructuring (ISDA2003) 7 = MM Modified-Modified Restructuring (ISDA2003) 8 = MR Modified-Restructuring (ISDA2003) 9 = MH Multiple Holder Obligation (ISDA2003) 10 = CR Full Restructuring (ISDA2003)

Retail Feed This field indicates when a transaction has been executed via a retail feed. Valid values: Y=Yes N=No

Retail Feed Web Trade Field Indicates if trade was booked by CMF/ FIX CMF. Auto-Ex transactions are excluded.

Rho Rho of FX option at time of transaction.

Rho Fractional Indicator See Fractional Indicator.

Round To Nearest For Repo transactions. Indicates whether the price entered on the ticket is being rounded. Rounding can be done to the nearest 1/8th, 1/16th, 1/32nd, or 1/64th.

45


Field Name Comments

RTTMIndicator - RTTM/Netting Flag

Specifies if the ticket was sent as a trade for trade, net eligible, or not sent to the Real Time Trade Matching (RTTM) platform of the Depository Trust Company Clearing (DTCC) external platform. Valid values: Trade for Trade (TFT) Settlement Balance Order (SBO) NO

RTTMReferenceID - X-Reference (Xref)

A unique internal identifier assigned by a participant to each trade. The Xref assists participants in the reconciliation process.

Sales CCY1 P&L P&L in currency 1 due to the markup of the customer ticket over the dealer ticket. Available for FX customer trades with linked inter-desk tickets.

Sales CCY1 P&L Fractional Indicator See Fractional Indicator.

Sales CCY 2 P&L P&L in currency 2 due to the markup of the customer ticket over the dealer ticket. Available for FX customer trades with linked inter-desk tickets.

Sales CCY 2 P&L Fractional Indicator See Fractional Indicator.

Sales Deal Spread Difference between the customer ticket deal rate and the linked dealer ticket deal rate. Available for FX customer trades with linked inter-desk tickets.

Sales Deal Spread Fractional Indicator See Fractional Indicator.

Sales Points Spread Difference between the customer ticket points and the linked dealer ticket points. Available for FX customer trades with linked inter-desk tickets.

Sales Points Spread Fractional Indicator


Sales Spot Spread Difference between the customer ticket spot rate and the linked dealer ticket spot rate. Available for FX customer trades with linked inter-desk tickets.

Sales Spot Spread Fractional Indicator See Fractional Indicator.

Salesperson Name Sales account. This field is blank for trader tickets and futures tickets.

Salesperson’s Login The login of the salesperson that entered the sales ticket.

Sb/Bs Repo Interest The Repo interest in a sell/buyback or buy/sellback transaction

Sb/Bs Repo Interest Fractional Indicator


Sb/Bs Repo Rate The Repo rate used in a sell/buyback or buy/sellback transaction.

Sb/Bs Repo Rate Fractional Indicator See Fractional Indicator.

46


Field Name Comments

Sec Fees/Brady Growth Factor /TBA Fees

SEC Fee field is obsolete in the Trade Feed. Refer to bytes 874-906 for Transaction Cost details. For Brady bonds, the growth factor is sent.

Sec Fees/Brady Growth Factor/TBA Fees Frac. Ind.


Secondary Transaction Ticket Number For Trader To Trader Tickets, the other ticket number.

Security Block Size Limit Specifies the credit default swap (CDS) security trading amount limit.

Security Currency ISO Code The ISO Code of the security. For a list of valid values, see Appendix 1: Currency Codes.

Security Identifier The security identifier.

Security Identifier Flag For a list of valid values, see Appendix 4: Security Identifier Flag Codes.

Security is MAT Security was designated as 'Made Available to Trade'.

Security Is Pence Quoted Valid values: Y=Yes N=No

Seniority (Debt Type) For Swaps. Debt type of the single name credit default swap deal. Returns senior, subordinate, or other. Calcrt id SW145. Valid values: Senior Subordinate Other

Series/Exchange Code/CMO Tranche TBA Seasonality/MMKT Program Type/Exchange Code For Futures, Indices And Their Options

Each product key returns a different value to represent a series or exchange code. Corp: Series Govt: Series Equity: The Exchange code Mtge: CMO Tranche or TBA Seasonality Mmkt: Mmkt Program Type Futures: Exchange Code Indices: Exchange Code Muni : Series Pfd : Series

Settlement Amount Principal, Accrued Interest and Transaction Costs, all totaled for the trade, based in the Settlement Currency. Some trade entry interfaces allow the user to override/set an absolute value. Overriding this calculated value does not override the calculated value of the Total Trade Amount field. For the Repo class of asset types (including Buy/Sell back, etc.), the Settlement Amount will be the Principal Amount, multiplied by the exchange rate for cross-currency Repos when applicable.

Settlement Amount fractional indicator See Fractional Indicator.

47


Field Name Comments

Settlement Currency ISO Code For a list of valid values, see Appendix 1: Currency Codes.

Settlement Currency Rate The currency rate used in the money calculation on the ticket. This rate is always displayed in terms of currencies per dollar.

Settlement Currency Rate Fractional Indicator


Settlement Date Settlement Date. The date the trade must be delivered and paid for to complete the transaction. For interest rate swaps, the date on which the payment must be made to complete the transaction.

Settlement Location Abbreviation For a list of valid values, see Appendix 5: Settlement Location Codes.

Settlement Location Indicator For a list of valid values, see Appendix 5: Settlement Location Codes.

Settlement Accrued in Settlement Currency

Amount of accrued interest calculated in settlement currency.

Settlement Accrued in Settlement Currency Fractional Indicator


Settlement Costs in Settlement Currency

Sum of transaction costs calculated in trade settlement currency.

Settlement Costs in Settlement Currency Fractional Indicator


Settlement Principal in Settlement Currency

Principal amount of the trade calculated in settlement currency.

Settlement Principal in Settlement Currency Fractional Indicator


Short Note (1-8) The Short Note on the ticket. There are eight available Short Note Fields.

Soft Dollar Flag Indicates if order is Soft Dollar Eligible (set on EMS).

Soft Dollar Percentage Percentage of shares stepped out that is soft dollar eligible.

Source Code For CMF trades only. Represents the numeric Source Code of the trade.

Spex Reference Number SPEX trades ticket number. Deprecated.

Spot Hedge Spot Hedge of FX option at time of transaction.

Spot Hedge Fractional Indicator See Fractional Indicator.

Spread For Swaps. The number of basis points over/under the floating rate which the floating rate payer is obligated to pay.

Spread Fractional Indicator See Fractional Indicator.

Start Price For New Gensaki trades. The All In price minus the accrued interest of the trade.

Start Price Fractional Indicator See Fractional Indicator.

48


Field Name Comments

Stepin Stepout Counterparty Step in or Step out Counterparty Acct in novation events. Novation occurs when an investor substitutes one debt for another debt by paying the dollar difference between the two. The term generally denotes the replacement or substitution of one obligor for another.

Stepin Stepout Counterparty Type Step in or Step out Counterparty Account type in novation events. Valid values: FIRM MASTER

Step-Out Broker The Broker that is allocated all or part of a trade to execute for another Broker's client. Also referred to as Give-up Broker.

Step-Out Shares The number of shares that are stepped out to another broker for execution.

STIP Code Numeric Code for STIP code. Applies to STIP Trades only (TBAs). Valid values: 0=SPY: Specific production year. Year format is yyyy. 1=SPT: Specific pool trade. Input pool id here. 2=WAM: Weighted average maturity. Input range of maturity is 1 to 620. 3=WALA: Weighted average loan age. Input range of loan age is 0 to 40. 4=WAC: Weighted average coupon. Input range of coupon is 0 to 20. 5=WAL: Weighted average life. Input range is 0 to 40. 6=TNP: Total number of pools. Input a whole number. 7=MS: Minimum size. Input a whole number. 8=WAOCS: FICO Credit Score. Input a whole number. 9=AOLS: Loan Balance. Input a whole number. 10=WAOLTV: Loan to Value. Input a whole number. 11=TNUP: Total number of unique pools. Input a whole number. 12=TCFMN: Total pool current face minimum amount. Input amount. 13=MXVAR: Maximum variance amount. Input amount. 14=NPPA: Number of pools/pieces per account. Input a whole number. 15=NVAR: No Variance. Input any value. 16=New Production 17=1 Pool/Mil 18=Other

StipCode This flag determines whether any type of stipulation was chosen on the ticket. Valid values: True/False.

49


Field Name Comments

STIP Trade Indicates if the transaction is a STIP (Stipulation) trade for TBAs. Valid values: Y=Yes N=No

Strategy Leg Number Number of the leg within a multi-leg strategy. For example, a two-legged FX option would have two leg tickets; the first would have a Strategy Leg Number equal to one and the second would have it equal to two.

Strategy Model The full name of the saved option strategy.

Strategy Name Name of the company or brief description of the security.

Strategy Ticket Number Ticket number for the overall strategy trade when trading a multi-leg security, for example, a multi-leg FX option.

Strike This field returns the saved strike rate of the option when the option/trade was created.

Strike Fractional Indicator See Fractional Indicator.

Strip Ticket Flag Indicates if ticket was written through STKT. Valid values: Y=Yes N=No

Structure Type For Tri-Party Repo transactions. Type of transaction structure. Valid values: 1 = Call 2 = Put 3 = Extendable 4 = Evergreen

Substitute Flag For Repo transactions. This flag indicates if the trade is done with an option to substitute collateral. Substitution allows the lender of a security to exchange a given collateral with another security of equal value and quality. Valid values: Y=Yes N=No

Swap Analyst Initial TS-specific field for swap analyst initial as defined in OD1.

Swap Clearing Position Id Position Identifier within clearing house for a clearing swap trade.

Swap Collateral % Swap collateral, expressed as a percentage.

Swap Collateral % Fractional Indicator See Fractional Indicator.

Swap Counterparty For Swaps. Counterparty name of the Swap.

Swap ETRS Asset Initial Number (1-8)

Initial number of units of an underlying asset for ETRS swaps.

50


Field Name Comments

Swap ETRS Asset Initial Price (1-8)

Initial price of an underlying asset for ETRS swaps.

Swap ETRS Asset Ticker (1-8) Ticker of an underlying asset for ETRS swaps.

Swap ETRS Initial Number (1-8) Fractional Indicator


Swap ETRS Initial Price (1-8) Fractional Indicator


Swap Desk ID The clearinghouse identifier for the entity ticketing the transaction.

Swap Order ID The clearinghouse OrderID associated with the transaction.

Swap Pair Code TS-specific field for swap pair code, a custom code makeup by swap pair trade ticker and trade date.

Swap Pair Trade Ticker TS-specific field for swap pair trade ticker, ticker for a pair trade with a swap trade.

Swap Par Spread Fractional Indicator See Fractional Indicator.

Swap Pay Leg First Coupon Date For Swaps. Returns the first coupon date of the pay leg of the swap.

Swap Receive Leg First Coupon Date For Swaps. Returns the first coupon date of the receive leg of the swap.

Swap Reporting Agency (SDR) SDR reporting agency, can be BSDR or DTCC.

Swap Spread For Swaps. The Swap Spread.

Swap Spread (2) Spread for FIET Swap/Switch trades.

Swap Spread (FIET) Fractional Indicator


Swap TR Asset Index Name Index name of the asset leg of the Total Return Swap.

Swap TR Asset Initial Number The initial number of units on the asset leg of the Total Return swap.

Swap TR Asset Initial Number Fractional Indicator


Swap TR Dividend Pay Factor Total Return Swap dividend payout factor.

Swap TR Dividend Pay Factor Fractional Indicator


Swap Type For Swaps. The type of swap, i.e. fix/flat swap, amortize swap, etc.

Swaption Expiration Date For Swaps. The date which the swap expires.

Systematic Internaliser Bank Identifier Code

Bank identifier code (BIC) of the bank performing trade matching functions traditionally associated with a securities exchange.

System Date The date the transaction was entered in the system.

51


Field Name Comments

Take Up Currency Currency in the FX pair that the user has selected in which to take up. The non-take up currency amount of the pair is calculated based on the take up amount and the rate on the take up piece. Take up is the full amount owed on a margined security in order to take full ownership of that security.

Tax Lot Method Tax Lot Method. Valid values: 0={"NONE","NO LOT METHOD"}, 1={"FIFO","FIRST IN FIRST OUT"}, 2={"LIFO","LAST IN FIRST OUT"}, 3={"HICO","HIGHEST COST"}, 4={"LOCO","LOWEST COST"}, 5={"SHTR-STHI","SHORT TERM HIGH COST"}, 6={"SHTR-STLO","SHORT TERM LOW COST"}, 7={"LGTR-LTHI","LONG TERM HIGH COST"}, 8={"LGTR-LTLO","LONG TERM LOW COST"}, 9={"AVGC","AVERAGE COST"}, 10={"LOTS","LOT SPECIFIC"}

Tax Status Valid values: Y=Taxable N=Non-Taxable A=Subject To The Alternative Minimum Tax (for Individuals) B=Bank Qualified Under Section 265(B) (3) (B) C=Federally Tax-Exempt / State Tax-Exempt D=Federally Tax-Exempt / State Taxable E=Federally Taxable / State Tax-Exempt F=Federally Taxable / State Taxable G=Amt /State Tax-Exempt H=Amt / State Taxable I=Bank Qualified / State Tax-Exempt J=Bank Qualified / State Taxable K=Amt/State Tax-Exempt/ Commonwealth Tax-Exempt L=Federally Tax-Exempt/State Tax-Exempt / Commonwealth Tax-Exempt M=Federally Tax Exempt For Bona Fide Puerto Rico Residents/State Tax Exempt/Commonwealth Tax-Exempt O=Federally Tax-Exempt For Bona Fide Puerto Rico Residents/Commonwealth Tax-Exempt P=Federally Taxable/State Tax-Exempt / Commonwealth Tax-Exempt Q=Federally Taxable/Commonwealth Tax-Exempt

52


Field Name Comments

Taxonomy Used Specifies which taxonomy is used for the European Market Infrastructure (EMIR) Asset Class and EMIR Base Product fields. Valid values: Interim Product Identifier ISIN Unknown

TBA Code Ticket/Reference Ticket Number

For TBAs, this field points to the opposite transaction number of a dollar roll (DR), turn around (TA), or pair off (PO). The offset ticket references the forward ticket number, and the forward ticket references the offset ticket number. For Futures, this is the reference ticket number for buy/sell of a futures roll. This gets set if TBA Code/ Link Indicator/SWTT Swap Transaction Type gets set to Y and points to the corresponding leg of the roll.

53


Field Name Comments

TBA Code/Link Indicator/SWTT Swap Transaction Type/SwapTxType

For TBAs, Futures and Swaps. Valid values for TBAs (TBA Code): DL=TBA dollar roll TA=TBA turn around PO=TBA is paired off AF=Assumed factor for TBA Valid values for Futures (Link Indicator): Y=Yes (roll ticket) N=No (not a roll ticket) For Swaps, this field populates with a code representing the type of transaction initiated from the SWTT Function. Valid values for SWTT Transaction Type: CL=Closeout UP=Upsize TR=Transfer AS=Assign SI =Step In SwapTxType is the type of event that compels a swap transaction to occur. Possible SwapTxType value strings: NOVATION UNWIND NOVATE UNWIND UPSIZE TRANSFER STEPOUT FEES STEPIN ORIGINAL N/A

TBA Resend Due To Change Valid values: Y=Yes N=No

TBA Seasonality/MMKT Program Type/Exchange

This field is for mortgages only. The codes for seasonality are: N, M, and S. Seasonality is calculated using the weighted average loan age.

54


Field Name Comments

TCTM Indicator Trade Status indicator for TCTM (OASYS Global Integration Monitor for Block and Allocation) Valid values for Block Status: NotSent = Block has not been released to OMGEO host Sent = Sent into the OMGEO host SntAck = The host received the trade Accepted = The trade is in the OMGEO CTM engine Canceled = Trade canceled by either party before originals are matched agreed Rejected = There is a difference within trade information Matched = All trades have been matched Matched-T = Block was matched by CTM within tolerance Unmatched = User has unmatched trades within the allocation Mismatched = User has mismatched trades within the allocation BrkCanReq = Broker is requesting to cancel a trade that has been Matchagreed BrkCanRej = Broker is rejecting a cancel request by the IM on a Matchagreed CanAgreed = Broker has agreed to cancel a Matchagreed Valid values for Allocation Status: NotSent = Allocations (Trade Details) only sent when the block is matched Incomplete = Not all allocations have been sent Complete = All allocations have been sent to the CTM Matched = All trades have been matched Matched-T = Trade was matched in CTM within a tolerance Unmatched = User has unmatched trades within the allocation Mismatched = User has mismatched trades within the allocation Matched Agreed = All trades have been matched and completed

Termination Date The closing date for a Repo transaction. This value is the date from the number of days from settlement date.

Termination Day Accrued For Repo transactions. The accrued interest of the security on the termination day of the trade.

Termination Day Accrued For Repo transactions. The accrued interest of the security on the termination day of the trade.

Termination Day Accrued Fractional Indicator


55


Field Name Comments

Termination Days Number of days until termination for term repo.

Termination Money Termination money amount for term repo.

Termination Money Fractional Indicator


Termination Money Is In BESA Convention

Valid values: Y=Yes N=No

Termination Price For Repos. The end price.

Termination Price Fractional Indicator See Fractional Indicator.

Theta Theta of FX Option at time of transaction.

Theta Fractional Indicator See Fractional Indicator.

Ticker Ticker of the security.

Ticket Uses Base Price Indicates whether or not the ticket price excludes retail commission. Valid values: True False

Time Of Last Update The time the security was updated, formatted HH:MM. For a matrix priced security, this is the time the spread to benchmark was changed.

Time Of Sales Ticket Time that sales ticket was entered.

Time Of Slate Time that slate was entered.

Total Trade Amount Principal, Accrued Interest and Transaction Costs, all totaled for the trade, based in the Security Currency.

Total Trade Amount Fractional Indicator


Trace Price Memo Applies to TRACE/MSRB reporting. Alphanumeric subscriber MEMO field. This field must be used when the Special Price Indicator has been selected to describe the reason why the trade was executed at a special price. Fill unused positions with spaces. This field may be displayed to the Contra party.

Trace Special Processing Flag Indicator that enables down stream feeds to determine what value the client stored on the ticket. Valid values: P = Position Transfer A = Affiliate

Trace Reportable Indicates if security is specifically TRACE/MSRB reportable by Bloomberg on behalf of a client.

56


Field Name Comments

Trace Special Price Indicates that "Special Price" was entered. Y= the transaction was intentionally executed at a price not related to the current market. Not to be used for numbers like long or short settlement or average price trades, rather it is to be used when trading specified.

Trade Amount The amount of the transaction. For mortgages, the original face amount.

Trade Amount Fractional Indicator See Fractional Indicator.

Trade Created By Mortgage Factor Correction

Valid values: Y=Yes N=No

Trade Date The date the transaction was entered.

Trade Flat Flag This flag indicates when a transaction has been entered with the option to trade with no accrued calculation performed. In some cases, bonds automatically trade with no accrued. Valid values: Y=Yes N=No

Trade Time The time the transaction was entered. (HH:MM)

Trade Type For Swaps. The type of transaction.

Trade ID Source Indicates whether the European Market Infrastructure Regulation (EMIR) transaction trade identifier is generated by Bloomberg (BBG) or user (User) entered. Valid values: Y=Yes (generated by Bloomberg or user) N=No (generated externally)

Trade USI Source Identifies the source where the data for the unique swap identifier (USI) was generated or edited. Valid values: 0 = User 1 = Bloomberg 2 = External

Trader/Account Name For trade feeds, the short name of the trader or account from which the trade is being executed. For price feeds, the short name of the trader or account from which the quotation is being provided. For position feeds, the short name of the trader or account from which the position is being provided.

57


Field Name Comments

Trader/Account Number For trade feeds the number of the trader or account from which the trade is being executed. For price feeds, the number of the trader or account from which the quotation is being provided. For position feeds, the number of the trader or account from which the position is being provided.

Trader To Trader Trade Flag “N/Y/C/O”

Valid values: Y=Yes N=No C=Auto-ex trader to trader (Customer Trader) O=Auto-ex trader to trader (Offering Trader)

Transaction Account The counterparty of the trade.

Transaction Code Unique transaction type for Futures and Options that goes along with the purchase or sales of a futures contract or option. Valid values: O=Buy Open Long / Sell Open Short C=Buy Close Long / Sell Close Short E=Exercise Options M=Multiple or blank (n/a for BTT/STT) A=Assign X=Expire D=Delivery

58


Field Name Comments

Transaction Cost Type The type of transaction cost. Valid values: 1=Sales Commission 2=Broker Commission 3=Exchange Fee 4=Withholding Tax 5=Transfer Tax 6=Stamp Duty 7=Transaction Levy 8=Clearing Fee 9=New Issue Fee 10=Service Fee 11=Odd Lot Fee 12=Base Fee 13=Auction Fee 14=Vat Tax 15=Sales Tax 16=Misc Fee 17=”Project-A” Fee 18=Goods & Serv Tax 19=Consumption Tax 20=Upfront Fee 21=Assignment Fee 22=Bonification 23=Tax 24=Trace Commission 25=Retail 26=Clearing Broker 27=Price Reduction 28=Courtage 29=Partcipation 30=Company Tax Rate 31=Franking 32=TAF Fee 33= Acceptance 38=Custom 2 39=Custom 3 40= Custom 4 41=Custom 5 42=PDF 43=BSF 44=Fee 45=STT

59


Field Name Comments

Transaction Cost Type 46= Service Tax 47=Mark Up 48=Add On 49=Sales Margin YS 50=Sales Margin PS

Trans Cost (1-5)-Effect On Final Money

Each flag is either a ‘+’ or ‘-‘. A negative sign indicates the absolute value of the analogous transaction cost should be negated from final money. A plus sign indicates the absolute value of the analogous transaction cost should be added to final money.

Trans Cost Currency The currency in which the transaction cost is based.

Trans Cost Currency Rate The currency exchange rate from the Security Currency to the Trans Cost Currency.

Trans Cost Currency Rate Fractional Indicator


Transaction Cost Exchange Rate Fractional Indicator 1-5


Trans Cost Rate (1-5) Transaction Cost Rate applied for each Transaction Cost Type. This rate is used for calculating the cost amount.

Trans Cost Rate (1-5) Fractional Indicator


Transaction Cost /Repo Broker Commission

The transaction cost. For Repos, this field represents the Repo Broker Commission.

Transaction Number Uniquely identifies the transaction. If the transaction is a cancel, it has the same number as the original buy or sell.

Transaction Number Of Origin Trans. For corrected tickets, this field contains the original transaction number. For matched tickets, this field contains the reference number of the slate, if you are receiving slates on the trade feed.

Transaction Type The type of transaction. For a list of valid values, see Appendix 6: Transaction Record Types.

Transaction Type (TBAs) For TBA Transactions. Indicates how inventory is sent out (SFT, AOT).

TRS Benchmark For Total Return Swap for AIM clients, the Benchmark used on the financing leg of the Total Return Swaps. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

TRS DealId Number 1-2 For Total Return Swap for AIM clients, the TRS deal ID of the Total Return Swap. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

TRS Funding Currency

For Total Return Swap for AIM clients, the funding currency used on the financing leg of the Total Return Swap. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

60


Field Name Comments

TRS Original FX Rate Fractional Indicator


TRS Pay/Receive Indicator For Total Return Swap for AIM clients, the Pay/Receive indicator used on the financing leg of the Total Return Swaps. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

TRS Reset Frequency For Total Return Swap for AIM clients, the reset frequency used on the financing leg of the Total Return Swaps. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

TRS Spread to the Benchmark For Total Return Swap for AIM clients, the Spread to the benchmark used on the financing leg of the Total Return Swaps. Only for deals entered via TKT. Will be phased out by the end of 2009 in favor of ETRS.

TRS Spread to the Benchmark Fractional Indicator


TS Alternative Security ID Identifier filled by portfolio codes for trading systems.

TSAM Indicator Trade status indicator for TSAM (Omgeo integration monitor). Valid values: NR=Not Released SM=Stop Matched M=Matched NM=Not Matched

TS Payoff The amount in which the FX option payoff is delivered. A payoff occurs in digital and touch options.

TS Payoff Fractional Indicator See Fractional Indicator.

TS Payoff Currency The currency in which the FX option payoff is delivered. A payoff occurs in digital and touch options.

Turn Pool Ticket number (TBAs) For TBA transactions.

Underlying CUSIP The CUSIP of the underlying cash bond, as in the case of a futures contract.

Unique Bloomberg Id A supplemental unique identifier assigned to the security that remains unchanged.

Unique Trade identifier A Unique Trade Identifier (UTI) is a unique global trade ID to ensure accurate identification of reported trades. This will improve the ability to reconcile trades both with and between counterparties, CCPs and trade repositories, and reduce the likelihood of duplicate reporting. Similar to USI but is generally applicable to assets other than swaps

Unique Trade identifier for trade clearing

Similar to USI for clearing but is generally applicable to assets other than swaps.

Unwind Transaction P&L Attribution Profit and loss (P&L) due to swap unwinds.

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Field Name Comments

Upfront Fee A payment the protection buyer pays the protection seller when the position is opening. The seller pays the buyer when the position is closing.

Upfront Settle Date The date on which the cash value of the underlying asset is delivered to satisfy the contract.

Upper Barrier Level The price/rate for the upper barrier.

Upper Barrier Level Fractional Indicator


Upper Rebate The amount paid should the option knock out.

Upper Rebate Fractional Indicator See Fractional Indicator.

User Group and Trading Desk Code The user group and trading desk code of the trade.

User Group and Trading Desk Name The user group and trading desk name of the trade.

User Number Of Person Who Approved Trade

This field contains the user number of the person who authorized the trade through TARL.

User Number Of Person Who Entered Ticket

This field contains the user number of the person who entered the original ticket.

User Number Of Person Who Matched Or Allocated

This field contains the user number of the person who either matched or allocated the original ticket.

Vanna Vanna of FX option at time of transaction.

Vanna Fractional Indicator See Fractional Indicator.

Variable Pension Livree /Floating Rate Repo Spread Fractional Indicator


Variable Pension Livree/Floating Rate Repo Index

The index on which the Repo rate is based.

Variable Pension Livree/Floating Rate Repo Spread

The number of basis points above or below the yield of the index that the Repo rate is calculated to each day.

Variable Pension Livree Index Index to which the Livree Repo rate is linked.

Variance For Tri-Party Repo transactions. The variance for the trade. Valid values: 1 = Circle 2 = Final

Venue of Execution Venue of execution for European Market Infrastructure Regulation (EMIR) reported transactions. Typically, the value will be the Market Identifier Code (MIC) and, where relevant, XOFF for listed derivatives that are traded off-exchange or XXXX for OTC derivatives.

Vega Vega of FX option at time of transaction.

Vega Fractional Indicator See Fractional Indicator.

Version Version of trade feed. For example, 709 implies version 7.9.

Vomma Vomma of FX option at time of transaction.

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Field Name Comments

Vomma Fractional Indicator See Fractional Indicator.

WAC (TBAs) For TBA transactions. The Weighted Average Coupon.

WAC Fractional Indicator See Fractional Indicator.

WALA (TBAs) For TBA transactions. The Weighted Average Loan.

WALA Decimal Fractional Indicator (TBAs only)


WAM (TBAs) For TBA transactions. The Weighted Average Maturity.

WAM Fractional Indicator See Fractional Indicator.

WI Conversion Flag Indicates if ticket is a system generated when issue ticket. Valid values: Y=Yes N=No

WI Muni Flag For Muni Transactions. Valid value: Y=Is When-Issued Muni transactions.

Withholding Tax Tax paid on Repo trades. (For Taiwanese securities.)

Workout Date Date yield is being calculated to.

Workout Price Price yield is being calculated to.

Workout Price Fractional Indicator See Fractional Indicator.

Yes/No Flag For Coupon Reinvestment

Applies when the Repo ticket is “By Security”. “Y” indicates that the termination should be adjusted for coupon and interest.

Yield For trade feeds, this is the yield of the trade.

Yield Convention Benchmark Yield Convention. Valid values: A - Annual S - Semi-Annual C - Conventional

Yield Entered Trade Indicates if the transaction was entered using Yield, not Price. “N” indicates a price was used on the transactions where “Y” indicates a yield (version 9.15 and above). Valid values: Y=Yes N=No

Yield Fractional Indicator See Fractional Indicator.

Z-Spread The implied spread of an underlying bond off a yield curve, in basis points.

Z-Spread Fractional Indicator See Fractional Indicator.

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Appendix 1: Currency Codes

Code ISO Code

Currency BB Mnemonic

1 USD US DOLLAR US 2 GBP BRITISH POUND BP 3 FRF FRENCH FRANC FR 4 DEM GERMAN MARK DM 5 ITL ITALIAN LIRA IL 6 JPY JAPANESE YEN JY 7 CHF SWISS FRANC SF 8 CAD CANADIAN DOLLAR CD 9 MXN MEXICAN PESO MP 10 AUD AUSTRALIAN DOLLAR AD 11 BEF BELGIAN FRANC BF 12 BRL BRAZIL REAL BC 13 DKK DANISH KRONE DK 14 NOK NORWEGIAN KRONE NK 15 FIM FINNISH MARKKA FM 16 SEK SWEDISH KRONA SK 17 VEB VENEZUELAN BOLIVAR VB 18 ATS AUSTRIAN SCHILLING AS 19 NLG DUTCH GUILDER DG 20 IEP IRISH PUNT IP 21 COP COLOMBIAN PESO CL 22 NZD NEW ZEALAND DOLLAR ND 23 SGD SINGAPORE DOLLAR SD 24 MYR MALAYSIAN RINGGIT MR 25 LUF LUXEMBOURG FRANC LF 26 KWD KUWAITI DINAR KD 28 XEU EURO. CURR. UNIT EC 29 EUR UNIT OF ACNT 30 ESP SPANISH PESETA SP 31 HKD HONG KONG DOLLAR HD 32 KRW SOUTH KOREAN WON KW 33 PTE PORTUGUESE ESCUDO PE 34 ZAR S.AFRICAN RAND SA 35 TWD TAIWAN DOLLAR TR 36 GRD GREEK DRACHMA GD 37 INR INDIAN RUPEE IR 38 VUV VANUATU VATU VV 39 ZRN CONGO DEM. REPUBLIC ZZ 40 MISCELLANEOUS 41 THB THAI BAHT TB 42 IDR INDONESIAN RUPIAH IH 43 PHP PHILIPPINES PESO PP 44 ZWD OLD ZIMBABWE DOLLAR ZD 45 ILS ISRAELI SHEKEL IS 46 FJD FIJI DOLLAR FD 47 ISK ICELAND KRONA IK

64


Code ISO Code


48 HUF HUNGARIAN FORINT HF 49 TRL TURKISH LIRA

(old pre-1/3/05 see 291 TRY) TL

50 GBp BRITISH PENCE Bp 51 ARS ARGENTINE PESO AP 52 CLP CHILEAN PESO CH 52 CLP CHILEAN U. FOMENTO CH 53 CNY CHINA RENMINBI CC 54 CHF LIECHTENSTEIN FRANC SF 55 CZK CZECH KORUNA CK 57 JMD JAMAICA DOLLAR JA 58 UYU URUGUAY PESO UP 59 TTD TRINIDAD TOBAGO DOLLAR TT 61 BOB BOLIVIAN BOLIVIANO BO 62 BMD BERMUDIAN DOLLAR BM 63 PEN PERUVIAN NEW SOL PS 64 PLN POLISH ZLOTY PZ 65 Ils ISRAELI AGOROTS Is 66 RUB RUSSIAN RUBLE RR 67 Zar S.AFRICAN CENTS Sa 68 PKR PAKISTANI RUPEE PR 69 SKK SLOVAKIA KORUNA VK 70 GHC GHANA CEDI GC 71 XAF CENT. AFR. REPUB XF 72 CRC COSTA RICAN COLON CO 73 MUR MAURITIUS RUPEE MA 74 NGN NIGERIA NAIRA NN 75 SVC EL SALVADOR COLON SV 76 GTQ GUATEMALA QUETZAL GQ 77 CUP CUBAN PESO CU 78 XCD DOMINICA DOLLAR XD 79 NIO NICARAGUA CORDOBA NC 80 HNL HONDURAS LEMPIRA HL 81 PAB PANAMANIAN BALBOA PB 82 PYG PARAGUAY GUARANI PG 83 CNY CHINESE YUAN 84 BGL BULGARIAN LEV BL 85 LBP LEBANESE POUND LP 86 SDR SPECIAL DRAWING RIGHTS SD 87 JOD JORDANIAN DINAR JD 88 LKR SRI LANKAN RUPEE SL 89 CYP CYPRIOT POUND CP 90 BWP BOTSWANA PULA BW 91 ANG NETH. ANT. GUILDER AG 92 IRR IRANIAN RIAL ID 93 OMR OMANI RIAL OR 94 BHD BAHRAINI DINAR BD 95 IQD IRAQI DINAR IQ 96 SZL SWAZILAND LILANGENI SZ 97 EGP EGYPTIAN POUND EP 98 KES KENYAN SHILLING KS 99 MAD MOROCCAN DIRHAM MD

65


Code ISO Code


100 BDT BANGLADESH TAKA BT 101 EEK ESTONIAN KROON EK 102 LTL LITHUANIAN LITA LH 103 LVL LATVIAN LAT LT 104 UAH UKRAINE HRYVNA UK 109 KZT KAZAKHSTAN TENGE KT 110 SIT SLOVENIA TOLAR SX 111 HRK CROATIAN KUNA HR 112 MTL MALTESE LIRA ML 113 ROL ROMANIAN LEU

(Code is 295 RON as of 7/1/05) RL

114 ALL ALBANIAN LEK AL 115 VND VIETNAM DONG VD 116 ZMK ZAMBIAN KWACHA ZK 117 PGK PAPUA N.G. KINA PK 118 ECS ECUADOREAN SUCRE ES 119 NAD NAMIBIA DOLLAR NM 120 MDL MOLDOVA LEI MV 121 AFA AFGHANISTAN AFGANI AA 122 DZD ALGERIAN DINAR AE 123 ADP ANDORRAN PESETA SP 124 FRF ANDORRAN FRANC FR 125 AON ANGOLAN KWANZA AK 126 XCD EAST CARRIBBEAN DOLLAR XD 127 AMD ARMENIA DRAM AM 128 AZS AZERBAIJAN MANAT AZ 129 AZM AZERBAIJAN MANAT COMM. AJ 130 PTE AZORES ESCUDO PE 131 BSD BAHAMAS DOLLAR US 132 ESP BALEARIC IS PESETA SP 133 BBD BARBADOS DOLLAR BB 134 BES BELARUS RUBEL BE 135 BYR BELARUS RUBEL COMM BY 136 BZD BELIZE DOLLAR BZ 137 XAF BENIN FRANC XF 138 BTN BHUTAN NGULTRUM IR 139 NOK BOUVET IS KRONE NK 140 USD BRIT INDIAN OCEAN RUPEE US 141 BND BRUNEI DOLLAR BR 142 XAF BURKINO FASO XF 143 BIF BURUNDI FRANC BU 144 KHR CAMBODIA RIEL KH 145 XAF CAMEROON FRANC XF 146 ESP CANARY ISLAND SP 147 GBP CANTON & ENDERBURY IS BP 148 CVE CAPE VERDE ESCUDO CE 149 KYD CAYMAN ISLANDS CY 150 XAF CHAD FRANC XF 151 XAF CFA FRANC XF 152 AUD CHRISTMAS IS. DOLLAR AD 153 AUD COCOS (KEELING) IS. AD 154 KMF COMOROS FRANC KM

66


Code ISO Code


155 XAF CONGO FRANC XF 156 DJF DJIBOUTI FRANC DF 157 DOP DOMINICAN REPB. DP 158 NOK DRONNING MAUDLAND KRON NK 159 XAF EQUATORIAL GUINEA XF 160 ETB ETHIOPIAN BIRR EB 161 GBP FALKLAND IS. POUND BP 162 DKK FAROE IS. KRONE DK 163 FRF FR. GUIANA FRANC FR 164 CFP FRENCH PACIFIC IS FRANC PF 165 XAF GABON FRANC XF 166 GMD GAMBIAN DALASI GM 167 GEL GEORGIA LARI GE 168 GIP GIBRALTAR POUND BP 169 DKK GREENLAND KRONE DK 170 XCD GRENADA DOLLAR XD 171 FRF GUADALOUPE FRANC FR 172 USD GUAM DOLLAR US 173 GNF GUINEA FRANC GN 174 GWP GUINEA BISSAU GB 175 GYD GUYANA DOLLAR GY 176 HTG HAITI GOURDE HG 177 AUD HEARD & MCDONALD IS. AD 178 XAF IVORY COAST FRANC XF 179 USD JOHNSTON IS. DOLLAR US 180 AUD KIRIBATI DOLLAR AD 181 KGS KYRGYZSTAN SOM KY 182 LAK LAOS NEW LK 183 LSL LESOTHO LOTI LL 184 LRD LIBERIAN DOLLAR US 185 LYD LIBYAN DINAR LB 186 MOP MACAU PATACA MC 187 MGF MADAGASCAR FRANC MG 188 PTE MADEIRA ESCUDO PE 189 MWK MALAWI KWACHA MW 190 XAF MALI REPUBLIC FRANC XF 191 FRF MARTINIQUE FRANC FR 192 MRO MAURITANIA OUGUIYA MO 193 USD MIDWAY IS. DOLLAR US 194 FRF MIQUELON FRANC FR 195 FRF MONACO FRANC FR 196 MNT MONGOLIA TUGRIK MT 197 XCD MONTSERRAT DOLLAR XD 198 MZM MOZAMBIQUE METICAL MM 199 MMK MYANMAR KYAT BK 200 ZAR NAMIBIA RAND SA 201 AUD NAURU IS. DOLLAR AD 202 NPR NEPAL RUPEE NP 203 XAF NIGER REPUBLIC FR. XF 204 NZD NIEUE DOLLAR ND 205 AUD NORFOLK IS. DOLLAR AD

67


Code ISO Code


206 ESP NORTH AFRICA PESETA SP 207 KPW NORTH KOREAN WON NW 208 NZD PITCAIRN IS DOLLAR ND 209 USD PUERTO RICO DOLLAR US 210 QAR QATARI RIYAL QR 211 FRF REUNION FRANC FR 212 RWF RWANDA FRANC RW 213 XDS ST. CHRISTOPHER DOLLAR XD 214 SHP ST. HELENA POUND BP 215 XCD ST. KITTS DOLLAR XD 216 XCD ST. LUCIA DOLLAR XD 217 FRF ST. PIERRE FRANC FR 218 XCD ST. VINCENT DOLLAR XD 219 USD SAMOA (AMERICAN) DOLLAR US 220 WST SAMOA (WEST) TALA WS 221 ITL SAN MARINO LIRA IL 222 STD SAO TOME DOBRA ST 223 SAR SAUDI RIYAL SR 224 XAF SENEGAL FRANC XF 225 SCR SEYCHELLES RUPEE SE 226 SLL SIERRA LEONE LEONE SN 227 SBD SOLOMON IS. DOLLAR SI 228 SOS SOMALI SCHILLING SS 229 ZAL S.AFRICAN RAND AR 230 SDD SUDANESE DINAR SU 231 SRG SURINAM GUILDER SG 232 SYP SYRIAN POUND SY 233 TJR TAJIKISTAN RUBLE TJ 234 TZS TANZANIAN SHILLING TP 235 NZD TOKELAU DOLLAR ND 236 TOP TONGA PANGA TG 237 XAF TOGO REP RANC FRANC XF 238 TND TUNISIAN DINAR TD 239 TMM TURKMENISTAN MANAT TM 240 USD TURKS & CAICOS DOLLAR US 241 AUD TUVALU DOLLAR AD 242 AED UAE DIRHAM UD 243 UGX UGANDAN SHILLING UG 244 UZS UZBEKISTAN SUM UZ 245 ITL VATICAN CITY LIRA IL 246 USD VIRGIN IS. DOLLAR US 247 YDD YEMENI DINAR YD 248 YER YEMENI RIAL YR 249 CSD SERBIAN DINAR CS 250 LEP IRISH PENCE LP 251 ZWd ZIMBABWE CENTS Zd 252 EUR EURO EU 253 KWd KUWAITI FILS Kd 254 BWp BOTSWANA THEBE Bw 255 EDM EURO (DEM) ED 256 EFR EURO (FRF) EF

68


Code ISO Code


257 EAS EURO (ATS) EA 258 EBF EURO (BEF) EZ 259 ELF EURO (LUF) EL 260 EES EURO (ESP) EE 261 EFM EURO (FIM) EM 262 EIP EURO (IEP) EI 263 EIL EURO (ITL) ET 264 EDG EURO (NLG) EG 265 EPE EURO (PTE) EY 266 EEC EURO (XEU) EX 267 ERN ERITREAN NAKFA EN 268 MKD MACEDONIA DENAR MK 269 AWG ARUBAN GUILDER AW 270 BAM BOSNIA-HERZE CONV MARKA BA 271 MVR MALDIVES RUFIYAA MV 272 SDD SUDANESE DINAR SD 273 UDI MEXICAN UDIDADES MX 274 GD EURO(GRD) 109736 275 USD PALAU DOLLAR PW 276 USd UNITED STATES CENTS US 277 SZl SWAZILAND CENTS SZ 278 CAd CANADIAN CENTS CA 279 MYr MALAYSIAN SEN MY 280 MWk MALAWI TAMBALA MW 281 BRl BRAZILIAN CENTAVOS BR 282 NAd NAMIBIAN CENTS NA 283 SGd SINGAPORE CENTS SG 284 AUd AUSTRALIAN CENTS AU 285 GBP MANX POUND IM 288 EUr EURO CENTS EU 289 ZMk ZAMBIAN NGWEE ZM 290 SRD SURINAME DOLLAR SR 291 TRY NEW TURKISH LIRA TR 292 GBP GUERNSEY POUND GG 293 SPL SEBORGA LUIGINI SU 294 MGA MADAGASCAR MG 295 RON NEW ROMANIAN LEU RO 296 AZN NEW AZERBAIJAN AZ 297 MZN NEW MOZAMBIQUE METICAL MZ 298 ZWN NEW ZIMBABWE DOLLAR ZW 299 USD MICRONESIA DOLLAR FM 300 NID NEW IRAQI DINAR IQ 301 ST EURO(SIT) 344055 311 VEF VENEZUELA BOLIVAR FUERTE VF 321 ZWR ZIMBABWE DOLLAR ZR

Calc Route Field that can be used in other feeds or applications:

Calc Route ID Description DS004 Currency (ISO CODE) DS018 Numeric Currency Code

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Appendix 2: Prepayment Types Prepayment types are sent in trade feed records as a numeric code that corresponds to the type that is used for the security in the Trading System pricing (PSU) record for mortgage-backed securities.

Code Description 1 PPL 2 CPR 3 PSA 4 SMM 5 MPE 6 ABS 7 MPR 8 EXS 9 MHP

10 BH 11 BL 12 HB 13 LB 14 WH 15 WL 16 WHL 17 RET 18 H3B 19 H4B 20 ADP 21 DFV 22 AOB 23 EN1 24 EBV 25 EBP 26 ADV 27 SM 28 N95 29 N94 30 UPP 31 HEP 32 PPC 33 PPS 34 IDX 35 BPP 36 AOU 37 AOD 38 SPV 39 SPU 40 SPD 41 RMP 42 RFV 42 RMV 43 RMU 44 RMD

70


Code Description 45 N96 46 CPY 47 CPP 48 CLV 49 SCC 50 N97 51 ESP 52 ET1 53 ET2 54 CPB 55 BPM 56 N98 57 BWP 58 EQ1 59 ET3 60 CPJ 61 N99 62 BFX 63 BOB 64 BOU 65 BOD 66 EN2 67 ET4 68 EOB 69 EOU 70 EOD 71 EN3 72 ET5 73 RMV


Calc Route ID Description AN018 Prepayment Type

71


Appendix 3: Product Sub-Flags Product sub-flags are used to identify security type beyond Bloomberg’s general “Product Key” types. They are by themselves not unique. Sub-flags should be used in conjunction with the “Product Key” field to uniquely identify the security type.

Corporate Code Description 1 Basic 2 Tiger 3 UKT 4 Dead Bonds 5 Fixed Warrants 6 Percent Warrants 7 PRPL 8 OTC Futures 9 Swap 10 Basic/For Internal Bloomberg use 11 Basic/For Internal Bloomberg use 13 For Internal Bloomberg use 15 For Internal Bloomberg use 16 Non-US Govt Generics 17 Synthetics 29 OTC Option 98 Structured Note 99 Loan

Commodity Code Description 2 Future 6 Option 10 Spot object (example; gold) 102 HardCommodities/Currency Futures 106 HardCommodities/Currency Future Options

Municipal Code Description 0 Muni

Equity Code Description 0 Common 2 Receipts 3 Warrants 4 Unit 5 Amertst 6 Option 7 EQPL (Private/Synthetic Equity Security) 8 Mutual Fund 9 Right 10 Money market 11 Closed end fund

72


Equity Code Description 12 UK unit trust 13 Offshore fund 14 Preferreds 15 Convertible bonds 16 Other (only securities found under <EQTY> TK WEB) 18 Investment Fund 19 UIT 20 REIT 24 Convertible Preferreds 26 Private companies 27 Bond 29 OTC Option 30 Preferred shares 31 Defunct 38 Limited partners 39 Carry Forward 40 ETF 41 Tracking Stock 42 Equity Future 43 Royalty Trust

Money Market Code Description 12 MMKT 14 Mexican MMKT 18 Repo 19 MMKT Commitment 22 Reverse Repo 23 Deposit 100 MMKT Program

Government Code Description 0 Basic 1 WI 2 Generic 3 UKT 29 OTC option

73


Mortgages Code Description 1 Generics 2 Pool_GN 3 Pool_G2 4 Pool_FH 5 Pool_FN 6 Pool_FG 16 CMO & ABS’s 19 Private (Pool PRPLs) 20 Private CMO (PRPLs ) 21 TBA 22 AMSEC (Canadian mortgages and SBA’s) 23 TBA – Coupon Swap 24 TBA – Month Roll 30 Japanese Securities 31 STRU

Preferreds Code Description 1 Preferreds

Index Code Description 2 Equity 6 Spot Index Options/Index Future Options

Currency Code Description 29 OTC Option 30 Forward and spot 2 Future 6 Option 102 HardCommodities/Currency Futures 106 HardCommodities/Currency Future Options


Calc Route ID Description DY021 Bloomberg Subflag

74


Appendix 4: Security Identifier Flag Codes

Code Security Identifier Flag -1 SEC ID NOT AVAILABLE* 0 UNKNOWN or USER DEFINED 1 CUSIP WITH CHECK DIGIT ** 2 SEDOL2 3 CEDEL 4 AIBD 5 EURO CLEAR NUMBER 6 WERTPAPIER (WPK) 7 RGA 8 ISIN 9 EUROCLEAR/CEDEL COMMON CODE 10 VALOREN 11 BELGIAN 12 DUTCH 13 DANISH 14 AUSTRIAN 15 LUXEMBOUG 16 MISC. DOMESTIC 17 NORWAY 18 JAPAN 19 SPAIN 20 ITALY 21 SWEDEN 22 JAPANESE COMPANY NUMBER 23 FRENCH 24 CINS 25 SEDOL1 26 SINGAPORE 27 BELGIAN LOAN 28 U.K. EPIC 29 HONG KONG 30 BLOOMBERG IDENTIFIER 32 CZECH WKN

* Currently applies to equity OTC options. ** For futures and options, this flag indicates ticker. For Private Securities (PRPL), identifier will be “1” unless a dummy CUSIP is entered in the Security ID field. Calc Route Field that can be used in other feeds or applications:

Calc Route ID Description ID034 Security ID Flag

75


Appendix 5: Settlement Location Codes

Code Description BB Name BB # BLANK No settlement Location on Ticket 0 AR Argentina:Caja de Valores Argentina (AR) 17 AN Netherlands Antilles Neth Antilles(NA) 158 AU Australia:Reserve Bank of Australia &

Austraclear Australia (AU) 20

AT Austria:Oesterreichische Kontrollbank Austria (AT) 21 BD Bangladesh Bangladesh (BD) 25 BE Belgium:Banque Nationale de Belgique

S.A. Belgium (BE) 28

BG Bulgaria Bulgaria (BG) 40 BH Bahrain Bahrain (BH) 24 BM Bermuda Bermuda (BM) 31 BO Bolivia Bolivia (BO) 33 BR Brazil Brazil (BZ) 37 BS Bahamas Bahamas (BS) 23 BW Botswana Botswana (BW) 35 CA Canada:Canadian Depository for

Securities Canada (CA) 45

CED Cedel:Cedel CEDEL (CED) 1 CH Switzerland:SEGA Switzerland (CH) 211 CI Ivory Coast Ivory Coast (CI) 59 CL Chile Chile (CL) 50 CN China China (CN) 51 CO Colombia Colombia (CO) 54 CR Costa Rica Costa Rica (CR) 58 CY Cyprus Cyprus (CY) 62 CZ Czech Republic Czech Repub (CZ) 63 DE Germany:Deutsche Borse Clearing Germany (DE) 88 DK Denmark:Vaerdipapircentralen Denmark (DK) 64 DO Dominican Republic Dom Repub (DO) 67 DTC U.S.A.:Depository Trust Company DTC (DTC) 2 DZ Algeria Algeria (DZ) 10 EBM Euro MTS Euro MTS (EBM) 901 EC Ecuador Ecuador (EC) 69 EE Estonia Estonia (EE) 74 EG Egypt Egypt (EG) 70 ES Spain:Banco de Espana & Espaclear Spain (ES) 204 EUR Euroclear Euroclear (EUR) 3 EX Exchange EX (EX) 998 FDW U.S.A.:Fed Wire Fed Wire (FDW) 902 FED U.S.A.:Federal Reserve Fed Funds (FED) 4 FI Finland:Suomen Arvopaperikeskus Finland (FI) 79 FJ Fiji Fiji (FJ) 78 FR France:Sicovam & Saturne France (FR) 80 GB U.K.:Central Gilts Office-UK U.K. (GB) 229 GR Greece:Bank of Greece Greece (GR) 91 GH Ghana Ghana (GH) 89 GT Guatemala Guatemala (GT) 96 HK Hong Kong:Central Money-markets Unit Hong Kong (HK) 103

76


Code Description BB Name BB # HN Honduras Honduras (HN) 102 HR Croatia Croatia 60 HU Hungary Hungary (HU) 104 ID Indonesia:Kustodian Sentral Efek

Indonesia Indonesia (ID) 107

IE Ireland:Gilts Settlement Office Ireland (IE) 110 IL Israel Israel (IL) 111 IN India India (IN) 106 IR Iran Iran (IR) 108 IS Iceland Iceland (IS) 105 IT Italy:Stanza di Compensazione & Conti

Accentrati Titoli Italy (IT) 112

JM Jamaica Jamaica (JM) 113 JO Jordan Jordan (JO) 115 JP Japan:Bank of Tokyo/ Industrial Bank of

Japan Japan (JP) 114

KE Kenya Kenya (KE) 117 KP Korea:Korea Democratic People’s

Republic Of Korea DPR (KP) 119

KR South Korea:Korea Republic Of Korea R (KR) 120 KW Kuwait Kuwait (KW) 121 KY Cayman Islands Cayman Isl (KY) 47 LB Lebanon Lebanon (LB) 125 LK Sri Lanka Sri Lanka (LK) 205 LU Luxembourg Luxembourg (LU) 131 MA Morocco Morocco (MA) 151 MU Mauritius Mauritius (MU) 143 MX Mexico: S.D. Indeval S.A. de C.V. Mexico (MX) 145 MY Malaysia:Bank Negara Malaysia Malaysia (MY) 136 MZ Mozambique Mozambique (MZ) 152 NA Namibia Namibia (NA) 154 NG Nigeria Nigeria (NG) 163 NI Nicaragua Nicaragua (NI) 161 NL The Netherlands:Necigef Netherlands (NL) 157 NZ New Zealand: Austraclear New Zealand

System New Zealand (NZ) 160

NO Norway:Verdipapirsentralen Norway (NO) 167 PA Panama Panama (PA) 171 PE Peru Peru (PE) 174 PH The Philippines:Central Depository Inc. Philippines (PH) 175 PHY Physical Delivery Physical (PHY) 5 PK Pakistan Pakistan (PK) 169 PL Poland:National Securities Depository Poland (PL) 177 PT Portugal:Central de Valores Mobiliarios Portugal (PT) 178 PTC U.S.A.:Participant Trust Company PTC (PTC) 6 RU Russia:National Depository Company Russia (RU) 183 SA Saudi Arabia Saudi Arabia (SA) 193 SE Sweden:Vardepapperscentralen Sweden (SE) 210 SG Singapore:The Central Depository Pte

Ltd. Singapore (SG) 197

SK Slovak Republic Slovak Rep (SK) 198 SZ Swaziland Swaziland (SZ) 209 TDW Time Deposit Wire TDW (TDW) 7

77


Code Description BB Name BB # TH Thailand:The Thailand Securities

Depository Co. Ltd Thailand (TH) 216

TN Tunisia Tunisia (TN) 221 TR Turkey:Custody Bank Turkey (TR) 222 TT Trinidad & Tobago Trin&Tobago(TT) 220 TW Taiwan Taiwan (TW) 213 UY Uruguay Uruguay (UY) 232 VE Venezuela Venezuela (VZ) 236 YU Yugoslavia Yugoslavia (YU) 243 ZA South Africa;Bank Serve South Africa (ZA) 202 ZM Zambia Zambia (ZM) 245 ZW Zimbabwe Zimbabwe (ZW) 246 Unknown Unknown/Other 999

78


Appendix 6: Transaction Record Types

Record Type Description

Trader Tickets

CTT Corrected trader ticket

PCT Post-trade date corrected trader ticket

PXT Post-trade date cancelled trader ticket

TT Trader ticket

XPT Cancelled PCT

XTT Cancelled trader ticket

Order Management (AIM)

OA Order management allocation ticket

COA Corrected order management allocation ticket

OM Portfolio order management master ticket

COM Corrected order management master ticket (XPT)

OMO Order management order, master ticket (XPT)

XOMO Cancelled order management order, master ticket (XPT)

OM2 Equity Order Management, Created in OA2

OM3 Equity Order Management, Created in OA3

OMD Equity Order Management, Completed Fill Record

XOM Cancelled Fill Record

CAB (COMA) Commission Allocation Breakdown

BM Block Master Ticket

CBM Corrected Block Master Ticket

XB Cancelled Block Master Ticket

PCBM Post Trade Date Corrected Block Master Ticket

PXBM Post Trade Date Cancelled Block Master Ticket

XBM Cancelled PCBM

PO Portfolio Slate

POC Carry-Over Portfolio Slate

XPO Cancelled Portfolio Slate

CPO Completed Portfolio Slate

79



Portfolio Allocations (AIM)

PA Portfolio allocation ticket

CPA Corrected portfolio allocation ticket

XP Cancelled portfolio allocation ticket

PCP Post-trade date corrected portfolio allocation ticket

PCP* Post-trade date corrected partially allocated ticket

PC* Post-trade date partially allocated ticket (XPT)

PXP Post-trade date cancelled portfolio allocation ticket

PXP* Post-trade cancelled partially allocated ticket

PX* Post-trade cancelled partially allocated ticket (XPT)

XCP Cancelled PCP

PM Portfolio master ticket

PM* Partially allocated master ticket

CPM Corrected portfolio master ticket

CPM* Partially allocated corrected master ticket

CP* Partially allocated corrected master ticket (XPT)

XP Cancelled portfolio master ticket

SSEOMS

SO Sell side sales order

XSO Cancelled sell side sales order

CSO Corrected sales order

RSO Routed sales order

XRO Cancelled order routing

CO Completed sales order

ALG Alleged trade

XLG Cancelled alleged trade

BT Bunch trade ticket

BNC Bunched record

Journal Trades

JL Journal trade

CJL Corrected journal trade

XJL Cancelled journal trade

PCJ Post-trade date corrected journal trade

PXJ Post-trade date corrected journal trade

80



XPJ Post-trade date cancelled journal trade

CMF Consolidated Message Feed (Retail Feed)

CRF Corrected offline ticket

RF Retail feed

XRF Cancelled offline ticket

LATT Transfer Trades

CLT Corrected LATT ticket

LT Trader ticket from LATT function

PLT Post-trade date corrected LATT ticket

PXL Post-trade date cancelled LATT ticket

XLT Cancelled LATT ticket

XPP Cancelled PLT

Sales (TOMS)

ST Sales ticket

EST Euro-converted sales ticket

SA Sales allocation ticket

CST Corrected sales ticket

CSA Corrected sales allocation ticket

XST Cancelled sales ticket

COT Carry-over sales ticket

CCT Corrected carry-over sales ticket

XOT Cancelled carry-over sales ticket

CPT Completed sales ticket

SB Sales MT allocation piece

SB* Unallocated or partially unallocated sales MT allocation piece

CSB Corrected sales MT allocation piece

CSB* Unallocated or partially unallocated corrected partial sales MT

XSB Cancelled sales MT allocation piece

PCB Post-trade corrected sales MT allocation piece

PXB Post-trade cancelled sales MT allocation piece

XCB Cancelled PCB

REJ Rejected sales ticket

SM Sales master ticket

SM* Partial sales master ticket

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CSM Corrected sales master ticket

CSM* Corrected partial sales master ticket

XSM Cancelled sales master ticket

Slates (TOMS)

S Slate

EST Euro-converted slate

CS Corrected slate

XS Cancelled slate

COS Carry-over slate

CCO Corrected carry-over slate

XOS Cancelled corrected carry-over slate

CPS Completed slate

Ticket Matching (TOMS)

CMT Corrected matched ticket

CMT* Unallocated `or partially unallocated CMT

MT Matched ticket

MT* Unallocated or partially unallocated MT

PCM Post-trade date corrected matched ticket

PXM Post-trade date cancelled matched ticket

XMT Cancelled matched ticket

XPM Cancelled PCM

Auto-Execution (TOMS)

AE Auto sales execution

CAE Corrected auto sales execution

CEX Corrected sales execution

CPX Corrected pending auto-ex transaction

EX Sales execution

PCA Post-trade date corrected auto sales execution

PCX Post-trade date corrected sales execution

PXA Post-trade date cancelled auto sales execution

PXX Post-trade date cancelled sales execution

XAE Cancelled auto sales execution

XEX Cancelled sales execution

XPA Cancelled PCA

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XPX Cancelled PCX

PE Pending ticket

COP Carry-over pending ticket

XPE Cancelled pending ticket

CPP Completed pending ticket

RPE Rejected auto-ex ticket

Price Inquiries (TOMS)

PE0 No dealers in competition

PE1 One dealer in competition

PE2 Two dealers in competition

PE3 Three dealers in competition

AQ Auto quoted inquiry, the first quote sent from a trader who automatically prices the inquiry using the Trading System Autoquoter. The Autoquoter is configured using the Auto Execution Set-Up function (AESU). AESU <HELP> displays further information.

AR Auto quoted refreshes, a quote that reflects a price that is automatically refreshed via the Trading System Autoquoter.

MQ Manually quoted price, the first quote sent from a trader who prices an inquiry using TW

MR Manually refreshed price, the subsequent quote(s) sent from a trader who prices an inquiry using TW

AE3 Auto-accepted trade, three dealers in competition

EX2 Manually accepted trade, two dealers in competition

COV Covered - Dealer quoted the second best price

TIE Tied - Dealer had same price as the best quoted, but the client chose another dealer

TWA Traded Away - Dealer made 3rd, 4th or 5th best price

PAS Passed - Client chooses to pass on the trade

XPE Expired Trade, a client or trader expired the trade

*Remember* Manually quoted tickets (AQ, AR, MQ, and MR) are not stored in the Trading System history database; rather, the tickets are treated as same day cancels.

ATT Agency Transactions, not sent via the trade feed (TOMS)

AT Agency trader ticket

CAT Corrected agency trader ticket

XAT Cancelled agency trader ticket

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PAC Post-trade date corrected agency trader ticket

PAX Post-trade date cancelled agency trader ticket

PACX Cancelled PAC

Cash

CSH Cash added/removed from portfolio

SWP Cash added/removed from portfolio

XCT Cancelled cash ticket from portfolio

Corporate Actions

CA Corporate action trade (added offline)

CCA Corrected corporate action trade

XCA Cancelled corporate action trade

PCC Post-trade corrected corporate action trade

PXC Post-trade cancelled corporate action trade

XPC Cancelled PCC

MTG Trading: mortgage prepay P&L ticket

MAT Trading: maturity P&L

MPY Portfolio: mortgage prepay ticket

MTD Portfolio: matured bond/expired future

CPN Coupon payment ticket

MSPL Trading: mortgage prepay P&L ticket

DIV Equity dividend ticket

Futures

FT Futures ticket

CFT Corrected futures ticket

XFT Cancelled futures ticket

PCF Post-trade date corrected futures ticket

PXF Post-trade date cancelled futures ticket

XPF Cancelled PCF

Money Markets

MC Money-market commitment

CC Converted money-market commitment

CMC Corrected money-market commitment

MCST Completed money-market commitment buy slate

XCST Cancelled completed money-market commitment buy slate

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XCMS Cancelled corrected money-market commitment buy slate

MS Money-market commitment buy slate

COMS Corrected money-market commitment buy slate

CMS Corrected money-market commitment buy slate

CCMS Corrected money-market commitment buy slate

XCMS Cancelled corrected money-market commitment buy slate

XMS Cancelled money-market commitment buy slate

Mortgage/TBAs

CPL Corrected TBA POOL allocation

PCA Post-trade date corrected POOL

PXA Post-trade date cancelled POOL

TBA Mortgage TBA ticket

TBAO Mortgage TBA offset (partial completed TBA)

CTB Completely allocated TBA

PTB Post-trade date cancelled CTB

XTB Cancelled mortgage TBA

POL Mortgage pool transaction (completed TBA)

CPL Corrected mortgage pool transaction

XPL Cancelled mortgage pool (from completed TBA)

PPOL Mortgage pool transaction (partial TBA)

FX

FCS Far leg FX swap ticket

CFS Corrected far leg FX swap ticket

PFW Post-trade correction far leg FX swap ticket

XFS Cancelled far leg FX swap ticket

XPW Cancelled PFW

PXW Post-trade cancelled far leg FX swap ticket

NCS Near leg FX swap ticket

CCS Corrected near leg FX swap ticket

PCN Post-trade correction near leg FX swap ticket

PXN Post-trade cancelled near leg FX swap ticket

XCN Cancelled near leg FX swap ticket

XPN Cancelled PCN

SWAPs

85



CSW Closeout swap ticket

XCSW Cancelled closeout swap ticket

CSJL Closeout swap journal ticket

XCSJ Cancelled closeout journal ticket

Other

CWT Corrected web feed tickets

WT Web feed tickets

XWT Cancelled web feed tickets

BCA Broker commission adjustment

CV Conversion trade (for WI conversions)

BCA Broker commission adjustment

STK Strip ticket

Repo Transactions

RT Repo ticket with collateral

CRT Corrected Repo ticket with collateral

XRT Cancelled Repo ticket with collateral

RS Repo money slate

CRS Corrected Repo money slate

XRS Cancelled Repo money slate

RST Repo sales ticket

CPR Completed Repo sales ticket

XSR Cancelled Repo sales ticket

RSM Repo sales master ticket

XRM Cancelled Repo sales master ticket

CR Closed Repo ticket

XCR Cancelled closed Repo ticket

CM Closed Repo slate ticket

XCM Cancelled closed Repo slate ticket

MRC Master Repo cash ticket

CMR Corrected Repo master cash ticket

XMR Cancelled Repo master cash ticket

KMR Closed master Repo cash ticket

XKM Cancelled closed master cash ticket

ARC Allocated Repo cash ticket

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CAR Corrected Repo allocation cash ticket

XAR Cancelled Repo allocation cash ticket

KAR Closed Repo allocation cash ticket

XKB Cancelled closed Repo allocation cash ticket

RPO Repo reverse trade

ARR Allocated Reverse Repo

BS Buy-Sellback master ticket

SB Sell-Buyback master ticket

SB* Partial sell-buyback master ticket

CBS Corrected buy-sellback master ticket

CBS* Corrected partial buy-sellback master ticket

CSB Corrected sell-buyback master ticket

CSB* Corrected partial sell-buyback master ticket

BSA Buy-sellback allocation

SBA Sell-buyback allocation

CBSA Corrected buy-sellback allocation

CSBA Corrected sell-buyback allocation

XSB Cancel of sell-buyback master ticket

XSB* Cancel of partial sell-buyback master ticket

XBS Cancel of buy-sellback master ticket

XBS* Cancel of sell-buyback master ticket

XSBA Cancel of sell-buyback allocation

XBSA Cancel of buy-sellback allocation

RR Reverse Repo ticket

CRR Corrected reverse Repo ticket

XRR Canceled reverse Repo ticket

RP Repo ticket

CRP Corrected Repo ticket

XRP Canceled Repo ticket

L Lend

CL Corrected lend

XL Canceled lend

B Borrow

CB Corrected borrow

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XB Canceled borrow

YR Yen Repo

CYR Corrected yen Repo

XYR canceled yen Repo

YV Yen reverse Repo

CYV Corrected yen reverse Repo

XYV Canceled yen reverse Repo

PL Pension liveree

CPL Corrected pension liveree

XPL Canceled pension liveree

PR Reverse pension liveree

CPR Corrected reverse pension liveree

XPR Canceled reverse pension liveree

CL Cash lending

CLC Corrected cash lending

XLC Canceled cash lending

SG Sell gensaki

CSG Corrected sell gensaki

XSG canceled sell gensaki

BG Buy gensaki

CBG Corrected buy gensaki

XGB Canceled buy gensaki

S- Sicherheiten lend

CS- Corrected Sicherheiten lend

XS- Canceled Sicherheiten lend

S+ Sicherheiten borrow

CS+ Corrected Sicherheiten borrow

XS+ Canceled Sicherheiten borrow

DR DBV Repo

CDR corrected DBV Repo

XDR Canceled DBV Repo

DV DBV reverse Repo

CDV Corrected DBV reverse Repo

XDV Canceled DBV reverse Repo

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Euro Conversion

FSP Closeout settled position in national currency

RSP Reinstate settled position in Euro

XNC Cancellation of ticket in national currency

EUR Reinstate ticket in Euro

CEU Corrected Euro ticket

XEU Cancelled Euro ticket

PCE Post-trade corrected Euro ticket

PXE Post-trade cancelled Euro ticket

CCP Corrected converted settled position

XSP Cancelled converted settled position

PCS Post-trade corrected converted settled position

PXS Post-trade cancelled converted settled position

ECC Cash compensation transaction

CCC Corrected cash compensation transaction

XCC Cancelled cash compensation transaction

Repo Euro Conversions

XLR Cancelled legacy Repo ticket

E1 First leg of Repo-euro conversion (national currency)

E2 Second leg of Repo-euro conversion (Euro currency)

XE2 Cancelled Repo-euro

CE2 Corrected second leg of Repo-euro

XLS Cancelled of legacy Repo sales

S1 First leg of Repo-euro sales

XLA Cancelled of legacy master Repo sales

A1 First leg of Repo-euro master sales

RA Repo trader allocation

CRA Corrected Repo trader allocation

XRA Cancelled Repo trader allocation

KA Closed Repo trader allocation

XKA Cancelled closed Repo trader allocation

AP Repo product type allocation

CAP Corrected Repo product type allocation

XAP Cancelled Repo product type allocation ticket

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KP Closed product type allocation

XKP Cancelled closed product type allocation

CLPL Sell side called record type

CALC Buy side called record type

90


Documentation History

Date Revision

October 7, 2015 V3.9 Add following definitions: • CDS Recovery Rate (Transaction) • Contract Size

September 10, 2015 V3.8 Added new definitions.

March 17, 2015 V3.7 Added entries fo Buy Side/Sell Side Flag and Bunched Order.

January 22, 2015 V3.6 Updated descriptions for Pay Frequency, Receive Frequency, Seniority (Debt Type), Pay Side Accrual Day Adjustment, Pay Side Day Counts, and Receive Side Day Counts.

November 24, 2014 V3.5 Revised definitions for Day Count, Last Login UUID, and Transaction Cost Type.

September 12, 2014 V3.4 Added valid values to Restructuring Type field.

August 28, 2014 V3.3 Following updates: • Added definition for ISDA Agreement Year • Updated definitions for CDS Market Contract Type and CDS

Contract Type

August 18, 2014 V3.2 Following updates: • Added definition for Non Regular Settle Repo Rate • Updated definitions for CDS Market Contract Type and CDS

Contract Type

July 22, 2014 V3.1 Added new definitions.

July 1, 2014 V3.0 Added new definitions.

May 23, 2014 V2.24 Revised definition for Last Login UUID.

May 13, 2014 V2.23 Added following fields: • Bloomberg Global Identifier • Initiator in trader-to-trader trade • Meets First Block Trade Requirements • Meets Second Block Trade Requirements • Meets Third Block Trade Requirements • Report to Financial Conduct Authority • Systematic Internaliser Bank Identifier Code • Unique Trade identifier • Unique Trade identifier for trade clearing

March 5, 2014 V2.22 Added definitions for EMIR transactions.

January 13, 2014 V2.21 Added 23/Deposit field to “Appendix 3: Product Sub-Flags”, and added new fields to dictionary.

January 8, 2014 V2.20 Revised current entry for “Barrier Direction” to “Direction”. Created new entry for “Barrier Direction”.

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Date Revision

March 18, 2013 V2.19 Added new tables to “Appendix 3: Product Sub-Flags”.

March 7, 2013 V2.18 Added values 16, 17, & 18 to STIP CODE

June 29, 2012 V2.17 Added Upfront Fee

November 3, 2011 V2.16 Added TCTM Indicator

September 1, 2011 V2.15 Added DollarRoll and StipCode.

June 23, 2011 V2.14 Added Muni : Series and Pfd : Series to Series/Exchange Code/CMO Tranche

June 21, 2011 V2.13 Added values for Tri-Party Repo transactions: • Extension Date • Generic Label • Minimum Notice Period • Structure Type • Variance

June 1, 2011 V2.12 Added RTTMIndicator and RTTMReferenceID.

May 20, 2011 V2.11 Added following two values to Feed Reason Code: TCTMStatusChange and Other.

November 3, 2010 V2.10 Added the following fields: • Full Trade Amount • Market Sector Two • Transaction Account

June 17, 2010 V2.9 Added External Block Trade ID.

June 7, 2010 V2.8. Added the following fields: • External Trade ID • Platform Name

May 6, 2010 V2.7. Added x42 field definitions.

January 4, 2010 V2.6. Added comment to Settlement Amount field: “For the Repo class of asset types (including Buy/Sell back, etc.), the Settlement Amount will be the Principal Amount, multiplied by the exchange rate for cross-currency Repos when applicable.”

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