TRADESUITE ID TRADESUITE ID/SWIFT INTEGRATION GUIDE VERSION MARCH 02, 2018

Transcription

1 TRADESUITE ID TRADESUITE ID/SWIFT INTEGRATION GUIDE VERSION MARCH 02, 2018

2 Copyright 2018 DTCC. All rights reserved. This work (including, without limitation, all text, images, logos, compilation and design) is proprietary and protected by copyright, and is for the exclusive use of users authorized by DTCC. If this work is received from DTCC in any electronic medium, authorized users of this work are granted a limited, non-exclusive, non-transferable, nonsublicensable and freely revocable license to make reproductions and transmissions necessary for downloading and storage of this work on the users' computers and to print one or more paper copies from the electronic version for their own use. Other than to this limited extent, no part of this work (including any paper copies thereof or print versions thereof) may be printed, copied, altered, modified, posted, reproduced, displayed, published, sold, licensed, used or distributed (including by transmission) in any form or by any means, or stored in any information storage and retrieval system, without DTCC's prior written permission. All product or service names are the property of their respective owners. The services described herein are provided under the DTCC brand name by certain affiliates of The Depository Trust & Clearing Corporation ("DTCC"). DTCC itself does not provide such services. Each of affiliates is a separate legal entity, subject to the laws and regulations of the particular country or countries in which such entity operates. Please see for more information on DTCC, its affiliates and the services they offer. Publication Code: TS205 Service: TradeSuite ID Title: TradeSuite ID/SWIFT Integration Guide

3 TABLE OF CONTENTS 1. Preface 20 Audience 20 Changes in This Version 20 Related Documents and Training 23 Questions? TradeSuite ID and SWIFT 24 TradeSuite ID Messaging 24 Conventions Used in This Guide MT509 - Trade Status Messages 30 Input and Output Messages 30 Sent From DTCC to the User (Output) 30 Input Message Status 30 Output Trade Status 30 Specifications 30 Field Specifications for MT509 Input Messages 32 for Start and End of Block Delimiters 32 1: Start-of-Block and End-of-Block 32 s for Sequence A General Information 33 2: Field 20C: Sender Reference or DTC Control Number 33 3: Field 23G: Message Type 33 s for Subsequence A1 Linkage 33 4: Field 13A: Linked Transaction 33 5: Field 20C: Link Reference 34 s for subsequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages 34 6: Field 25D: Status Code 35 s for subsequence A2a Reason for Edit Rejections and Warnings 35 7: Field 24B: Reject Reason Code 35

4 8: Field 70D: Entity Identifiers and DTCC Reason Error Code/Description Investment Manager and Executing Broker Identifiers 35 MT509 - Output Messages 37 Sequence A General Information 37 Subsequence A1 Link to Original Message 37 Subsequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages 38 Subsequence A2a Reason for Edit Rejections and Warnings 38 Field Specifications for MT509 Output Message 40 for Start and End of Block Delimiters Start-of-Block and End-of-Block 40 s for Sequence A General Information 40 2: Field 20C: DTC Control Number 40 3: Field 23G: Message Type 40 s for Subsequence A1 Linkage 41 4: Field 13A: Underlining Message Type 41 5: Field 20C: Link or User reference number assigned to original message 41 s for subsequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages 42 6: Field 25D: Status Code 42 s for subsequence A2a Reason for Edit Rejections and Warnings 43 7: Field 24B: Rejection Reason Code 43 8: Field 70D: Entity Identifiers and DTCC Reason Error Code/Description Investment Manager and Executing Broker Identifiers (subsequence A2a) MT515 - Trade Confirmation Messages 45 Transaction Types 45 Input Message Flow 45 Output Message Flow 46 Specifications 47 Start-of-Block and End-of-Block Fields 47 Sequence A General Information 48 Subsequence A1 Linked Transactions 49

5 Sequence B Partial Fill Details 50 Sequence C Confirmation Details 50 Subsequence C1 Confirmation Parties 53 Sequence C Confirmation Details (continued) 56 Subsequence C2 Financial Instrument Attributes 56 Sequence C Confirmation Details (continued) 58 Sequence D Settlement Details 69 Subsequence D1 Settlement Parties 70 Subsequence D2 Cash Parties 76 Subsequence D3 Amounts 77 Sequence D Settlement Details (continued) 80 Sequence E Other Parties 80 Sequence F Two Leg Transaction Details (REPO) 83 Field Specifications for MT515 Trade Confirmation Messages 84 for Start and End of Block Delimiters 84 1: Start-of-Block or End-of-Block Field 84 s for Sequence A General Information 84 2: Field 20C: Broker Confirm Number or DTC Control Number 84 3: Field 23G: Message Type New Confirm 85 4: Field 98C: DTCC Processing Date and Time 85 5: Field 22F: Transaction Type Indicator 85 s for Subsequence A1 Linkage Blocks 86 6: Field 13A: Linked Transaction 86 7: Field 20C: Linked Reference to Original Broker Confirmation Number and Parent Cross Reference Number 86 Sequence B Partial Fill Details 87 8: Field 36B: Quantity Shares/Face Value 87 9: Field 90B: Net Price 87 10: Field 22F: Price Indicator 88 Sequence C Confirmation Details 88

6 11: Field 98A Trade Date or field 98C Trade Date and Time 88 12: Field 98A Settlement Date or field 98B Settlement Type 88 13: Field 90B: Price 89 14: Field 90B: Mark-Up Price or Mark-Down Price 90 15: Field 99A: Interest Days 90 16: Field 94B: Place of Trade or Exchange 90 17: Field 19A: Settlement (Net) Amount 91 18: Field 22H: Buy or Sell Indicator 91 19: Field 22H: Payment Method Indicator 92 20: Field 22F: Long/Short Indicator 92 21: Field 22F: Greenwich Mean Time 92 22: Field 22F: Commission Sharing Indicator 93 23: Field 22F: Cancel After Affirmation/Match Indicator 93 24: Field 22F: Matched Indicator 93 25: Field 22F: ALERT Account Found Indicator 94 26: Field 22F: Trade Transaction Condition Indicator 94 27: Field 22F: DTC Eligibility Indicators 95 28: Field 22F: Prime Broker Disaffirmation Indicator 95 29: Field 22F: Eligibility Reason Code 95 30: Field 22F: Price Type Indicator 99 31: Field 22F: Block Trade Indicator : Field 22F: SIPC Member Indicator : Field 22F: FINRA Member Indicator : Field 22F: NYSE Member Indicator : Field 22F: Market Maker Indicator : Field 22F: Confirm Leg Indicator : Field 22F: Collateral Type : Field 22F: Collateral Substitution Type : Field 22F: Third-Party Renumeration Received Indicator 103

7 40: Field 22F: Confirm Backer/Disclosure Found Indicator : Field 22F: Confirm Backer/Disclosure Bypass Indicator : Field 22F: Allocation Source Indicator : Field 22F: Confirm Purpose 105 Subsequence C1 Confirmation Parties : Field 95a: Institution Primary Identifier: Field 95R: Primary Institution DTC ID or Field 95P: Institution BIC : Field 95S: Alternate Institution DTC ID or Institution BIC : Field 97A: Institution Safekeeping Account : Field 70C: Institution Contact Telephone Number and Wire Instructions : Field 95a: Clearing Broker Primary Identifier: Field 95R: Primary Clearing Broker DTC ID or Field 95P: Clearing Broker BIC : Field 95S: Alternate Clearing Broker DTC ID or Clearing Broker BIC : Field 97A: Clearing Broker Safekeeping Account : Field 70E: Operating Procedures Guide Link : Field 95a: Executing Broker Primary Identifier: Field 95R: Primary Executing Broker DTC ID or Field 95P: Executing Broker BIC : Field 95S: Alternate Executing Broker DTC ID or Executing Broker BIC : Field 97B: Executing Broker Safekeeping Account : Field 98C: Confirm Processing Date and Time : Field 70E: Special Instructions : Field 70C: Broker Salesperson Number and Broker/Dealer Telephone Number : Field 22F: Role Indicator : Field 95a: Designated Affirmer Identifier: Field 95R: Designated Affirming Party DTC ID or Field 95P: Designated Affirming Party BIC Identifier : Field 95R: Give-Up Broker 113 Sequence C Confirmation Details (continued) : Field 36B: Quantity-Shares/Face Value : Field 35B: Security ID Number 114 Subsequence C2 Financial Instrument Attributes : Field 22F: Security Form Code 116

8 64: Field 22F: Substitution Frequency : Field 22F: Interest Payment Calendar Frequency : Field 98A: Maturity Date : Field 98A: Pre-refunded or Call Date : Field 98A: Put Bond Date : Field 98A: Issue Date : Field 98A: Option Expiration Date : Field 98A: Interest Accrual Date : Field 98A: First Rate Reset Date : Field 98A: Dated Date : Field 13B: Yield to Maturity : Field 92A: Interest Rate : Field 13B: Pool Number : Field 13B: Lot ID : Field 70E: Additional Confirm Security Description 121 Sequence C Confirmation Details (continued) : Field 13B: Expanded Security Type : Field 13B: Amortized/Accredited Factor : Field 13B: Matching Variance : Field 13B: Matching Variance Discrepancy : Field 13B: Security Description Type : Field 13B: Advice of Cancellation or Correction Indicator : Field 13B: AOCC Process Date : Field 13B: Start Date : Field 13B: Substitution Number : Substitution Variance : Field 13B: Face (Par) or Cash Fill REPO : Field 13B: First Interest Cleanup Date : Field 13B: Lookback Days 127

9 92: Field 13B: Reset Interval Frequency : Field 13B: Flex REPO Payback Frequency : Field 13B: User-Defined Disclosure Code : Field 13B: Current Yield : Field 13B: Yield to Call/Redemption : Field 13B: Trade Execution Date : Field 13B: Trade Execution Time and Trade Execution Time Zone : Field 13B: Disclosure Reference Number : Field 13B: Commission Equivalent : Field 13B: TradeSuite ID Operating Procedures Guide Reference Number : Field 13B: Discount Rate : Field 13B: Legal Status : Field 13B: Payment Status : Field 13B: Bond Type Code : Field 13B: Basis Indicator : Field 13B: Result Indicator : Field 13B: Interest Payment Date : Field 13B: Option Call Indicator : Field 13B: Call/Put Feature Indicator : Field 13B: Put Bond Type : Field 13B: Prerefunded or Call Price : Field 13B: Put Bond Price : Field 13B: Bond Form Code : Field 13B: Interest Payment Frequency : Field 13B: Special Coupon Indicator : Field 13B: Flat/Default Status : Field 13B: Tax Status : Field 13B: Moody s Credit Rating : Field 13B: Standard & Poor s Credit Rating 137

10 121: Field 13B: Subject to Federal Tax : Field 13B: Alternate Minimum Tax : Field 13B: Trade Type Indicator : Field 13B: Current Face : Field 13B: Factor/Effective Date : Field 13B: Yield : Field 13B: Related Reference Number : Field 13B: Number of Days Accrued Interest : Field 13B: Security Class Code : Field 13B: Original Trade Par : Field 13B: Good Delivery Millions : Field 13B: Delivery Date : Field 13B: EPN Time : Field 13B: Terminator : Field 13B: Message ID : Field 13B: Possible Duplicate : Field 13B: Trade Number : Field 13B: Number of Pools : Field 13B: Internal ID : Field 13B: Submitter Account ID : Field 13B: Service Type : Field 13B: Option Type : Field 13B: Record Date : Field 13B: Specification Code and Specification Value : Field 13B: MBS Interest Rate : Field 13B: MBS Maturity Date Field 13B: Vendor Control ID : Field 13B: Institution Legal Entity : Field 13B: Broker Legal Entity 146

11 150: Field 13B: Mark Up Percent or Mark Down Percent : Field 70E: Special Instructions line 1-8 and Confirm Disclosure Link (output only) 146 Sequence D Settlement Details : Field 22F: Delivery Method Indicator : Field 22F: Trade Type Indicator : Field 22F: Settlement Condition Codes #1, #2, # : Field 22F: Broker Custody Indicator : Field 22F: Split Currency Indicator : Field 22F: ALERT Overwrite Indicator : Field 22F: Settlement Condition Indicator 151 Subsequence D1 settlement parties : Field 95R: Broker Settlement Location, field 95P: Broker Settlement Location BIC, or field 95Q: NOT FOR SETTLEMENT : Field 20C: Broker Settlement Method : Field 70C: Delivery/Receiver (input) : Field 70D: Sub-Custodian CSD Information (input) : Field 70C: DTC Settlement Mode, Affirming Party Indicator, Agent Sub-Custodian BIC, and Broker Sub-Custodian BIC (output) : Field 70D: Agent Sub-Custodian CSD Information, Broker Sub-Custodian CSD Information, Delivery Instructions (Lines 1), and Delivery Instructions (Line 2) : Field 95a: Institution Primary Identifier: Field 95R: Institution DTC ID or Field 95P: Institution BIC Field 95S: Institution Alternate Identifier or Institution Alternate DTC ID : Field 97A: Institution Safekeeping Account : Field 70C: Institution Telephone Number and Wire Instructions : Field 70D: Deliver/Receiver Sub-Custodian CSD Safekeeping Account : Field 95a: Agent Primary ID Number: Field 95R: Agent DTC ID or Field 95P: Agent BIC : Field 95S: Agent Alternate ID Number, Agent DTC ID, or Agent BIC : Field 97A: Agent Safekeeping Account : Field 70C: Settlement Location, Settlement Method, Special Instructions Line 19, Special Instructions Line 20, and Special Instructions Line

12 174: Field 70D FINRA MSRB EMMA URL : Field 95a: Clearing Agent Primary ID Number: Field 95R: Clearing Agent DTC ID or Field 95P: Clearing Agent BIC Identifier : Field 95S: Clearing Agent Alternate ID Number Alternate DTC ID or Alternate BIC : Field 97A: Clearing Agent Safekeeping Account : Field 95a: Deliverer Sub-Custodian Primary ID Number: Field 95R: Deliverer Sub- Custodian DTC ID or Field 95P: Deliverer Sub-Custodian BIC : Field 95S: Deliverer Sub-custodian Alternate Identifier : Field 97A: Deliverer Sub-Custodian Safekeeping Account : Field 70D: Supplemental Information : Field 70D: Cash Account : Field 95a: Receiver Sub-custodian Primary Identifier: Field 95R: Receiver Sub-Custodian DTC ID or Field 95P: Receiver Sub-Custodian BIC : Field 95S: Receiver Sub-Custodian Alternate Identifier, Alternate DTC ID, or Alternate BIC : Field 97A: Receiver Sub-custodian Safekeeping Account : Field 70D: Supplemental Information : Field 70D: Cash Account 165 Subsequence D2 cash parties : Field 95R: Correspondent Bank ID or Field 95P: Correspondent Bank BIC : Field 97A: Correspondent Bank Cash Account 166 Subsequence D3 Amounts : Field 19A: Commission : Field 19A: Accrued Interest : Field 19A: Regulatory Fees Field 19A: Research Amount : Field 19A: Country/National Tax : Field 19A: Other Charges : Field 19A: Principal Amount : Field 19A: Settlement (Net) Amount : Field 19A: Alternate Currency Resultant Amount 168

13 199: Field 92B: Exchange Rate : Field 19A: Legacy Settlement (Net) Amount : Field 19A: Legacy Currency Amount : Field 19A: Other Amounts #1 through #5 169 Sequence E Other Parties : Field 95R: Report Receiver Type or Field 95P: Report Receiver BIC : Field 95R: Executing Broker/Dealer ID or Field 95P: Executing Broker/Dealer BIC : Field 95a: Interested Party 1 Primary ID Number: Field 95R: Interested Party 1 DTC ID or Field 95P: Interested Party 1 BIC : Field 95S: Interested Party 1 Alternate ID Number, Interested Party 1 DTC ID, or Interested Party 1 BIC : Field 97A: Interested Party 1 Safekeeping Account : Field 70C: Supplemental Information : Field 95a: Interested Party 2 Primary ID Number: Field 95R: Interested Party 2 DTC ID or Field 95P: Interested Party 2 BIC : Field 95S: Interested Party 2 Alternate ID Number, Interested Party 2 DTC ID, or Interested Party 2 BIC : Field 97A: Interested Party 2 Safekeeping Account : Field 95a: Interested Party 3 Primary ID Number: Field 95R: Interested Party 3 DTC ID or Field 95P: Interested Party 3 BIC : Field 95S: Interested Party 3 Alternate ID Number, Interested Party 3 DTC ID, or Interested Party 3 BIC : Field 97A: Interested Party 3 Safekeeping Account : Field 95R: ID Net Number : Field 95Q or 95R: Tri-Party Agent Number 174 Sequence F REPO : Field 98A: End Date/Maturity Date : Field 98A: First Flex Repayment Date : Field 22F: FIN Rate Type : Field 22F: Accrual Method : Field 20C: Additional Reference Number : Field 20C: Additional Reference Number 2 176

14 223: Field 92A: FIN Rate : Field 92C: Index (Benchmark) : Field 92A: Haircut % : Field 92A: Spread to Index or Benchmark : Field 99B: Call Delay : Field 99B: Number of Collateral Pieces : Field 19A: Security Lending Fee : Field 19A: REPO Value : Field 19A: Accrued Interest at Maturity : Field 19A: Premium Amount MT517 - Trade Affirmation Messages 181 Input Message Flow 181 Output Message Flow 182 Specifications 182 Start-of-Block and End-of-Block Fields 182 Sequence A General Information (Mandatory) 183 Subsequence A1 link to original message 183 Field Specifications for MT517 Affirmation Messages 184 for Start and End of Block Delimiters 184 1: fields 16R and 16S: Start-of-Block and End-of-Block 184 Sequence A General Information 184 2: Field 20C: Sender Reference Number or DTC Control Number 184 3: Field 23G: Message Type Indicator 185 4: Field 95P: Affirming Party BIC or field 95R: Affirming Party TradeSuite ID 185 5: Field 95R: Affirming Party and TradeSuite ID or Affirming Party and BIC 185 Subsequence A1 Link to Original Message 186 6: Field 13A: Linked Transaction 186 7: Field 20C: DTC Control Number 186 8: Field 20C: Broker/Dealer Confirm Number 186

15 6. MT541 - Receive Securities Against Payment Messages 187 Specifications 187 Start-of-Block and End-of-Block Fields 187 Sequence A General Information 188 Subsequence A1 Linked Transactions 189 Sequence B Trade Details 190 Subsequence B1 Financial Instrument Attributes 190 Sequence B Trade Details (Continued) 191 Sequence C Financial Instrument Account 191 Sequence E Settlement Details 192 Subsequence E1 settlement parties 192 Sequence E3 Amounts 194 Sequence F other party 195 Field Specifications for MT541 Messages 196 for Start and End of Block Delimiters 196 1: Fields 16R and 16S: Start-of-Block or End-of-Block 196 s for Sequence A General Information 196 2: Field 20C: DTC Control Number or Sender s Reference Number 196 3: Field 23G: Transaction Type 197 4: Field 22F: Cancellation Reason Code 197 Subsequence A1 Linked Transactions 198 5: Field 20C: Institution Block Reference ID 198 6: Field 22F: Institution Order Routing Number 198 7: Field 20C: Institution Detail Reference ID 199 s for Sequence B Trade Details 199 8: Field 98A: Settlement Date or field 98B: Settlement Type 199 9: Field 98A: Trade Date : Field 90A or 90B: Average Price : Field 35B: Security Identifier 201

16 s for Subsequence B1 Financial Instrument Attributes : Field 12A: Security Type or Classification Types 203 s for Sequence B Trade Details (continued) : Field 22F: Allocation Commission Type indicator : Field 22F: Cancellation After Matching indicator 205 s for Sequence C Financial Instrument Account : Field 36B: Execution Shares/Face Value : Field 97A: Safekeeping Account Agent Internal Account Number 206 s for Sequence E Settlement Details : Field 22F: PSET ISO Country Code Indicator : Field 22F: Split Currency Settlement Indicator : Field 22F: Trade Indicator : Field 22F: Cancellation After Affirmation/Matching Indicator 207 s for Sequence E1 Settlement Parties : Field 95P or 95C: Settlement Location : Field 95R: Agent TradeSuite ID or Field 95P: Agent BIC : Field 95S: Alternate ID Number or Agent DTC ID Number : Field 97A: Agent Internal Account Number : Field 95R: Clearing Broker ID# or Field 95P: Clearing Broker BIC : Field 95S: Alternate Clearing Broker DTC ID : Field 97A: Clearing Broker Internal Account Number : Field 95R: Primary Executing Broker Number or Field 95P: Primary Executing Broker BIC : Field 95S: Alternate Executing Broker Number or DTC ID : Field 97A: Broker Internal Account Number 209 s for subsequence E3 Amounts : Field 19A: Principal Amount : Field 19A: Interest : Field 19A: Commission : Field 19A: Research Amount 210

17 35: Field 19A: Country Tax : Field 19A: SEC Fees/Registration and Shipping Fees : Field 19A: Other Charges : Field 19A: Net Amount 211 s for Sequence F other party : Field 95R or 95P: Message Recipient : Field 95R: Primary Institution ID or Field 95P: Institution BIC : Field 95S: Alternate ID Number: Institution DTC ID : Field 97A: Institution Internal Account Number MT543 - Deliver Securities Against Payment Messages 214 Specifications 214 Start-of-Block and End-of-Block Fields 214 Sequence A General Information 215 Subsequence A1 Linked Transactions 216 Sequence B Trade Details 217 Subsequence B1 Financial Instrument Attributes 217 Sequence B Trade Details (Continued) 218 Sequence C Financial Instrument Account 218 Sequence E Settlement Details 219 Subsequence E1 Settlement Parties 220 Subsequence E3 Amounts 222 Sequence F other party 224 Field Specifications for MT543 Messages 225 for Start and End of Block Delimiters 225 1: fields 16R and 16S: Start-of-Block or End-of-Block 225 s for Sequence A General Information 225 2: Field 20C: DTC Control Number or Sender s Reference Number 225 3: Field 23G: Transaction Type 225 4: Field 22F: Cancellation Reason Code or Trade Transaction Type 226

18 Subsequence A1 Linked Transactions 226 5: Field 20C: Institution Block Reference ID 226 6: Field 22F: Institution Order Routing Number 227 7: Field 20C: Institution Detail Reference ID 227 s for Sequence B Trade Details 227 8: Field 98A: Settlement Date or field 98B: Settlement Type 227 9: Field 98A: Trade Date : Field 90A or 90B: Average Price : Field 35B: Security Identifier 229 s for subsequence B1 Financial Instrument Attributes : Field 12A: Security Type or Classification Types 230 s for Sequence B Trade Details (continued) : Field 22F: Allocation Commission Type Indicator : Field 22F: Cancellation After Matching Indicator 233 s for Sequence C Financial Instrument Account : Field 36B: Execution Shares/Face Value : Field 97A: Safekeeping Account Agent Internal Account Number 233 s for Sequence E Settlement Details : Field 22F: PSET ISO Country Code Indicator : Field 22F: Split Currency Settlement Indicator : Field 22F: Trade Indicator : Field 22F: Cancellation After Affirmation/Matching Indicator 234 s for Sequence E1 settlement parties : Field 95P or 95C: Settlement Location : Field 95R: Agent TradeSuite ID or Field 95P: Agent BIC : Field 95S: Alternate ID Number or Agent DTC ID Number : Field 97A: Agent Internal Account Number : Field 95R: Clearing Broker ID or 95P: Clearing Broker BIC : Field 95S: Alternate Clearing Broker DTC ID 237

19 27: Field 97A: Clearing Broker Internal Account Number : Field 95R: Primary Executing Broker Number or Field 95P: Executing Broker BIC : Field 95S: Alternate Executing Broker ID Number or DTC ID Number : Field 97A: Broker Internal Account Number 237 s for subsequence E3 Amounts : Field 19A: Principal Amount : Field 19A: Interest : Field 19A: Commission : Field 19A: Research Amount : Field 19A: Country Tax : Field 19A: SEC Fees/Registration and Shipping Fees : Field 19A: Other Charges : Field 19A: Net Amount 239 s for Sequence F Other Parties : Field 95R or 95P: Message Recipient : Field 95R: Primary Institution ID Number or Field 95P: Institution BIC : Field 95S: Alternate ID Number: Institution DTC ID : Field 97A: Institution Internal Account Number 240 A. Error Codes 241 Common Cancellation Codes 241 Detail Cancellation Codes 243 Rejection Codes 244

20 1. PREFACE This document describes how to integrate the TradeSuite ID service, Society for Worldwide Interbank Financial Telecommunications (SWIFT), and your portfolio management system. The TradeSuite ID service is a comprehensive trade processing solution that automates messaging and settlement for equity and fixed income securities. Investment managers, broker/dealers, custodians, and interested parties use the TradeSuite ID service for post-trade processing on domestic and cross-border trades of U.S. securities. Audience This document is for technology professionals, business analysts, and others who are responsible for integrating TradeSuite ID service with their portfolio management system. You must have a basic understanding of electronic trade and transaction processing concepts and a working knowledge of the Windows operating system. Changes in This Version This section describes the changes for the TradeSuite ID/SWIFT Integration Guide. TradeSuite ID service (new changes) The Securities and Exchange Commission (SEC) approved amendments to FINRA Rule 2232 (Customer Confirmations) that require member firms to disclose additional transaction-related information to retail customers for trades in certain fixed income securities. Specifically, amended Rule 2232 requires a member to disclose the amount and percentage of mark-up or mark-down it applies to trades with retail customers in corporate or agency debt securities if the member also executes an offsetting principal trade in the same security on the same trading day. The amended rule also requires members to disclose two additional items on all retail customer confirmations for corporate and agency debt security trades: (1) a reference, and a hyperlink if the confirmation is electronic, to a web hosted by FINRA that contains publicly available trading data for the specific security that was traded, and (2) the execution time of the transaction, expressed to the second. The MSRB Rule G-15 and G-30 has also changed to accommodate these changes. This new regulation goes into effect on May 14, To comply with these regulatory changes, DTCC has made the following changes to the SWIFT/TradeSuite ID integration in the MT515 Trade Confirmation Message. In Subsequence C1 - Confirmation Parties, >> (C1) Clearing Block (output only): o Field 70E now only contains the Operating Procedures Guide Link. Preciously it also contain the ID Net Disclosure Lines 1 and 2. Additional information is available in 51. In Sequence C - Confirmation Details (continued), Sequence C: o o Field 13B Trade Execution Date has been renamed from Trade Execution Date and Time. It is used to indicate the date that the dealer booked the trade. Additional information is available in 11. Field 13B Trade Execution Date / Trade Execution Time Zone has been added. It is used to indicate the Trade Execution Time and Trade Execution Time Zone when the Trade was executed. Additional information is available in 98. Preface 20

21 In Sequence C - Confirmation Details (continued), Sequence C, MBS fields (mortgage-backed securities): o o o Field 13 B Institution Legal Entity has been added. It is used to specify the Legal Entity Identifier (LEI) of the institution on the trade. Additional information is available in 148. This update is a MIFID IIrelated change. Field 13B Broker Legal Entity has been added. It is used to specify the Legal Entity Identifier (LEI) of the broker on the trade. Additional information is available in 149. This update is a MIFID II-related change. Field 13B Mark Up Percent / Mark Down Percent has been added. It is 10b-10 field information for a broker/dealer to disclose the markup or markdown as a percentage of the amount involved in the transaction. Additional information is available in 150. In Sequence D1 - Agent Block: o o Field 70C Settlement Location, Settlement Method has been modified to add Special Instructions Line 19, Special Instructions Line 20 and Special Instructions Line 21. See 173. Field 70D FINRA MSRB EMMA URL has been added. It is used to specify the URL link to the appropriate web sites: FINRA or MSRB. See 174. In addition to regulatory changes, the following changes have been made: In Subsequence C1 - Confirmation Parties, >> (C1) Clearing Block (output only): o o o o Field 16R, has changed from both Input and Output (Both) to Output only. Additional information is available in 1. Field 95S has changed from both Input and Output to Output only. Additional information is available in 45. Field 97A has changed from Input and Output (Both) to Output only. Additional information is available in 46. Field 16S has changed from Input and Output (Both) to Output only. Additional information is available in 47. In Subsequence D1 - Settlement Parties Block, >>(D1) Clearing Agent block (output only), the following fields have changed from Input and Output (Both) to Output only. o Field 16R. Additional information is available in 1. o Field 95R or 95P. Additional information is available in 175. o Field 97A. Additional information is available in 177. o Field 16S. Additional information is available in 1. The appearance and layout of this document have also been updated to ensure consistency across DTCC. TradeSuite ID service (previously communicated changes) To comply with the markets in financial instruments directive (MiFID II) regulations and allow for greater transparency across the trading process, the following changes have occurred this release: Local Tax field has been replaced with the Research Amount field, and the LOCL qualifier used in the original Local Tax field has been replaced with the CHAR qualifier in this Research Amount field in the following SWIFT messages: o o For SWIFT MT515 trade confirmation messages, see Subsequence D3 Amounts and 187 on 167. For SWIFT MT541 receive securities against payment messages, see Sequence E3 Amounts and 34 on 210. Preface 21

22 o For SWIFT MT543 deliver securities against payment messages, see Subsequence E3 Amounts and 34 on 238 Updated the C020 and S020 error codes related to the research amount. See Error Codes. In addition to the MiFID II initiative changes, the appearance and layout of the documentation has changed to ensure consistency across DTCC. TradeSuite ID service (previously communicated changes) Updates to the notes for the following field specifications for MT515 Trade Confirmation messages: 65: Field 22F: Interest Payment Calendar Frequency 121: Field 13B: Subject to Federal Tax 122: Field 13B: Alternate Minimum Tax TradeSuite ID service (previously communicated changes) Modified links to the documentation to enable access to the newly designed DTCC Learning Center site available at Revamped the appearance and layout of the documentation to ensure consistency across all DTCC applications. TradeSuite ID service (previously communicated changes) In MT515 messages, added the Vendor Control ID field in Sequence C Confirmation Details. TradeSuite ID service 8.0 (previously communicated changes) In MT515 messages, support is available in TradeSuite ID service 8.0 for the following fields: Long/Short Indicator (C/TECO/22F) ID Net Disclosure Lines 1 and Line 2 TradeSuite Operating Procedures Guide Link (C1/DECL/70E) Commission Equivalent (C/CERT/13B) TradeSuite Operating Procedures Guide Reference Number (C/CERT/13B) In MT515 messages, TradeSuite ID service corrected the field order and typing mistakes in the CERT fields (C/CERT/13B). In MT541 and MT543 messages, TradeSuite ID service allows the Agent Internal Account Number field to contain up to 35 characters (C/FICA/97A). Preface 22

23 Related Documents and Training Use this document in conjunction with the TradeSuite ID Confirm Archive Reference document available in the Confirm Archive section of the DTCC Learning Center. For other related content and all references in this document, see the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. Questions? The DTCC Client Center provides general assistance and technical help. Visit to: Enter a service request or check the status of an existing request Search the knowledge base Obtain contact information Preface 23

24 2. TRADESUITE ID AND SWIFT This section describes the relationship between the TradeSuite ID service and SWIFT. It also contains a description of the formatting conventions used in this guide. TradeSuite ID Messaging The Depository Trust Company (DTC) joined SWIFT in 1995 as an electronic trade confirmation (ETC) vendor. In the same year, DTC developed the capability of processing trade initiation and confirmation series 2 messages (the MT51x series of messages). In November 1997, series 3 messages replaced the series 2 messages. The TradeSuite ID service and SWIFT clients can communicate with each other through the TradeSuite ID/SWIFT Interface. DTCC clients can continue to use the TradeSuite ID suite of products through the DTCC network. With SWIFT, you can access the TradeSuite ID service through FIN and use the MT5xx messages. DTCC has mapped each corresponding message type listed in Table 2.1 with the assistance of the SWIFT standards department. DTCC converts each message from the sender to the receiver (from SWIFT to the TradeSuite ID format and from the TradeSuite ID service to SWIFT format). As a result, you can send and receive messages in your chosen formats. Table 2.1 shows the TradeSuite ID confirm, affirmation, and settlement instructions available through the SWIFT interface. Table 2.1 SWIFT messages and CorrespondingTradeSuite ID Products SWIFT Message TradeSuite ID Product MT509 - Trade Status Messages For equivalent details, see Figure 2.1. MT515 - Trade Confirmation Messages MT517 - Trade Affirmation Messages MT541 - Receive Securities Against Payment Messages MT543 - Deliver Securities Against Payment Messages Trade Confirmation Affirmation Payment instructions Delivery instructions This guide describes in detail each SWIFT message and the values for its corresponding counterpart at DTCC. The sections present specifications for each SWIFT message. Specifications include format, definition, and specific requirements for the input fields for each SWIFT message. They also includes the fields you receive and the fields that DTCC can process. The appendices provide error codes, such as cancellation, rejection, and settlement codes. For more information, see Error Codes on 241. To assure successful processing of each message, adhere to the code words and formatting requirements used in this guide. For SWIFT message standard, see the SWIFT User Handbook for code words and formatting requirements only when directed. TradeSuite ID and SWIFT 24

25 Figure 2.1 shows the TradeSuite ID messaging in the DTC proprietary format. Figure 2.1 TradeSuite ID Messaging in the DTC Proprietary TradeSuite ID and SWIFT 25

26 Figure 1.2 shows the TradeSuite ID messaging in the SWIFT format. Figure 2.2 TradeSuite ID Messaging in the SWIFT Conventions Used in This Guide Table 2.2 shows the conventions used in this guide. Table 2.2 Conventions Used in This Guide Convention Mandatory field Conditional field Description If DTCC and SWIFT both designate a field as mandatory, the field is mandatory. If only one of the formats designates a field as mandatory, the following applies: Field is mandatory. requiring the mandatory field appears in parentheses, such as Mandatory (DTCC). For an example, see 16: Field 94B: Place of Trade or Exchange on 90 If a subsequence contains a field that is mandatory, include the entire subsequence for DTCC. For more information, see Specifications on 182. For required fields that contain a second field, the field displays as conditional. When only one of the formats designates a field as conditional, the following applies: Field is conditional. requiring the conditional field appears in parentheses, such as Conditional (DTCC). TradeSuite ID and SWIFT 26

27 Table 2.2 Conventions Used in This Guide (continued) Convention Field format Description Most generic fields comprise of some or all of the following segments: <qualifier><user code><field content> The field descriptions found in the field Specifications section of this guide use the following conventions to illustrate examples: <qualifier> The qualifier is a mandatory, four-character, fixed-length segment that identifies the business significance of the data. For example, <TRTR> is the trade transaction type and <PRIC> is the type of price identified in the deal price. <TRTR>/<DTCY>/<SUBS> <PRIC>//<NET1> <user code> The user code is optional and can contain up to eight characters. When the field content segment contains DTCC values, this field appears as: /<DTCY>/ or /<DTCYxxxx>/: <TRTR>/<DTCY>/<SUBS> <CERT>/<DTCYEST>/<security type> When the field content segment contains SWIFT values, the segment contains either a single slash (/) or double slashes (//): <LINK>//<515> <field content> The field content segment contains the actual data values. The content of this segment depends on the qualifier. <SETT>//<yyyymmdd> <DEAL>//<ACTU>/<iso currency><price> When a segment has only one possible value, the actual value appears in uppercase characters. When a segment has several possible values, a description of the segment displays in lowercase characters. <PSET>/<DTCY>/<settlement location> TradeSuite ID and SWIFT 27

28 Table 2.2 Conventions Used in This Guide (continued) Convention Sequence or subsequence blocks Description Messages comprise of ordered blocks of information called sequences and subsequences that are mandatory or optional, depending on the content. Mandatory Sequence or subsequence exists and occurs once in each message. Repetitive Mandatory Sequence or subsequence exists in the message at least once and multiple repetitions are possible. Optional Sequence or subsequence is optional in the message, but can occur only once. Repetitive Optional Sequence or subsequence is optional in the message and multiple repetitions are available. Conditional Sequence or subsequence can be mandatory or optional depending on certain conditions. Repetitive Conditional Sequence or subsequence is conditional in the message and multiple repetitions are available. Mandatory sequence or subsequences If a subsequence contains a field that is mandatory, include the entire subsequence for DTCC. In addition, include the overall sequence containing that subsequence. For example, sequence D in MT515 messages contains no mandatory fields for DTCC. However, subsequence D1 contains a mandatory field for DTCC, the Primary ID Number field. This mandatory field means subsequence D1 is also mandatory for DTCC. Furthermore, the entire sequence containing Subsequence D1, including sequence D, is also mandatory for DTCC. TradeSuite ID and SWIFT 28

29 Table 2.2 Conventions Used in This Guide (continued) Convention Optional sequence or subsequences ting notations Description The sequence or subsequence is optional. When you use the sequence or subsequence, include any fields that SWIFT designates as mandatory for that particular sequence or subsequence. On output, you can accept all sequence or subsequences coded for input. TradeSuite ID service uses the following SWIFT conventions for field notations: n Digits (0 9) d Digits (0 9) with a decimal comma. The maximum length includes the decimal comma. a (A Z), uppercase only c Alphanumeric, uppercase only x Any character (uppercase or lowercase) of the permitted character set (EBCDIC).! Fixed-length field e Blank or space : Generic field marker. Indicates the start of a generic field. Include the colon (:) in the first field position. : Field tag delimiter. The first colon identifies the beginning of the field. The second colon separates the field tag from the following field elements. / Issuer code delimiter. Begin and end the issuer code with a slash (/). [ ] Optional data field. Information within brackets is optional or omitted. [N] Sign (+ or -). Enter only positive numbers in most fields for TradeSuite ID processing. 8 Repetitive sequence. Indicates that it is possible to repeat a sequence a number of times. However, proceed each repetition with a Start-of-Block (16R) field tag and conclude each repetition with an End-of-Block (16S) tag. 4 Repetitive field within sequence. Repeat the field tag as indicated in the field Specifications section. TradeSuite ID and SWIFT 29

30 3. MT509 - TRADE STATUS MESSAGES This section describes the SWIFT MT509 input and output status messages. Input and Output Messages The SWIFT Series 3 Trade Initiation and Confirmation (TIC 3) standards require DTCC to respond through MT509 to acknowledge successful receipt of cancellation, rejection, and affirmation messages. MT509 trade status messages also inform the sender that previously sent MT515 or MT517 messages are in error status and, therefore, not processed. Sent From DTCC to the User (Output) DTCC sends MT509 status messages to the user. These status messages include acknowledgments, status messages, and warning messages. Acknowledgment: DTCC returns to the sender an MT509 Acknowledgment message advising of successful cancellation of MT515 message and receipt of MT517 affirmation messages. Status: An MT509 Affirmed Confirmation status message is available for users electing to receive them. Edit reject: A sender receives an unsolicited MT509 status message when a TIC 3 message fails SWIFTs network validation or one of the DTCC validation routines. The sender can also receive a copy of the canceled message. Warning: A sender receives a warning message regarding incomplete transmissions and DTC Edit Rejection for all message types. Broker/dealers or investment managers, who submit cancellations and rejections through DTCC and receive output through SWIFT, receive only the cancellation message. Input Message Status To confirm successful processing of the MT509 rejection message, elect to have an MT509 rejection status message returned. In addition, sender messages that fail validation by DTCC receive an MT509 edit error message. Output Trade Status DTCC sends an MT509 acknowledgment message to Investment manager for successful receipt of an MT517 trade affirmation message. Other affirming parties for successful receipt of an MT517 trade affirmation message. If MT517 affirmation messages fail validation by DTCC, the investment manager and other affirming parties receive MT509 edit error messages. Specifications The SWIFT TIC 3 messages consist of a series of linking blocks containing related information. These blocks, called sequences and similar to mathematical equations, have an opening bracket (16R: Start-of- Block) and a closing bracket (16S: End-of-Block). Use the blocks to group related information by sequences and specific repetitive fields to help maintain their business relationship. The assigned values identify the type of information contained within the block. MT509 - Trade Status Messages 30

31 Table 3.1 shows the sequences and values used to construct an MT509 status message. Table 3.1 Sequences Sequence Description Value A General information GENL >>A1 Linkage LINK >>A2 Status STAT >>A2a Reason REAS B B1 Partial fill details DTCC does not use this sequence. Financial instrument attributes DTCC does not use this sequence. PAFILL FIA The tables in this section include some symbols and key letters that indicate sequence and field conditions or rules. Here are the descriptions of the symbols and key letters. M = Mandatory O = Optional C = Conditional = No corresponding field >> = Repetitive sequence that requires a start-of-block and end-of-block field tags > = Repetitive field within a sequence When the mandatory (M), optional (O), or conditional (C) specification appears in the SWIFT or DTCC columns for both input and output messages, the specification applies only to input messages. MT509 - Trade Status Messages 31

32 Field Specifications for MT509 Input Messages This section describes the field specifications for the MT509 input messages. for Start and End of Block Delimiters Each sequence and subsequence opens with a Start-of-Block field and closes with an End-of-Block field to delimit the information. A carriage return/line feed (CRLF) delimits each SWIFT field/line. For more information about the blocks and their accompanying values, see MT509 Input Messages. 1: Start-of-Block and End-of-Block Here is the start-of-block and end-of-block format to open and close each sequence and subsequence. s 4c :16R:GENL :16S:GENL MT509 - Trade Status Messages 32

33 s for Sequence A General Information This section contains the notes about the mandatory general user information for sequence A. 2: Field 20C: Sender Reference or DTC Control Number For input messages, field 20C indicates the 16-byte user reference number that the sender assigns to identify the message. SEME :4!c//16x <SEME>//<sender reference number> Sender reference number :20C::SEME//REFNUM Table 3.2 shows the reference number lengths used in field 20C. Table 3.2 Reference Number Lengths for Field 20C Length 16x 16x 12x 16x Description Broker notice of order execution reference number. Investment manager II reference number. Broker confirm number. Affirmer reference number. 3: Field 23G: Message Type Field 23G indicates the processing status of the message. :4!c[/4!c] <message type> :23G:INST Table 3.3 shows the qualifiers used in field 23G. Table 3.3 Qualifier for Field 23G Qualifier CAST INST Description Status of the cancellation request for output messages only. Status of transaction. s for Subsequence A1 Linkage Subsequence A1 is a mandatory sequence that links the current message to the underlying rejected message. One subsequence A1 is necessary for DTCC edit rejections, acknowledgments, affirmations, and warning messages. All affirmation MT517 messages use an extra A1 subsequence linking the underlying confirmation MT515. Field definitions for the second A1 subsequence immediately follow this sequence. 4: Field 13A: Linked Transaction Field 13A links the MT509 message to an underlying MT515 or MT517 message type. :4!c//3!c <LINK>//<message type number> :13A::LINK//515 MT509 - Trade Status Messages 33

34 Table 3.4 shows the transaction types used in field 13A. Table 3.4 Transaction Types for Field 13A Trans Type Message Description 515 Confirmation and affirmed/confirmation status message 517 Affirmation 5: Field 20C: Link Reference Field 20C, the Link reference field, contains the user reference number assigned to the original message. :4!c//16x <qualifier>//<reference number> :20C::COMM//BLOCKREF7890 Table 3.5 shows the reference number types used in field 20C. Table 3.5 Reference Number Types for Field 20C Message Type MT509 - Confirm status MT515 - Confirm MT517 - Affirm Reference Number Broker confirm number (12x). Broker confirm number (12x). Affirm reference number (16x). Table 3.6 shows the qualifiers used in field 20C. Table 3.6 Qualifiers for Field 20C Qualifier Length Use for COMM// 16x MT515 acknowledgment of the broker notice of order execution reference. MT515 cancellation of the matched affirmed (Allocation Detail Reference and Broker Confirm Number Reference). MT515 acknowledgment of the matched affirmed (Broker Confirm Reference, output). TRRF// 16x MT515 cancellation of the matched affirmed (Allocation Order Routing Reference, output). MT515 acknowledgment of the matched affirmed (Allocation Order Routing Number, output). CPRC// 16x MT515 system rejection of the cancellation (output). s for subsequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages Subsequence A2 is a required sequence for all message and processing types (except acknowledgments, affirmations, and MT509 affirmed/confirmation status on output messages). This subsequence indicates the MT509 - Trade Status Messages 34

35 status of the original message. 6: Field 25D: Status Code Field 25D reports the status of the original message identified in subsequence A1. IPRC s :4!c/[8c]/4!c <qualifier>//<status> Message contains the status of the user instructions. :25D::IPRC//REJT :25D::AFFM//NAFI :25D::CPRC//CANP:25D::///REJT Table 3.7 shows the qualifiers and states used in field 25D. Table 3.7 Qualifiers and States for Field 25D Qualifier Status Description IPRC REJT DTCC edit reject (new/receipt). CPRC REJT DTCC edit reject (cancel). AFFM NAFI DTCC edit reject (affirm). CPRC REJT 515 not canceled. CPRC CANP Match/affirmed (not canceled). CPRC CAND Acknowledgment 515 cancellation. IPRC REJT Acknowledgment 517 affirmation. AFFM AFFI 509 affirmed/confirm. REJT User request for the rejection status. s for subsequence A2a Reason for Edit Rejections and Warnings Subsequence A2a is a conditional subsequence for all message and processing types. The fields contain message statuses and DTCC error codes for rejected transactions. DTCC requires this block when rejecting a transaction. For more information about cancellation and rejection codes, see Error Codes on : Field 24B: Reject Reason Code Field 24B must contain a reject reason code for the rejected message. In most cases that require field 24B, the value is REJT with the following exceptions: MT509 acknowledgment of user rejection of the MT513 and MT514 messages contains a fourbyte rejection reason code instead of REJT. MT509 institution warning of an incomplete set of instructions has a reason code value of N020. (input) REJT :4!c/8c/4!c <REJT>/<DTCY>/<Rnnn> Reject reason :24B::REJT/DTCY/R001 8: Field 70D: Entity Identifiers and DTCC Reason Error Code/Description Investment Manager and Executing Broker Identifiers MT509 - Trade Status Messages 35

36 Field 70D contains the trading entities, investment manager, and either executing broker/dealer or branch office. For each line, enter an DTCC number, DTCC number and business identifier code (BIC) number, or BIC number. Field 70D can also display the warning message for incomplete allocation sets. Line 1 Line 2 :4!c//6*35x <REAS>//<INVE/[DTC/identifier BIC/identifier]> <counterparty/[dtc/identifier BIC/identifier]> Institution DTC ID 8n and/or BIC 11x Broker (or Branch) DTC ID 8n and/or BIC 11x :70D::REAS//INVE/DTC/ BIC/INSTUK54xxx SELL/BIC/BRKRUS02xxx MT509 - Trade Status Messages 36

37 MT509 - Output Messages This section provides information about the MT509 output status messages. Sequence A General Information Table 3.8 shows the mandatory general user information for MT509 output messages. Table 3.8 Sequence A General Information Field DTCC SWIFT Field Name SWIFT DTCC Input s Tag Value Output 16R GENL 4c Start of General Information Block M Output See 1 on C SEME//9x :4!c//16x DTC Control Number M M Output See 2 on G CAST INST :4!c[/4!c] Message Type M M Output See 3 on 40. Subsequence A1 Link to Original Message Table 3.9 shows the A1 subsequence links to the original message for all messages types. Table 3.9 Sequence A1 Link to Original Message Field DTCC SWIFT Field Name SWIFT DTCC Input s Tag Value Output 16R LINK 4c Start of Linkage Block M Output See 1 on A 20C LINK//515 LINK//517 COMM//16x ALMR//16x MAST//16x BMRB//16x TRRF//16x CPRC//16x :4!c//3!c Underlining Message Type Output See 4 on 41. :4!c//16x Link or User reference number assigned to original message M M Output See 5 on S LINK 4!c End of Linkage Block M M Output See 1 on 40. The output messages for affirmation (MT517) edit rejection and acknowledgment message types requires a second A1 subsequence. The second A1 subsequence links the MT517 message to an MT515 message. The second A1 subsequence is the same as the first A1 subsequence. The subsequence contains an DTCC value of LINK//515 for field 13A and COMM//9x for field 20C. MT509 - Trade Status Messages 37

38 Subsequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages Table 3.10 shows the status acknowledgments, warnings, and DTC edit rejection messages for subsequence A2. Table 3.10 Sequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R STAT 4c Start of Status Block M M Output See 1 on D Reject: CPRC//REJT AFFM//NAFI CPRC//REJT CPRC//CANP :4!c/[8c]/4!c Status Code Output See 6 on 42. Acknowledgment: CPRC//CAND AFFM//AFFI Status: AFFM/AFFI Warning message: IPRC//UNDE Subsequence A2a Reason for Edit Rejections and Warnings Table 3.11 shows the mandatory reasons for edit rejections and warnings for subsequence A2a. For more information about cancellation and rejection codes, see, Error Codes on 241. Table 3.11 Mandatory Subsequence A2a Reason for Edit Rejections and Warnings Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R REAS 4c Start of Reason Block M Output See 1 on B REJT/DTCY/REJT NAFI/DTCY/REJT REJT/DTCY/Rnnn NMAT//Nnnn :4!c/[8c]/4!c Rejected Reason Code M Output See 7 on 43. MT509 - Trade Status Messages 38

39 Table 3.11 Mandatory Subsequence A2a Reason for Edit Rejections and Warnings (continued) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 70D REAS//5*8x/21x :4!c//6*35x DTCC Error Code O M Output See 8 on INVE/[DTC/ O M Output 43. 8n1!eBIC/11x] One of the following M M Output values: SELL/ [DTC/8n1!eBIC/11x] BUYR/ [DTC/8n1!eBIC/11x] SERV/ [DTC/8n1!eBIC/11x] 16S REAS 4c End of Reason Block M M Output See 1 on 40. Table 3.12 shows the status acknowledgments, warnings, and DTC edit rejection messages for sequence A2. Table 3.12 Mandatory Sequence A2 - Status Acknowledgments, Warnings, and DTC Edit Rejections Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16S STAT 4c End of Status Block M Output See 1 on 40. Table 3.13 shows the mandatory general information for sequence A. Table 3.13 Mandatory Sequence A General Information Field DTCC SWIFT Field Name SWIFT DTCC Input s Tag Value Output 16S GENL 4c End of General Information Block M Output See 1 on 40. MT509 - Trade Status Messages 39

40 Field Specifications for MT509 Output Message This section describes the field specifications for the MT509 output messages. for Start and End of Block Delimiters Each sequence and subsequence opens with a Start-of-Block field and closes with an End-of-Block field to delimit the information. A carriage return/line feed delimits each SWIFT field/line. For more information about the blocks and their accompanying values, see MT509 - Output Messages on Start-of-Block and End-of-Block Here is the start-of-block and end-of-block format to open and close each sequence and subsequence. 4c :16R:GENL :16S:GENL s for Sequence A General Information This section contains the notes about the mandatory general user information for sequence A. 2: Field 20C: DTC Control Number For output messages, a nine-digit DTC control number, appropriate for the message type. When DTCC is unable to generate a message control number, the TradeSuite ID service uses the reference number of the underlying message. SEME :4!c//16x <SEME>//<sender reference number> DTC control number :20C::SEME// Table 3.14 shows the reference number length used in field 20C. Table 3.14 Reference number length for field 20C Length 9x Description DTC control number. 3: Field 23G: Message Type Field 23G contains the processing status of the message. :4!c[/4!c] <message type> :23G:INST Table 3.15 shows the qualifiers used in field 23G. Table 3.15 Qualifiers for field 23G Qualifier CAST INST Description Status of the cancellation request (output only). Status of the transaction. MT509 - Trade Status Messages 40

41 s for Subsequence A1 Linkage Subsequence A1 is a mandatory sequence that links the current message to the underlying rejected message. One subsequence A1 is necessary for DTCC edit rejections, acknowledgments, affirmations, and warning messages. All Affirmation MT517 messages use an extra A1 subsequence linking the underlying confirmation MT515 message. Field definitions for the second A1 subsequence immediately follow this sequence. 4: Field 13A: Underlining Message Type Field 13A links the MT509 to a MT515 or MT517 underlining message type. :4!c//3!c <LINK>//<message type number> :13A::LINK//515 Table 3.16 shows the transaction types used in field 13A. Table 3.16 Transaction Types for Field 13A Trans Type Message Description 509 Affirmed confirmed message. 515 Confirmation and affirmed/confirmation status message. 517 Affirmation message. 5: Field 20C: Link or User reference number assigned to original message Field 20C contains the user reference number assigned to the original message. :4!c//16x <qualifier>//<reference number> :20C::BMRB//BLOCKREF7890 Table 3.17 shows the appropriate reference type and values. Table 3.17 Reference Number Types for Field 20C Message Type Reference Number Length MT509 - Confirm Status Broker confirm number 12x MT515 - Confirm Broker confirm number 12x MT517 - Affirm Affirmer reference number 16x MT509 - Trade Status Messages 41

42 Table 3.18 shows the qualifiers used in field 20C. Table 3.18 Qualifiers for Field 20C Qualifier Length Use for COMM// 16x MT515 system rejection of the broker notice of order execution reference input. MT515 cancellation of the broker notice of order execution reference. MT515 acknowledgment of the broker notice of order execution reference. MT515 cancellation of the matched affirmed (Allocation Detail Reference and Broker Confirm Number Reference). MT515 acknowledgment of the matched affirmed (Broker Confirm Reference). TRRF// 16x MT515 Cancellation of the matched affirmed (Allocation Order Routing Reference). MT515 Acknowledgment of the matched affirmed (Allocation Order Routing Number). CPRC// 16x MT515 System rejection of the cancellation. s for subsequence A2 Status Acknowledgments, Warnings, and DTC Edit Rejection Messages Subsequence A2 is a required sequence for all message and processing types (except acknowledgments, affirmations, and MT509 affirmed/confirmation status on output messages). This subsequence indicates the status of the original message. For more information about cancellation and rejection codes, see Error Codes on : Field 25D: Status Code Field 25D reports the status of the original message identified in subsequence A1. IPRC s :4!c/[8c]/4!c <qualifier>//<status> Message contains a status for a user instruction :25D::AFFM//AFFI :25D::CPRC//CAND :25D::IPRC//REJT Table 3.19 on 43 shows the qualifiers and states used in field 25D. s When using REJT in subsequence A2a, field 24B, use CPRC//REJT, IPRC//REJT, or RPRC//REJT in this field. When using NMAT in subsequence A2a, field 24B, use MTCH//NMAT in this field. When using NAFI in subsequence A2a, field 24B, use AFFM//NAFI in this field. MT509 - Trade Status Messages 42

43 Table 3.19 Qualifiers and States for Field 25D Qualifier Status Description CPRC REJT Cancel request rejected. AFFM NAFI Rejected. Not affirmed. CPRC CANP Not canceled. Trade already matched/affirmed. CPRC CAND Acknowledgment 515 cancellation. AFFM AFFI Acknowledgment 517 affirmation. AFFM AFFI 509 affirmed/confirm. s for subsequence A2a Reason for Edit Rejections and Warnings Subsequence A2a is a conditional subsequence for all message and processing types. The fields contain message statuses and DTCC error codes for rejected transactions. DTCC requires this block when rejecting a transaction. For more information about rejection codes, see Error Codes on : Field 24B: Rejection Reason Code Field 24B must contain a rejection reason code for the rejected message. In most cases that require field 24B, the value is REJT with the following exceptions: MT509 acknowledgment of user rejection of the MT513 and MT514 messages contains a fourbyte rejection reason code instead of REJT. MT509 institution warning of an incomplete set of instructions has a reason code value of N020. s :4!c/[8c]/4!c <qualifier>/<dtcy>/<rejt> <qualifier>/<dtcy>/<rnnn> <NMAT>//<N020> :24B::REJT/DTCY/REJT :24B::NAFI/DTCY/REJT :24B::NMAT//N020 Table 3.20 shows the qualifiers used in field 24B. Table 3.20 Qualifiers for Field 24B (Output) Qualifier REJT NAFI NMAT Description Reason the underlying message is in rejection status. Reason the underlying message is in unaffirmed status. Reason the underlying message is unmatched or ineligible for matched status. 8: Field 70D: Entity Identifiers and DTCC Reason Error Code/Description Investment Manager and Executing Broker Identifiers (subsequence A2a) Field 70D contains the DTCC eight-byte reason error code, which includes two four-byte segments. Bytes 1 4 indicate the field where an error occurred, and bytes 5 8 describe the type of error. For example, BAAA in the first four positions indicates that the settlement date field contains an invalid entry. 9AAJ in the last four positions indicates that the entry was non-numeric, invalid, equal to zero, and so on. MT509 - Trade Status Messages 43

44 Field 70D displays a short (21-byte) description of the error. The field can also display the warning message for incomplete allocation sets. REAS s :4!c//6*35x <REAS>//<error code/description> Reason Codes :70D::REAS//BAAA9AAJ/SETTL DT LT TRADE DT :70D::REAS//INVE/DTC 5678 BUYR/BIC BRKRUK02 or SERV/BIC BRANCH78 :70D::REAS//LAST RECORD NOT SUBMITTED FOR THE "SET" OF ALLOCATIONS. OUTPUT WILL NOT BE DISTRIBUTED TO THE STEP-IN AND CLEARING ENTITIES UNTIL THE LAST RECORD IS RECEIVED MT509 - Trade Status Messages 44

45 4. MT515 - TRADE CONFIRMATION MESSAGES This section describes the SWIFT MT515 trade confirmation messages. An executing broker/dealer uses the SWIFT or DTCC proprietary network to send an MT515 trade confirmation message to an investment manager. This message confirms the details of a trade and includes parties to the trade, settlement, and payment details. The message also serves as a contract that, once affirmed, is legally binding for both parties in localities that accept this practice. The investment manager reviews the trade details on the confirmation and affirms the trade by submitting an MT517 trade affirmation message. It is important to affirm the trade promptly to ensure a timely trade settlement. Transaction Types Here are the three types of machine-readable confirmations. Original confirmations that the broker/dealer submitted. Cancellations of confirmations that the broker/dealer submitted. Resubmission of confirmations that DTCC rejected or the broker/dealer canceled. The receiver s output is not dependent on the source network. Therefore, the investment manager can receive confirmation output from DTCC over the SWIFT network for transactions originally input through the proprietary network of DTCC or through SWIFT. The output for MT515 trade confirmation messages and unsolicited MT509 status messages depends on the media of the input transaction and not the media of choice. MT509 status messages inform the broker/dealer that the request for cancellation of the MT515 trade confirmation message either processed successfully or resulted in an error. Broker/dealers submit MT515 trade confirmation messages for cancellation through one of the following methods: When using the SWIFT network, broker/dealers receive an unsolicited MT509 cancellation acknowledgment. The broker/dealer can also receive a copy of the canceled MT515 trade confirmation message. When using the DTCC proprietary network and receiving the output through SWIFT, broker/dealers receive only the canceled MT515 trade confirmation message. Input Message Flow Here is how the input messages work for the MT515 Trade Confirmation message. To communicate the details of a trade, the executing broker/dealer submits an MT515 trade confirmation message to DTCC. The broker/dealer can elect to have an enriched MT515 message returned. DTCC enriches the MT515 trade confirmation details. On output, the message contains the DTC control number used to reference the trade in the DTCC system. All entities can elect to receive confirmation messages in any of the available message types, such as new, cancellation, or resubmission. The agent, clearing agent, and agent and broker/dealer sub-custodian can elect to receive the MT515 message for an unaffirmed or unmatched status. MT515 - Trade Confirmation Messages 45

46 To affirm a trade in agreement with the trade details, the investment manager, agent, or interested party designated on the ALERT platform sends an MT517 trade affirmation message to DTCC. As appropriate, DTCC sends an MT515 affirmed confirm, MT509 affirmed/confirm status, and MT517 affirmed messages. To cancel a confirmation, the executing broker/dealer can submit an MT515 trade confirmation cancellation message to DTCC. An MT515 trade message indicates that DTCC sent the cancellation status to parties electing to receive them. To resubmit a previously canceled confirmation, the executing broker/dealer submits an MT515 resubmission message to DTCC. DTCC sends the appropriate MT515 message to parties electing to receive them. In each scenario, if the broker s input does not pass the DTCC edit criteria, DTCC returns an MT509 status message to the broker/dealer advising of the edit errors. Output Message Flow Here is how the output messages work or the MT515 Trade Confirmation message. To communicate the details of a trade, the executing broker/dealer submits an MT515 message to DTCC. The broker/dealer can elect to have an enriched MT515 message returned. DTCC enriches the MT515 trade detail input by the broker/dealer. On output, the message contains the DTC control number used to reference the trade in the DTCC system. All entities can elect to receive confirmation messages in any of the available message types, such as new, cancellation, or resubmission. The agent, clearing agent, and agent and broker/dealer sub-custodian can elect to receive an MT515 message for the unaffirmed or unmatched status. To affirm a trade in agreement with the trade details, either the investment manager, agent, or interested party designated on ALERT sends an MT517 message to DTCC. As appropriate, DTCC sends an MT515 affirmed/confirm, MT509 affirmed/confirm status or MT517 affirmation message to parties electing to receive them. To cancel a confirmation, the executing broker/dealer can submit an MT515 trade confirmation cancellation message to DTCC. An MT515 message indicates that DTCC sent the cancellation status to parties electing to receive them. To resubmit a previously canceled confirmation, the executing broker/dealer submits an MT515 resubmission message to DTCC. DTCC sends the appropriate MT515 message to parties electing to receive them. In each scenario, if the broker s input does not pass DTCC edit criteria, DTCC returns an MT509 to the broker/dealer advising of the edit errors. MT515 - Trade Confirmation Messages 46

47 Specifications This section explains the format specifications for MT515 status messages. Start-of-Block and End-of-Block Fields The SWIFT TIC 3 messages contain a series of linking blocks that contain related information. These blocks, called sequences and similar to start mathematical equations, have an opening bracket (16R: Start-of-Block) and a closing bracket (16S: End-of-Block). To maintain their business relationship, group related information by sequences and group repetitive fields. The values assigned to the block field identify the types of information grouped within the block, as shown in Table 4.1. Table 4.1 Sequences Sequence Description Value A General information GENL >>A1 Linked transactions LINK >>B Partial fill details PAFILL C Confirmation details CONFDET >>C1 Confirmation parties CONFPRTY >>C2 Financial instrument attributes FIA D Settlement details SETDET >>D1 Settlement parties SETPRTY >>D2 Cash parties CSHPRTY >>D3 Amounts AMT >>E Other parties OTHRPRTY F Two leg transaction details (Repurchase agreement - REPO) REPO The TradeSuite ID service forwards or returns fields received on input, which can result in some conversions and enrichment. The tables in this section include some symbols and key letters that indicate sequence and field conditions or rules. Here are the descriptions of the symbols and key letters. M = Mandatory O = Optional C = Conditional = No corresponding field >> = Repetitive sequence that requires a start-of-block and end-of-block field tags > = Repetitive field within a sequence When the mandatory (M), optional (O), or conditional (C) specification appears in the SWIFT or DTCC columns for both input and output messages, the specification applies only to input messages. MT515 - Trade Confirmation Messages 47

48 Sequence A General Information Input and output. Mandatory. DTCC does not accept investment manager rejection of a trade confirmation. Table 4.2 shows the mandatory general information of sequence A for MT515 input and output messages. Table 4.2 Sequence A General Information (Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R GENL 4c Start of General Information Block 20C SEME//12x :4!c//16x Broker Confirm Number (input) M Both See 1 on 84. M M Both See 2 on 84. DTC Control Number (output) (A) New confirmation 23G NEWM 4!c[/4!c] Message Type New Confirm M M Both See 3 on C PREP//YYYYMMDDHHMMSS :4!c//8!n6!n DTCC Processing Date and Time M Output See 4 on F TRTR//TRAD :4!c/ [8c]/4!c Transaction Type Indicator M Both See 5 on 85. (A) Cancellation 23G CANC :4!c[/4!c] Message Type Cancellation M M Both See 3 on C PREP//YYYYMMDDHHMMSS :4!c//8!n6!n DTCC Processing Date and Time M Output See 4 on F TRTR/DTCY/Cnnn :4!c/ (A) Resubmission [8c]/4!c Transaction Type Indicator/Cancel Reason Code M Both See 5 on G NEWM :4!c[/4!c] Message Type Resubmission M M Both See 3 on C PREP//YYYYMMDDHHMMSS :4!c//8!n6!n DTCC Processing Date and Time M Output See 4 on F TRTR/DTCY/RSUB :4!c/ [8c]/4!c Transaction Type Indicator/Resubmission of Confirm M Both See 5 on 85. MT515 - Trade Confirmation Messages 48

49 Subsequence A1 Linked Transactions Input and output. Repetitive subsequence. Mandatory on input. Optional on output for DTCC. s At least one A1 subsequence link is mandatory for SWIFT input. You can submit two subsequences for resubmissions. However, if both reference numbers (field 20C in sequences A1) are equal to spaces, DTCC provides the LINK reference to the previous trade referencing the original broker confirm number. For resubmissions, if both reference numbers (field 20C in subsequence A1) are equal to spaces, DTCC provides the LINK reference to the previous trade referencing the original broker confirm number. Table 4.3 shows the linked transactions of subsequence A1 for MT515 input and output messages. Table 4.3 Subsequence A1 Linked Transactions Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R LINK 4c Start of Linkage Block M Both See 1 on A LINK//515 :4!c//3!c Linked Transaction M Both See 6 on 86. >>(A1) New confirmation (515) 20C COMM//NEW :4!c//16x Linked Reference M O Input See 7 on 20C COMM//12x :4!c//16x Broker Confirm Number (515) O Output C TRRF//16x :4!c//16x Institution Order Routing Number O O Both >>(A1) New confirm II detail record (output only) 20C ALMR//16x :4!c//16x Institution Detail Reference Number Output See 7 on 86. >> (A1) Reference link for cancellations and resubmissions 20C PREV//16x :4!c//16x Linked Reference to Original Broker Confirmation Number M M Both See 7 on 86. >> (A1) Parent reference number block 20C COLR//16x :4!c//16x Parent Cross Reference Number O O Both See 7 on 86. End of sequence A1 linkage block 16S LINK 4c End of Linkage Block M M Both See 1 on 84. Table 4.4 shows the end-of-block field that closes sequence A. Table 4.4 Sequence A - General Information (Mandatory) End of sequence A 16S GENL 4c End of General Info Block M M Both See 1 on 84. MT515 - Trade Confirmation Messages 49

50 Sequence B Partial Fill Details Input and output. Sequence B is a repetitive conditional sequence. It is an optional sequence if the net price is not equal to zero. Table 4.5 shows the partial fill details of sequence B for MT515 input and output messages. Table 4.5 Sequence B Partial Fill Details Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R PAFILL 6c Start of Partial Fill Block M Both See 1 on B PAFI//FAMT/15d :4!c//4!c/15d Quantity-Shares/Face Value M Both See 8 on B DEAL//ACTU/3!a15d :4!c//4!c/3!a15d Net Price M O Both See 9 on F PRIC//NET1 :4!c/[8c]/4!c Price Indicator O Both See 10 on S PAFILL 6c End of Partial Fill Block M Both See 1 on 84. End of Sequence B Partial Fill Details Sequence C Confirmation Details Input and output. Mandatory. Table 4.6 shows the confirmation details of sequence C for mandatory MT515 input and output messages. Table 4.6 Sequence C Confirmation Details Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R CONFDET 7c Start of Confirm Details Block M M Both See 1 on A TRAD//YYYYMMDD :4!c//8!n Trade Date M M Both See 11 on C TRAD//YYYYMMDDHHMM [SS] :4!c//8!n6!n Trade Date and Time 98A SETT//YYYYMMDD :4!c//8!n Settlement Date M M Both See 12 on 98B SETT//WISS :4!c/[8c]/4!c Settlement Type 88. SETT//WDIS SETT//WIDI 90B DEAL//ACTU/[N]3!a15d :4!c//4!c/3!a15d Price M M Both See 13 on 89. MT515 - Trade Confirmation Messages 50

51 Table 4.6 Sequence C Confirmation Details (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 90B MAUP/PREM/3!a15d MAUP/DISC/3!a15d MADW/PREM/3!a15d MADW/DISC/3!a15d :4!c//4!c/3!a15d Mark Up Price Mark Down Price O O Both See 14 on A DAAC//[N]3!n 4!c//[N]3!n Interest Days O O Both See 15 on B TRAD/DTCY/4x :4!c/[8c]/4!c [/30x] Place of Trade or Exchange O O Both See 16 on A SETT//[N]3!a15d :4!c//[N]3!a15d Settlement (Net) Amount O M Both See 17 on H BUSE//BUYI BUSE//SELL :4!c//4!c Buy or Sell Indicator M M Both See 18 on H PAYM//APMT :4!c//4!c Payment Method Indicator M Both See 19 on F TTCO//SPSI TTCO//SSTI :4!c/[8c]/4!c Long/Short Indicator O M Both See 20 on 92. TTCO//SETI 22F PROC/DTCY/NExx PROC/DTCY/PSxx :4!c/[8c]/4!c Greenwich Mean Time O O Both See 21 on F COST/DTCY/COMY :4!c/[8c]/4!c Commission Sharing Indicator O O Both See 22 on F TTCO/DTCY/CAMI :4!c/[8c]/4!c Cancel After Affirmation/Match Output See 23 on Indicator F TTCO/DTCY/MAT0 TTCO/DTCY/MAT1 :4!c/[8c]/4!c Matched Indicator Output See 24 on 93. TTCO/DTCY/MAT2 22F TTCO/DTCY/SIDY TTCO/DTCY/SIDN :4!c/[8c]/4!c ALERT Account Found Indicator Output See 25 on F TTCO//SOPn :4!c[8c]/4!c Trade Transaction Condition Indicator O Output See 26 on F TTCO/DTCY/DEI0 TTCO/DTCY/DEI1 :4!c/[8c]/4!c DTC Eligibility Indicator Output See 27 on 95. TTCO/DTCY/DEI2 TTCO/DTCY/DEI3 22F TTCO/DTCY/DIIA :4!c/[8c]/4!c Prime Broker Disaffirmation Indicator Output See 28 on F TTCO/DTCY/ECnn :4!c/[8c]/4!c Eligibility Reason Codes Output See 29 on 95. MT515 - Trade Confirmation Messages 51

52 Table 4.6 Sequence C Confirmation Details (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 22F PRIC/DTCY/PRnn :4!c/[8c]/4!c Price Type Indicator O O Both See 30 on F TTCO///BLKO :4!c/[8c]/4!c Block Trade Indicator O O Both See 31 on F TRCN/DTCY/SIPY TRCN/DTCY/SIPN :4!c/[8c]/4!c SIPC Member Indicator O O Both See 32 on F TRCN/DTCY/FINY TRCN/DTCY/FINN :4!c/[8c]/4!c FINRA Member Indicator O O Both See 33 on F TRCN/DTCY/NYCY TRCN/DTCY/NYCN :4!c/[8c]/4!c NYSE Member Indicator O O Both See 34 on F TRCN/DTCY/MKTY TRCN/DTCY/MKTN :4!c/[8c]/4!c Market Maker Indicator O O Both See 35 on F TTCO/DTCY/LGON TTCO/DTCY/LGOF :4!c/[8c]/4!c Confirm Leg Identifier O M Both See 36 on 101. TTCO/DTCY/LGBT 22F TTCO/DTCYCOLT/CLnn :4!c/[8c]/4!c Collateral Type O M Both See 37 on F TTCO/DTCYSUBT/SUBP TTCO/DTCYSUBT/SUBM :4!c/[8c]/4!c Collateral Substitution Type O O Both See 38 on F TRCN/DTCY/REMY TRCN/DTCY/REMN :4!c/[8c]/4!c Third-Party Renumeration Received Indicator O O Both See 39 on F RPOR/DTCY/DFDY RPOR/DTCY/DFDN :4!c/[8c]/4!c Confirm Backer/Disclosure Found Indicator O O Output See 40 on F TTCO/DTCY/BYPS :4!c/[8c]/4!c Confirm Backer/Disclosure Bypass Indicator O O Both See 41 on F RPOR/DTCY/ALnn :4!c/[8c]/4!c Allocation Source Indicator O O Both See 42 on F TTCO/DTCYCOPU/4x :4!c[8c]/4!c Confirm Purpose O M Both See 43 on 105. MT515 - Trade Confirmation Messages 52

53 Subsequence C1 Confirmation Parties Input and output. Repetitive mandatory subsequence. Table 4.7 shows the confirmation parties of subsequence C1 for mandatory MT515 input and output messages. Table 4.7 Subsequence C1 Confirmation Parties Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(C1) Institution Block 16R CONFPRTY 8c Start of Confirm Parties - Institution Block 95R BUYR/DTCYID/8n :4!c/8c/34x Primary Institution DTC ID 95P SELL/DTCY/8n :4!c//4!a2!a2!c BUYR/11x [3!c] Institution BIC SELL//11x 95S ALTE/CORP/US/DTC/8n :4!c/ Alternate Institution [8c]/4!c/2!a/30x DTC ID ALTE/CORP/cc/BIC/11x Institution BIC 97A SAFE//35x :4!c//35x Institution Safekeeping Account 70C PACO//3*35x :4!c//4*35x Institution Contact Telephone Number and Wire Instructions 16S CONFPRTY 8c End of Confirm Parties - Institution Block M M Output See 1 on 84. M M Both See 44 on 106. O O Both See 45 on 106. O O Both See 46 on 107. O O Output See 47 on 107. M M Both See 1 on 84. >>(C1) Clearing Broker Block (output only) 16R CONFPRTY 8c Start of Confirm Parties - Clearing Broker Block 95R CLBR/DTCYID/8n :4!c/8c/34x Primary Clearing Broker DTC ID 95P CLBR//11x :4!c//4!a2!a2!c [3!c] Clearing Broker BIC M M Output See 1 on 84. Output See 48 on 107. MT515 - Trade Confirmation Messages 53

54 Table 4.7 Subsequence C1 Confirmation Parties (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 95S ALTE/CORP/US/DTC/8n ALTE/CORP/cc/BIC/11x :4!c/ [8c]/4!c/2!a/30x Alternate Clearing Broker DTC ID Clearing Broker BIC Output See 49 on A SAFE//35x :4!c//35x Clearing Broker Safekeeping Account 70E DECL//7*35x :4!c//10*35x Operating Procedures Guide Link 16S CONFPRTY 8c End of Confirm Parties - Clearing Broker Block Output See 50 on 108. O O Output See 51 on 108. M M Output See 1 on 84. >>(C1) Executing Broker Block 16R CONFPRTY 8c Start of Confirm Parties - Executing Broker Block M M Both See 1 on R 95P BUYR/DTCYID/8n SELL/DTCYID/8n BUYR/11x SELL//11x :4!c/8c/34x :4!c//4!a2!a2!c [3!c] Primary Executing Broker DTC ID Executing Broker BIC M M Both See 52 on S ALTE/CORP/US/DTC/8n ALTE/CORP/cc/BIC/11x :4!c/ [8c]/4!c/2!a/30x Alternate Executing Broker DTC ID or Executing Broker BIC O O Both See 53 on B SAFE/DTCY/DVPA/35x :4!c/[8c]/4!c/35x Executing Broker O M Both See SAFE/DTCY/MARG/35x Safekeeping Account 54 on SAFE/DTCY/OTHR/35x SAFE/DTCY/SHOR/35x 109. SAFE/DTCY/PBKR/35x SAFE/DTCY/UNKN/35x 98C PREP//YYYYMMDDHHMMSS :4!c//8!n6!n Confirm Processing Date and Time Output See 55 on 110. MT515 - Trade Confirmation Messages 54

55 Table 4.7 Subsequence C1 Confirmation Parties (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 70E DECL//10*35x :4!c//10*35 Special Instructions Line 9 though 18 70C PACO//2*35x :4!c//2*20x Broker Salesperson Number and Broker/Dealer Telephone Number O O Both See 56 on 110. O O Both See 57 on F TRCA//AGEN TRCA//PRIN TRCA//OAGN TRCA//BAGN TRCA//PRAG TRCA//CAGN TRCA//CPRN TRCA/RISP :4!c/[8c]/4!c Role Indicator O M Both See 58 on S CONFPRTY 8c End of Confirm Parties - Executing Broker Block M M Both See 1 on 84. >>(C1) Designated Affirming Party Block (output only) 16R CONFPRTY 8c Start of Confirm Parties - Designated Affirming Party Block M M Both See 1 on R AFFM/BOTH AFFM/INST AFFM/ AFFMAGNT/IPAR/11x :4!c//4*35x Designated Affirmer Party DTC ID Output See 59 on P AFFM/DTCY/BOTH AFFM/DTCY/INST/ :4!c/8c/34x Designated Affirmer BIC AFFM/DTCYAGNT/IPAR/8n 16S CONFPRTY 8c End of Confirm Parties - Designated Affirming Party Block M M Both See 1 on 84 >>(C1) Give-Up Broker Block (output only) 16R CONFPRTY 8c Start of Confirm Parties - Give-Up Broker Block M M Both See 1 on 84. MT515 - Trade Confirmation Messages 55

56 Table 4.7 Subsequence C1 Confirmation Parties (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 95R INBR/DTCYID/34x :4!c/8c/34x Give-Up Broker O O Both See 60 on S CONFPRTY 8c End of Confirm Parties -Give-Up Broker Block M M Both See 1 on 84. Sequence C Confirmation Details (continued) Table 4.8 shows the additional confirmation details of sequence C for mandatory MT515 input and output messages. Table 4.8 Sequence C Confirmation Details (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 36B CONF//FAMT/15d :4!c//4!c/15d Quantity-Shares/Face M M Both See 61 on CONF//UNIT/15d Value B ISIN1!e12!c [ISIN1!e12!c] Security ID Number M M Both See 62 on 114. /2!a/9!x [/XX/31x] [/2!a/9!x] [4*35x] Subsequence C2 Financial Instrument Attributes Input and output. Optional. Table 4.9 shows the financial instrument attributes of sequence D for optional MT515 input and output messages. Table 4.9 Subsequence C2 Financial Instrument Attributes Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R FIA 3c Start of FIA Block M M Both See 1 on F FORM//REGD FORM//BEAR FORM//Default to none :4!c/[8c]/4!c Security Form Code O O Both See 63 on F CFRE/DTCY/XX4x :4!c/[8c]/4!c Substitution Frequency O O Both See 64 on 117. MT515 - Trade Confirmation Messages 56

57 Table 4.9 Subsequence C2 Financial Instrument Attributes (continued) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 22F PFRE/DTCY/XX4x :4!c/[8c]/4!c Interest Payment Calendar Frequency O O Both See 65 on A MATU//YYYYMMDD :4!c//8!n Maturity Date O O Both See 66 on A CALD//YYYYMMDD :4!c//8!n Prerefunded or Call Date O O Both See 67 on A PUTT//YYYYMMDD :4!c//8!n Put Bond Date O O Both See 68 on A ISSU//YYYYMMDD :4!c//8!n Issue Date O O Both See 69 on A EXPI//YYYYMMDD :4!c//8!n Option Expiration Date O O Both See 70 on A FCOU//YYYYMMDD :4!c//8!n Interest Accrual Date O O Both See 71 on A FRNR//YYYYMMDD :4!c//8!n First Rate Reset Date O O Both See 72 on A DDTE//YYYYMMDD :4!c//8!n Dated Date O O Both See 73 on A YTMR//[N]15d :4!c//[N]15d Yield to Maturity O O Both See 74 on A INTR//[N]15d :4!c//[N]15d Interest Rate O O Both See 75 on B POOL/30x :4!c/[8c]/30x Pool Number O O Both See 76 on B LOTS/30x :4!c/[8c]/30x Lot ID O O Both See 77 on 120. MT515 - Trade Confirmation Messages 57

58 Table 4.9 Subsequence C2 Financial Instrument Attributes (continued) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 70E FIAN/10*35x :4!c/10*35x Additional Confirm Security Description O O Both See 78 on S FIA 3c End of FIA Block M M Both See 1 on 84. Sequence C Confirmation Details (continued) Table 4.10 continues with the confirmation details of sequence C. Table 4.10 Sequence C Confirmation Details (continued) Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYEST/3x :4!c/[8c]/30x Expanded Security Type O M Both See 79 on B CERT/DTCYAAF/6d,12d :4!c/[8c]/30x Amortized/Accredited Factor O O Both See 80 on B CERT/DTCYMAV/7d :4!c/[8c]/30x Matching Variance Output See 81 on B CERT/DTCYVAD/I :4!c/[8c]/30x Matching Variance Output See CERT/DTCYVAD/B Discrepancy 82 on B CERT/DTCYSDT/1x :4!c/[8c]/30x Security Description Type Output See 83 on 124. MT515 - Trade Confirmation Messages 58

59 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYAOC/1x :4!c/[8c]/30x Advice of Cancellation or Correction Indicator Output See 84 on B CERT/DTCYRPD/8x :4!c/[8c]/30x AOCC Process Date Output See 85 on B CERT/DTCYSTRT/8x :4!c/[8c]/30x Start Date O O Both See 86 on B CERT/DTCYSUBN/2x :4!c/[8c]/30x Substitution Number O O Both See 87 on B CERT/DTCYSUBV/8x :4!c/[8c]/30x Substitution Variance O O Both See 88 on B CERT/DTCYSUBT/1x :4!c/[8c]/30x Face (Par) or Cash Fill REPO O O Both See 89 on B CERT/ICDT/8x :4!c/[8c]/30x First Interest Cleanup Date O O Both See 90 on B CERT/DTCYLOOK/4x :4!c/[8c]/30x Lookback Days O O Both See 91 on 127. MT515 - Trade Confirmation Messages 59

60 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYRSET/2x :4!c/[8c]/30x Reset Interval Frequency O O Both See 92 on B CERT/DTCYFLEX/2x :4!c/[8c]/30x Flex REPO Payback Frequency 13B CERT/DTCYDSCD/16x :4!c/[8c]/30x User-defined Disclosure Code O O Both See 93 on 127. O O Both See 94 on B 13BCERT/DTCYCYLD/11x :4!c/[8c]/30x Current Yield O O Both See 95 on B CERT/DTCYYLDR/11x :4!c/[8c]/30x Yield to Call/Redemption O O Both See 96 on B CERT/DTCYBRDT/CCYYMMD :4!c[8c]/30x Trade Execution Date O O Both See 97 on B CERT/DTCYTMZ/[HHMM [SS]]TMZ :4!c[8c]/30x Trade Execution Time Trade Execution Time Zone O O Both See 98 on B CERT/DTCYDSCD/16x :4!c[8c]/30x Disclosure Reference Number O M Output See 99 on 129 MT515 - Trade Confirmation Messages 60

61 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYCOME/7D[2D] :4!c[8c]/30x Commission Equivalent O O Both See 100 on B CERT/DTCYOPGL/16x :4!c[8c]/30x TradeSuite ID Operating Procedures Guide Reference Number O O Output See 101 on 129. MSRB fields (municipal securities) 13B CERT/DTCYDIR/5x :4!c/[8c]/30x Discount Rate O O Both See 102 on B CERT/DTCYLES/1x :4!c/[8c]/30x Legal Status O O Both See 103 on B CERT/DTCYPAS/1x :4!c/[8c]/30x Payment Status O O Both See 104 on B CERT/DTCYBTC/1x :4!c/[8c]/30x Bond Type Code O O Both See 105 on 131. MT515 - Trade Confirmation Messages 61

62 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYBAI/1x :4!c/[8c]/30x Basis Indicator O O Both See 106 on B CERT/DTCYREI/2x :4!c/[8c]/30x Result Indicator O O Both See 107 on B CERT/DTCYIAP/8x :4!c/[8c]/30x Interest Payment Date O O Both See 108 on B CERT/DTCYOCI/2x :4!c/[8c]/30x Option Call Indicator O O Both See 109 on B CERT/DTCYCPF/1x :4!c/[8c]/30x Call/Put Feature Indicator O O Both See 110 on B CERT/DTCYPBT/2x :4!c/[8c]/30x Put Bond Type O O Both See 111 on B CERT/DTCYPCP/3d,3d :4!c/[8c]/30x Prerefunded or Call Price O O Both See 112 on 134. MT515 - Trade Confirmation Messages 62

63 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYPBP/3d,3d :4!c/[8c]/30x Put Bond Price O O Both See 113 on B CERT/DTCYPFC/1x :4!c/[8c]/30x Bond Form Code O O Both See 114 on B CERT/DTCYIPF/1x :4!c/[8c]/30x Interest Payment Frequency O O Both See 115 on B CERT/DTCYSCI/1x :4!c/[8c]/30x Special Coupon Indicator O O Both See 116 on B CERT/DTCYFDS/1x :4!c/[8c]/30x Flat/Default Status O O Both See 117 on B CERT/DTCYTAS/1x :4!c/[8c]/30x Tax Status O O Both See 118 on B CERT/DTCYMCR/2x :4!c/[8c]/30x Moody s Credit Rating O O Both See 119 on 137. MT515 - Trade Confirmation Messages 63

64 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYSPC/2x :4!c/[8c]/30x Standard & Poor s Credit Rating O O Both See 120 on B CERT/DTCYSFT/1x :4!c/[8c]/30x Subject to Federal Tax O O Both See 121 on B CERT/DTCYAMT/2x :4!c/[8c]/30x Alternate Minimum Tax O O Both See 122 on 138. MBS fields (mortgage-backed securities) 13B CERT/DTCYTTI/2x :4!c/[8c]/30x Trade Type Indicator O O Both See 123 on B CERT/DTCYCVF/15d :4!c/[8c]/30x Current Face O O Both See 124 on B CERT/DTCYFED/8x :4!c/[8c]/30x Factor/Effective Date O O Both See 125 on 139. MT515 - Trade Confirmation Messages 64

65 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYYLD/15d :4!c/[8c]/30x Yield O O Both See 126 on B CERT/DTCYRRN/16x :4!c/[8c]/30x Related Reference Number O O Both See 127 on B CERT/DTCYDAI/3n :4!c/[8c]/30x Number of Days Accrued Interest O O Both See 128 on B CERT/DTCYSCC/10x :4!c/[8c]/30x Security Class Code O O Both See 129 on B CERT/DTCYOTP/15d :4!c/[8c]/30x Original Trade Par O O Both See 130 on B CERT/DTCYGDM/4d :4!c/[8c]/30x Good Delivery Millions O O Both See 131 on B CERT/DTCYDED/8d :4!c/[8c]/30x Delivery Date O O Both See 132 on 140. MT515 - Trade Confirmation Messages 65

66 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYEPT/6x :4!c/[8c]/30x EPN Time O O Both See 133 on B CERT/DTCYTER/4x :4!c/[8c]/30x Terminator O O Both See 134 on B CERT/DTCYMID/11x :4!c/[8c]/30x Message ID O O Both See 135 on B CERT/DTCYPDM/1x :4!c/[8c]/30x Possible Duplicate O O Both See 136 on B CERT/DTCYTRN/10x :4!c/[8c]/30x Trade Number O O Both See 137 on B CERT/DTCYNOP/4x :4!c/[8c]/30x Number of Pools O O Both See 138 on B CERT/DTCYIID/16x :4!c/[8c]/30x Internal ID O O Both See 139 on 142. MT515 - Trade Confirmation Messages 66

67 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYSAI/4x :4!c/[8c]/30x Submitter Account ID O O Both See 140 on B CERT/DTCYSRT/4x :4!c/[8c]/30x Service Type O O Both See 141 on B CERT/DTCYOPT/4x :4!c/[8c]/30x Option Type O O Both See 142 on B CERT/DTCYRDT/8n :4!c/[8c]/30x Record Date O O Both See 143 on B CERT/DTCYS01/18x through CERT/DTCYS16/18x :4!c/[8c]/30x Specification Code and Specification Value (up to 16 codes and values) O O Both See 144 on B CERT/DTCYMIR/15x :4!c/[8c]/30x MBS Interest Rate O O Both See 145 on B CERT/DTCYMMD/8x :4!c/[8c]/30x MBS Maturity Date O O Both See 146 on 145. MT515 - Trade Confirmation Messages 67

68 Field DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Tag 13B CERT/DTCYVCI/9x :4!c/[8c]/30x Vendor Control ID O O Output See 147 on B CERT/DTCYINLE/20x :4!c/[8c]/30x Institution Legal Entity O O Both See 148 on B CERT/DTCYBRLE/20x :4!c/[8c]/30x Broker Legal Entity O O Both See 149 on B CERT/DTCYMARK/[N]9x :4!c[8c]/30x Mark Up Percent Mark Down Percent O O Both See 150 on 146 Sequence C fields (continued) 70E TPRO//10*35x :4!c//10*35x Special Instructions (line 1 8) Confirm Disclosure Link (output only) O O Both See 151 on S CONFDET 7c End of Confirm Details Block M M Both See 1 on 84 MT515 - Trade Confirmation Messages 68

69 Sequence D Settlement Details Input and output. Mandatory. Repetitive subsequence on input. Table 4.11 shows the settlement details of sequence D for mandatory MT515 input and output messages. Table 4.11 Sequence D Settlement Details Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R SETDET 6c Start of Settle Details Block M M Both See 1 on F STCO/DTCYDVMT/DMnn :4!c/[8c]/4!c Delivery Method Indicator O M Both See 152 on F For FIN and COL expanded security types: :4!c/[8!c]/4!c Trade Type Indicator M M Both See 153 on 148. SETR/DTCY/4x For all other expanded security types: SETR//TRAD 22F STCO/DTCY/4x :4!c/[8!c]/4!c >Settlement Condition Code #1 O O Both See 154 on 148. >Settlement Condition Code #2 >Settlement Condition Code #3 22F STCO/DTCY/BRCY STCO/DTCY/BRCN :4!c/[8c]/4!c Broker Custody Indicator 22F STCO//SPST :4!c/[8c]/4!c Split Currency Indicator 22F STCO/DTCY/SOIY STCO/DTCY/SOIN :4!c/[8c]/4!c ALERT Overwrite Indicator 22F DBNM/DTCY/BRKR :4!c/[8c]/4!c Settlement Condition Indicator 16S SETDET 6c End of Settlement Details Block O O Both See 155 on 150. O O Both See 156 on 150. O O Output See 157 on 151. O O Both See 158 on 151. M M Both See 1 on 84. MT515 - Trade Confirmation Messages 69

70 Subsequence D1 Settlement Parties Input and output. Mandatory. Repetitive sequence is optional on input. Table 4.12Table 4.12 shows the blocks for the settlement parties of sequence D for mandatory MT515 input and output messages. Table 4.12 Subsequence D1 Settlement Parties Blocks Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(D1) Settlement location block 16R SETPRTY 7c Start of Settlement Location Block 95P PSET/DTCY4x3x :4!c//4!a2!a2!c[3!c Broker Settlement Location 95C PSET//2x 4!c//2!a Broker Settlement 95Q PSET//NOT FOR :4!c//4*35x Location BIC SETTLEMENT 20C PROC//3x :4!c//16x Broker Settlement Method M M Both See 1 on 84. M M Both See 159 on 152. O O Both See 160 on C PACO//4*35x :4!C//4*35x Deliverer/Receiver O O Input See 161 on D REGI//6*35x :4!c//6*35x Sub-custodian CSD Cash Account Information O O Input See 162 on 155. MT515 - Trade Confirmation Messages 70

71 Table 4.12 Subsequence D1 Settlement Parties Blocks (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 70C PACO//DTC PACO//CNS PACO//NET PACO//NAFT PACO//INST PACO//AGNT PACO//DTCA PACO//DTCI PACO//INTP :4!c//4*35x DTC Settlement Mode Affirmed Party Indicator Agent Sub-Custodian Custodian BIC Broker Sub-Custodian BIC 70D REGI//6*35x :4!c//6*35x Agent Sub-Custodian CSD Information Broker Sub-Custodian CSD Information Delivery Instructions (Line 1) Delivery Instructions (Line 2) 16S SETPRTY 7c End of Settlement Location Block Output See 163 on 156. Output See 164 on 156. M M Both See 1 on 84. >>(D1) Institution block 16R SETPRTY 7c Start of Settlement Parties - Institution Block M M Both See 1 on R 95P BUYR/DTCYID/8n SELL/DTCY/8n BUYR/11x SELL//11x :4!c/8c/34x :4!c//4!a2!a2!c[3!c] Institution Primary ID Number Institution DTC ID Institution BIC M M Both See 165 on S ALTE/CORP/US/DTC/8n ALTE/CORP/cc/BIC/11x :4!c/[8c]/4!c/2!a/30x Institution Alternate ID Number Institution DTC ID Institution BIC O O Both See 166 on 158. MT515 - Trade Confirmation Messages 71

72 Table 4.12 Subsequence D1 Settlement Parties Blocks (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 97A SAFE//35x :4!c//35x Institution Safekeeping Account 70D PACO//4*35x :4!c//4*35x Institution Telephone Number and Wire Instructions 70D REGI//4*35 :4!c//4*35 Deliverer/Receiver Sub- Custodian CSD Safekeeping Account 16S SETPRTY 7c End of Settlement Parties - Institution Block O O Both See 167 on 158 O O Output See 168 on 158. O O Output See 169 on 158. M M Both See 1 on 84. >>(D1) Agent block 16R SETPRTY 7c Start of Settlement Parties - Agent Block 95R DECU/DTCYID/8n 1 or :4!c/8c/34x Agent Primary DEAG/DTCYID/8n 2 ID Number RECU/DTCYID/8n 1 or Agent DTC ID REAG/DTCYID/8n 2 95P DECU//11x 1 or :4!c//4!a2!a2!c[3!c] DEAG//11x 2 RECU//11x 1 or Agent BIC REAG//11x 2 M M Both See 1 on 84. M M Both See 170 on Institution blocks are mandatory if the agent and deliverer/receiver sub-custodian blocks are present on input. Use when agent and institution blocks are present. 2 Institution blocks are mandatory if the agent and deliverer/receiver sub-custodian blocks are present on input. Use when agent, deliverer/receiver sub-custodian, and institution blocks are present. MT515 - Trade Confirmation Messages 72

73 Table 4.12 Subsequence D1 Settlement Parties Blocks (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 95S ALTE/CORP/US/DTC/8n ALTE/CORP/cc/BIC/11x :4!c/[8c]/4!c/2!a/30x Agent Alternate ID Number Agent DTC ID Agent BIC O O Both See 171 on A SAFE//35x :4!c//35x Agent Safekeeping Account 70C PACO//4x35x :4!c//4*35x Settlement Location, Settlement Method, Special Instructions Line 19, Special Instructions Line 20, and confirmation_ msgs.htmspecial Instructions Line 21 70D REGI//6x35x :4!c//6*35x FINRA MSRB EMMA URL 16S SETPRTY 7c End of Settlement Parties - Agent Block O O Both See 172 on 160. O O Both See 173 on 160. O O Both See 174 on 161 M M Both See 1 on 84. >>(D1) Clearing agent block(output only) 16R SETPRTY 7c Start of Settlement Parties - Clearing Agent Block M M Output See 1 on R 95P DEAG/DTCYID/8n DEAG//11x :4!c/8c/34x :4!c//4!a2!a2!c[3!c] Clearing Agent Primary ID Number Clearing Agent DTC ID Clearing Agent BIC O O Output See 175 on 162. MT515 - Trade Confirmation Messages 73

74 Table 4.12 Subsequence D1 Settlement Parties Blocks (continued) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 95S ALTE/CORP/ US/DTC/8n ALTE/CORP/ cc/bic/11x :4!c/[8c]/4!c/ 2!a/30x Clearing Agent Alternate ID Number Alternate DTC ID Alternate BIC O O Output See 176 on A SAFE//35x :4!c//35x Clearing Agent Safekeeping Account O O Output See 177 on S SETPRTY 7c End of Settlement Parties - Clearing Agent Block M M Output See 1 on 84. >>(D1) Deliverer sub-custodian block 16R SETPRTY 7c Start of Settlement Parties - Deliverer Sub- Custodian Block 95R DEAG/DTCYID/8n :4!c/8c/34x Deliverer Sub- DEI1/DTCYID/8n Custodian Primary ID Number 95P DEAG//11x :4!c//4!a2!a2!c[3!c] Deliverer Sub- Custodian DTC ID or Deliverer Sub- Custodian BIC 95S ALTE/CORP/US/DTC/8n :4!c/[8c]/4!c/2!a/30x Deliverer Sub- Custodian Alternate ALTE/CORP/cc/BIC/11x ID Number Alternate DTC ID Alternate BIC 97A SAFE//35x :4!c//35x Deliverer Sub- Custodian Safekeeping Account M M Both See 1 on 84. O O Both See 178 on 163. O O Both See 179 on 163. O O Both See 180 on 164. MT515 - Trade Confirmation Messages 74

75 Table 4.12 Subsequence D1 Settlement Parties Blocks (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 70D PACO//2*25x :4!c//4*35x Supplemental Information O O Both See 181 on D REGI//35x :4!c//6*35x Cash Account O O Both See 182 on S SETPRTY 7c End of Settlement Parties - Deliverer Sub- Custodian Block M M Both See 1 on 84. >>(D1) Receiver sub-custodian block 16R SETPRTY 7c Start of Settlement Parties - Receiver Sub- Custodian Block 95R REAG/DTCYID/8n :4!c/8c/34x Receiver Sub- REI1/DTCYID/8n Custodian Primary Identifier 95P REAG//11x :4!c//4!a2!a2!c[3!c] Receiver Sub- Custodian DTC ID Receiver Sub- Custodian BIC 95S ALTE/CORP/US/DTC/8n :4!c/[8c]/4!c/2!a/30x Receiver Sub- Custodian Alternate ALTE/CORP/cc/BIC/11x Identifier Receiver Sub- Custodian Alternate DTC ID Receiver Sub- Custodian Alternate BIC M M Both See 1 on 84. O O Both See 183 on 164. O O Both See 184 on 165. MT515 - Trade Confirmation Messages 75

76 Table 4.12 Subsequence D1 Settlement Parties Blocks (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 97A SAFE//35x :4!c//35x Receiver Sub- Custodian Safekeeping Account 70D PACO//2*25x :4!c//4*35x Supplemental Information O O Both See 185 on 165. O O Both See 186 on D REGI//35x :4!c//6*35x Cash Account O O Both See 187 on S SETPRTY 7c End of Settlement Parties - Receiver Sub- Custodian Block M M Both See 1 on 164. Subsequence D2 Cash Parties Input and output. Optional. Table 4.13 shows the cash parties of subsequence D2 for optional MT515 input and output messages. Table 4.13 Subsequence D2 cash parties block Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(D2) Correspondent bank block 16R CSHPRTY 7c Start of Cash Parties Block M M Both See 1 on R ACCW/DTCYID/11x :4!c/8c/34x Correspondent Bank ID O O Both See 188 on P ACCW//11x Correspondent Bank BIC 97A CASH//35x :4!c//35x Correspondent Bank Cash Account O O Both See 189 on S CSHPRTY 7c End of Cash Parties Block M M Both See 1 on 84. MT515 - Trade Confirmation Messages 76

77 Subsequence D3 Amounts Input and output. Repetitive conditional subsequence. Use the Alternate Settlement block when there is an alternate net settlement amount to report. Table 4.14 shows the blocks for amounts of subsequence D3 for MT515 input and output messages. Table 4.14 Subsequence D3 Amounts Block Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(D3) Commission block 16R AMT 3c Start of Amounts - Commission Block M M Both See 1 on A EXEC//3!a15d :4!c//[N]3!a15d Commission M O Both See 190 on S AMT 3c End of Amounts - Commission Block M M Both See 1 on 84. >>(D3) Interest block 16R AMT 3c Start of Amounts - Interest Block M O Both See 1 on A ACRU//3!a15d :4!c//[N]3!a15d Accrued Interest M O Both See 191 on S AMT 3c End of Amounts - Interest Block M O Both See 1 on 84. >>D3) Regulatory fees block 16R AMT 3c Start of Amounts - Regulatory Fees Block M O Both See 1 on A REGF//3!a15d :4!c//[N]3!a15d Regulatory Fees M O Both See 192 on S AMT 3c End of Amounts - Regulatory Fees Block M O Both See 1 on 84. >>(D3) Research Amount Block 16R AMT 3c Start of Amounts - Research Amount Block M O Both See 1 on A CHAR//3!a15d :4!c//[N]3!a15d Research Amount M O Both See 193 on 167. MT515 - Trade Confirmation Messages 77

78 Table 4.14 Subsequence D3 Amounts Block (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16S AMT 3c End of Amounts - Research Amount Block M O Both See 1 on 84. >>(D3) Country Tax Block 16R AMT 3c Start of Amounts - Country Tax Block M O Both See 1 on A COUN//3!a15d :4!c//[N]3!a15d Country/National Tax M O Both See 194 on S AMT 3c End of Amounts - Country Tax Block M O Both See 1 on 84. >>(D3) Other charges block 16R AMT 3c Start of Amounts - Other Charges Block M O Both See 1 on A OTHR//3!a15d :4!c//[N]3!a15d Other Charges M O Both See 195 on S AMT 3c End of Amounts - Other Charges Block M O Both See 1 on 84. >>(D3) Principal amount block 16R AMT 3c Start of Amounts - Principal Amount Block M O Both See 1 on A DEAL//3!a15d :4!c//[N]3!a15d Principal Amount M O Both See 196 on S AMT 3c End of Amounts - Principal Amount Block M O Both See 1 on 84. >>D3) Alternate settlement block 16R AMT 3c Start of Amounts - Alternate Settlement Block M O Both See 1 on A SETT//3!a15d :4!c//[N]3!a15d Settlement (Net) Amount M M Both See 197 on A RESU//3!a15d :4!c//[N]3!a15d Alternate Currency Resultant Amount O O Both See 198 on B EXCH//3!a/3!a/15d :4!c//3!a/3!a/15d Exchange Rate O O Both See 199 on 169 MT515 - Trade Confirmation Messages 78

79 Table 4.14 Subsequence D3 Amounts Block (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16S AMT 3c End of Amounts - Alternate Settlement Block M M Both See 1 on 84. >>(D3) Legacy currency block 16R AMT 3c Start of Amounts - Legacy Currency Block 19A SETT//3!a15d :4!c//[N]3!a15d Legacy Settlement (Net) Amount M O Both See 1 on 84. M M Both See 200 on A OCMT//3!a15d :4!c//[N]3!a15d Legacy Currency Amount O O Both See 201 on S AMT 3c End of Amounts - Legacy Currency Block M O Both See 1 on 84. >>(D3) Other amounts #1 block 16R AMT 3c Start of Amounts - Other Amounts #1 Block M O Both See 1 on A VARI//[N]3!a15d :4!c//[N]3!a15d Other Amount #1 O O Both See 202 on S AMT 3c End of Amounts - Other Amounts #1 Block M O Both See 1 on 84. >>(D3) Other amounts #2 block 16R AMT 3c Start of Amounts - Other Amounts #2 Block M O Both See 1 on A VARI//[N]3!a15d :4!c//[N]3!a15d Other Amount #2 O O Both See 202 on S AMT 3c End of Amounts - Other Amounts #2 Block M O Both See 1 on 84. >>(D3) Other amounts #3 block 16R AMT 3c Start of Amounts - Other Amounts #3 Block M O Both See 1 on A VARI//[N]3!a15d :4!c//[N]3!a15d Other Amount #3 O O Both See 202 on S AMT 3c End of Amounts - Other Amounts #3 Block M O Both See 1 on 84. >>(D3) Other amounts #4 block MT515 - Trade Confirmation Messages 79

80 Table 4.14 Subsequence D3 Amounts Block (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R AMT 3c Start of Amounts - Other Amounts #4 Block M O Both See 1 on A VARI//[N]3!a15d :4!c//[N]3!a15d Other Amount #4 O O Both See 202 on S AMT 3c End of Amounts - Other Amounts #4 Block M O Both See 1 on 84. >>(D3) Other amounts #5 block 16R AMT 3c Start of Amounts - Other Amounts #5 Block M O Both See 1 on A VARI//[N]3!a15d :4!c//[N]3!a15d Other Amount #5 O O Both See 202 on S AMT 3c End of Amounts - Other Amounts #5 Block M O Both See 1 on 84. Sequence D Settlement Details (continued) Table 4.15 shows the end of settlement detail block of sequence D for mandatory MT515 input and output messages. End of Subsequence D3 Amounts Block. Table 4.15 Sequence D Settlement Details Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16S SETDET 6c End of Settle Details Block M M Both See 1 on 84. End of Sequence D Settlement Details Block Sequence E Other Parties Input and output. Optional. Table 4.16 shows the other parties blocks for sequence E. Table 4.16 Sequence E Other Parties Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(E) Report Receiver Other Party block 16R OTHRPRTY 8c Start of Receiver Other Party Block M M Both See 1 on 84. MT515 - Trade Confirmation Messages 80

81 Table 4.16 Sequence E Other Parties (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 95R 95P MERE/DTCYID/8n MEOR//11x :4!c/8c/34x :4!c//4!a2!a2!c [3!c] Report Receiver Type Report Receiver BIC Output See 203 on S OTHRPRTY 8c End of Receiver Other Party M M Both See 1 on Block 84. >>(E) Broker Dealer Other Party block 16R OTHRPRTY 8c Start of Broker/Dealer Other Party Block 95R 95P MEOR/DTCYID/8n MEOR//11x :4!c/8c/34x :4!c//4!a2!a2!c [3!c] Executing Broker/Dealer Executing Broker/Dealer BIC 16S OTHRPRTY 8c End of Broker/Dealer Other Party Block M M Both See 1 on 84. Output See 204 on 170. M M Both See 1 on 84. >>(E) Interested Party 1 block 16R OTHRPRTY 8c Start of Interested Party 1 Block 95R INPA/DTCYID/8n :4!c//8c/34x Interested Party 1 Primary INPA/DTCYID/8n ID Number Interested Party 1 DTC ID 95P INPA//11x :4!c//4!a2!a2!c INPA//11x [3!c] Interested Party 1 BIC 95S ALTE/CORP/US/DTC/8n :4!c/ Interested Party 1 Alternate [8c]/4!c/2!a/30x ID Number ALTE/CORP/cc/BIC/11x Interested Party 1 DTC ID Interested Party 1 BIC 97A SAFE//35x :4!c//35x Interested Party 1 Safekeeping Account M M Both See 1 on 84. M M Both See 205 on 171. O O Both See 206 on 171. O O Both See 207 on C PACO//2*25x :4!c//4*35x Supplemental Information O O Both See 208 on S OTHRPRTY 8c End of Interested Party 1 Block M M Both See 1 on 84. >>(E) Interested Party 2 block 16R OTHRPRTY 8c Start of Interested Party 2 Block M M Both See 1 on 84. MT515 - Trade Confirmation Messages 81

82 Table 4.16 Sequence E Other Parties (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 95R INPA/DTCYID/8n INPA/DTCYID/8n :4!c/8c/34x Interested Party 2 Primary ID Number M M Both See 209 on P INPA//11x INPA//11x :4!c//4!a2!a2!c [3!c] Interested Party 2 DTC ID Interested Party 2 BIC 95S ALTE/CORP/US/DTC/8n :4!c/ [8c]/4!c/2!a/30x Interested Party 2 Alternate ID Number O O Both See 210 on 172. ALTE/CORP/cc/BIC/11x Interested Party 2 DTC ID Interested Party 2 BIC 97A SAFE//35x :4!c//35x Interested Party 2 Safekeeping Account O O Both See 211 on C PACO//2*25x :4!c//4*35x Supplemental Information O O Both See 208 on S OTHRPRTY 8c End of Interested Party 2 Block M M Both See 1 on 84. >>(E) Interested Party 3 block 16R OTHRPRTY 8c Start of Interested Party 3 Block 95R INPA/DTCYID/8n :4!c/8c/34x Interested Party 3 Primary INPA/DTCYID/8n ID Number 95P :4!c//4!a2!a2!c Interested Party 3 DTC ID INPA//11x [3!c] INPA//11x Interested Party 3 BIC 95S ALTE/CORP/US/DTC/8n :4!c/ Interested Party 3 Alternate [8c]/4!c/2!a/30x ID Number ALTE/CORP/cc/BIC/11x Interested Party 3 DTC ID Interested Party 3 BIC 97A SAFE//35x :4!c//35x Interested Party 3 Safekeeping Account M M Both See 1 on 84. M M Both See 212 on 172. O O Both See 213 on 173. O O Both See 214 on C PACO//2*25x :4!c//4*35x Supplemental Information O O Both See 208 on S OTHRPRTY 8c End of Interested Party 3 Block M M Both See 1 on 84. >>(E) ID net party block MT515 - Trade Confirmation Messages 82

83 Table 4.16 Sequence E Other Parties (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R OTHRPRTY 8c Start of ID Net Block M M Both See 1 on R VEND/DTCY/ :4!c/8c/34x ID Net Number O O Output See 215 on S OTHRPRTY 8c End of ID Net Block M M Both See 1 on 84. >>(E) Tri-party agent block 16R OTHRPRTY 8c Start of Tri-Party Agent Block M M Both See 1 on Q or 95R TRAG/DTCYID/34x :4!c4!c//4*34x :4!c/8c/34x Tri-Party Agent Number O O Both See 216 on S OTHRPRTY 8c End of Tri-Party Agent Block M M Both See 1 on 84. Sequence F Two Leg Transaction Details (REPO) Input and output. Optional. Table 4.17 shows the two leg transaction details (REPO) blocks for sequence F. Table 4.17 Sequence F Two Leg Transaction Details (REPO) Block Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R REPO 4c Start of REPO Block M M Both See 1 on A TERM//YYYYMMDD :4!c//8!n End Date/Maturity Date O O Both See 217 on A RERA//YYYYMMDD :4!c//8!n First Flex Repayment Date O O Both See 218 on F RERT//FIXE RERT//VARI :4!c/[8c]/4!c FIN Rate Type O O Both See 219 on F MICO//4x :4!c/[8c]/4!c Accrual Method O O Both See 220 on C REPO//16x :4!c//16x Additional Reference Number 1 20C SECO//16x :4!c//16x Additional Reference Number 2 O O Both See 221 on 176. O M Both See 222 on A REPO//[N]15d :4!c//[N]15d FIN Rate O O Both See 223 on C VASU/DTCYINDX/24x :4!c/[8c]/24x Index (Benchmark) O O Both See 224 on 177. MT515 - Trade Confirmation Messages 83

84 Table 4.17 Sequence F Two Leg Transaction Details (REPO) Block (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 92A SHAI//[N]15d :4!c//[N]15d Haircut % O O Both See 225 on A RSPR/[N]15d :4!c//[N]15d Spread to Benchmark or Index O O Both See 226 on B CADE//3n :4!c//3!n Call Delay O O Both See 227 on B TOCO//3n :4!c//3!n Number of Collateral Pieces O O Both See 228 on A FORF//3!a15d :4!c//[N]3!a15d Security Lending Fee O O Both See 229 on A DEAL//3!a15d :4!c//[N]3!a15d REPO Value O O Both See 230 on A ACRU//[N]3!a15d :4!c//[N]3!a15d Accrued Interest at Maturity O O Both See 231 on A REPP//3!a15d :4!c//[N]3!a15d Premium Amount O O Both See 232 on S REPO 4c End of REPO Block M M Both See 1 on 84. Field Specifications for MT515 Trade Confirmation Messages This section describes the field specifications for MT515 confirmation messages. for Start and End of Block Delimiters Each sequence and subsequence contains related trade information. To delimit the information, open and close the sequence with the Start-of-Block and End-of-Block field tags. A carriage return/line feed (CRLF) delimits each SWIFT field/line. For more information, see Start-of-Block and End-of-Block Fields on 47. 1: Start-of-Block or End-of-Block Field To open and close each sequence and subsequence, here is the start-of-block and end-of-block format. s 4c :16R:GENL :16S:GENL s for Sequence A General Information This section shows the notes for the mandatory general information for sequence A. 2: Field 20C: Broker Confirm Number or DTC Control Number For input of trade confirmations to DTCC, field 20C contains a 12-byte broker confirm number that uniquely identifies each trade confirmation. The input cannot start or end with one slash (/) or two consecutive slashes (//). MT515 - Trade Confirmation Messages 84

85 For output messages from DTCC, field 20C contains a DTC control number. DTCC generates DTC control numbers to uniquely identify each trade confirmation. SEME :4!c//16x <SEME>//<broker confirm number> Sender Message Reference :20C::SEME//BKRCFN :20C::SEME// : Field 23G: Message Type New Confirm Field 23G indicates whether this message is a new confirmation or a broker cancellation for a previously sent MT515 message. s 4!c[/4!c] :23G:NEWM :23G:CANC Table 4.18 shows the table types used in field 23G. Table 4.18 Table Types Type NEWM CANC Description New message or a resubmission. Request to cancel a previously sent confirmation. The Linked Reference field 20C must contain the original broker confirm number for cancellations and rejections. Cancellation messages must contain all mandatory fields. 4: Field 98C: DTCC Processing Date and Time Field 98C indicates the date and time that DTCC processed the confirmation. PREP :4!c//8!n6!n <PREP>//<YYYYMMDDHHMMSS> Preparation Date and Time :98C::PREP// : Field 22F: Transaction Type Indicator Field 22F includes the issuer code and values for this field depends on the message type entered in field 23G. For more information, see Error Codes on 241. TRTR s :4!c/[8c]/4!c <TRTR>/[<DTCY>]/<value dependent on message type> Trade Transaction Type :22F::TRTR//TRAD :22F::TRTR/DTCY/C001 :22F::TRTR/DTCY/RSUB MT515 - Trade Confirmation Messages 85

86 Table 4.19 shows each value of the trade transaction types used in field 22F. Table 4.19 Trade Transaction Types Field 23G Qualifier User Code Value Description NEWM TRTR TRAD New confirmation. CANC TRTR DTCY Cnnn Broker cancellation of confirmation. For more information, see Error Codes on 241. NEWM TRTR DTCY RSUB Broker resubmission of confirmation. s for Subsequence A1 Linkage Blocks SWIFT requires at least one A1 subsequence present in each message. This sequence links the message to a previously sent message. New confirmations, cancellations, or resubmissions need one A1 subsequence. DTCC can supply an extra subsequence on output for the institution instructions. 6: Field 13A: Linked Transaction Field 13A links the current transmission to a previously sent message. The message type that you can link to this message is a previously sent MT515 confirmation message. LINK :4!c//3!c <LINK>//<message number> Linked message :13A::LINK//515 Field 13A uses the message number 515 to confirm input and output messages. 7: Field 20C: Linked Reference to Original Broker Confirmation Number and Parent Cross Reference Number Field 20C specifies the reference number assigned to the original message. Input for field 20C depends on the value entered in sequence A, field 22F. On output, the original broker confirm number identifies the original trade for cancellations and resubmissions. The investment manager assigns the institution block reference and institution detail reference numbers to uniquely identify the instruction. The chart lists the acceptable qualifiers and associated values. MT515 - Trade Confirmation Messages 86

87 Clients using DTCC matching have access to the institution block reference number and institution reference numbers. (input) (output) :4!c//16x <COMM>//<reference> :20C::COMM//NEW :20C::COMM//ORIGBKRCNFM2 New trade :16R:LINK :13A::LINK//515 :20C::COMM//BRKCFM (Confirmation) :16S:LINK :20C::COMM//BRKRCNFM9012 (Link 1 mandatory) :20C::COMM//ORIGBKRCNFM2 (Link 2 mandatory) Resubmission :20C::COMM//ORIGBKRCNFM2 :20C::COMM//IIBLOCKREF :20C::COMM//IIREFIDCNF Parent reference number 20CCOLR// Sequence B Partial Fill Details Sequence B is a repetitive conditional sequence containing partial fill details fo r the execution. DTCC limits sequence B to instances when it is necessary to enter a net price for the trade. Do not provide this block when not using the net price or when using zeros. 8: Field 36B: Quantity Shares/Face Value DTCC does not have a corresponding field in the confirmation message to accommodate a partial purchase or sale. Set this field to 0,0 when not using the net price. PAFI :4!c//4!c/15d <PAFI>//<FAMT>/<quantity> Quantity of the Partial Purchase or Sale of Financial Instrument :36B::PAFI//FAMT/0 Table 4.20 shows the quantity of the partial purchase or sale of the financial instrument used in field 36B. Table 4.20 Quantity of the Partial Purchase or Sale of the Financial Instruments Value FAMT Description Face Amount 9: Field 90B: Net Price Field 90B is a mandatory SWIFT field that specifies the net price of the total trade. The net price is the difference between the quoted price and the mark-up or mark-down. The number of decimal digits in net price is not validated against the specified currency. MT515 - Trade Confirmation Messages 87

88 :4!c//4!c/3!a15d <DEAL>//<ACTU>/<iso currency code> <net price> DEAL Price of the Partial Trade :90B::DEAL//ACTU/USD , 50 Table 4.21 shows the code used for the price of the partial trade represented as the actual amount. The format also includes the ISO currency code. For more information about the ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. Table 4.21 Price of the Partial Trade Value ACTU Description Actual amount 10: Field 22F: Price Indicator Field 22F identifies the type of price in field 90B as the net price. PRIC :4!c/[8c]/4!c <PRIC>//<price indicator> Price Type Indicator :22F::PRIC//NET1 Table 4.22 shows the price indicator used in field 22F. Table 4.22 Price Indicator Value NET1 Description Price is the net of all charges, fees, and taxes. Sequence C Confirmation Details This section provides the notes for sequence C, which contains the mandatory trade confirmation details. 11: Field 98A Trade Date or field 98C Trade Date and Time Field 98A specifies the date and field 98C specifies the trade execution date and time. It is mandatory to specify either the trade date in field 98A or trade date and time in field 98C. TRAD s :4!c//8!n <TRAD>//YYYYMMDD :4!c//8!n6!n <TRAD>//YYYYMMDDHHMM[SS] Trade Date :98A::TRAD// :98C::TRAD// : Field 98A Settlement Date or field 98B Settlement Type Field 98A: Settlement Date MT515 - Trade Confirmation Messages 88

89 Field 98A specifies the settlement date, which is the date that the trade settles. All Regular Way trades must include a settlement date in field 98A, in YYYYMMDD format. For Regular Way trades, do not enter data in settlement type 98B field. For When-Issued and When-Distributed trades, omit field 98A, and enter the settlement type in field 98B. SETT :4!c//8!n <SETT>//<YYYYMMDD> Settlement Date 98A::SETT// Field 98B: Settlement Type When you do not provide the settlement date field 98, the settlement type field 98B is mandatory. Settlement type indicates that the trade settles after issuing, distributing, or issuing and distributing a security. Use field 98B instead of field 98A for these types of trades. All Regular Way trades must use the settlement date field 98A. SETT :4!c/[8c]/4!c <SETT>//<settlement type> Settlement Type :98B::SETT//WISS Table 4.23 shows the settlement codes used in field 98B. Table 4.23 Settlement Codes Settlement Code WISS WDIS WIDI Description When-Issued When-Distributed When-Issued or When-Distributed 13: Field 90B: Price Field 98B indicates the price per share at which the security trades. It can contain a floating decimal in any position and is greater than zero. SWIFT requires a decimal comma in this field. DTCC does not validate the number of decimal digits in price against the currency specified. The ISO currency code field must contain a valid ISO currency code. For more information about the ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. DEAL :4!c//4!c/3!a15d <DEAL>//<ACTU>/<iso currency code><price> Price :90B::DEAL//ACTU/USD ,01234 Table 4.24 shows the price code used in field 90B. Table 4.24 Price Code Value ACTU Description Actual amount. MT515 - Trade Confirmation Messages 89

90 14: Field 90B: Mark-Up Price or Mark-Down Price Field 90B specifies the 10b 10 field information for broker/dealer to disclose the mark-up or mark-down involved in the transaction. If supplied, DTCC allows for numeric-only values and floating decimal in any position. Use marked up (MAUP) for buys. It is the price the broker paid plus commissions. Use marked down (MADW) for sells. It is the price the broker receives minus commissions. s :4!c//4!c/3!a15d <price qualifier>/<price type code>/<price :90B::MAUP/PREM/USD0, :90B::MAUP/DISC/USD0, :90B::MAUW/PREM/USD0, :90B::MAUW/DISC/USD0, Table 4.25 shows the price qualifiers used in field 90B. Table 4.25 Price Qualifiers Value MAUP MADW Description Marked up price. Marked down price. Table 4.26 shows the price type codes used in field 90B. Table 4.26 Price Type Codes Value DISC PREM Description Discount Premium 15: Field 99A: Interest Days Field 99A specifies the interest accrual days for term close or termination of an open REPO (leg 2). This field can contain a negative value. If negative, the sign is within the Accrued Days field option A format, within the [N] field. DAAC :4!c//[N]3!n <DAAC>//[N]<interest days> Interest Accrual Days 99ADAAC//120 99ADAAC//N120 Interest days in the TradeSuite ID service are up to four numeric characters. If the data in the TradeSuite ID service is four characters (greater than 999), DTCC drops the first character on output. 16: Field 94B: Place of Trade or Exchange Field 94B indicates the market where the trade was executed. For input to DTCC, enter two zeros followed by the appropriate two-character DTC market code. For more information about market codes, see TradeSuite ID MT515 - Trade Confirmation Messages 90

91 Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. TRAD :4!c/[8c]/4!c[/30x] <TRAD>/<DTCY>/<place of trade> Place at which trade was executed :94B::TRAD/DTCY/ : Field 19A: Settlement (Net) Amount Field 19A indicates the settlement amount. This amount is the sum of the principal amount, registration fees, regulatory fees, interest, taxes, and all other amounts associated with the trade. This field is mandatory for Regular Way trades and ensures that the amount is greater than zero. The net amount is optional for When- Issued or When-Distributed trades. The number of digits following the comma must not exceed the maximum allowed for the specified currency. When an alternate currency is associated with the trade, omit the sequence C field 19A here. Next, enter the net amount in the Alternate Currency Block field in sequence D3. SETT :4!c//[N]3!a15d <SETT>//[N]<iso currency code><net amount> Settlement (net) amount :19A::SETT//USD0,0 :19A::SETT//NUSD100,0 18: Field 22H: Buy or Sell Indicator Field 22H shows the buy or sell indicator that specifies whether the investment manager has instructed the executing broker/dealer to buy or sell securities on its behalf. BUSE :4!c//4!c <BUSE>//<buy/sell indicator> Buy or Sell Indicator :22H::BUSE//BUYI :22H::BUSE//SELL Table 4.27 shows the buy or sell indicators used in field 22H. Table 4.27 Buy or Sell Indicators Value Description BUYI Buy - The executing broker/dealer is delivering securities to the investment manager s agent. SELL Sell - The executing broker/dealer is receiving securities from the investment manager s agent. MT515 - Trade Confirmation Messages 91

92 19: Field 22H: Payment Method Indicator Field 22H indicates whether the transaction is free or against payment. DTCC accepts against only payment settlements. PAYM :4!c//4!c <PAYM>//<APMT> Payment Method Indicator :22H::PAYM//APMT Table 4.28 shows the payment method indicator. Table 4.28 Payment Method Indicators Payment Type APMT Description Against payment. 20: Field 22F: Long/Short Indicator Field 22F is mandatory for all prime broker - sell trades. The TradeSuite ID service master file defines the prime broker as CNS ELIGIBLE. TTCO :4!c[8c]/4!c <TTCO>//<long/short indicator> Long/Short Indicator :22F::TTCO//SPSI Table 4.29 shows the prime broker long/short indicator used in field 22F. Table 4.29 Long/Short Indicators Long/Short Indicator SPSI SSTI SETI Blank Description Sold Plus (Long) Sold Short Sold Exempt Trade is exempt from short-sale rules. Unavailable or not applicable. 21: Field 22F: Greenwich Mean Time Field 22F provides the Greenwich Mean Time (GMT) indicator is the plus/minus difference between GMT and trade time. PROC :4!c/[8c]/4!c <PROC>/<DTCY>/<plus/minus difference> Trade Time Difference with GMT :22F::PROC/DTCY/NE02 MT515 - Trade Confirmation Messages 92

93 Table 4.30 shows the codes used to describe the difference between the trade time and GMT. Table 4.30 Difference between the Trade Time and GMT Long/Short Indicator NExx PSxx Description Difference between trade time and GMT expressed as a negative value. Difference between trade time and GMT expressed as a positive value. 22: Field 22F: Commission Sharing Indicator Field 22F indicates whether the executing broker s commission is being split. This field defaults to No. If this field is blank, it does not appear on output. COST :4!c/[8c]/4!c <COST>/<DTCY>/<commission sharing indicator> Commission Sharing :22F::COST/DTCY/COMY 23: Field 22F: Cancel After Affirmation/Match Indicator Field 22F indicates that the broker/dealer attempted to cancel a trade after matching or affirmation. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<cancel after affirmation/match indicator> After Affirmation :22F::TTCO/DTCY/CAMI 24: Field 22F: Matched Indicator Field 22F indicates the matching status for a trade. When you do not intend to match a trade and this field is blank on input, the output omits the field. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<matched indicator> Matched Indicator :22F::TTCO/DTCY/MAT2 Table 4.31 shows the matched indicators used in field 22F. Table 4.31 Matched Indicators Long/Short Indicator MAT0 MAT1 MAT2 Description Not intended for matching. Intended for matching, but not matched. Trade has matched institution instructions. MT515 - Trade Confirmation Messages 93

94 25: Field 22F: ALERT Account Found Indicator If blank, the ALERT account found indicator defaults to No, and field 22F does not appear on output. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<alert indicator> ALERT Account Found :22F::TTCO/DTCY/SIDY :22F::TTCO/DTCY/SIDN Table 4.32 shows the ALERT account found indicator used in field 22F. Table 4.32 ALERT Account Found Indicators ALERT Account Found Indicator SIDY SIDN Description ALERT account found. ALERT account not found. 26: Field 22F: Trade Transaction Condition Indicator Field 22F indicates the trade transaction condition. TTCO :4!c/[8c]/4!c <TTCO>//<trade transaction condition indicator> Transaction Condition :22F::TTCO//SOP2 Table 4.33 shows the trade transaction condition indicators used in field 22F. Table 4.33 Trade Transaction Condition Indicators ALERT Account Found Indicator SOP0 SOP2 SOP4 SOP6 Description Undetermined DTC Prime broker DTC netting MT515 - Trade Confirmation Messages 94

95 27: Field 22F: DTC Eligibility Indicators Field 22F indicates the eligibility status of the trade for settlement at DTCC. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<eligibility indicator> DTC Eligible Indicator :22F::TTCO/DTCY/DEI1 Table 4.34 shows the DTC Eligibility Indicators used in field 22F. Table 4.34 DTC-Eligibility Indicators ALERT Account Found Indicator DEI0 DEI1 DEI2 DEI3 Description Settlement is outside DTC. Trade is DTC-eligible. Trade is DTC ineligible. DTC-eligible trade became ineligible for DTC settlement because of late affirmation. 28: Field 22F: Prime Broker Disaffirmation Indicator Field 22F indicates that only prime broker CNS trades can be disaffirmed. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<prime broker disaffirmation indicator> Disaffirmation Indicator :22F::TTCO/DTCY/DIIA Table 4.35 shows the prime broker disaffirmation indicator used in field 22F. Table 4.35 Prime Broker Disaffirmation Indicator Indicator DIIA Description Prime broker disaffirmation indicator 29: Field 22F: Eligibility Reason Code Field 22F indicates the eligibility status of the trade for settlement at DTCC. You can have a maximum of five repetitions. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<eligibility indicator> Eligibility :22F::TTCO/DTCY/EC78 MT515 - Trade Confirmation Messages 95

96 Table 4.36 shows the eligibility reason codes used in field 22F. Table 4.36 Eligibility Reason Codes Value EC20 EC21 EC22 EC23 EC24 EC24 EC25 EC26 EC27 EC28 EC29 EC31 EC32 EC60 EC61 EC62 Description Was ID Net, now settling predetermined quantity (PDQ) ID net trade confirm redetermined to settle trade-for-trade (PDQ). Was ID Net, now ineligible ID net trade confirm redetermined as ineligible. IMS cancel clearing agent cancel ID net trade confirm canceled in Inventory management services (IMS) by the clearing agent. IMS cancels clearing broker cancel ID net trade confirm canceled in IMS by clearing broker. IMS cancels clearing broker cancel ID net trade confirm canceled in IMS by clearing broker. IMS cancels clearing broker exemption ID net trade confirm Exempted in IMS by clearing broker. IMS reject ID net trade confirm rejected in IMS. ATP reject ID net trade confirm rejected in ATP. ATP drop ID net trade confirm dropped in ATP. IMS unprocessed exemption ID net trade confirm unprocessed exemption in IMS. IMS clearing agent exemption ID net trade confirm exempted in IMS by clearing agent. Clearing agent CNS ineligible ID net trade confirm redetermined clearing agent CNS ineligible. Clearing broker CNS ineligible ID net trade confirm Redetermined clearing broker CNS ineligible. Committee on uniform security identification procedures (CUSIP) is CNS ineligible CUSIP number is ineligible for CNS settlement. CUSIP ineligible CUSIP number is ineligible for DTC settlement. CUSIP frozen Frozen CUSIP number. MT515 - Trade Confirmation Messages 96

97 Table 4.36 Eligibility Reason Codes (continued) Value EC64 EC65 EC66 EC74 EC75 EC78 EC79 EC80 EC81 Description When-Issued or When-Distributed trade Settlement code is one of the following: 2 = When-Issued 3 = When-Distributed 4 = When-Issued or When-Distributed Clearing agent not SDFS Set the clearing agent/broker number on the DTC-eligibility file to SDFS when the security is an SDFS issue. Clearing broker not SDFS Set the clearing broker/dealer number on the DTC-eligibility file to SDFS when the security is an SDFS issue. Same day trade Settlement date equals the trade date. Past dated trade Confirm date is greater than the settlement date minus 2. Entered trade input on or after S-2; therefore, the trade is ineligible for automated. Depository chill Cannot make deliveries for this security to or from a DTC participant. Agent participant chill Cannot make deliveries for this security to or from a DTC participant. Broker participant chill Participant is ineligible for delivery processing or euro currency delivery processing. Late affirm Affirmed the trade after S-2 and ineligible for automated settlement. EC82 Agent participant invalid 1 Clearing agent is not a DTC participant. EC83 Broker participant invalid 1 Clearing broker is not a DTC participant. EC84 Security type ineligible 1 Security type changed from equity to a bond or from a bond to equity for old format trade inputs. 1 This condition does not occur when the DTC initially produces the confirm. It can only occur during affirmation, matching, or change of eligibility processing. MT515 - Trade Confirmation Messages 97

98 Table 4.36 Eligibility Reason Codes (continued) Value EC85 EC86 EC87 EC88 EC89 EC90 EC91 EC92 EC99 Description Agent bank ineligible Agent bank is ineligible for DTC processing. This message is only for old-format inputs and results in an ineligible confirm for DTCeligible trades. Submitting this input in the new format results in a trade error. Broker confirm # not unique Informative message that does not affect DTC-eligibility. Submitted the old-format trade input with a duplicate broker/dealer confirm number resulting in a trade error. Code GAAB IAAO in interactive format. Attempt to cancel affirmed trade Broker/dealer submitted a cancellation on a trade input for an affirmed, matched, or matched affirmed confirm. Fractional shares Confirmation contains fractional shares. Trade-for-trade (PDQ) redetermined to settle ID net Initially determined the confirm to settle trade-for-trade (PDQ), but now settling ID net. DTC trade-for-trade confirm determined to settle CNS Initially determined the confirm to settle as a trade-for-trade delivery at DTC. However, after affirmation, DTC changed the CNS eligibility of the prime broker, or NSCC changed the CNS eligibility of the security. The delivery settles within CNS. IPO invalid agent account Use for flipping, to notify the parties to the trade that the security is a tracking initial public offering (IPO), and the Agent Internal Account number incorrectly identifies or does not identify the customer of the trade. As a result, this trade potentially cannot settle at DTC. TBA trade Ineligible for settlement at DTC. Miscellaneous Input confirm on or before June 2, 1994 and was ineligible based on eligibility requirements in effect before June 2, The new system does not support a code to identify these older requirements. Previously reported these trades as Codes 47, 48, 49, 50, 52, 53, 56, or 57. This category reports the trades. MT515 - Trade Confirmation Messages 98

99 30: Field 22F: Price Type Indicator Field 22F shows the price type associated with the Price field. PRIC :4!c/[8c]/4!c <PRIC>/<DTCY>/<price type> Price Type Indicator :22F::PRIC/DTCY/PR99 Table 4.37 shows the price type indicator used in field 22F. Table 4.37 Price Type Indicator Value PR00 PR01 PR02 PR03 PR04 PR05 PR06 PR07 PR08 PR09 PR10 PR11 PR12 PR13 PR14 PR15 PR16 PR17 PR18 PR19 PR99 Description Not specified Spot Clean Dirty Forward All-in Bid Ask High Low Open Close Mid Mean Last Trade Composite Trade Issue Kassa Evaluating Primary Exchange Other MT515 - Trade Confirmation Messages 99

100 31: Field 22F: Block Trade Indicator Field 22F indicates that the confirm represents a block-level trade. When the block trade indicator equals B, DTCC creates this field tag. TTCO :4!c/[8c]/4!c <TTCO>//<block trade indicator> Trade Transaction Condition Indicator :22F::TTCO//BLKO 32: Field 22F: SIPC Member Indicator Field 22F indicates whether the broker/dealer is a SIPC member (10b 10 field). TRCN s :4!c/[8c]/4!c <TRCN>/<DTCY>/<SIPC member indicator> Trade Regulatory Indicator :22F::TRCN/DTCY/SIPY :22F::TRCN/DTCY/SIPN Table 4.38 shows the SIPC member indicator used in field 22F. Table 4.38 SIPC Member Indicator Value SIPY SIPN Description Yes, the broker/dealer is an SIPC member. No, the broker/dealer is not an SIPC member. 33: Field 22F: FINRA Member Indicator Field 22F indicates whether the broker/dealer is a FINRA member (10b 10 field). TCRN :4!c/[8c]/4!c <TRCN>/<DTCY>/<FINFA member indicator> Trade Regulatory Indicator :22F::TRCN/DTCY/FINY :22F::TRCN/DTCY/FINN Table 4.39 shows the FINRA member indicator used in field 22F. Table 4.39 FINRA Member Indicator Value FINY FINN Description Yes, the broker/dealer is a FINRA member. No, the broker/dealer is not a FINRA member. MT515 - Trade Confirmation Messages 100

101 34: Field 22F: NYSE Member Indicator Field 22F indicates whether the broker/dealer is a NYSE member (10b 10 field). TCRN :4!c/[8c]/4!c <TRCN>/<DTCY>/<FINFA member indicator> Trade Regulatory Indicator :22F::TRCN/DTCY/NYSY :22F::TRCN/DTCY/NYSN Table 4.40 shows the NYSE member indicator used in field 22F. Table 4.40 NYSE Member Indicator Value NYSY NYSN Description Yes, the broker/dealer is a NYSE member. No, the broker/dealer is not a NYSE member. 35: Field 22F: Market Maker Indicator Field 22F indicates whether the broker/dealer is a market maker in the security (10b 10 field). TRCN s :4!c/[8c]/4!c <TRCN>/<DTCY>/<market maker indicator> Trade regulatory indicator :22F::TRCN/DTCY/MKTY :22F::TRCN/DTCY/MKTN Table 4.41 shows the market maker indicator used in field 22F. Table 4.41 Market maker indicator Value MKTY MKTN Description Yes, the broker/dealer is a market maker in the security. No, the broker/dealer is not a market maker in the security. 36: Field 22F: Confirm Leg Indicator Field 22F indicates whether the confirm is a 1st leg confirm, 2nd leg confirm, or both. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<leg indicator> Trade Transaction Condition Indicator :22F::TTCO/DTCY/LGON MT515 - Trade Confirmation Messages 101

102 Table 4.42 shows the confirm leg indicator used in field 22F. Table 4.42 Confirm leg Indicator Value LGON LGOF LGBT Description Leg on Leg off Legs both 37: Field 22F: Collateral Type Field 22F identifies the type of collateral involved in the transaction. For securities lending, use the Special Instructions field to specify other collateral types not supplied in this field. TTCO :4!c/[8c]/4!c <TTCO>/<DTCYCOLT>/<collateral type code> Trade Transaction Condition Indicator :22F::TTCO/DTCYCOLT/CL09 Table 4.43 shows the collateral type indicators used in field 22F. Table 4.43 Collateral Type Indicators Value CL01 CL02 CL03 CL04 CL05 CL06 CL07 CL08 CL09 CL10 CL11 CL12 CL13 CL14 CL15 CL16 CL17 CL99 Description Treasuries Government agencies Asset-backed securities CMO Mortgage-backed securities Equities Money markets Corporate bonds Municipal bonds Whole Loans General collateral Letter of credit Private labels Cash Sovereign bonds Index funds Exchange traded funds Other MT515 - Trade Confirmation Messages 102

103 38: Field 22F: Collateral Substitution Type Field 22F indicates the type of collateral substitution. TTCO :4!c/[8c]/4!c <TTCO>/<DTCYSUBT>/<collateral substitution type> Type of Transaction Settlement Indicator :22F::TTCO/DTCYSUBT/SUBP Table 4.44 shows the third-party renumeration indicators used in field 22F. Table 4.44 Collateral substitution indicators Value SUBP SUBM Description Par Money filled. 39: Field 22F: Third-Party Renumeration Received Indicator Field 22F is a 10b 10 field for the broker to denote when the broker/dealer received any third-party remuneration in the transaction. TRCN :4!c/[8c]/4!c <TRCN>/<DTCY>/<renumeration indicator> Trade Regulatory Indicator :22F::TRCN/DTCY/REMY Table 4.45 shows the third-party renumeration indicators used in field 22F. Table 4.45 Third-Party Renumeration Indicators Value REMY REMN Description Yes. Received the third-party renumeration. No. Did not receive the third-party renumeration. 40: Field 22F: Confirm Backer/Disclosure Found Indicator Field 22F indicates whether located a confirm backer/disclosure URL and reference number on the trade confirm output. RPOR :4!c/[8c]/4!c <RPOR>/<DTCY>/<disclosure found indicator> Confirm Backer/Disclosure Found Indicator :22F::RPOR/DTCY/DFDY MT515 - Trade Confirmation Messages 103

104 Table 4.46 shows the confirm backer/disclosure found indicators used in field 22F. Table 4.46 Confirm Backer/Disclosure Found Indicators Value DFDY DFDN DFDU Description Located disclosure information. No disclosure information located. Not subscribed for confirm disclosures. 41: Field 22F: Confirm Backer/Disclosure Bypass Indicator Broker/dealers use this field to instruct the TradeSuite ID service to bypass or override the confirm backer/disclosure enrichment. B = Bypass Confirm Backer/Disclosure Enrichment Space = Enrich Confirm Backer/Disclosure When the bypass indicator is populated, such as when it equals B, DTCC creates this tag. Otherwise, the tag is not created. TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<bypass indicator> Type of Transaction Settlement Indicator :22F::TTCO/DTCY/BYPS 42: Field 22F: Allocation Source Indicator Broker/dealers use this field to identify or disclose the system or method that the investment manager sent the allocation to process the trade confirmation. If supplied, enter a valid allocation source code. Spaces indicate that there is no code supplied. RPOR :4!c/[8c]/4!c <TRCN>/<DTCY>/<allocation source code> Allocation Source Indicator :22F::RPOR/DTCY/AL02 Table 4.47 shows the allocation source codes used in field 22F. Table 4.47 Allocation Source Codes Value AL01 AL02 AL03 Description OAYSYS TradeXpress (TradeWeb) FIX MT515 - Trade Confirmation Messages 104

105 Table 4.47 Allocation Source Codes (continued) Value AL04 AL05 AL06 AL07 Description MarketAxess Manual (telephone, fax, or ) CTM/USDI (output only) CTM/USDM (output only) 43: Field 22F: Confirm Purpose Field 22F provides the customer the reason for the confirmation message or the reason why issuing a confirm. TTCO :4!c/[8c]/4!c <TTCO>/[<DTCYCOPU>]/<confirm purpose> Confirm Purpose :22F::TTCO/DTCYCOPU/CP04 Table 4.48 shows the confirm purpose codes used in field 22F. Table 4.48 Confirm Purpose Codes Value CP00 CP01 CP02 CP03 CP04 CP05 CP99 Definition Unspecified Original Substitution Margin reprice/cash call Margin reprice/collateral call Rollover Other Subsequence C1 Confirmation Parties Subsequence C1 is a mandatory sequence containing information about confirmation parties. For DTCC input processing there are two C1 subsequences, one for the investment manager and one for the executing broker. On input, the primary identifier in field 95a can contain either a DTC ID number or a BIC identifier. On output from DTC, the primary identifier contains a BIC identifier in the format in field 95P. When a BIC identifier does not exist, or a BIC is unavailable, the initial party identifier Field contains an eight-byte DTC ID number in the SWIFT 95R format. If on input, a DTC ID number in field 95R is a primary identifier, on output it moves to the alternate identifier format in field 95S or 95Q. MT515 - Trade Confirmation Messages 105

106 44: Field 95a: Institution Primary Identifier: Field 95R: Primary Institution DTC ID or Field 95P: Institution BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. When both a clearing agent and agent sub-custodian are providers, the DEI1 qualifier is used. Otherwise, the DEAG qualifier is used. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered by the user and the value residing on the ALERT platform, the value on the ALERT platform overlays the user entry. BUYR or SELL :4!c/8c/34x <qualifier>/<dtcyid>/<institution dtc id number> :4!c//4!a2!a2!c[3!c] <qualifier>//<institution bic identifier> Institution Identification :95R::BUYR/DTCYID/12345 :95P::SELL//INSTUS12XXX Table 4.49 shows the qualifiers used in field 95R or 95P. Table 4.49 Qualifiers Qualifier BUYR SELL Description Buyer Seller 45: Field 95S: Alternate Institution DTC ID or Institution BIC If the preceding primary identifier field 95R contains a DTC ID number, the Institution Alternate Identifier field 95S can contain a BIC identifier. Conversely, if the preceding primary identifier field 95P contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<institution alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/45678 :95S::ALTE/CORP/US/BIC/INSTUS02XXX MT515 - Trade Confirmation Messages 106

107 46: Field 97A: Institution Safekeeping Account Field 97A contains the institution safekeeping (internal) account number that identifies the customer on whose behalf the institution executed the trade. SAFE :4!c//35x <SAFE>//<institution safekeeping account> Safekeeping Account :97A::SAFE//CUSTOMERAC : Field 70C: Institution Contact Telephone Number and Wire Instructions Field 70C contains the institution contact telephone number and up to two lines for wire instructions. Both values are optional. PACO s :4!c//35x <PACO>//<institution contact number> <wire instructions 1> <wire instructions 2> Contact Telephone Wire instructions :70C::PACO// WI: Wire Instructions line 1 WI: Wire Instructions line 2 :70C::PACO//WI:Wire Instructions Line 1 WI: Wire Instructions line 2 48: Field 95a: Clearing Broker Primary Identifier: Field 95R: Primary Clearing Broker DTC ID or Field 95P: Clearing Broker BIC The identification number of the broker/dealer that executed the trade on behalf of the investment manager. When the primary identifier is a DTC ID number, use the format in field 95R. In this case, the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use the format in field 95P. In this case, the field can contain 11 characters. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. CLBR s :4!c/8c/34x <CLBR>/<DTCYID>/<clearing broker dtc id number> :4!c//4!a2!a2!c[3!c] CLBR>//<clearing broker bic identifier> Clearing Broker Details :95R::CLBR/DTCYID/12345 :95P::CLBR//CLBRUK01XXX MT515 - Trade Confirmation Messages 107

108 49: Field 95S: Alternate Clearing Broker DTC ID or Clearing Broker BIC If the preceding primary identifier in field 95a contains a DTC ID number, the Alternate Identifier in field 95S can contain a BIC identifier. Conversely, if the preceding Primary Identifier contains a BIC identifier, the Alternate Identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<clearing broker alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/45678 :95S::ALTE/CORP/US/BIC/CLBRUS02XXX 50: Field 97A: Clearing Broker Safekeeping Account Field 97A identifies the account type and customer of the clearing broker. SAFE :4!c//35x <SAFE>//<clearing broker safekeeping> Safekeeping Account :97A::SAFE// : Field 70E: Operating Procedures Guide Link Field 70E identifies the Operating Procedures guide link, which is available on output only and cannot be provided on input; if provided on input, the information is ignored. The Operating Procedures link always begins with the TSOP: a string followed by the URL for the Operating Procedures Guide site. (See rule on special characters.) The URL, if over 35 characters can span two lines, for a total of 50 characters. The link is identified by the first five characters TSOP:. The URL link cannot exceed 55 characters, with the first five characters identifying the link. On output, if the link is not available, TSOP: appears and URL is not provided. DTCC uses this TradeSuite ID link to access the insite Disclosure repository to view the Operating Procedures in effect on the date of the trade. The current possible values are: for the production environment insitect.omgeo.net for the client test environment DECL :4!c//10*35x Declaration Details Narrative 70E::DECL//TSOP: 52: Field 95a: Executing Broker Primary Identifier: Field 95R: Primary Executing Broker DTC ID or Field 95P: Executing Broker BIC Field 95a contains the identification number of the broker/dealer that executed the trade on behalf of the investment manager. When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. MT515 - Trade Confirmation Messages 108

109 Matching requires the Executing Broker field. DTCC publishes the ID number for brokers having multiple numbers in the ID directory. :4!c/8c/34x <qualifier>/<dtcyid>/<executing broker dtc id number> :4!c//4!a2!a2!c[3!c] <qualifier>//<executing broker bic identifier> :95R::BUYR/DTCYID/45678 :95P::BUYR//BRKRUS09XXX Table 4.50 shows the qualifiers used in field 95P. Table 4.50 Qualifiers in field 95P Qualifier BUYR SELL Description Buyer Seller 53: Field 95S: Alternate Executing Broker DTC ID or Executing Broker BIC If the preceding primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the preceding primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<executing broker alternate identifier> ALTE Alternate Identifier :95S::ALTE/CORP/US/DTC/ :95S::ALTE/CORP/US/BIC/BRKRUS09XXX 54: Field 97B: Executing Broker Safekeeping Account Subfield one is mandatory for DTCC and contains the four-character account type field. Subfield two contains the required 35-character broker safekeeping account number. Type Not Specified when not using the broker/dealer number. When the broker/dealer inputs a safekeeping (internal) account number, the information maintained on the ALERT platform for this customer replaces or fills the agent and institution ID numbers on the output record. Otherwise, supply all of the pertinent fields. SAFE :4!c/[8c]/4!c/35x <SAFE>/<DTCY>/<account type>/<executing broker safekeeping account> Safekeeping Account 97B::SAFE/DTCY/DVPA/BROKERNUM MT515 - Trade Confirmation Messages 109

110 Table 4.51 shows the account types for field 97B. Table 4.51 Account Types Type DVPA MARG OTHR SHOR PBKR UNKN Description Cash/DVP: settlement on a payment on delivery (POD) or collect on delivery (COD) basis. Margin: financing is by the broker/dealer. Miscellaneous account types. Short sale: short sale orders. Prime broker Unknown 55: Field 98C: Confirm Processing Date and Time Field 98C indicates the confirm processing date and time (YYYYMMDDHHMMSS). The broker/dealer telephone number is on (PACO) line two. If broker salesperson number is blank or unavailable, broker/dealer telephone number is on (PACO) line one. PROC :4!c//8!n6!n <PROC>//<confirm process date and time> Processing Date and Time :98C::PROC// : Field 70E: Special Instructions Free-form text fields to add 10b 10 information or confirm backer information for undefined fields. Line 1. Special Instructions line 9 Line 2. Special Instructions line 10 Line 3. Special Instructions line 11 Line 4. Special Instructions line 12 Line 5. Special Instructions line 13 Line 6. Special Instructions line 14 Line 7. Special Instructions line 15 Line 8. Special Instructions line 16 Line 9. Special Instructions line 17 Line 10. Special Instructions line 18 :4!c//10*35 <DECL>//<special instructions> MT515 - Trade Confirmation Messages 110

111 DECL Declaration Details Narrative :70E::DECL//SPECIAL-INSTRUCTIONS-9 SPECIAL-INSTRUCTIONS-10 SPECIAL-INSTRUCTIONS-11 SPECIAL-INSTRUCTIONS-12 SPECIAL-INSTRUCTIONS-13 SPECIAL-INSTRUCTIONS-14 SPECIAL-INSTRUCTIONS-15 SPECIAL-INSTRUCTIONS-16 SPECIAL-INSTRUCTIONS 17 SPECIAL-INSTRUCTIONS-18 57: Field 70C: Broker Salesperson Number and Broker/Dealer Telephone Number Field 70C indicates the broker contact information. The broker/dealer s telephone number. Alpha numeric field. The broker/dealer telephone number is on (PACO) line two. If broker salesperson number is blank or unavailable, broker/dealer telephone number is on (PACO) line one. PACO s :4!c//4*35x <PACO>//<Broker Salesperson Number> <telephone number> Party Narrative :70C::PACO// PHN: :70c::PACO//PHN: : Field 22F: Role Indicator Field 22F indicates the role the broker/dealer plays in the transaction. TRCA :4!c/[8c]/4!c <TRCA>//<role> Broker s Role :22F::TRCA//AGEN MT515 - Trade Confirmation Messages 111

112 Table 4.52 shows the role codes used in field 22F that DTCC accepts. SWIFT supports only 8 of the 10 possible roles available in the TradeSuite ID service. Table 4.52 Role Codes SWIFT TradeSuite ID Role Code Role Code Abbreviation Description AGEN 1 AGNT Executing broker/dealer acts as agent for the customer. PRIN 2 PRIN Executing broker/dealer acts as principal for their own account. OAGN 3 OTHR Executing broker/dealer acts as agent for a person other than the customer. BAGN 4 CUST Executing broker/dealer acts as agent for both the customer and another person. PRAG 5 AVGR Average price trade. The broker/dealer acts as principal for some executions and agent for others in the transaction. PRAG 6 PRAG Executing broker/dealer acts as both principal and agent in the transaction. BAGN 7 PAGC Executing broker acts as principal, agent, and agent for another person in the transaction. CAGN 8 CAGN Crossing as agent. Executing broker/dealer is crossing transaction as agent on behalf of the customer. CPRN 9 CPRN Crossing as principal. Executing broker/dealer is crossing transaction as principal for their own account. RISP A RISP Acting as riskless principal. Executing broker/dealer is trading as a riskless principal. That is, the order to buy (or sell) has been contemporaneously offset by an order to sell (or buy) with another party. MT515 - Trade Confirmation Messages 112

113 59: Field 95a: Designated Affirmer Identifier: Field 95R: Designated Affirming Party DTC ID or Field 95P: Designated Affirming Party BIC Identifier Field 95a identifies the entity type designated to affirm the trade. Enter only values for an agent (AGNT), investment manager (INST), and both agent or investment manager (BOTH). Identify the affirming interested party by both the value (IPAR) and the identifier of the interested party. When designating the interested party to affirm the trade, include both the value (IPAR) and the identifier of the interested party. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. AFFM s :4!c//4*35x <AFFM>//<affirming party bic identifier> :4!c/8c/34x <AFFM>/<DTCYID>/<affirming party dtc id number> Designated Affirming Party :95Q::AFFM//INST :95Q::AFFM/IPAR/IPTYUK12XXX :95R::AFFM/DTCYID/INST Table 4.53 shows the codes for the affirming parties. Table 4.53 Affirming Parties Affirming Parties AGNT BOTH INST Description Agent affirms. Investment manager or agent affirms. Investment manager affirms. 60: Field 95R: Give-Up Broker Field 95R identifies the give-up broker. This field indicates whether a fee is due to the broker that arranged the transaction. INBR :4!c/8c/34x <INBR>/<DTCYID>/<give-up broker> Give-Up Broker :95R::INBR/DTCYID/ If this field starts with one slash (/) or two slashes (//), DTCC rejects the SWIFT message. DTCC replaces all occurrences of a slash with a space before placing this field in an outbound message. Inbound messages are unaffected because the SWIFT network rejects all fields starting with a slash or containing two slashes. MT515 - Trade Confirmation Messages 113

114 Sequence C Confirmation Details (continued) This section contains more notes for sequence C. 61: Field 36B: Quantity-Shares/Face Value Field 36B indicates the total shares or face value of the traded security. Shares indicate the quantity of equity shares involved in the trade. The face value is the current principal value of a fixed income security. CONF :4!c//4!c/15d <CONF>//<type>/<quantity> Quantity :36B::CONF//FAMT/ , :36B::CONF//UNIT/1000, Table 4.54 shows the quantity type values used in field 36B. Table 4.54 Type of Quantity in Field 36B Type Value FAMT UNIT Description Quantity expressed as a face value. Quantity expressed as a number (count). 62: Field 35B: Security ID Number Field 35B includes the identification number assigned to the traded security. Use a valid CUSIP, SEDOL, or ISIN number when the security numbering system is US (CUSIP), GB (SEDOL), or IS (ISIN) respectively. ISIN identifiers can use the ISIN-formatted field. Enter all non-isin identifiers on lines 1 4 of the narrative field. When using a non-isin number, ensure that the ISO country code exists and contains the following format: /2!a/. Use the Narrative field for a second security identifier with its ISO code (/2!a/); however, DTCC does not validate this field. It is possible to use a bilaterally agreed upon or proprietary numbering scheme (/99/) in the Narrative field. X(02) = ISIN country code for ISIN only; otherwise, spaces. X (09) = Security Number: If the security identifier is less than 9 bytes in length, the security number is leftjustified, space-filled to the right. DTCC does not validate the security identifier when the security numbering system is not CUSIP (U.S.), SEDOL (GB), or ISIN (IS). MT515 - Trade Confirmation Messages 114

115 Security Number Translation. On input, when using security translation, the first line contains the user s inputted security number. On output, the first two lines contain the following security number types: Line 1 Line 2 ISIN SEDOL CUSIP User- Oriented Converted security number. When line 1 contains a translated number, line 2 contains the original security number used on input. ISIN1!e12!c] or [/2!a/9!x][4*35x] <isin or national security numbering scheme> <narrative> :35B:ISIN AN Z DESCRIPTION :35B:/GB/SLP2345 DESCRIPTION :35B:/US/OACK56789 DESCRIPTION :35B:/99/GTH123 DESCRIPTION Table 4.55 shows the codes used in field 35B. Table 4.55 Codes in Field 35B Code /2!a/9!x Description ISO two-digit country code, followed by the national numbering scheme, for example, CUSIP. For the ISO country codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. /99/12x Bilaterally agreed or proprietary scheme. Up to 12 characters for the security ID. Table 4.56 shows the national security numbering schemes used in field 35B. Table 4.56 National Security Numbering Schemes National Numbering Schemes AT AU BE BR CE CH DE DK Description Wertpapierkennummer (Austria) Australia Secretatiat des Valeurs Mobilieres-SVM (Belgium) Brazil CEDEL Valorennummer (Switzerland) Wertpapierkennummer (Germany) Fondskode (Denmark) MT515 - Trade Confirmation Messages 115

116 Table 4.56 National Security Numbering Schemes (continued) National Numbering Description Schemes ES Spain EU Euroclear FR SICOVAM (France) GB SEDOL (United Kingdom) IE Ireland IS ISIN IT CODICE UIC (Italy) JP QUICK (Japan) LU Luxembourg MX Mexico NL Netherlands NO Norway RU Reuters SE Sweden US CUSIP (United States) XS Common Code (CEDEL/Euroclear) 99 User Originated When using a user-originated or bilaterally agreed upon or proprietary numbering scheme (/99/) in the Narrative field, ensure that the definition of the user-oriented field contains an agreement between the parties. Subsequence C2 Financial Instrument Attributes This section contains the notes for subsequence C2. This subsequence is a repetitive optional subsequence containing more attributes that further define the security. 63: Field 22F: Security Form Code Field 22F identifies a debt instrument as being a bearer, non-bearer, or undetermined bond. This field defaults to zero and does not appear on output if blank. FORM :4!c/[8c]/4!c <FORM>//<security form code> Type of Security :22F::FORM//BEAR MT515 - Trade Confirmation Messages 116

117 Table 4.57 shows the security form codes used in field 22F. Table 4.57 Security form codes Type Default REGD BEAR Description Undetermined Non-bearer bond Bearer bond 64: Field 22F: Substitution Frequency Field 22F indicates the time period over which the specified number of substitutions can take place. Frequency is a two-character Field composed of a number (1 through 9) and a letter (H, Q, M, or W). Each valid letter represents a time period: H = Half Q = Quarter M = Month W = Week The first character represents the number of time periods and the second character defines the type of time period. For example, 1H is one half, 2Q is two quarters and 8W is eight weeks. SWIFT requires four characters for this field; therefore, there are two fill characters: XX. CFRE :4!c/[8c]/4!c <CFRE>/<DTCY>/XX<substitution frequency> Substitution Frequency :22F::CFRE/DTCY/XX1M 65: Field 22F: Interest Payment Calendar Frequency Field 22F contains the payment interval, such as three or six months, for the interest cleanup schedule. Frequency is a two-character Field composed of a number (1 through 9) and a letter (H, Q, M, or W). Each valid letter represents a time period: H = Half Q = Quarter M = Month W = Week The first character represents the number of time periods and the second character defines the type of time period. For example, 1H is one half, 2Q is two quarters and 8W is eight weeks. SWIFT requires four characters for this field, therefore, there are two fill characters: XX. PFRE :4!c/[8c]/4!c <PFRE>/<DTCY>/XX<interest payment frequency> Interest Payment Frequency :22F::PFRE/DTCY/XX3H MT515 - Trade Confirmation Messages 117

118 66: Field 98A: Maturity Date Field 98A is an MSRB field that indicates the payment date, in YYYYMMDD format, on which the final principal payment is due and payable to the registered owner of the security. MATU :4!c//8!n <MATU>//<maturity date> Maturity Date :98A::MATU// : Field 98A: Pre-refunded or Call Date Field 98A indicates the pre-refunded or call date is an MSRB field fixed by the call notice, in YYYYMMDD format. CALD :4!c//8!n <CALD>//<pre-funded/call date> Pre-refunded or Call Date :98A::CALD// : Field 98A: Put Bond Date Field 98A indicates that the put bond date is an MSRB field fixed by the put notice, in YYYYMMDD format. PUTT :4!c//8!n <PUTT>//<put bond date> Put Bond Date :98A::PUTT// : Field 98A: Issue Date Field 98A indicates the mortgage-backed security issue or origin date, in YYYYMMDD format. If supplied, enter a valid day of the year, inclusive of Saturday, Sunday, and U.S. holidays for U.S. issues. If not supplied, the program sets this field to spaces. ISSU :4!c//8!n <ISSU>//<issue date> Issue Date :98A::ISSU// : Field 98A: Option Expiration Date Field 98A indicates that the option expiration date is a mortgage-backed security field. It is the date when the option is to expire, in YYYYMMDD format. If supplied, enter a valid day of the year, inclusive of Saturday, Sunday, and U.S. holidays for U.S. issues. If not supplied, program sets this field to spaces. EXPI :4!c//8!n <EXPI>//<option expiration date> Option expiration date :98A::EXPI// MT515 - Trade Confirmation Messages 118

119 71: Field 98A: Interest Accrual Date Field 98A is an MSRB field that indicates the interest accrual date, in YYYYMMDD format. FCOU :4!c//8!n <FCOU>//<interest accrual date> Interest Accrual Date :98A::FCOU// : Field 98A: First Rate Reset Date Field 98A indicates the first date on which to base the schedule of rate reset dates, in YYYYMMDD format. FRNR :4!c//8!n <FRNR>//<option expiration date> First-Rate Reset Date :98A::FRNR// : Field 98A: Dated Date Field 98A provides the information for the broker/dealer to identify the dated date of the fixed income security involved in the transaction, in YYYYMMDD format. DDTE :4!c//8!n <DDTE>//<dated date> Deleted Date :98A::DDTE// : Field 13B: Yield to Maturity Field 13B contains 10b 10 field information for brokers to disclose the current yield of the security. Express the yield to maturity rate as a percent (%), not as a decimal fraction. Use only numeric values and a comma to express the decimal value. For example, the format for 12.5% is 12,5. On input, the yield to maturity limit is a total of 11 characters. This limit includes the sign [N] and decimal.\. If sending more than 11 characters in the SWIFT message, the Yield to Maturity field contains non-numeric characters and the output message does not include the field. YTMR :4!c//[N]/10d <YTMR>//<Yield to Maturity> Yield to Maturity :92A::YTMR//12,5 :92A::YTMR//N0,5 MT515 - Trade Confirmation Messages 119

120 75: Field 92A: Interest Rate Field 92A is an MSRB field that indicates the interest rate. If the special coupon indicator from Standard & Poor's (J.J. Kenny) equals 0 (No Special Coupon) or 3 (Adjustable Rate), DTCC uses the broker/dealer supplied value for the interest rate and Standard & Poor's (J.J. Kenny) data does not replace the value. If no data is input by the broker/dealer, the Standard & Poor's (J.J. Kenny) data is used, regardless of this indicator. INTR s :4!c//[N]15d <INTR>//[N]<interest rate> Interest Rate :92A::INTR// , :92A::INTR//N , 76: Field 13B: Pool Number Field 13B is an MBS field that indicates the pool number. It is an agency-assigned number referencing the pool of mortgages that collateralizes an MBS. If supplied, enter either a pool number or security number for specified pool or generic pool trades. If not supplied, set to spaces. Pool Number is invalid for generic TBAs. POOL :4!c/[8c]/30x <POOL>/<pool number> Reference Number :13B::POOL/ABCX : Field 13B: Lot ID Field 13B is an MBS field that indicates the lot ID. The lot number and pool sequence within the lot indicate a pool or group of pools consisting of one/many good delivery millions. LOTS :4!c/[8c]/30x <LOTS>/<lot number> Lot Number :13B::LOTS/ABCX MT515 - Trade Confirmation Messages 120

121 78: Field 70E: Additional Confirm Security Description Field 70E contains the additional confirm security description and allows up to 10 lines of 35 characters. FIAN :4!c/10*35x <FIAN>/<additional security description line 1> <additional security description line 2> <additional security description line 3> <additional security description line 4> <additional security description line 5> <additional security description line 6> <additional security description line 7> <additional security description line 8> <additional security description line 9> <additional security description line 10> Additional Security :70E::FIAN/ABCX123 ADDITIONAL DETAIL LINE 2 ADDITIONAL DETAIL LINE 3 ADDITIONAL DETAIL LINE 4 ADDITIONAL DETAIL LINE 5 ADDITIONAL DETAIL LINE 6 ADDITIONAL DETAIL LINE 7 ADDITIONAL DETAIL LINE 8 ADDITIONAL DETAIL LINE 9 ADDITIONAL DETAIL LINE 10 Sequence C Confirmation Details (continued) This section contains more notes for sequence C. 79: Field 13B: Expanded Security Type Field 13B indicates the expanded security type. Use the miscellaneous (MSC) code only for confirmations of financial instruments that are not securities (for example, a foreign exchange trade). DTCYEST :4!c/[8c]/30x <CERT>/<DTCYEST>/<security type> Disclosure Reference Number :13B::CERT/DTCYEST/SHS MT515 - Trade Confirmation Messages 121

122 Table 4.58 shows the security types used in field 13B. Table 4.58 Security Types Security Type Description ABS Asset-backed securities AGS Agencies (for example, SBA, TVA) BAS Banker s acceptances CDS Corporate debt securities CER Representative certificates CMO Collateralized mortgage obligation COD Certificate of deposit CON Convertible bond CPA Commercial paper CPN Coupons CSH U.S. cash wire CS1* U.S. cash wire 1 CS2* U.S. cash wire 2 CS3* U.S. cash wire 3 CS4* U.S. cash wire 4 CS5* U.S. cash wire 5 DFI DTC OMNIBUS EBD Eurobonds ECD Euro CD ECP Euro CP ENT Euronotes FFI Fixed income OMNIBUS FIN Financial FMR Freddie Mac REMICS FNM Federal National Mortgage Association (Fannie Mae) FNR Fannie Mae REMICS FPA Face or principal or nominal amount FRM Freddie Mac GDS Government debt securities GMR Ginnie Mae REMICS GNM Government National Mortgage Association (Ginnie Mae) ITS Indexed treasury securities MBS Mortgage-backed securities MMI Money market instruments MT515 - Trade Confirmation Messages 122

123 Table 4.58 Security Types (continued) Security Type MSC MTN MUN NSD OMB OMM OPC OPS PRC PRS RTE RTS SHP SHS TBI TEM TRB TRN TRS UNT WTS XCP Description Miscellaneous Medium term notes Municipal bonds Non-U.S. sovereign debt Other mortgage-backed securities (whole loan) Other money market instruments Options contracts Option shares Premium contracts Premium shares Rentes Rights Equities preferred shares Equities shares Treasury bills Tax exempt money markets Treasury bonds Treasury notes Treasury strips Units Warrants Tax exempt commercial paper In Table 4.58, DTCC uses these values with an asterisk (*) to establish parent/child relationships among securities within the standing instructions database. MT515 - Trade Confirmation Messages 123

124 80: Field 13B: Amortized/Accredited Factor Field 13B includes the proration of the outstanding principal balance on pass-through. DTCYAAF :4!c/[8c]/30x <CERT>/<DTCYAAF>/<factor> Amortized/Accredited Factor :13B::CERT/DTCYAAF/1, : Field 13B: Matching Variance Field 13B indicates the difference between the net amounts on the trade confirmation and the institution instruction. DTCYMAV :4!c/[8c]/30x <CERT>/<DTCYMAV>/<variance> Matching Variance :13B::CERT/DTCYMAV/123, :13B::CERT/DTCYMAV/25,75 82: Field 13B: Matching Variance Discrepancy Field 13B indicates whether the investment manager or broker/dealer exceeded the matching variance. DTCYVAD :4!c/[8c]/30x <CERT>/<DTCYVAD>/<variance> Variance in Trade Amount Tolerance :13B::CERT/DTCYVAD/I :13B::CERT/DTCYVAD/B Table 4.59 shows the codes for the variance discrepancies used in field 13B. Table 4.59 Variance Discrepancies Value I B Description Institution instruction net amount is greater than the broker/dealer trade input. Broker/dealer trade input net amount is greater than the investment manager s net amount. 83: Field 13B: Security Description Type Field 13B indicates the origin of the security description supplied for the trade. DTCYSDT :4!c/[8c]/30x <CERT>/<DTCYSDT>/<security description type> Security Description Type :13B::CERT/DTCYSDT/3 MT515 - Trade Confirmation Messages 124

125 Table 4.60 shows the security description types used in field 13B. Table 4.60 Security Description Types Value Description 0 Undetermined 1 Broker/dealer 2 Standard & Poor's (J.J. Kenny) 3 DTC 84: Field 13B: Advice of Cancellation or Correction Indicator Field 13B indicates the processing status of an advice of correction or cancellation (AOCC) for the trade. DTCYAOC :4!c/[8c]/30x <CERT>/<DTCYAOC>/<AOCC indicator> AOCC Indicator :13B::CERT/DTCYAOC/N Table 4.61 shows the AOCC indicators used in field 13B. Table 4.61 AOCC Indicators Value Y N Description Processed an AOCC. Did not process an AOCC. 85: Field 13B: AOCC Process Date Field 13B is only for output. This field indicates the process date, in YYYYMMDD format, of the last status update on the confirm (affirm, reverse affirm, AOCC). DTCYRPD :4!c/[8c]/30x <CERT>/<DTCYRPD>/<AOCC process date> AOCC Process Date :98A::CERT/DTCYRPD/ : Field 13B: Start Date Field 13B indicates the date that the REPO started accruing interest. It is equivalent to the settlement date of the first leg. DTCYSTRT :4!c/[8c]/30x <CERT>/<DTCYSTRT>/<start date> Start Date :13B::CERT/DTCYSTRT/ MT515 - Trade Confirmation Messages 125

126 87: Field 13B: Substitution Number Field 13B indicates the number of times that you can substitute the collateral over the life of the REPO. DTCYSUBN :4!c/[8c]/30x <CERT>/<DTCYSUBN>/<substitution number> Substitution Number :13B::CERT/DTCYSUBN/77 88: Substitution Variance Field 13B indicates the percentage by which the principal value of the replacement collateral can differ from the principal of the original as a percent. DTCYSUBV :4!c/[8c]/30x <CERT>/<DTCYSUBV>/<substitution variance> Substitution Variance :13B::CERT/DTCYSUBV/100, : Field 13B: Face (Par) or Cash Fill REPO Field 13B indicates the basis for the REPO collateralization. If the value is face, face times price equals the collateral value. DTCYSUBT :4!c/[8c]/30x <CERT>/<DTCYSUBT>/<REPO values> Face (par) or Cash Fill REPO :13B::CERT/DTCYSUBT/FACE :13B::CERT/DTCYSUBT/CASH Table 4.62 shows the REPO values used in field 13B. Table 4.62 REPO Values Value Face Cash Description Face (par) Cash fill 90: Field 13B: First Interest Cleanup Date Field 13B indicates the first date on which to base schedule of interest cleanup payments. DTCYICDT :4!c/[8c]/30x <CERT>/<ICDT>/<first interest cleanup date> First Interest Cleanup Date :13B::CERT/DTCYICDT/ MT515 - Trade Confirmation Messages 126

127 91: Field 13B: Lookback Days Field 13B indicates the number of business days before floating rate reset date when the benchmark price is captured and used to determine the new rate upon reset. DTCYLOOK :4!c/[8c]/30x <CERT>/<DTCYLOOK>/<lookback days> Lookback Days :13B::CERT/DTCYLOOK/120 92: Field 13B: Reset Interval Frequency Field 13B indicates the reset interval frequency, such as three or six months. The frequency is a twocharacter field composed of a number (1 through 9) and a letter (H, Q, M, or W). Each valid letter represents a time period: H = Half Q = Quarter M = Month W = Week The first character represents the number of time periods and the second character defines the type of time period. For example, 1H is one half, 2Q is two quarters, and 8W is eight weeks. DTCYRSET :4!c/[8c]/30x <CERT><DTCYRSET>/<reset interval frequency Reset interval :13B::CERT/DTCYRSET/8H 93: Field 13B: Flex REPO Payback Frequency Field 13B indicates the single maturity set most often on a predetermined pay-down schedule; however, the money giver s cash can be returned. The frequency is a two-character field composed of a number (1 through 9) and a letter (H, Q, M, or W). Each valid letter represents a time period: H = Half Q = Quarter M = Month W = Week The first character represents the number of time periods and the second character defines the type of time period. For example, 1H is one half, 2Q is two quarters, and 8W is eight weeks. DTCYFLEX :4!c/[8c]/30x <CERT>/<DTCYFLEX>/<payback frequency> REPO Payback Frequency :13B::CERT/DTCYFLEX/8H MT515 - Trade Confirmation Messages 127

128 94: Field 13B: User-Defined Disclosure Code Field 13B indicates the user-defined reference code or value for broker/dealers to use as exact criteria for a confirm backer/disclosure enrichment. DTCYDSCD :4!c/[8c]/30x <CERT>/<DTCYDSCD>/<user-defined disclosure code> User-defined Disclosure Code :13B::CERT/DTCYDSCD/ : Field 13B: Current Yield Field 13B indicates the 10b 10 field information for brokers to disclose the current yield of the security. This field allows only numeric values for a floating decimal in any position. Spaces if not supplied. DTCYCYLD :4!c/[8c]/30x <CERT>/<DTCYCYLD>/<current yield> Current Yield :13B::CERT/DTCYCYLD/ : Field 13B: Yield to Call/Redemption Field 13B indicates the 10b 10 field information for brokers to disclose the current yield of the security. This field allows only numeric values for a floating decimal in any position. Spaces if not supplied. DTCYYLDR :4!c/[8c]/30x <CERT>/<DTCYYLDR>/<yield to call> Yield to Call :13B::CERT/DTCYYLDR/ : Field 13B: Trade Execution Date Field 13B indicates the date that the dealer booked the trade. The date must be in CCYYMMDD format. DTCYBRDT CERT/DTCYBRDT/CCYYMMDD Trade Execution Date :13B::CERT/DTCYBRDT/ MT515 - Trade Confirmation Messages 128

129 98: Field 13B: Trade Execution Time and Trade Execution Time Zone Field 13B indicates the Trade Execution Time and Trade Execution Time Zone when the Trade was executed. There are two ways the data can be provided. Only provide one input, based on data availability: 1. The Trade Execution Time 2. The Trade Execution Time and Trade Execution Time Zone (provide only one; the appropriate format is provided dependent on data availability). Time zone support in the TradeSuite ID service includes: EST GMT PST CST MST OTH (Other) FIAN CERT/DTCYTMZ/[HHMM[SS]]TMZ Trade Execution Time Trade Execution Time Zone :13B::CERT/DTCYTMZ/1504 :13B::CERT/DTCYTMZ/093010GTM :13B::CERT/DTCYTMZ/1504 EST 99: Field 13B: Disclosure Reference Number Field 13B contains the disclosure reference number assigned by backer/disclosure repository to identify the specific backer/disclosure associated with the trade confirmation. View the required information about the backer/disclosure document on the repository along with corresponding URL disclosure link. DTCYREFN :4!c/[8c]/30x <CERT>/[<DTCYREFN>]/<disclosure reference number> Disclosure Reference Number :13B::CERT/DTCYREFN/ The Disclosure Reference Number field can support up to 16 characters. However, the current system configuration only produces an 8-character Disclosure Reference Number. 100: Field 13B: Commission Equivalent Field 13B reports any non-monetary benefit amounts disclosed as commission equivalent, as far as possible, the same as the amounts and value of commission paid in a corresponding sale. Commission equivalent is often used in executing riskless principal trades. CME :4!c/[8c]/30x CERT/DTCYCME/7d,[2d] Commission Equivalent :13B::CERT/DTCYCOME/1100,35 101: Field 13B: TradeSuite ID Operating Procedures Guide Reference Number Field 13B TradeSuite ID Operating Procedures guide reference number assigned by the repository to identify the specific TradeSuite ID service Operating Procedures guide associated with the trade confirmation. Required information along with the corresponding Operating Procedures Link URL to view the TradeSuite ID Operating Procedures guide available from the repository. MT515 - Trade Confirmation Messages 129

130 DTCYOPGL :4!c/[8c]/30x CERT/DTCYOPGL/16x Operating Procedures Guide Reference Number :13B::CERT/DTCYOPGL/6G6A211C 102: Field 13B: Discount Rate Field 13B indicates the discount rate of the trade. DTCYDIR :4!c/[8c]/30x <CERT>/<DTCYDIR>/< discount rate> Discount Rate :13B::CERT/DTCYDIR/0,15 MT515 - Trade Confirmation Messages 130

131 103: Field 13B: Legal Status Field 13B indicates the legal status of the MSRB security. DTCYLES :4!c/[8c]/30x <CERT>/<DTCYLES>/<legal status> Legal Status :13B::CERT/DTCYDIR/0 Table 4.63 shows the legal status indicators used in field 13B. Table 4.63 Legal Status Indicators Value Description 0 Undetermined and not Municipal Securities Rulemaking Board (MSRB) ex-legal 1 MSRB ex-legal 104: Field 13B: Payment Status Field 13B indicates the payment status of the MSRB security. DTCYPAS :4!c/[8c]/30x <CERT>/<DTCYPAS>/<payment status> Payment Status :13B::CERT/DTCYPAS/2 Table 4.64 shows the payment status indicators used in field 13B. Table 4.64 Payment Status Indicators Value Description 0 Undetermined/no payment. 1 No periodic payments. 2 Callable below maturity value. 3 Non-registered security. 4 No periodic payments, callable below maturity value. 105: Field 13B: Bond Type Code Field 13B indicates the bond type of the MSRB security. DTCYBTC :4!c/[8c]/30x <CERT>/<DTCYBTC>/<bond type> Bond Type :13B::CERT/DTCYBTC/3 MT515 - Trade Confirmation Messages 131

132 Table 4.65 shows the bond type codes used in field 13B. Table 4.65 Bond Type Codes Value Description 0 Undetermined/no bond type. 1 General obligation. 2 Revenue bond. 3 G.O./limited tax. 106: Field 13B: Basis Indicator Field 13B indicates the bond basis of the MSRB security. DTCYBAI :4!c/[8c]/30x <CERT>/<DTCYBAI>/<basis indicator> Basis Indicator :13B::CERT/DTCYBAI/4 Table 4.66 shows the basis indicators used in field 13B. Table 4.66 Basis Indicators Value Description 0 Undetermined/no basis. 1 Yield basis. 2 Dollar basis. 3 Par basis. 4 Discount basis. 107: Field 13B: Result Indicator Field 13B indicates the result indicator of the MSRB security. DTCYREI :4!c/[8c]/30x <CERT>/<DTCYREI>/<result indicator> Result Indicator :13B::CERT/DTCYREI/07 Table 4.67 shows the results indicators used in field 13B. Table 4.67 Result Indicators Value Description 00 Undetermined/no result. 01 Price to call. 02 Price to par option. 03 Price to maturity. 04 Yield to call. MT515 - Trade Confirmation Messages 132

133 Table 4.67 Result Indicators (continued) Value Description 05 Yield to part option. 06 Yield to maturity. 07 Par basis. 108: Field 13B: Interest Payment Date Field 13B indicates the interest payment date of the MSRB security. DTCYIAP :4!c/[8c]/30x <CERT>/<DTCYIAP>/<interest payment date> Interest Payment Date :13B::CERT/DTCYIAP/ : Field 13B: Option Call Indicator Field 13B indicates the option call indicator of the MSRB security. DTCYOCI :4!c/[8c]/30x <CERT>/<DTCYOCI>/<result indicator> Option Call Indicator :13B::CERT/DTCYOCI/06 Table 4.68 shows the option call indicators used in field 13B. Table 4.68 Option Call Indicators Value Description 00 Undetermined or no option call 01 Callable at a premium 02 Callable at par 03 Callable at a discount 04 Pre-refunded 05 Escrowed to maturity 06 Noncallable 07 Callable, feature unavailable 110: Field 13B: Call/Put Feature Indicator Field 13B indicates the call or put feature of the MSRB security. DTCYCPF :4!c/[8c]/30x <CERT>/<DTCYCPF>/<call/put feature indicator> Call/Put Indicator :13B::CERT/DTCYCPF/1 Table 4.69 shows the call/put feature indicators used in field 13B. MT515 - Trade Confirmation Messages 133

134 Table 4.69 Call/Put Feature Indicators Value Description 0 Undetermined/No call/put features 1 Callable 2 Puttable 3 Callable and puttable 4 Retired (bond completely called) 111: Field 13B: Put Bond Type Field 13B indicates the put bond type of the MSRB security. DTCYPBT :4!c/[8c]/30x <CERT>/<DTCYPBT>/<put bond type> Put Bond Type :13B::CERT/DTCYPBT/02 Table 4.70 shows the put bond type indicators used in field 13B. Table 4.70 Put Bond Type Indicators Value Description 01 Undetermined or no put bond type. 02 Conditional put. 03 Limited put. 04 Mandatory repurchase. 05 Mandatory put. 112: Field 13B: Prerefunded or Call Price Field 13B indicates the amount of prefunded or call price of the MSRB security. DTCYPCP :4!c/[8c]/30x <CERT>/<DTCYPCP>/<prefunded or call price> Prerefunded or Call Price :13B::CERT/DTCYPCP/100,00 113: Field 13B: Put Bond Price Field 13B indicates the amount of the put bond price. DTCYPBP :4!c/[8c]/30x <CERT>/<DTCYPBP>/<put bond price> Put bond price :13B::CERT/DTCYPBP/55,52 MT515 - Trade Confirmation Messages 134

135 114: Field 13B: Bond Form Code Field 13B indicates the bond form code of the MSRB security. DTCYPFC :4!c/[8c]/30x <CERT>/<DTCYPFC>/<bond form code> Bond Form Code :13B::CERT/DTCYPFC/2 Table 4.71 shows the bond form indicators used in field 13B. Table 4.71 Bond Form Code Indicators Value Description 0 Undetermined or no bond form. 1 Fully registered. 2 Book-entry only. 3 Registered as to only the principal. 4 Custodial receipts. 115: Field 13B: Interest Payment Frequency Field 13B indicates the interest payment frequency of the MSRB security. DTCYIPF :4!c/[8c]/30x <CERT>/<DTCYIPF>/<interest payment frequency> Interest Payment Frequency :13B::CERT/DTCYIPF/2 Table 4.72 shows the interest payment frequency indicators. Table 4.72 Interest Payment Frequency Indicators Value Description 0 Undetermined frequency 1 Annual 2 Semi-annual 3 Quarterly 4 Monthly 5 Weekly 6 Bi-weekly 7 Interest at maturity 8 No periodic interest 9 Unknown MT515 - Trade Confirmation Messages 135

136 116: Field 13B: Special Coupon Indicator Field 13B indicates the special coupon indicator of the MSRB security. DTCYSCI :4!c/[8c]/30x <CERT>/<DTCYSCI>/<special coupon indicator> Special Coupon :13B::CERT/DTCYSCI/3 Table 4.73 shows the special coupon indicators used in field 13B. Table 4.73 Special Coupon Indicators Value Description 0 Undetermined or no special coupon. 1 Zero coupon. 2 Original issue discount. 3 Adjustable rate. 4 Coupon bearing. 5 Stepped coupon. 117: Field 13B: Flat/Default Status Field 13B indicates the flat/default status of the MSRB security. DTCYFDS :4!c/[8c]/30x <CERT>/<DTCYFDS>/<flat/default status> Flat/Default Status :13B::CERT/DTCYFDS/3 Table 4.74 shows the flat/default status indicators used in field 13B. Table 4.74 Flat/Default Status Indicators Value Description 0 Undetermined or no flat or default status 1 Flat 2 Flat or in default MT515 - Trade Confirmation Messages 136

137 118: Field 13B: Tax Status Field 13B indicates the tax status of the MSRB security. DTCYTAS :4!c/[8c]/30x <CERT>/<DTCYTAS>/<bond form code> Tax Status :13B::CERT/DTCYTAS/2 Table 4.75 shows the tax status indicators used in field 13B. Table 4.75 Tax Status Indicators Value Description 0 Undetermined or no tax status 1 Taxable 2 Non-taxable 119: Field 13B: Moody s Credit Rating Field 13B indicates the Moody s credit rating code of the MSRB security. For more information about the Moody's credit rating indicators used in field 13B, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. DTCYMCR :4!c/[8c]/30x <CERT>/<DTCYMCR>/<Moody s credit rating> Moody's Credit Rating :13B::CERT/DTCYMCR/96 120: Field 13B: Standard & Poor s Credit Rating Field 13B indicates the Standard & Poor s credit rating code of the MSRB security. For more information about the Standard & Poor s credit rating indicators used in field 13B, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. DTCYSPC :4!c/[8c]/30x <CERT>/<DTCYSPC>/<Standard & Poor s credit rating> Standard & Poor s Credit Rating :13B::CERT/DTCYSPC/99 121: Field 13B: Subject to Federal Tax Field 13B indicates whether the MSRB security is subject to federal tax. DTCYSFT :4!c/[8c]/30x <CERT>/<DTCYSFT>/<subject to Federal tax> Subject to Federal Tax :13B::CERT/DTCYSFT/Y MT515 - Trade Confirmation Messages 137

138 Table 4.76 shows the subject to federal tax indicators used in field 13B. Table 4.76 Subject to Federal Tax Indicators Value Description 0 or spaces Undetermined Y N Yes No 122: Field 13B: Alternate Minimum Tax Field 13B indicates whether the MSRB security is subject to the alternate minimum tax. DTCYAMT :4!c/[8c]/30x <CERT>/<DTCYAMT>/<alternate minimum tax> Alternate Minimum Tax :13B::CERT/DTCYAMT/N Table 4.77 shows the alternate minimum tax indicators used in field 13B. Table 4.77 Alternate Minimum Tax Indicators Value Description 0 or spaces Undetermined Y N Yes No 123: Field 13B: Trade Type Indicator Field 13B indicates the trade type of the mortgage-backed security. DTCHTTI :4!c/[8c]/30x <CERT>/<DTCYTTI>/<trade type> Trade Type Indicator :13B::CERT/DTCYTTI/11 Table 4.78 shows the trade type indicators used in field 13B. Table 4.78 Trade Type Indicators Value Description 01 Generic TBA. 02 Specified TBA. 03 Specified pool TBA trade. 11 Specified pool trade. 12 Generic pool trade. 50 Other mortgage-backed security trade. MT515 - Trade Confirmation Messages 138

139 124: Field 13B: Current Face Field 13B indicates the current unpaid or remaining principal of a mortgage-backed security. The amount changes each month by the amount of the paydown or pay-up associated with the underlying mortgages supporting the mortgage-backed security. DTCYCFV :4!c/[8c]/30x <CERT>/<DTCYCVF>/<current face> Current Face :13B::CERT/DTCYCVF/ : Field 13B: Factor/Effective Date Field 13B indicates the effective date of the factor used, in YYYYMMDD format. Enter a valid day of the year, inclusive of Saturday, Sunday, and holidays. DTCYFED :4!c/[8c]/30x <CERT>/<DTCYFED>/<factor/effective date> Factor Effective Date :13B::CERT/DTCYFED/ : Field 13B: Yield Field 13B indicates the annual percentage return, as computed in accordance with standard industry practices, that is earned on a security. Can contain a floating decimal in any position; use numeric for all other positions. Whole numbers do not require a decimal point (10b 10 field). If there is no embedded decimal, the TradeSuite ID service assumes a whole number. DTCYYLD :4!c/[8c]/30x <CERT>/<DTCYYLD>/<yield> Yield :13B::CERT/DTCYYLD/ : Field 13B: Related Reference Number Field 13B indicates the internal broker/dealer reference number for a TBA-related pool confirmation. DTCYRRN :4!c/[8c]/30x <CERT>/<DTCYRRN>/<related reference number> Related Reference Number :13B::CERT/DTCYRRN/ : Field 13B: Number of Days Accrued Interest Field 13B indicates the total number of days to calculate the interest. Right-justified, zero-filled. DTCYDAI :4!c/[8c]/30x <CERT>/<DTCYDAI>/<number of days accrued interest> Number of Days Accrued Interest :13B::CERT/DTCYDAI/100 MT515 - Trade Confirmation Messages 139

140 129: Field 13B: Security Class Code Field 13B indicates the Fixed Income Clearing Corporation (FICC) and mortgage-backed security clearing corporation (MBSCC) security identifier. FICC/MBSCC makes the components available. The code indicates agency, product code, coupon, and maturity. DTCYSCC :4!c/[8c]/30x <CERT>/<DTCYSCC>/<security class code> Security Class Code :13B::CERT/DTCYSCC/ : Field 13B: Original Trade Par Field 13B indicates the par value of the original trade. DTCYOTP :4!c/[8c]/30x <CERT>/<DTCYOTP>/<original trade par> Original Trade Par :13B::CERT/DTCYOTP/ : Field 13B: Good Delivery Millions Field 13B indicates the number of million dollar lots delivered in accordance with Securities Industry and Financial Markets Association (SIFMA) guidelines. DTCYGDM :4!c/[8c]/30x <CERT>/<DTCYGDM>/<good delivery millions> Good Delivery Millions :13B::CERT/DTCYGDM/4 132: Field 13B: Delivery Date Field 13B indicates the scheduled delivery date of the securities to the contra party, in YYYYMMDD format. Enter a valid day of the year, including Saturday, Sunday, and holidays. Set to spaces. DTCYDED :4!c/[8c]/30x <CERT>/<DTCYDED>/<delivery date> Delivery Date :13B::CERT/DTCYDED/ : Field 13B: EPN Time Field 13B indicates the time when the electronic pool notification (EPN) messenger (good delivery time stamp) receives the message, in HH:MM:SS format. If supplied, enter in military format. DTCYEPT :4!c/[8c]/30x <CERT>/<DTCYEPT>/<EPN time> EPN Time :13B::CERT/DTCYEPT/ MT515 - Trade Confirmation Messages 140

141 134: Field 13B: Terminator Field 13B indicates the value of the good delivery millions of the preceding lot of pools. DTCYTER :4!c/[8c]/30x <CERT>/<DTCYTER>/<terminator> Terminator :13B::CERT/DTCYTER/ : Field 13B: Message ID Field 13B indicates the unique message ID that EPN assigned to the original message. DTCYMID :4!c/[8c]/30x <CERT>/<DTCYMID>/<message id> Message ID :13B::CERT/DTCYMID/ : Field 13B: Possible Duplicate Field 13B indicates to the user that the EPN input message might be a duplicate. DTCYPDM :4!c/[8c]/30x <CERT>/<DTCYPDM>/<possible duplicate> Possible Duplicate :13B::CERT/DTCYPDM/X Table 4.79 shows the possible duplicate indicators used in field 13B. Table 4.79 Possible Duplicate Indicators Value Space X Description Non-duplicate Duplicate 137: Field 13B: Trade Number Field 13B indicates the number referencing the MBSCC trade number. DTCYTRN :4!c/[8c]/30x <CERT>/<DTCYTRN>/<trade number> Trade Number :13B::CERT/DTCYTRN/ : Field 13B: Number of Pools Field 13B indicates the number of pools contained within the EPN message. Right-justified, zero-filled. DTCYNOP :4!c/[8c]/30x <CERT>/<DTCYNOP>/<number of pools> Number of Pools :13B::CERT/DTCYNOP/1000 MT515 - Trade Confirmation Messages 141

142 139: Field 13B: Internal ID Field 13B indicates the unique reference number that the submitter assigned. DTCYIID :4!c/[8c]/30x <CERT>/<DTCYIID>/<internal id> Internal ID :13B::CERT/DTCYIID/ : Field 13B: Submitter Account ID Field 13B indicates the Account ID of the account submitting the message. DTCYSAI :4!c/[8c]/4x <CERT>/<DTCYSAI>/<submitter account id> Submitter Account ID :13B::CERT/DTCYSAI/ : Field 13B: Service Type Field 13B indicates the type of message input to the MBSCC. DTCYSRT :4!c/[8c]/30x <CERT>/<DTCYSRT>/<service type> Service Type :13B::CERT/DTCYSRT/TFTD Table 4.80 shows the service type indicators used in field 13B. Table 4.80 Service Type Indicators Value Space TFTD SBOD CMPT CMPC OPTN Description Non-duplicate. Trade-for-trade. Identifies all trades in classes eligible for netting when availing of netting. Comparison trade. Comparison trade cancellation. Identifies all option trades. 142: Field 13B: Option Type Field 13B indicates the option type for the MBS trade. DTCYOPT :4!c/[8c]/30x <CERT>/<DTCYOPT>/<option type> Option Type :13B::CERT/DTCYOPT/CALL MT515 - Trade Confirmation Messages 142

143 Table 4.81 shows the option type indicators used in field 13B. Table 4.81 Option Type Indicators Value CALL PUTS Description Call Puts 143: Field 13B: Record Date Field 13B indicates the date that the trustee set for determining when to pay principal and interest on a security, in YYYYMMDD format. Enter a valid day of the year, inclusive of Saturday, Sunday, and holidays. DTCYRDT :4!c/[8c]/30x <CERT>/<DTCYRDT>/<record date> Record Date :13B::CERT/DTCYRDT/ : Field 13B: Specification Code and Specification Value Field 13B indicates the specification code and specification value representing a condition to the trade. A mortgage-backed security trade can have up to 16 (numbers 01 through 16) specifications codes and values. DTCYSnn :4!c/[8c]/30x <CERT>/<DTCYSnn>/<specification code and specification value> Specification Code and Specification Value :13B::CERT/DTCYSnn/00102NY Table 4.82 shows the specification codes and values used in field 13B. The Field Definition column uses the following abbreviations: AL = Alphabetic, left-justified N. U = Numeric, right-justified C. H = Character, left-justified. DT = Date, in YYYYMMDD format, left-justified. Table 4.82 Specification Codes and Values Specification Specification Description Value Field Definition Code Length 001 COLLATERAL REGION 02 AL (NY, CA, MA) 002 COLLATERAL REGION 02 AL (NY, CA, MA) EXCLUDING 003 ISSUANCE REGION CODE 02 AL (NY, CA, MA) 004 ISSUANCE REGION EXCLUDE 02 AL (NY, CA, MA) CODE 005 ISSUE DATE - EARLIEST 08 DT 006 ISSUE DATE - LATEST 08 DT 007 MATURITY DATE - EARLIEST 08 DT MT515 - Trade Confirmation Messages 143

144 Table 4.82 Specification Codes and Values (continued) Specification Code Specification Description Value Length 008 MATURITY DATE - LATEST 08 DT 020 PIECES - maximum number per trade 021 PIECES - minimum number per trade 04 NU 04 NU 022 POOLS - maximum number 04 NU 023 POOLS - minimum number 04 NU 024 POOLS - maximum CURRENT FACE VALUE 025 POOLS - minimum CURRENT FACE VALUE 12 AL/NU Field Definition (999,000, ,000M - 999MM) 12 AL/NU 026 POOLS PER MILLION - maximum 02 NU 027 POOLS PER MILLION - minimum 02 NU 040 VARIANCE (FOR NON-BMA STANDARD) 041 NO DOWNSIDE VARIANCE (POPULATE Y) 050 Weighted average coupon (WAC) code - maximum percent (%) 051 Weighted average coupon (WAC) code - minimum percent (%) 052 Weighted average maturity (WAM) code - maximum number of months 053 WAM code minimum number of months 054 Weighted average loan age (WALA)/commercial and government entity (CAGE) maximum (999,000, ,000M - 999MM) 12 (X) NU (FLOATING DECIMAL) 01 (X) NU (FLOATING DECIMAL) 05 (X) NU (FLOATING DECIMAL) 05 (X) NU 03 NU 03 NU 03 NU 055 WALA/CAGE - minimum 03 NU (FLOATING DECIMAL) 060 INDEX 06 AL/NU MT515 - Trade Confirmation Messages 144

145 Table 4.82 Specification Codes and Values (continued) Specification Code Specification Description Value Length 070 INTEREST RATE CAP - maximum 06 (X) NU Field Definition (FLOATING DECIMAL) 071 INTEREST RATE CAP - minimum 06 (X) NU 072 PAYMENT PERCENTAGE CAP - maximum 073 PAYMENT PERCENTAGE CAP - minimum (FLOATING DECIMAL) 06 (X) NU (FLOATING DECIMAL) 06 (X) NU (FLOATING DECIMAL) 074 PERIODIC CAP - maximum 06 (X) NU (FLOATING DECIMAL) 075 PERIODIC CAP - minimum 06 (X) NU 076 RESET DATE - EARLIEST 08 DT 077 RESET DATE - LATEST 08 DT 100 REASSIGNMENT 15 CH (FLOATING DECIMAL) 999 FREE FORM SPECIFICATION 15 AL/NU 145: Field 13B: MBS Interest Rate Field 13B indicates the interest rate for the mortgage-backed security. DTCYMIR :4!c/[8c]/30x <CERT>/<DTCYMIR>/<MBS interest rate> MBS Interest Rate :13B::CERT/DTCYMIR/ : Field 13B: MBS Maturity Date Field 13B indicates the maturity date for the mortgage-backed security. DTCYMMD :4!c/[8c]/30x <CERT>/<DTCYMMD>/<maturity date> Maturity Date :13B::CERT/DTCYMMD/ MT515 - Trade Confirmation Messages 145

146 147 Field 13B: Vendor Control ID Field 13B indicates the control ID assigned by the broker's vendor to a broker/dealer s trade. DTCYVCI :4!c/[8c]/9x <CERT>/<DTCYVCI>/<vendor control ID> Vendor Control ID :13B::CERT/DTCYVCI/B : Field 13B: Institution Legal Entity Field 13B indicates the Legal Entity Identifier (LE) of the institution on the trade. DTCYINLE CERT/DTCYINLE/20x Institution Legal Entity :13B::CERT/DTCYINLE/549300TGFLH2QZV80T70 149: Field 13B: Broker Legal Entity Field 13B indicates the Legal Entity Identifier (LE) of the executing broker on the trade. DTCYBRLE CERT/DTCYBRLE/20x Broker Legal Entity 13B::CERT/DTCYBRLE/659000GHLFP3UIS97Y33 150: Field 13B: Mark Up Percent or Mark Down Percent Field 13B indicates the Mark up or Mark Down percentage. The percentage can be positive (mark up) or negative (mark down). The value is in the form of a percentage, for example. 999,99999, N999,99999 DTCYMARK CERT/DTCYMARK/[N]9x Mark Up Percent Mark Down Percent :13B::CERT/DTCYMARK/2,20032 :13B::CERT/DTCYMARK/N015, : Field 70E: Special Instructions line 1-8 and Confirm Disclosure Link (output only) Use eight 30-character lines of special instructions to specify more instructions for reporting or processing. If a special instruction field is blank or empty, the message does not include the instruction. After Special Instructions, up to two 35-character lines exist to show the Confirm Disclosure link. The Confirm Disclosure link always begins with the DCLK: string followed with the URL for the Confirm Disclosure site. The current values are: for the production environment. insitect.omgeo.net for the client test environment. MT515 - Trade Confirmation Messages 146

147 TPRO :4!c//10*35x <TPRO>/<text line 1> <text line 2> <text line 10> Special instruction and confirm disclosure link :70E::TPRO//SPECIAL-INSTRUCTIONS-1 SPECIAL-INSTRUCTIONS-2 SPECIAL-INSTRUCTIONS-3 SPECIAL-INSTRUCTIONS-4 SPECIAL-INSTRUCTIONS-5 SPECIAL-INSTRUCTIONS-6 SPECIAL-INSTRUCTIONS-7 SPECIAL-INSTRUCTIONS-8 DCLK: With some special instruction fields: :70E::TPRO//SPECIAL-INSTRUCTIONS-4 SPECIAL-INSTRUCTIONS-5 SPECIAL-INSTRUCTIONS-8 DCLK: Without special instructions just URL link :70E::TPRO//DCLK: Sequence D Settlement Details Sequence D is a mandatory sequence containing settlement details. 152: Field 22F: Delivery Method Indicator Field 22F determines the delivery method based on the security type or purpose of trade. STCO :4!c/[8c]/4!c <STCO>/<DTCYDVMT>/<delivery method code> Delivery Method Indicator :22F::STCO/DTCYDVMT/DM04 MT515 - Trade Confirmation Messages 147

148 Table 4.83 shows the delivery method codes used in field 22F. Table 4.83 Delivery Method Codes Value DM01 DM02 DM03 DM04 DM05 DM06 DM07 DM08 DM99 Description Free Book entry Physical DVP/RVP Cash Hold-in-custody Tri-party Quad party Other 153: Field 22F: Trade Type Indicator Field 22F is mandatory for SWIFT. The FIN or COL REPO security types require a code to identify the type of REPO trade. For all other trades, TRAD identifies the trade. SETR :4!c/[8c]/4!c <SETR>/<DTCY>/<REPO trade code> Trade Type Indicator :22F::SETR//TRAD :22F::SETR/DTCY/REPU Table 4.84 trade type codes used in field 22F. Table 4.84 Trade Type Codes Value REPU RVPO SBBK BSBK PART SECL SECB TT99 Description REPO Reverse REPO Sell/buy back Buy/sell back Participation Security lending Security borrowing Other 154: Field 22F: Settlement Condition Codes #1, #2, #3 Field 22F indicates the settlement condition codes that denote extra settlement conditions associated with a trade. There can be up to three repetitions of this field. STCO :4!c/[8c]/4!c <STCO>/<DTCY>/<settlement condition codes> Settlement Condition Codes :22F::STCO/DTCY/SEYB MT515 - Trade Confirmation Messages 148

149 Table 4.85 shows the settlement condition codes used in field 22F. Table 4.85 Settlement Condition Codes Value SDAP SBDN SCDD SCOO SCRT SDDY SEYB SFFR SGDD SLDP SNCS ZDFP SNWT SNWT SROO SSAD STRF SEXB SEXD SEXR SBDL SCUB SCUC SCOT SCCR SCSH SDTT SITF SLDD SNBI SNOM SNSP SOSD SOEN SFRN Description Delivery against payment Bad names CUM dividend Country of origin CUM rights Delayed delivery Early bargain For foreign registration (non-u.s.) Guaranteed delivery London payment Not for central settlement Delivery free of payment New time Part appointment Result of option South African delivery Transmission fees Ex-bonus Ex-dividend Ex-rights Board lots CUM bonus CUM coupon Contingent CUM capital repayment Cash Direct trace Intra-firm London delivery No buy-in No marking No stamp Overseas delivery One name For redemption MT515 - Trade Confirmation Messages 149

150 Table 4.85 Settlement Condition Codes (continued) Value SSPP SWNI SEXC SEXP Description Special price When-Issued Ex-coupon Ex-capital payment 155: Field 22F: Broker Custody Indicator Field 22F indicates whether the broker/dealer is holding securities domestically or internationally for the traded security. STCO :4!c/[8c]/4!c <STCO>/<DTCY>/<broker custody indicator> Broker Custody Indicator :22F::STCO/DTCY/BRCY Table 4.86 shows the broker custody indicators used in field 22F. Table 4.86 Broker Custody Indicators Value BRCY BRCN Description Broker/dealer is holding securities. Broker/dealer is not holding securities. 156: Field 22F: Split Currency Indicator Field 22F identifies when securities and cash settle in different locations. The absence of this field indicates that securities and cash settle in the same location. When the executing broker/dealer is using the ALERT platform and indicates a split currency condition in the ALERT platform, this field retrieves the currency settlement information for the entity receiving the currency, when available. This information replaces the special instructions 1, 2, 3, and 4. STCO :4!c/[8c]/4!c <STCO>//<SPST> Settlement Condition :22F::STCO//SPST Table 4.87 shows the settlement condition value used in field 22F. Table 4.87 Settlement Condition Value Value SPST Description Split currency settlement. MT515 - Trade Confirmation Messages 150

151 157: Field 22F: ALERT Overwrite Indicator Field 22F indicates that one or more fields were overwritten with data stored in the ALERT platform. STCO :4!c/[8c]/4!c <STCO>/<DTCY>/<indicator> Standing instructions database overwrite indicator :22F::STCO/DTCY/SOIY Table 4.88 shows the ALERT values used in field 22F. Table 4.88 ALERT Values Value SOIN SOIY Description No, the ALERT platform does not overwrite the user input. Yes, the ALERT platform overwrites the user data. 158: Field 22F: Settlement Condition Indicator Field 22F indicates when you require a settlement instruction override. The field instructs (SWIFT) DTCC not to use the ALERT platform to augment/replace settlement instructions. However, all customer information, inclusive of interested parties, continues to use the ALERT platform. Use this tag only when using :17B::STAN//Y. If using :17B::STAN//N, you do not need to use tag 22F. DBNM :4!c/[8c]/4!c <DBNM/DTCY/BRKR> Settlement Condition Indicator :22F::DBNM/DTCY/BRKR Subsequence D1 settlement parties Subsequence D1 is a mandatory sequence. Repetitions of the sequence are optional on input. Four D1 settlement subsequences are mandatory and are part of the DTCC output message: settlement location, agent, clearing agent, and investment manager. Extra settlement party sequences are optional. Either a DTC ID number or a BIC identifier in the Primary Identifier field (95a) identifies most parties on input. However, BIC exclusively identifies the sub-custodian CSDs and the correspondent bank. On output from DTCC, the Primary Identifier field contains the BIC identifier in 95P format. If you enter the DTC Identifier field (95R) as a primary identifier on the input record, DTCC moves it to the Alternate Identifier field (format 95S) upon exiting. When a BIC identifier does not exist, or a BIC is unavailable, the Initial Party Identifier field contains an eightbyte DTC ID number in the SWIFT 95R format. MT515 - Trade Confirmation Messages 151

152 159: Field 95R: Broker Settlement Location, field 95P: Broker Settlement Location BIC, or field 95Q: NOT FOR SETTLEMENT The broker settlement location is the country or depository (CSD) where the traded security settles. Alternately, use ISO country codes to indicate the country of settlement. For the ISO country codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. If the settlement location is not for settlement (NFS), the text "NOT FOR SETTLEMENT" replaces the settlement location. PSET s :4!c//4!a2!a2!c[3!c] <PSET>//<BIC> :4!c//2!a <PSET>//<settlement location> :4!c//4*35x <PSET>//<NOT FOR SETTLEMENT> Settlement Market :95P::DTCYbic :95C::PSET//DTC :95Q::PSET//NOT FOR SETTLEMENT Table 4.89 shows the values for the settlement location used in field 95P. Table 4.89 Settlement Location Code Country Settlement Location Description BRC U.S.A. Broker custody (DTC trade where broker/dealer is also CED Luxembourg CEDEL custodian/ agent) DTC U.S.A. The Depository Trust Company EUR Brussels Euroclear FED U.S.A. Federal reserve bank 160: Field 20C: Broker Settlement Method Field 20C indicates the settlement method in which a security settles in a particular country or market with multiple clearing methods. PROC :4!c//16x <PROC>//<settlement method> Processing Date and Time :20C::PROC//PHY MT515 - Trade Confirmation Messages 152

153 Table 4.90 shows the acceptable values for settlement methods. Table 4.90 Settlement Method Code Country Settlement Method APK Finland Finnish Central Security Depository AUS Australia Austraclear BBV Bolivia Bolsa Boliviana de Valores BCB Bolivia Banco Central de Bolivia BKI Italy BANCA D ITALIA BOJ Japan Bank of Japan Netting BOV Brazil BOVESPA/CALISPA BVL Peru Bolsa de Valores de Lima CDA Croatia Central Depository Agency CDC Pakistan Central Depository Company CDE El Salvador Central de Deposito de Valores de El Salvador SA CDS Canada Canadian Depository Service CDV Argentina Caja De Valores S.A. CED Luxembourg CEDEL CEN Nicaragua CENIVAL Bolsa de Valores de Nicaragua CEV Costa Rica CEVAL Central de Valores CGO UK Central Gilts Office CHS Australia CHESS Clearing House Electronic Subregister System CHV Honduras Central Hondurena de Valores y Liquidacion CIK Belgium Caisse Interprofessionnelle Kassa CLR Generic Another Clearer CMO UK Central Moneymarkets Office CRS UK CRESTE CSD Greece Central Securities Depository CVS Argentina Mercado De Valores de Buenos Aires SA CVV Venezuela Caja Venezolana de Valores CA DBC Germany Deutsche Bourse Clearing AG DCE Ecuador DECEVALE Deposito Centralizado de Valores SA DCV Chile Deposito Central De Valores SA DEC Colombia DECEVAL Deposito Central de Valores DKV Germany Deutscher Kassenverein AG DTC U.S.A. The Depository Trust Company ECD Estonia ECDSL Estonian Central Depository for Securities ECL Belgium Euroclear ESO UK European Settlements Office MT515 - Trade Confirmation Messages 153

154 Table 4.90 Settlement Method (continued) Code Country Settlement Method FED U.S.A. Federal Reserve Bank FNB UK First National Bank of Chicago GCV Guatemala Caja De Valores SA GSO Ireland Gilts Settlement Office HKS Hong Kong CCASS/HKSCC Hong Kong Securities Clearance Corp HUN Hungary KELER Central Clearing House and Depository IND Mexico Indeval INS UK Institutional Net Settlement INT Portugal INTERBOLSA ISE Turkey Takasbank ISE Settlement and Custody Bank JAS Japan Japan Securities Clearance Corp KDD Slovenia CSCC Central Securities Clearing Corp. KDE Indonesia KDEI Indonesian Securities Central Depository KDP Poland National Depository for Securities KIS Bulgaria CD AD Central Securities Depository AS KSC Korea Korean Securities Clearance Corp LCD Latvia Latvian Central Depository LCS Zambia Luse Central Shares Depository LIT Lithuania CSDL Central Securities Depository of Lithuania MAL Malta Central Securities Depository MAU Mauritius Central Depository & Settlement Co MCD Malaysia Malaysian Central Depository MDV Argentina Mercado De Valores de Buenos Aires SA MID Lebanon MIDCLEAR MIS Egypt MISR Clearing & Settlement Depository MON Italy Monte Titoli MUS Oman Muscat Securities Market NCS Nigeria Central Securities Clearing System NEC Netherlands NECIGEF NSD India NSDL National Securities Depository Limited NZC New NZCSD New Zealand Central Securities Depository Zealand OKB Austria OEKB-Osterreichische Kontrollbank AG PAN Panama PANACLEAR Panamerican Clearing & Settlement System PCD Philippines Philippines Central Depository MT515 - Trade Confirmation Messages 154

155 Table 4.90 Settlement Method (continued) Code Country Settlement Method PHY Physical Physical settlement/clearance (generic) PTC U.S.A. Participant Trust Company RGV France Relit Grande Vitesse RIT Australia RITS Reserve Bank Information and Transfer System SAD South Africa Central Depository Ltd SCD Singapore PTE/SCCS Central Depository SCP Slovak Rep. Centre for Securities SEG Switzerland Intersettle SEGA SET Thailand Thailand Securities Depository Co. SHE China SSCC Shenzen Exchange SHG China SSCCRC Shanghai Exchange SIB Spain EXPACLEAR SNC Romania SNCDDD SA National Co. for Clearing, Settlement & Depository for Securities STI Tunisia STICODEVAM TAS Israel TASE Tel Aviv Stock Exch Clearing House TCS Taiwan TCSD Taiwan Securities Central Depository Co TKD Czech Rep. Czech National Bank VP Denmark Danish Securities Centre VPC Sweden Swedish Central Securities Depository VPS Norway Verdipapirsentralen 161: Field 70C: Delivery/Receiver (input) Field 70C reports the delivery/receiver information. PACO 4!c//4*35x <PACO>//<delivery/receiver> Delivery/Receiver Information :70C::PACO//ABC : Field 70D: Sub-Custodian CSD Information (input) Field 70D reports the sub-custodian cash account information. REGI :4!c//6*35x <REGI>//<Sub-custodian Cash Account> Sub-custodian Cash Account Information :70C::REGI//35x MT515 - Trade Confirmation Messages 155

156 163: Field 70C: DTC Settlement Mode, Affirming Party Indicator, Agent Sub-Custodian BIC, and Broker Sub-Custodian BIC (output) Field 70C reports the DTC settlement mode, if known, affirming party indicator, agent sub-custodian BIC (if available), and broker sub-custodian BIC (if available). Each value uses a separate line ending with a CRLF. If the agent sub-custodian BIC is available, PACO is followed by a double slash (//), AGENT-CUST, a single slash (/), and BIC information. If the broker sub-custodian BIC is available, the next line starts with BROKR- CUST, followed by a single slash and BIC information. DTC settlement mode indicators include a double slash followed by the indicator: DTC PDQ DTC settlement CNS CNS NSCC settlement NET ID NET Affirming party indicators include a double slash followed by the indicator: NAFT Not affirm INST Institution AGNT Agent DTCI DTC settlement and affirmed by institution DTCA DTC settlement and affirmed by agent INTP Interested party PACO 4!c//4*35x <PACO>//<DTC Settlement Mode> //<Affirming Party Indicator> AGENT-CUST/<Agent Sub-custodian BIC> BROKR-CUST/<Broker Sub-custodian BIC> Party Indicator :70C::PACO//DTC //INST AGENT-CUST/STNDGB20XXX BROKR-CUST/STNDGB20XXX :70C::PACO//DTCI AGENT-CUST/STNDGB20XXX BROKR-CUST/STNDGB20XXX :70C::PACO//NAFT BROKR-CUST/STNDGB20XXX 164: Field 70D: Agent Sub-Custodian CSD Information, Broker Sub-Custodian CSD Information, Delivery Instructions (Lines 1), and Delivery Instructions (Line 2) Field 70D reports the agent sub-custodian cash account, if available, broker sub-custodian cash account, if available, and two lines of delivery instructions, if available. Each value uses a separate line ending with a CRLF. If the agent sub-custodian cash account is present, follow REGI by double slashes (//) followed by the AGENT-CASH-ACCOUNT. The next line shows the agent sub-custodian cash account number. If the broker MT515 - Trade Confirmation Messages 156

157 sub-custodian cash account is present, the following line contains the BROKER-CASH-ACCT. The next line contains the broker s sub-custodian cash account number. For physical deliveries, if provided, use this field to specify that the next two lines are available to include the delivery instructions. Each line of delivery information begins with DI: followed by a line of delivery instruction details. Sub-custodian CSD and delivery instruction fields share the same SWIFT value (REGI). Sub-sustodian CSD can have up to four lines of information and delivery instructions (lines 1 and 2) can have two lines of information. The TradeSuite ID service cannot guarantee the position of the data because blank lines are not included in the messages. REGI :4!c//6*35x <REGI>//<Agent Sub-Custodian Cash Account> AGENT-CASH-ACCOUNT <Agent Sub-Custodian Cash Account> BROKER-CASH-ACCT <Broker Sub-Custodian Cash Account> DI:< Delivery Instructions Line 1> DI:<Delivery Instructions Line 2> Sub-custodian cash account information 70D::REGI//AGENT-CASH-ACCT BROKER-CASH-ACCT DI:Delivery Instructions Line 1 DI:Delivery Instructions Line 2 165: Field 95a: Institution Primary Identifier: Field 95R: Institution DTC ID or Field 95P: Institution BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. BUYR or SELL :4!c/8c/34x <BUYR or SELL>/<DTCYID>/<institution dtc id number> :4!c//4!a2!a2!c[3!c] <BUYR or SELL>//<institution bic identifier> Institution Identification :95R::BUYR/DTCYID/ :95P::SELL//INSTUS12XXX MT515 - Trade Confirmation Messages 157

158 Table 4.91 shows the institution indicators used in field 95R or 95P. Table 4.91 Buy/Sell Indicators Qualifier BUYR SELL Description Buyer Seller 166 Field 95S: Institution Alternate Identifier or Institution Alternate DTC ID If the primary identifier in field 95R contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<institution alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/45678 :95S::ALTE/CORP/US/BIC/INSTUS02XXX 167: Field 97A: Institution Safekeeping Account Field 97A identifies the customer on whose behalf the trade was executed. SAFE :4!c//35x <SAFE>//<institution safekeeping account> Safekeeping Account :97A::SAFE//CUSTOMERAC : Field 70C: Institution Telephone Number and Wire Instructions Field 70C identifies the institution's telephone number and wire instructions with a capacity of up to two lines. If the telephone does not exist, the wire instructions start on the first line. PACO :4!c//4*35x <PACO>//<institution telephone number and wire instructions> Party Narrative :70C::// WI: WIRE INSTRUCTION LINE 1 WI: WIRE INSTRUCTION LINE 2 169: Field 70D: Deliver/Receiver Sub-Custodian CSD Safekeeping Account Field 70D identifies the agent s sub-custodian or delivering broker/dealer account number. For a 70D field with a value of REGI: When the agent sub-custodian CSD safekeeping account exists, follow REGI by double slashes (//) and AGENT-SAFE-ACCT. The following line contains the agent's sub-custodian CSD safekeeping account number. MT515 - Trade Confirmation Messages 158

159 When the broker sub-custodian CSD safekeeping account exists, the following line contains BROKR-SAFE-ACCT. The line after that contains the broker's sub-custodian CSD safekeeping account number. REGI :4!c//4*35x <REGI>//<general information> Safekeeping Account :70D::REGI//AGENT-SAFE-ACCT BROKR-SAFE-ACCT : Field 95a: Agent Primary ID Number: Field 95R: Agent DTC ID or Field 95P: Agent BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. DECU or RECU DEAG or REAG :4!c/8c/34x <DECU or RECU>/<DTCYID>/<agent dtc id number> Agent TradeSuite ID :4!c//4!a2!a2!c[3!c] <DEAG or REAG>//<agent bic identifier> Agent BIC :95R::DECU/DTCYID/ :95P::RECU//AGNTUS09XXX :95R::DEAG/DTCYID/ :95P::REAG//AGNTUS09XXX If the agent, deliverer/receiver sub-custodian, and institution blocks are present, the qualifiers for the agent shown in Table 4.92 apply. Table 4.92 Agent Qualifiers Qualifier DECU RECU Description Deliverer Receiver If the agent and institution blocks are present, the qualifiers for the agent shown in Table 4.93 apply. Table 4.93 Agent Qualifiers Qualifier DEAG REAG Description Delivering agent Receiving agent MT515 - Trade Confirmation Messages 159

160 171: Field 95S: Agent Alternate ID Number, Agent DTC ID, or Agent BIC If the primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<agent alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/45678 :95S::ALTE/CORP/US/BIC/AGNTUS09XXX 172: Field 97A: Agent Safekeeping Account Field 97A identifies the agent s safekeeping (internal) account number for the customer. SAFE :4!c//35x <SAFE>//<agent safekeeping account> Safekeeping Account :97A::SAFE//AGENTIAN : Field 70C: Settlement Location, Settlement Method, Special Instructions Line 19, Special Instructions Line 20, and Special Instructions Line 21 Line one. State the settlement location and settlement method, delimited by two byte spaces. Line two. Special Instructions Lines 19 (optional on input/output). Limited to 32 characters. Line three.special Instructions Lines 20 (optional on input/ouput). Limited to 32 characters. Line four.special Instructions Lines 21 (optional on input/output). Limited to 32 characters. Fields located in 70C are optional. However, when using the settlement method in line two, the settlement location in line one becomes mandatory. For settlement values, see the broker settlement locations shown in Table 4.89 and the broker settlement methods shown in Table PACO :4!c//4*35x <PACO>//settlement location> settlement method> <Special Instructions Line 19> <Special Instructions Line 20> <Special Instructions Line 21> Settlement Location and Method Special Instructions Line 19 Special Instructions Line 20 Special Instructions Line 21 :70C::PACO//AGSL:XYZ ZAQ Special Instructions Line 19 Special Instructions Line 20 Special Instructions Line 21 MT515 - Trade Confirmation Messages 160

161 174: Field 70D FINRA MSRB EMMA URL Field 70D is the URL link to the appropriate web sites: FINRA or MSRB. It can be available on input or output (optional). If provided on input, the TradeSuite ID service does not verify the link as valid (see rule on special characters). The URL, if over 35 characters, can span two lines, for a total of 50 characters. The link is identified by the first 5 characters EMMA If the link is not available on output, EMMA: is output and URL is not provided. s: The URL only points to one web address. Do not provide links to other websites. Special characters are replaced with the following: Special Character _??7C??6D &??50 % '??6C '=??7E *??5C #??7B $??5B!??5A ^??5F??5F ~??A1 REGI REGI//3x35x MSRB EMMA URL :70D::REGI//EMMA: EMMA:006449ER9 MT515 - Trade Confirmation Messages 161

162 175: Field 95a: Clearing Agent Primary ID Number: Field 95R: Clearing Agent DTC ID or Field 95P: Clearing Agent BIC Identifier When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. BIC values reside on the standing instructions database (ALERT). When a difference exists between the BIC value entered and the value in ALERT, the value in ALERT overlays the user entry. DECU or RECU DEAG or REAG :4!c/8c/34x <DECU or RECU>/<DTCYID>/<clearing agent dtc id number> Agent TradeSuite ID Identifier :4!c//4!a2!a2!c[3!c] <DEAG or REAG>//<clearing agent bic identifier> Agent BIC Identifier :95R::REAG/DTCYID/ :95P::DEAG//CAGTUK34XXX :95R::REI1/DTCYID/ :95P::DEI1//CAGTUK34XXX If the agent, deliverer/receiver sub-custodian, and institution blocks are present, the qualifiers for the agent shown in Table 4.94 apply. Table 4.94 Agent Qualifiers Qualifier DEAG REAG Description Delivering agent Receiving agent If the agent sub-custodian is present, the qualifiers for clearing agent in Table 4.95 on 162 apply. Table 4.95 Clearing Agent Qualifiers Qualifier DEI1 REI1 Description Deliverer Receiver 176: Field 95S: Clearing Agent Alternate ID Number Alternate DTC ID or Alternate BIC If the primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the preceding primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (ALERT). When a difference exists between the BIC value entered and the value in ALERT, the value in ALERT overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<clearing agent alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/45678 :95S::ALTE/CORP/US/BIC/CAGTUS09XXX MT515 - Trade Confirmation Messages 162

163 177: Field 97A: Clearing Agent Safekeeping Account Field 97A identifies the clearing agent s customer. SAFE :4!c//35x <SAFE>//<clearing agent safekeeping account> Clearing Agent Safekeeping Account :97A::SAFE//CAIAN : Field 95a: Deliverer Sub-Custodian Primary ID Number: Field 95R: Deliverer Sub-Custodian DTC ID or Field 95P: Deliverer Sub-Custodian BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. When both a clearing agent and agent sub-custodian are providers, the DEI1 qualifier is used. Otherwise, the DEAG qualifier is used. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value residing on the ALERT platform, the value on the ALERT platform overlays the user entry. DEAG :4!c/8c/34x <DEAG>/<DTCYID>/<deliverer sub-custodian dtc id number> <DEI1>/<DTCYID>/<deliverer sub-custodian dtc id number> :4!c//4!a2!a2!c[3!c] <DEAG/DEI1>//<deliverer sub-custodian bic identifier> Deliverer Sub-Custodian :95R::DEAG/DTCYID/21999 :95R::DEI1/DTCYID/21999 :95P::DEAG//DVSCUS12XXX 179: Field 95S: Deliverer Sub-custodian Alternate Identifier If the primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the Primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<deliverer sub-custodian alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/12345 :95S::ALTE/CORP/US/BIC/DVSCUS12XXX MT515 - Trade Confirmation Messages 163

164 180: Field 97A: Deliverer Sub-Custodian Safekeeping Account Field 97A identifies the delivering broker/dealer or agent s sub-custodian account number. SAFE :4!c//35x <SAFE>//<deliverer sub-custodian safekeeping account> Safekeeping Account :97A::SAFE//DELSUBCUST : Field 70D: Supplemental Information Field 70D contains the supplemental sub-custodian information. Field 70D contains four 35-character freeform lines. :4!c//4*35x <PACO>//<supplemental information> PACO Additional Sub-Custodian Information :70D::PACO/INSTRUCTION LINE 1 INSTRUCTION LINE 2 182: Field 70D: Cash Account Field 70D identifies the delivering broker/dealer or agent s cash account number at the sub-custodian. REGI :4!c//6*35x <REGI>//<cash account> Cash Account Information :70D::REGI//CASHACC : Field 95a: Receiver Sub-custodian Primary Identifier: Field 95R: Receiver Sub-Custodian DTC ID or Field 95P: Receiver Sub-Custodian BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. When both a clearing agent and agent sub-custodian are providers, the REI1 qualifier is used. Otherwise, the REAG qualifier is used. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value residing on the ALERT platform, the value on the ALERT platform overlays the user entry. REAG :4!c/8c/34x <REAG>/<DTCYID>/<receiver sub-custodian dtc id number> <REI1>/<DTCYID>/<receiver sub-custodian dtc id number> :4!c//4!a2!a2!c[3!c] <REAG/REI1>//<receiver sub-custodian bic identifier> Receiver Sub-custodian :95R::REAG/DTCYID/21999 :95R::REI1/DTCYID/21999 :95P::REAG//RVSCUS12XXX MT515 - Trade Confirmation Messages 164

165 184: Field 95S: Receiver Sub-Custodian Alternate Identifier, Alternate DTC ID, or Alternate BIC If the primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<receiver sub-custodian alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/12345 :95S::ALTE/CORP/US/BIC/RVCSUS12XXX 185: Field 97A: Receiver Sub-custodian Safekeeping Account Field 97A identifies the receiving broker/dealer or agent s sub-custodian account number. SAFE :4!c//35x <SAFE>//<receiver sub-custodian safekeeping account> Safekeeping Account :97A::SAFE//RECSUBCUST : Field 70D: Supplemental Information Field 70D contains the supplemental sub-custodian information. This field contains four 35-character freeform lines. :4!c//4*35x <PACO>//<narrative> PACO Additional Sub-custodian Information :70D::PACO/INFORMATION LINE 1 INFORMATION LINE 2 187: Field 70D: Cash Account Field 70D identifies the receiving broker/dealer or agent s cash account number at the sub-custodian. REGI :4!c//6*35x <REGI>//<cash account> Cash Account Information :70D::REGI//CASHACCT MT515 - Trade Confirmation Messages 165

166 Subsequence D2 cash parties Subsequence D2 is a repetitive optional sequence that identifies the cash accounts. DTCC uses the correspondent bank subsequence with the split currency indicator (field 22F in sequence D). If you do not set this indicator to Split Currency Settlement (SPCS), Correspondent Bank entries are not allowed. 188: Field 95R: Correspondent Bank ID or Field 95P: Correspondent Bank BIC Field 95P contains the BIC identifier determines the correspondent banks. When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ACCW :4!c/8c/34x <ACCW>/<DTCYCB>/<correspondent bank bic identifier> Identifier :95R::ACCW/DTCYID/CORRUK12XXX :95P::ACCW//THGEUK44XXX 189: Field 97A: Correspondent Bank Cash Account Field 97A indicates the cash account number at the correspondent bank. CASH :4!c//35x <CASH>//<correspondent bank cash account> Cash Account :97A::CASH//CORRBANK Subsequence D3 Amounts Subsequence D3 is a repetitive conditional subsequence. When the Settlement Type indicator is equal to Regular Way trade, the following amount fields are mandatory: Settlement (Net) Amount (in sequence C or D3) and Principal Amount. Enter each amount category (field 19A) in a separate block with Start-of-Block and End-of-Block field tags. The number of digits following the comma must not exceed the maximum allowed for the specified currency. The format uses the ISO currency code. For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. 190: Field 19A: Commission Field 19A contains the executing broker s commission fees for the trade. EXEC s :4!c//[N]3!a15d <EXEC>//[N]<iso currency code><broker commission> Broker Commission :19A::EXEC//USD , :19A::EXEC//NUSD , MT515 - Trade Confirmation Messages 166

167 191: Field 19A: Accrued Interest Field 19A specifies the interest earned on a security, but not yet paid to the investor. ACRU s :4!c//[N]3!a15d <ACRU>//[N]<iso currency code><accrued interest> Accrued Interest :19A::ACRU//USD , :19A::ACRU//NUSD , 192: Field 19A: Regulatory Fees Field 19A specifies regulatory fees, such as securities and exchange fees. REGF s :4!c//[N]3!a15d <REGF>//[N]<iso currency code><regulatory fees> Regulatory Fees :19A::REGF//USD , :19A::REGF//NUSD , 193 Field 19A: Research Amount Field 19A specifies the amount of money paid for the provision of financial services that cannot be categorized by another qualifier. This field is used for the research amount per the MiFID II initiative. The LOCL qualifier used in the original Local Tax field has been replaced with the CHAR qualifier in this Research Amount field. CHAR s :4!c//[N]3!a15d <CHAR>//[N]<research amount> Research Amount :19A::CHAR//USD ,02 :19A::CHAR//NUSD ,02 194: Field 19A: Country/National Tax Field 19A specifies the cash amount of any national taxes due. This field is also used for the American depositary receipt (ADR) foreign taxes. COUN :4!c//[N]3!a15d <COUN>//[N]<iso currency code><country tax> Country/National Tax :19A::COUN//USD ,02 :19A::COUN//NUSD ,02 195: Field 19A: Other Charges Field 19A contains the sum of any charges that apply to this transaction for which no other field is designated. OTHR s :4!c//[N]3!a15d <OTHR>//[N]<iso currency code><other charges> Other Charges :19A::OTHR//USD ,02 :19A::OTHR//NUSD ,02 MT515 - Trade Confirmation Messages 167

168 196: Field 19A: Principal Amount Field 19A contains the principal amount, which is equal to the share or face value multiplied by the price. DEAL s :4!c//[N]3!a15d <DEAL>//[N]<iso currency code><principal amount> Principal Amount :19A::DEAL//USD ,02 :19A::DEAL//NUSD ,02 This block is limited to trades settling in an alternate currency. If using Alternate Settlement Amount sequence D3 to report an alternate currency, omit Field 19A SETT// in sequence C. To obtain validation by the SWIFT network, ensure that the Exchange Rate and Resultant Amount fields exist in this subsequence. For DTCC validation, if the traded security is to settle in a currency other than the listed one, use the three fields in the following subsequence: 19A-Settlement (Net) Amount 19A-Alternate Currency Resultant Amount 92B-Exchange Rate To supply an exchange rate or a resulting amount for informational purposes, enter 0 in the field. 197: Field 19A: Settlement (Net) Amount Field 19A contains the net settlement amount in the currency of the trade here. The right-justified field contains a maximum of 14 integers and a floating decimal comma. SETT s :4!c//[N]3!a15d <SETT>//[N]<iso currency code><net amount> Settlement (Net) Amount :19A::SETT//USD , :19A::SETT//NUSD , 198: Field 19A: Alternate Currency Resultant Amount Field 19A specifies the resultant cash settlement amount in an alternate currency. For the currency, enter a valid ISO currency code. RESU s :4!c//[N]3!a15d <RESU>//[N]<iso currency code><alternate currency resultant amount> Alternate Currency Resultant Amount :19A::RESU//GBP1200,02 :19A::RESU//NGBP1200,02 MT515 - Trade Confirmation Messages 168

169 199: Field 92B: Exchange Rate Field 19A identifies the exchange rate used to convert the currency in field 19A, settlement (net) amount to field 19A, alternate currency resultant amount. This field is mandatory for DTCC when the trade is to settle in a currency other than the one specified in the deal s price. EXCH s :4!c//[N]3!a15d <RESU>//[N]<iso currency code><alternate currency resultant amount> Exchange Rate :92B::EXCH/USD/GBP/0, : Field 19A: Legacy Settlement (Net) Amount Field 19A contains the legacy settlement (net) amount of the trade when settlement is in the euro. OCMT s :4!c//[N]3!a15d <OCMT>//[N]<iso currency code><net amount of legacy currency> Legacy Settlement (Net) Amount :19A::SETT//USD , :19A::SETT//NUSD , 201: Field 19A: Legacy Currency Amount Field 19A contains the legacy currency of the trade when settlement is in the euro. OCMT s :4!c//[N]3!a15d <OCMT>//[N]<iso currency code><net amount of legacy currency> Legacy Currency Amount :19A::OCMT//DEM ,02 :19A::OCMT//NDEM ,02 202: Field 19A: Other Amounts #1 through #5 Field 19A enables the broker/dealer to use up to five other amount fields to add a more detailed breakdown of fees, commissions, and taxes. Express negative amounts in these other amount fields. Use a Start-of-Block and End-of-Block field tag for each set of other amount fields. s :4!c//[N]3!a15d <qualifier>//[n]<iso currency code><amount> :19A::MARG//USD ,02 :19A::ISDI//NUSD ,02 Table 4.96 shows the settlement market codes used in field 19A for other amount #1, other amount #2, other amount #4, and other amount #5. Table 4.96 Settlement Market Codes Code CHAR ISDI LEVY Country Charges and fees Issue discount and allowance Payment levy tax MT515 - Trade Confirmation Messages 169

170 Table 4.96 Settlement Market Codes (continued) Code LOCO MACO MARG ORGV SHIP SPCN STAM STEX TRAN TRAX VATA WITH Country Local broker's commission Matching/confirmation fee Margin amount Original face value Shipping, including any postage charges Special concessions Stamp duty Stock exchange tax Transfer tax Transaction tax Value added tax Withholding tax Sequence E Other Parties Sequence E is a repetitive optional sequence containing interested parties details for the execution. MT515 Input allows you to enter up to three interested parties. Each repetition must use a Start and End Block field tag. 203: Field 95R: Report Receiver Type or Field 95P: Report Receiver BIC Field 95R or field 95P identifies the report receiver type. MERE s :4!c/8c/34x <MERE>/DTCYID/<report receiver type> :4!c//4!a2!a2!c[3!c] <MERE>//<report receiver BIC> Report Receiver Type :95R::MERE/DTCYID/ :95P::MERE// : Field 95R: Executing Broker/Dealer ID or Field 95P: Executing Broker/Dealer BIC Field 95R or field 95P identifies the executing broker/dealer. MEOR s :4!c/8c/34x <MEOR>/DTCYID/<executing broker dealer ID> :4!c//4!a2!a2!c[3!c] <MEOR>//<executing broker dealer BIC> Executing Broker Dealer :95R::MEOR/DTCYID/ :95P::MEOR//IPTYUS12XXX MT515 - Trade Confirmation Messages 170

171 205: Field 95a: Interested Party 1 Primary ID Number: Field 95R: Interested Party 1 DTC ID or Field 95P: Interested Party 1 BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. :4!c/8c/34x <INPA>/<DTCYID>/<interested party 1 dtc id number> :4!c//4!a2!a2!c[3!c] <INPA>/<DTCYID>/<interested party 1 bic identifier> INPA Interested Party 1 s :95R::INPA/DTCYID/12345 :95P::INPA//IPTYUS12XXX 206: Field 95S: Interested Party 1 Alternate ID Number, Interested Party 1 DTC ID, or Interested Party 1 BIC If the primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE s :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<interested party 1 alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/12345 :95S::ALTE/CORP/US/BIC/IPTYUS12XXX 207: Field 97A: Interested Party 1 Safekeeping Account Field 97A identifies Interested Party 1 s safekeeping (internal) account number. SAFE :4!c//35x <SAFE>//<interested party 1 safekeeping account> Safekeeping Account :97A::SAFE//INTERESTEDPTY : Field 70C: Supplemental Information Field 70C provides additional information about the sub-custodian. PACO :4!c//4*35x <PACO>//<narrative> Additional Sub-custodian Information :70C::PACO//BANKNCUS MT515 - Trade Confirmation Messages 171

172 209: Field 95a: Interested Party 2 Primary ID Number: Field 95R: Interested Party 2 DTC ID or Field 95P: Interested Party 2 BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. :4!c/8c/34x <INPA>/<DTCYID>/<interested party 2 dtc id number> :4!c//4!a2!a2!c[3!c] <INPA>//<interested party 2 bic identifier> INPA Interested Party 2 s :95R::INPA/DTCYID/12345 :95P::INPA//IPTYUS12XXX 210: Field 95S: Interested Party 2 Alternate ID Number, Interested Party 2 DTC ID, or Interested Party 2 BIC If the preceding primary identifier in field 95a contains a DTC ID number, the alternate identifier in field 95S can contain a BIC identifier. Conversely, if the preceding primary identifier contains a BIC identifier, the alternate identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<interested party 2 alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/12345 :95S::ALTE/CORP/US/BIC/IPTYUS12XXX 211: Field 97A: Interested Party 2 Safekeeping Account Field 97A identifies the safekeeping (internal) account number of interested party 2. SAFE :4!c//35x <SAFE>//<interested party 2 safekeeping account> Safekeeping Account :97A::SAFE//INTERESTEDPTY : Field 95a: Interested Party 3 Primary ID Number: Field 95R: Interested Party 3 DTC ID or Field 95P: Interested Party 3 BIC When the primary identifier is a DTC ID number, use format 95R, in which case the field can contain a maximum of eight whole numbers. When the primary number is a BIC, use format 95P, in which case the field can contain 11 characters. MT515 - Trade Confirmation Messages 172

173 BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. :4!c/8c/34x <INPA>/<DTCYID>/<interested party 3 dtc id number> :4!c//4!a2!a2!c[3!c] <INPA>//<interested party 3 bic identifier> INPA Interested Party 3 s :95R::INPA/DTCYID/12345 :95P::INPA//IPTYUS12XXX 213: Field 95S: Interested Party 3 Alternate ID Number, Interested Party 3 DTC ID, or Interested Party 3 BIC If the preceding Primary Identifier in field 95a contains a DTC ID number, the Alternate Identifier in field 95S can contain a BIC identifier. Conversely, if the preceding Primary Identifier contains a BIC identifier, the Alternate Identifier can contain a DTC ID number. BIC values reside on the standing instructions database (the ALERT platform). When a difference exists between the BIC value entered and the value on the ALERT platform, the value on the ALERT platform overlays the user entry. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<CORP>/<country code>/<type>/<interested party 3 alternate identifier> Alternate Identifier :95S::ALTE/CORP/US/DTC/12345 :95S::ALTE/CORP/US/BIC/IPTYUS12XXX 214: Field 97A: Interested Party 3 Safekeeping Account Field 97A identifies the interested party 3 s safekeeping (internal) account number. SAFE :4!c//35x <SAFE>//<interested party 3 safekeeping account> Safekeeping Account :97A::SAFE//INTERESTEDPTY : Field 95R: ID Net Number Field 95R identifies the ID net block. VEND :4!c/8c/34x <VEND>/<DTCY>/<id net block> ID Net :95R::VEND/DTCY/ :95R::VEND/DTCY/ MT515 - Trade Confirmation Messages 173

174 216: Field 95Q or 95R: Tri-Party Agent Number Field 95Q identifies the tri-party agent. Use when more than 34 characters of detail are required. Use field 95R in place of 95Q to report the tri-party agent. TRAG :4!c4!c//4*35x :4!c/[8c]/34x Tri-party Agent 95Q::TRAG//First Bank 463 Main Street New York, NY USA 95R::TRAG//First Bank If this field starts with one slash (/) or two slashes (//), DTCC rejects the SWIFT message. DTCC replaces all occurrences of a slash with a space before placing this field in an outbound message. Inbound messages are unaffected because the SWIFT network rejects all ields starting with a slash or containing two slashes. Sequence F REPO Sequence F is an optional sequence for REPOs. 217: Field 98A: End Date/Maturity Date Field 98A indicates the close date of the REPO or reverse REPO. The REPO interest stops accruing six months after the closing date. TERM :4!c//8!n <TERM>//<end date/maturity date> End Date/Maturity Date :98A::TERM// : Field 98A: First Flex Repayment Date Field 98A indicates the first date on which to base schedule of flex repayments. RERA :4!c//8!n <RERA>//<1st flex repayment date> First Flex Repayment Date :98A::RERA// MT515 - Trade Confirmation Messages 174

175 219: Field 22F: FIN Rate Type Field 22F specifies whether the rate is fixed or variable. RERT :4!c/[8c]/4!c <RERT>//<rate type> Repurchase rate :22F::RERT/DTCY/FIXE :22F::RERT/DTCY/VARI Table 4.97 indicates the FIN rate types used in field 22F. Table 4.97 FIN Rate Types Value FIXE VARI Description Fixed Variable 220: Field 22F: Accrual Method Field 22F indicates the calculation type used to arrive at the total interest payment on the trade. MICO 4!c/[8]/4c <MICO>//<accrual method code> Accrual Method :22F::/MICO/DTCY/A001 Table 4.98 indicates the accrual method codes used in field 22F. Table 4.98 Accrual Method Codes Value Description A000 Not specified A001 30/360 A002 30/365 A003 30/Actual A004 Actual/360 A005 Actual/365 A006 Actual/Actual A007 Actual/365L A099 Other MT515 - Trade Confirmation Messages 175

176 221: Field 20C: Additional Reference Number 1 Field 20C links buys and sells for SBB and BSB trades within their own internal systems or for any other reference numbers. :4!c//16x <REPO>//<reference number> REPO Additional Reference Number 1 :20C::REPO// If this field starts with one slash (/) or two slashes (//), the SWIFT message is rejected. DTCC replaces all occurrences of a slash with a space before placing this field in an outbound message. Inbound messages are unaffected because the SWIFT network rejects all fields starting with one slash or two slashes. 222: Field 20C: Additional Reference Number 2 Field 20C links buys and sells for SBB and BSB trades within their own internal systems or for any other reference numbers. :4!c//16x <SECO>//<reference number> SECO Additional Reference Number 2 :20C::SECO// If this field starts with one slash (/) or two slashes (//), DTCC rejects the SWIFT message..dtcc replaces all occurrences of a slash with a space before placing this field in an outbound message. Inbound messages are unaffected because the SWIFT network rejects all fields starting with one slash or two slashes. 223: Field 92A: FIN Rate Field 92A indicates the annual percentage return (as computed in accordance with standard industry practices) earned on a security. If supplied, this field must contain at least one whole number and a decimal comma in any position. Use numeric for all other positions. The rate sign, positive or negative, is optional. REPO :4!c//[N]15d <REPO>//[N]<fin rate> FIN Rate :92A::REPO//03 :92A::REPO//N03 MT515 - Trade Confirmation Messages 176

177 224: Field 92C: Index (Benchmark) Field 92C indicates the benchmark rate of interest accrual, associated with or considered a floating rate REPO. VASU :4!c/[8c]/24x <VASU>/DTCYINDX/<Benchmark.Value> Spread Rate :92C::VASU/DTCYINDX/10 Table 4.99 shows the benchmark values used in field 92C. Table 4.99 Benchmark Values Code Short Name Description 00 - Not specified 01 A$SW Australian Dollar Swap Rate 02 C$BA Canadian Dollar Bankers Acceptances 03 C$CMT Canadian Dollar Constant Maturity Treasury 04 CMT Constant Maturity Treasury 05 FFUND Federal Funds 06 GB$SW Sterling/US Dollar Swap Rate 07 GBSW Sterling Swap Rate 08 JYCMT Japanese Yen Constant Maturity Treasury 09 JYLIB Japanese Yen London Interbank Overnight Rate 10 LIBOR US Dollar London Interbank Overnight Rate 11 NIKKE NIKKEI 300 Index 12 PRIME Prime Rate 13 STLIB Sterling London Interbank Overnight Rate 14 US$SR US Dollar Swap Rate 15 INDU Dow Jones Industrial Average 16 $TRAN Dow Jones Transportation Average 17 $UTIL Dow Jones Utilities Average 18 $NDX NASDAQ 100 Index 19 $COMPQ NASDAQ Composite Index 20 $NYA NYSE Composite Index 21 $SPX S&P 500 Stock Index 22 $MID S&P 400 Midcap Stock Index 23 $OEX S&P 100 Stock Index 24 $IXCO NASDAQ High Technology Index 25 $PSE PSE High Technology Index 26 $MSH Morgan Stanley High Tech Index 27 $SOX Semiconductor Index MT515 - Trade Confirmation Messages 177

178 Table 4.99 Benchmark Values (continued) Code Short Name Description 28 $XMI AMEX Major Market Index 29 $XAX AMEX Composite Index 30 $TXSX-TC S&P/TSX 60 INDEX 31 $TSX-TC S&P/TSX Composite Index 32 $TSXC-TC S&P/TSX 300 Capped Index 33 $TNX 10 Year T- Interest Rate (X. 10) 34 $TYX 30 Year T-Bond Interest Rate (X. 10) 35 $XAU PHLX Gold And Silver Index 36 $XOI AMEX Oil and Gas 37 $XVG Value Line Index (Geometric) 38 $RUI RUSSELL $RUT RUSSELL $RUA RUSSELL : Field 92A: Haircut % Field 92A indicates the margin collateral associated with REPO type transactions to account for market or interest payments on the underlying securities. The percent (%) sign is optional. SHAI :4!c//[N]15d <SHAI>//[N]<haircut rate> Haircut Rate :92A::SHAI//03 :92A::SHAI//N03 226: Field 92A: Spread to Index or Benchmark Field 92A indicates the basis points away from the benchmark or index for the floating rate. The basis points applied to the benchmark determines the rate. The optional rate sign is available within the format. This field requires a decimal (comma). RSPR :4!c//[N]15d <RSPR>//[N]<spread rate> Spread Rate :92A::RSPR//420, :92A::RSPR//N420, MT515 - Trade Confirmation Messages 178

179 227: Field 99B: Call Delay Field 99B indicates the minimum number of days notice that a counterparty needs for terminating the transaction. The Sub-custodian SCD and Delivery Instructions fields share SWIFT value (REGI). Sub-custodian SCD provides four lines of information and the delivery instructions, lines 1 and 2, allows for two lines of information. There is no guarantee for the position of the data because themessage does not include blank lines. CADE :4!c//3!n <CADE>//<call delay> Call Delay :99B::CADE// : Field 99B: Number of Collateral Pieces Field 99B indicates the item count for the number of collateral pieces. TOCO :4!c//3!n <TOCO>//<number of collateral pieces> Collateral Pieces :99B::TOCO// : Field 19A: Security Lending Fee Field 19A contains the amount of the lending fee. For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. SWIFT requires a comma at the end of the 4!c3!n. FORF :4!c//[N]3!a15d <FORF>//[N]<lending fee> Forfeit Amount :19A::FORF//USD12345, :19A::FORF//NUSD12345, MT515 - Trade Confirmation Messages 179

180 230: Field 19A: REPO Value Field 19A indicates the market value of the security with haircut considered. DTCC rounds the market value using the appropriate market practice convention for that particular instrument in the REPO market. For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. DEAL :4!c//[N]3! <DEAL>//[N]<REPO Value> REPO Value :19A::DEAL//USD12345,68 :19A::DEAL//NUSD12345,68 231: Field 19A: Accrued Interest at Maturity Field 19A provides the calculated value derived from the REPO rate and the number of interest days. The amount can be positive or negative. For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. ACRU :4!c//[N]3!a15d <ACRU>//[N]<accrued interest> Accrued Interest :19A::ACRU//NUSD12345,67 232: Field 19A: Premium Amount Field 19A indicates the difference in money between the open and close legs of a REPO transaction. For more information, see the ISO country and currency codes section of the TradeSuite ID Input/Output Information guide available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. REPP :4!c//[N]3!a15d <REPP>//[N]<premium amount> Premium Amount :19A::REPP//USD12345,00 :19A::REPP//NUSD12345,00 MT515 - Trade Confirmation Messages 180

181 5. MT517 - TRADE AFFIRMATION MESSAGES This section describes the SWIFT MT517 trade affirmation messages. The designated affirming party sends the SWIFT MT517 trade affirmation message to DTCC to affirm the trade details contained in a trade confirmation (MT515). Designated affirming parties include the investment manager, agent bank, and interested party (if designated on ALERT as the affirming party). In localities where it is an accepted practice, after affirming the confirmation, it becomes a legally binding contract for both parties. The investment manager, agent, or interested party designated on the standing instruction database and registered at DTCC as the affirming party can use the MT517 message to affirm a trade. The broker/dealer or executing broker/dealer can elect to receive an MT517 affirmation instead of an MT509 affirmed status or MT515 affirmed confirmation message. The receiver s output is not dependent on the source network. The broker/dealer can receive the affirmed confirmation output over the SWIFT network or through the proprietary network of DTCC. Input Message Flow The investment manager, agent, or interested party (if designated on ALERT) can affirm a trade by sending an MT517 to DTCC. DTCC sends the following messages to all entities electing to receive affirmed trade confirmations: Affirmer receives an MT509 acknowledgment of a successful affirmation and can optionally elect to receive an MT515 Affirmed Confirm or MT509 Affirmed Confirm status message. Executing broker/dealer can optionally elect to receive an MT515 Affirmed Confirm, MT509 Affirmed Confirm Status Message, or MT517 Affirmation message. Investment manager, broker/dealer, and interested parties can, optionally, receive an MT515 Affirmed Confirm or MT509 Affirmed Confirm status message. Agent, clearing agent, agent sub-custodian, clearing broker, and broker/dealer subcustodian can, optionally, receive an MT515 Affirmed Confirm message or MT509 Affirmed Confirm status message. If the Affirmer s input fails the edit criteria, DTCC returns an MT509 Affirmed Confirm status message to the sender advising of the edit errors. MT517 - Trade Affirmation Messages 181

182 Output Message Flow Here is the output flow of the MT517 Affirmation message. The investment manager, agent, or interested party (if designated on the ALERT platform) can affirm a trade by sending an MT517 Trade Affirmation message to DTCC. The broker/dealer can elect to receive the MT517 affirmation from DTCC in lieu of an MT509 affirmed status or MT515 Affirmed Confirm message. Specifications This section explains the format specifications for MT517 trade affirmation messages. Start-of-Block and End-of-Block Fields SWIFT s TIC 3 messages are composed of a series of linking blocks containing related information. These blocks, called sequences and similar to mathematical equations, have an opening bracket (16R: Start-of- Block) and a closing bracket (16S: End-of-Block). To maintain their business relationship, group related information by sequences and specific repetitive fields. The values assigned to the block field identify the types of information grouped within the block, as shown in Table 5.1. Table 5.1 Sequences Sequence Description Value A General information mandatory GENL >>A1 Link to original message mandatory LINK The tables in this section include some symbols and key letters that indicate sequence and field conditions or rules. Here are the descriptions of the symbols and key letters. M = Mandatory O = Optional C = Conditional = No corresponding field >> = Repetitive sequence that requires a start-of-block and end-of-block field tags > = Repetitive field within a sequence When the mandatory (M), optional (O), or conditional (C) specification appears in the SWIFT or DTCC columns for both input and output messages, the specification applies only to input messages. MT517 - Trade Affirmation Messages 182

183 Sequence A General Information (Mandatory) Table 5.2 shows the mandatory general information for sequence A for 517 messages. This sequence is only repetitive for output messages. Table 5.2 Sequence A - General Information Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R GENL 4a Start of General Information Block M M Both See 1 on C SEME//16x :4!c//16x Sender Reference Number M Input See 2 on 184. SEME//9n :4!c//16x DTC Control Number Output 23G NEWM :4!c[4!c] Message Type Indicator M M Both See 3 on P 95R AFFM//11x :4!c//4!a2!a2!c [3!c] :4!c/8c/34x Affirming Party BIC Affirming Party TradeSuite ID Output See 4 on R AFFM/DTCYI/<party type>/<tradesuite ID> :4!c/8c/34x Affirming Party and TradeSuite ID M M Input See 5 on 185. AFFM/DTCYB/<party type>/<bic> Affirming Party and BIC Subsequence A1 link to original message Subsequence A1 is mandatory. It links the affirmation message to the original confirmation and confirmation number. DTCC processes one affirmation for each 517 message. Table 5.3 shows the subsequence A1 details. Table 5.3 Subsequence A1 - Link to Original Message Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R LINK 4a Start of Link Block M Both See 1 on A <LINK>//<515> :4!c//3!c Linked Transaction O Both See 6 on C RELA//9x :4!c//16x DTC Control Number M M Output See 7 on 186. COMM//12x :4!c//16x Broker/Dealer Confirm Number M M Input See 8 on S LINK 4a End of Link Block M Both See 1 on End of Subsequence A1 Link to Original Message S GENL 4a End of General Information Block M Both See 1 on 184. MT517 - Trade Affirmation Messages 183

184 Field Specifications for MT517 Affirmation Messages This section describes the field specifications for MT517 affirmation messages. On input, the parties who are authorized to affirm the confirm (investment manager, agent, or interested party) can submit an MT515 message to affirm the confirm. The TradeSuite ID service validates the affirming party as well as other business rules and changes the status of the confirm to Affirm, if appropriate. On output, the MT517 messages is sent to notify the parties of the affirmation if the party is set up for SWIFT. for Start and End of Block Delimiters Each sequence and subsequence opens with a Start-of-Block field and closes with an End-of-Block field to delimit the information. A carriage return/line feed (CRLF) delimits each SWIFT field/line. For more information, see Start-of-Block and End-of-Block Fields on : fields 16R and 16S: Start-of-Block and End-of-Block Here is the start-of-block and end-of-block format to open and close each sequence and subsequence. 4c :16R:GENL :16S:GENL Sequence A General Information Sequence A contains general user information and is mandatory. 2: Field 20C: Sender Reference Number or DTC Control Number Input and output. Mandatory. Field 20C contains the input of trade affirmations sent to DTCC. The Sender Reference Number field can contain a maximum 16-character reference number that uniquely identifies each message. Input cannot start or end with a slash (/) and cannot contain two consecutive slashes (//). For trade affirmation output from DTCC, this field contains the DTC control number in place of the sender reference number. The DTC control number is a nine-digit number generated by DTCC to uniquely identify each trade confirmation (MT515 message). This field is the DTCC reference for the affirming trade. Output cannot start or end with a slash (/) and cannot contain two consecutive slashes (//). (Input) SEME (Output) SEME :4!c//16x <SEME>//<sender reference> Sender Reference Number :20C::SEME//AFFMBK :4!c//16x <SEME>//<DTC control number> DTC Control Number :20C::SEME// MT517 - Trade Affirmation Messages 184

185 3: Field 23G: Message Type Indicator Input and output. Mandatory. Field 23G indicates the message type. The Message Type Indicator is NEWM. NEWM :4!c[4!c] <NEWM> Message Indicator :23G:NEWM 4: Field 95P: Affirming Party BIC or field 95R: Affirming Party TradeSuite ID Output. Mandatory. Field 95P indicates the affirming party s 11-character business identifier code (BIC). When the affirming party does not have a BIC or the BIC is unavailable, this field contains an eight-byte TradeSuite ID number. AFFM :4!c//4!a2!a2!c[3!c] or :4!c/8c/34x <AFFM>//<bic identifier> or <AFFM>/<DTCY>/<TradeSuite ID> Affirming party :95P::AFFM//AFFMUK61xxx :95R::AFFM/DTCY/ : Field 95R: Affirming Party and TradeSuite ID or Affirming Party and BIC Input. Mandatory. Field 95R indicates the affirming party can enter only one of the following numbers on the MT517 affirmation: 8-byte DTCC ID number with the user code DTCYI. 11-character BIC identifier with the user code DTCYB as the identifier. BIC values reside on the standing instructions database (ALERT platform). When a difference exists between the BIC value entered and the value residing on the ALERT platform, the value on the ALERT platform overlays the user entry. AFFM s :4!c/8c/3!c/34x <AFFM>/<DTCYI>/<party type>/<tradesuite ID> :4!c/8c/3!c/34x <AFFM>/<DTCYB>/<party type>/<bic> Affirming party :95R::AFFM/DTCYI/IIA/ :95R::AFFM/DTCYB/IIA/AFFMUK61MP1 Table 5.4 shows the party codes used in field 95R. Table 5.4 Party Types in Field 95R Party Type IIA IIV IPT Description Agent is the affirmer. Institutional investor is the affirmer. Interested party is the affirmer. MT517 - Trade Affirmation Messages 185

186 Subsequence A1 Link to Original Message Subsequence A1 is mandatory. It links the affirmation message to the original confirmation and confirmation number. DTCC processes one affirmation per MT517 message. 6: Field 13A: Linked Transaction Input and output. Optional. Field 13A indicates that the message linked to the MT517 message is an MT515 trade confirmation. LINK :4!c//3!c <LINK>//<515> Linked message :13A::LINK//515 7: Field 20C: DTC Control Number Output. Mandatory. Field 20C contains a DTC control number for output messages. The DTC control number is a nine-digit number generated by the TradeSuite ID service to uniquely identifies each trade confirmation (MT515 message). This field contains the TradeSuite ID reference for the affirming trade. RELA s :4!c//16x <RELA>//<DTC control number> DTC Control Number :20C::RELA// : Field 20C: Broker/Dealer Confirm Number Input. Mandatory. Field 20C contains a Broker/Dealer Confirm Number for input messages. The broker/dealer confirm number is the number assigned to the affirming trade by the broker/dealer. It can contain a maximum of 12 characters that uniquely identifies each message. COMM s :4!c//16x <COMM>//<broker/dealer confirm number> Broker/Dealer Confirm Number :20C::COMM//AFFMB MT517 - Trade Affirmation Messages 186

187 6. MT541 - RECEIVE SECURITIES AGAINST PAYMENT MESSAGES This section describes the SWIFT MT541 receive securities against payment messages. Use the receive securities against payment message to: Instruct a receipt of financial instruments against payment from a specified party. Request a cancellation against a previous payment instruction. Notify DTCC of a forthcoming Receive Against Payment instruction. Use the linkages sequence to link the instruction to other settlement instructions or to other transactions. Specifications This section explains the format specifications for MT541 receive security against payment messages. Start-of-Block and End-of-Block Fields The SWIFT TIC 3 messages contain a series of linking blocks containing related information. These blocks, called sequences and similar to mathematical equations, have an opening bracket (16R: Start-of-Block) and a closing bracket (16S: End-of-Block). To maintain their business relationship, group related information by sequences and specific repetitive fields. The values assigned to the block field identify the types of information grouped within the block, as shown in Table 6.1. Table 6.1 Sequences Sequence Description Value A General information. Mandatory. GENL A1 Linkages. LINK B Trade details. Mandatory. TRADDET B1 Financial instrument attributes. FIA C Financial instrument account. FIAC E Settlement details. SETDET E1 Settlement parties SETPRTY E3 Amounts AMT F Other parties. OTHRPRTY DTCC forwards or returns fields received on input, which can result in some conversions and enrichment. The tables in this section include some symbols and key letters that indicate sequence and field conditions or rules. Here are the descriptions of the symbols and key letters. M = Mandatory O = Optional C = Conditional = No corresponding field >> = Repetitive sequence that requires a start-of-block and end-of-block field tags > = Repetitive field within a sequence MT541 - Receive Securities Against Payment Messages 187

188 When the mandatory (M), optional (O), or conditional (C) specification appears in the SWIFT or DTCC columns for both input and output messages, the specification applies only to input messages. Sequence A General Information Input and output. Mandatory. Table 6.2 shows the mandatory general information for input and output MT541 messages. Table 6.2 Sequence A General Information (Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output (A) New Message 16R GENL 4c Start of General Information Block M Both See 1 on C SEME//9d :4!c//16x DTC Control Number M M Both See 2 on 196. SEME//16x Sender s Reference Number 23G NEWM 4!c Transaction Type M M Both See 3 on 197. (A) Cancellation 16R GENL 4c Start of Cancellation Block M Both See 1 on C SEME//9d :4!c//16x DTC Control Number M M Both See on G CANC 4!c Transaction Type M M Both See 3 on F TRTR/DTCY/C :4!c/ Cancellation Reason Code M M Both See 4 on nnn [8c]/4!c 197. MT541 - Receive Securities Against Payment Messages 188

189 Subsequence A1 Linked Transactions Input and output. Optional. Table 6.3 shows the optional repetitive subsequence A1 linkages for input and output MT541 messages. Table 6.3 Subsequence A1 Linked Transactions Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(A1) Common Reference Block (Mandatory DTCC) LINK 4c Start of Linkage Block M Both See 1 on C COMM//12x PREV//12x :4!c//16x Institution Block Reference ID M M Both See 5 on S LINK 4c End of Linkage Block M Both See 1 on 196. >>(A1) Common Reference Block Detail (Mandatory DTCC) 16R LINK 4c Start of Linkage Block M Both See 1 on C RELA//12x :4!c//16x Institution Detail Reference ID M M Both See 5 on S LINK 4c End of Linkage Block M Both See 1 on 196. >>(A1) Institution Order Routing Block (Optional) 16R LINK 4c Start of Linkage Block M Both See 1 on F TRTR/DTCY/IORN :4!c/ [8c]/4!c Institution Order Routing Number O Both See 6 on 1. 20C RELA//12x :4!c//16x Institution Detail Reference ID M M Both See 7 on S LINK 4c End of Linkage Block M Both See 1 on 196. Mandatory Sequence A General Information (continued) 16S GENL 4c End of General Information Block M Both See 1 on 196. MT541 - Receive Securities Against Payment Messages 189

190 Sequence B Trade Details Input and output. Mandatory. Table 6.4 shows the mandatory trade details for input and output MT541 messages. Table 6.4 Sequence B Trade Details (Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R TRADDET 7c Start of Trade Details Block M Both See 1 on A SETT//YYYYMMDD :4!c//8!n Settlement Date O M Both See 8 on B SETT//WISS :4!c/[8c]/4!c Settlement Type 98A TRAD//YYYYMMDD :4!c//8!n Trade Date M M Both See 9 on A DEAL//12d :4!c//15d Average Price (format dependent on security M M Both See 10 on B DEAL//3x12d :4!c//3!a15d type) 35B ISIN/12a [ISIN1!e12!c] [4*35x] Security ID Number M M/O Both See 11 on 201. One or more of the following Non-security identifier format: qualifiers: [4*35x] country code /2!a/9x ticket symbol /TS/31x proprietary scheme or /XX/31x security description Subsequence B1 Financial Instrument Attributes Input and output. Mandatory. Table 6.5 shows the mandatory financial instrument attributes for input and output MT541 messages. Table 6.5 Sequence B1 Financial Instrument Attributes(Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R FIA 3c Start of Financial Instruments Block M Both See 1 on A CLAS/ISIT/5x :4!c[8c]/30x Security Type or Classification Types Both See 12 on S FIA 3c End of Financial Instruments Block M Both See 1 on 196. MT541 - Receive Securities Against Payment Messages 190

191 Sequence B Trade Details (Continued) Input and output. Optional. Table 6.6 shows the optional trade details for input and output MT541 messages. Table 6.6 Sequence B - Trade Details (optional) Field Tag 22F 22F DTCC Value COSB//PERU COSB//FLAT COSB//PERC TTCO/ DTCY/CAMI SWIFT :4!c/[8c]/4!c :4!c/[8c]/4!c Field Name SWIFT DTCC Input Allocation Commission Type Indicator Cancellation After Matching Indicator Output s O O Both See 13 on 205. O O Both See 14 on 16S TRADDET 7c End of Trade Details Block M Both See 1 on Sequence C Financial Instrument Account Input and output. Mandatory. Table 6.7 shows the mandatory financial instrument account for input and output MT541 messages. Table 6.7 Sequence C Financial Instrument Account Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R FIAC 4c Start of Financial Instrument Block M Both See 1 on B SETT//FAMT SETT//UNIT :4!c//4!c/15d Share/Face Value M M Both See 15 on A SAFE//35x :4!c//35x Safekeeping Account - Agent Internal Account Number M Both See 16 on S FIAC 4c End of Financial Instrument Block M Both See 1 on 196. MT541 - Receive Securities Against Payment Messages 191

192 Sequence E Settlement Details Input and output. Mandatory. Table 6.8 shows the mandatory settlement details for input and output MT541 messages. For nested sequences, ensure each Start-of-Block field is paired with an End-of-Block field to delimit the information within each block. Table 6.8 Sequence E Settlement Details (Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R SETDET 6c Start of Settlement Details Block M Both See 1 on 22F STCO//PHYS :4!c//4!c PSET ISO Country Code Indicator O Both See 17 on F STCO//SPST :4!c//4!c Split Currency Settlement Indicator O O Both See 18 on 22F SETR//TRAD SETR//REPU 206. :4!c//4!c Trade Indicator M Both See 19 on 22F TTCO/DTCY/CAMI :4!c/[8c]/4!c Cancellation After Subsequence E1 settlement parties Input and output. Mandatory. Affirmation/Matching Indicator 206. O Both See 20 on Table 6.9 shows the mandatory settlement party details for input and output MT541 messages. Table 6.9 Sequence E1 Settlement Parties 207. Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output >>(E1) Settlement Location Block (mandatory) 16R SETPRTY 7c Start of Settlement Location Block M Both See 1 on P PSET/DTCYUS33xxx :4!a2!a2!c[3!c] Settlement Location M Both See 21 on C PSET/GB :4!c//2!a 16S SETPRTY 7c End of Settlement Location Block M Both See 1 on 196. >>(E1) Agent ID Block (mandatory) 16R SETPRTY 7c Start of Agent Block M/O Both See 1 on R 95P DECU/DTCYID/8n DECU//11x :4!c/a/[8c]/34x :4!c//4!a2!a2!c [3!c] Agent TradeSuite ID Agent BIC M O Both See 22 on 207. MT541 - Receive Securities Against Payment Messages 192

193 Table 6.9 Sequence E1 Settlement Parties (continued) Field Tag DTCC Value SWIFT 95S ALTE/DTCYID/CORP/US/8n :4!c/a/ [8c]/4!c/2!a/30x Field Name SWIFT DTCC Input s Output Alternate ID Number or Agent DTC ID Number O O Both See 23 on A SAFE//16x :4!c//35x Agent Internal Account Number M/O Both See 24 on S SETPRTY 7c End of Agent Block M Both See 1 on 196. >>(E1) Clearing Broker Block (mandatory) 16R SETPRTY 7c Start of Clearing Broker Block M Both See 1 on R DEAG/DTCYID/8n :4!c//4!a2!a2!c [3!c] Clearing Broker ID# M Both See 25 on P DEAG//11x :4!c/a/[8c]/34x Clearing BrokerBIC 95S ALTE/DTCYID/CORP/US/8n :4!c/ [8c]/4!c/2!a/30x Alternate Clearing Broker DTC ID O Both See 26 on A SAFE//16x :4!c//35x Clearing Broker Internal Account Number O Both See 27 on S SETPRTY 7c End of Clearing Broker Block M Both See 1 on >>(E1) Executing Broker Block (mandatory) R SETPRTY 7c Start of Executing Broker Block 95R SELL/DTCYID/8n :4!c/8c/34x Primary Executing Broker Number 95P SELL//11x :4!c//4!a2!a2!c [3!c] Primary Executing Broker BIC 95S ALTE/DTCYID/CORP/US/8n :4!c/ Alternate Executing Broker [8c]/4!c/2!a/30x Number or DTC ID 97A SAFE//16x :4!c//35x Broker Internal Account Number M Both See 1 on 196. M M Both See 28 on 209. O O Both See 29 on 209. M/O Both See 30 on S SETPRTY 7c End of Executing Broker Block M Both See 1 on 196. MT541 - Receive Securities Against Payment Messages 193

194 Sequence E3 Amounts Input and output. Mandatory. Table 6.10 shows the mandatory amount details for input and output MT541 messages. Table 6.10 Sequence E3 Amounts Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output >>(E3) Principal Amount Block (Optional) 16R AMT 3c Start of Principal Amount Block M Both See 1 on A DEAL//iso14d :4!c//3!a15d Principal Amount O O Both See 31 on S AMT 3c End of Principal Amount Block M Both See 1 on 196. >>(E3) Interest Block (optional) 16R AMT 3c Start of Interest Block M Both See 1 on A ACRU//iso11d :4!c//3!a15d Interest O O Both See 32 on S AMT 3c End of Interest Block M Both See 1 on 196. >>(E3) Commission Block (mandatory) 16R AMT 3c Start of Commission Block M Both See 1 on A EXEC//iso9d :4!c//3!a15d Commission M M Both See 33 on S AMT 3c End of Commission Block M Both See 1 on 196. >>(E3) Research Amount Block (optional) 16R AMT 3c Start of Research Amount Block M Both See 1 on A CHAR//iso9d :4!c//3!a15d Research Amount O O Both See 34 on S AMT 3c End of Research Amount Block M Both. See 1 on 196. >>(E3) Country Tax Block (optional) 16R AMT 3c Start of Country Tax Block M Both See 1 on A COUN//iso9d :4!c//3!a15d Country Tax O O Both See 35 on S AMT 3c End of Country Tax Block M Both See 1 on 196. >>(E3) Fees Block (optional) 16R AMT 3c Start of Fees Block M Both See 1 on A REGF//iso9d :4!c//3!a15d SEC Fees/Registration and Shipping Fees O O Both See 36 on S AMT 3c End of Fees Block M Both See 1 on 196. >>(E3) Other Charges Block (optional) 16R AMT 3c Start of Other Charges Block M Both See 1 on A OTHR//iso9d :4!c//3!a15d Other Charges O O Both See 37 on S AMT 3c End of Other Charges Block M Both See 1 on 196. MT541 - Receive Securities Against Payment Messages 194

195 Table 6.10 Sequence E3 Amounts (continued) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output >>(E3) Net Amount Block (mandatory) 16R AMT 3c Start of Net Amount Block M Both See 1 on A SETT//iso14d 4!c//3!a15d Net Amount M M Both See 38 on S AMT 3c End of Net Amount Block M See 1 on 196. Mandatory Sequence E - settlement details (continued) 16S SETDET 6c End of Settlement Details Block M Both See 1 on 196. Sequence F other party Input and output. Mandatory. Table 6.11 shows the mandatory other party details for input and output MT541 messages. Table 6.11 Sequence F Other Party Field DTCC Value SWIFT Field SWIFT DTCC Input s Tag Name Output >>(F) Message Receipt Block (mandatory) 16R OTHRPRTY 8c Start of Other Party Block 95R MERE/DTCYID/8n :4!c/8c/34x Message Recipient 95P MERE/11x :4!c//4!a2!a2!c [3!c] 16S OTHRPRTY 8c End of Other Party Block M Both See 1 on 196. M Both See 39 on 212. M Both See 1 on 196. >>(F) Institution Block (mandatory) 16R OTHRPRTY 8c Start of Other Party Block 95R MEOR/DTCYID/8n :4!c/8c/34x Primary Institution 95P MEOR//11x :4!c//4!a2!a2!c ID# [3!c] Institution BIC M Both See 1 on 196. M Both See 40 on 212. MT541 - Receive Securities Against Payment Messages 195

196 Table 6.11 Sequence F Other Party (continued) Field DTCC Value SWIFT Field SWIFT DTCC Input s Tag Name Output 95S ALTE/DTCYID/CORP/US/8n :4!c/ Alternate O O Both See 41 on 212. [8c]/4!c/2!a/30x ID Number Institution DTC ID 97A SAFE//16x :4!c//35x Institution Internal Account Number 16S OTHRPRTY 8c End of Other Party Block O Both See 42 on 213. M Both See 1 on 196. Field Specifications for MT541 Messages This section describes the field specifications for MT541 receive securities against payment messages. for Start and End of Block Delimiters Each sequence and subsequence opens with a Start-of-Block field and closes with an End-of-Block field to delimit the information. A carriage return/line feed (CRLF) delimits each SWIFT field/line. For more information, see Start-of-Block and End-of-Block Fields on : Fields 16R and 16S: Start-of-Block or End-of-Block Here is the start-of-block and end-of-block format to open and close each sequence and subsequence. 4c :16R:GENL :16S:GENL s for Sequence A General Information Sequence A contains mandatory general user information. 2: Field 20C: DTC Control Number or Sender s Reference Number Field 20C contains the DTC control number or sender's reference number. The type of reference number input in this field depends on whether it is a new message or a cancellation. For more information, see Error Codes on 241. New Message DTC control number (nine digits) or a sender reference number (maximum 16 characters). SEME :4!c//16x <SEME>//<sender reference id> Sender Reference Number :20C::SEME//SENDREF MT541 - Receive Securities Against Payment Messages 196

197 Cancellation DTC control number (nine digits) used for a message cancellation. SEME :4!c//16x <SEME>//<DTC control number> Sender Reference Number :20C::SEME// : Field 23G: Transaction Type Field 23G indicates the function of the message. The message can be a new confirmation or a broker cancellation of a previously sent MT515. 4!c <message type> :23G:NEWM :23G:CANC Table 6.12 shows the transaction types. Table 6.12 Transaction Types Type NEWM CANC Description New message or a resubmission. Request to cancel a previously sent confirmation. The Linked Reference field in 20C must contain the original broker confirm number for cancellations and rejections. For cancellation messages, complete all mandatory fields. 4: Field 22F: Cancellation Reason Code Field 22F contains a user code and values that depend on the message type entered in field 23G. Cancellation reason codes for common cancellations contain the reason the investment manager is canceling a prior allocation. For more information, see Error Codes on 241. TRTR s :4!c/[8c]/4!c <TRTR>/<DTCY>/<value dependent on message type> Trade Transmission Type :22F::TRTR/DTCY/C001 :22F::TRTR/DTCY/S001 MT541 - Receive Securities Against Payment Messages 197

198 Table 6.13 shows the message type values used in field 22F. Table 6.13 Message Type Values Field 23G Qualifier User Code Value Description NEWM TRTR DTCY NEWM New institution instruction message. NEWM TRTR DTCY REPL DTC error replacement II message. NEWM TRTR DTCY SUBS Substitution of previous II message. CANC TRTR DTCY Cnnn Snnn Investment manager cancellation of the institution instruction common record. Investment manager substitution of the institution instruction details. Subsequence A1 Linked Transactions This section contains the notes about the linked transactions for sequence A1. For more information, see Error Codes on : Field 20C: Institution Block Reference ID Field 20C specifies the reference number assigned to the original message. COMM or PREV :4!c//16x <qualifier>//<institution block reference ID> Block Reference ID :20C::COMM// :20C::PREV// Table 6.14 shows the institution block message types used in field 20C. Table 6.14 Institution Block Reference ID Message Type Qualifier Length of reference ID New COMM 12 characters Cancellation PREV 12 characters 6: Field 22F: Institution Order Routing Number Field 22F is an optional field that enables the investment manager to identify orders, route the order to specific vendor terminals, or both. If the Institution Order Routing Number Code field is blank or contains spaces, this sequence (link) is not included. TRTR :4!c/[8c]/4!c <TRTR>/<DTCY>/<institution order routing number> Order Routing Number :22F::TRTR/DTCY/IORN MT541 - Receive Securities Against Payment Messages 198

199 7: Field 20C: Institution Detail Reference ID Field 20C specifies the reference number assigned to the original message. RELA :4!c//16x <RELA>//<institution detail reference ID> Detail Reference Number :20C::RELA// s for Sequence B Trade Details This section contains the notes about the trade details for sequence B. 8: Field 98A: Settlement Date or field 98B: Settlement Type Field 98A: Settlement Date Field 98A includes the date the trade was settled or the trade type. Regular Way trades require the settlement date in YYYYMMDD format. When-Issued trades use the settlement type, not the settlement date. SETT :4!c//8!n <SETT>//<settlement date> Settlement :98A:: Field 98B: Settlement Type Field 98B includes the date the trade was settled or the trade type. Use when trades do not have a settlement date in field 98A and require a WISS or When-Issued code. SETT :4!c/[8c]//4!c <SETT>//<settlement type> Settlement Type :98A::SETT//WISS 9: Field 98A: Trade Date Field 98A includes the trade date in YYYYMMDD format. TRAD :4!c//8!n <TRAD>//<trade date> Trade Date :98A::TRAD// MT541 - Receive Securities Against Payment Messages 199

200 10: Field 90A or 90B: Average Price Field 90A or 90B contains the average price for the trade. The currency code (90B) is based on the currency code. Otherwise, the format is without a currency code (90A). DEAL s :4!c//15d <DEAL>//<Average Price> :4!c//3!a15d <DEAL>//<currency code><average Price> Average Price :90A://DEAL/10000,00 :90B://DEAL/SSH10000,00 ;For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information, available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. MT541 - Receive Securities Against Payment Messages 200

201 11: Field 35B: Security Identifier Field 35B indicates the identification number assigned to the traded security. Enter a valid CUSIP, SEDOL, or ISIN number when the security numbering system is US (CUSIP), GB (SEDOL), or IS (ISIN) respectively. ISIN identifiers can use the ISIN-formatted field; enter all non-isin identifiers on lines 1 4 of the narrative field. Ensure that the ISO country code is present, in /2!a/ format, when using a non-isin number. Use the Narrative field for a second security identifier with its ISO code (/2!a/); however, DTCC does not validate it. Use a bilaterally agreed upon or proprietary numbering scheme (/XX/) in the Narrative field. X(02) = ISIN country code for ISIN only; otherwise, spaces. X (09) = Security Number If the security identifier is less than 9 bytes in length, left-justified, space-filled to the right. Security Identifier is not validated when the Security Numbering system is not CUSIP (U.S.), SEDOL (GB), or ISIN (IS). Security translation When using the security translation, the first line contains the user s inputted security number. On output, the first two lines of the narrative field contain the following security number types: Line 1 Line 2 Converted security number. When line 1 contains a translated number, line 2 contains the Original Security Number used on input. [ISIN1!e12!c] [4*35x] [4*35x] <isin numbering scheme> <narrative> ISIN :35B:ISIN AN Z DESCRIPTION SEDOL :35B:/GB/SLP2345 DESCRIPTION CUSIP :35B:/US/OACK56789 User- Oriented DESCRIPTION :35B:/XX/GTH123 DESCRIPTION When using a user-originated, bilaterally agreed upon, or proprietary numbering scheme (/99/) in the Narrative field, ensure that the definition of the user-oriented field contains an agreement between the parties. MT541 - Receive Securities Against Payment Messages 201

202 Table 6.15 shows the code words used in field 35B. For the ISO country codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID service 8.0 section of the Institutional Trade Matching - Learning Center. Table 6.15 Code Words Code Word /2!a/10!x /TS/31x /XX/31x Description ISO two-digit country code, followed by the national numbering scheme, such as CUSIP. Ticker symbol. Bilaterally agreed or proprietary scheme. Table 6.16 shows the national numbering schemes used in field 35B. Table 6.16 National Numbering Schemes National Numbering Description Schemes AT Wertpapierkennummer (Austria) AU Australia BE Secretariat des Valeurs Mobilieres-SVM (Belgium) BR Brazil CE CEDEL CH Valorennummer (Switzerland) DE Wertpapierkennummer (Germany) DK Fondskode (Denmark) ES Spain EU Euroclear FR SICOVAM (France) GB SEDOL (United Kingdom) IE Ireland IS ISIN IT CODICE UIC (Italy) JP QUICK (Japan) LU Luxembourg MX Mexico NL Netherlands NO Norway RU Reuters SE Sweden US CUSIP (United States) XS Common Code (CEDEL/Euroclear) 99 User Originated MT541 - Receive Securities Against Payment Messages 202

203 s for Subsequence B1 Financial Instrument Attributes 12: Field 12A: Security Type or Classification Types Field 12A contains a valid security type. Matching non-dtcc-eligible securities requires a value other than spaces. Use the miscellaneous MSC code only for allocation of financial instruments that are not securities (that is, a foreign exchange trade). :4!c/[8c]/30x <CLAS>/<ISIT>/<security type> :12A::CLAS/ISIT/CS These values are used to establish parent/child relationships among securities within the standing instructions database. Table 6.17 shows the security types used in field 12A. Table 6.17 Security Types Security Type Description ABS Asset-backed securities AGS Agencies, such as SBA and TVA BAS Banker s acceptances CDS Corporate debt securities CER Representative certificates CMO Collateralized mortgage obligation COD Certificate of deposit CON Convertible bond CPA CPA commercial paper CPN Coupons CSH U.S. cash wire CS1 U.S. cash wire 1 CS2 U.S. cash wire 2 CS3 U.S. cash wire 3 CS4 U.S. cash wire 4 CS5 U.S. cash wire 5 EBD Eurobonds ECD Euro CD ECP Euro CP ENT Euronotes FIN Financial FMR Freddie Mac REMICS MT541 - Receive Securities Against Payment Messages 203

204 Table 6.17 Security Types (continued) Security Type FNM FNR FPA FRM GDS GMR GNM ITS MBS MMI MSC MTN MUN NSD OMB OMM OPC OPS PRC PRS RTE RTS SHS TBI TEM TRB TRN TRS UNT WTS XCP Description Federal national mortgage association (Fannie Mae) Fannie Mae REMICS Face, principal, or nominal amount Freddie Mac Government debt securities Ginnie Mae REMICS Government national mortgage association (Ginnie Mae) Indexed treasury securities Mortgage-backed securities Money market instruments Miscellaneous Medium term notes Municipal bonds Non-U.S. sovereign debt Other mortgage-backed securities (whole loan) Other money market instruments Options contracts Option shares Premium contracts Premium shares Rentes Rights Equities (shares) Treasury bills Tax exempt money markets Treasury bonds Treasury notes Treasury strips Units Warrants Tax exempt commercial paper MT541 - Receive Securities Against Payment Messages 204

205 s for Sequence B Trade Details (continued) 13: Field 22F: Allocation Commission Type indicator Here is the format for the allocation commission type indicator. COSB :4!c/[8c]/4!c <COSB>//<Allocation Commission Type> Allocation Commission Type Indicator :22F::COSB//PERU Table 6.18 shows the commission type indicator used in field 22F. Table 6.18 Commission Type Indicators Value PERU SOFT FLAT Description Per unit of financial instrument. When the indicator is cents per share or fixed dollar, the commission fee is numeric. Commission type is a percentage commission. Commission sharing basis is a flat fee for the allocation. 14: Field 22F: Cancellation After Matching indicator Field 22F indicates the format for the cancellation after matching indicator (CAMI). TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<cancel after match> Cancellation After Matching Indicator :22F::TTCO/DTCY/CAMI s for Sequence C Financial Instrument Account Sequence C contains Financial Instrument Account details for the traded securities and is mandatory. 15: Field 36B: Execution Shares/Face Value Field 36B indicates the total shares or face value of the traded security. The qualifier indicates whether the quantity is in shares or face amount. Valid values must range between nine whole numbers (plus a decimal comma) with five decimal places and 12 whole numbers (plus a decimal comma) with two decimal places. Valid formats include: 9n,5n 10n,4n 11n,3n 12n,2n When-Issued and When-Distributed trades can be equal to zero. SETT :4!c//4!c/15d <SETT>//<account type>/<amount or quantity> Quantity of Financial Instrument in Notice of Order Execution :36B::SETT//FAMT/ ,99999 :36B::SETT//UNIT/10000 MT541 - Receive Securities Against Payment Messages 205

206 Table 6.19 shows the financial instrument account types used in field 36B. Table 6.19 Financial Instrument Account Types Value FAMT UNIT Description Quantity expressed as a face amount Quantity expressed as a number (count) 16: Field 97A: Safekeeping Account Agent Internal Account Number Field 97A indicates the safekeeping account agent internal account number. SAFE :4!c//35x <SAFE>//<agent safekeeping account> Safekeeping Account :97A::SAFE//AGENTNUM s for Sequence E Settlement Details 17: Field 22F: PSET ISO Country Code Indicator Input and output. Optional. Field 22F is required if PSET is an ISO country code. Omit this field if PSET references a CSD (Depository) BIC. For the ISO country codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. STCO :4!c//4!c <STCO>//<PHYS> PSET ISO Country Code Indicator :22F::STCO//PHYS 18: Field 22F: Split Currency Settlement Indicator Field 22F indicates the split currency indicator that identifies when securities and cash settle in different locations. If the split currency indicator equals Y, DTCC includes this field. If it does not equal Y, DTCC omits this field from the output. STCO :4!c//4!c <STCO>//<SPST> Settlement Condition Indicator :22F::STCO//SPST 19: Field 22F: Trade Indicator Field 22F contains the trade indicator. SETR s :4!c//4!c <SETR>//<trade indicator> Trade Indicator :22F::SETR//TRAD :22F::SETR//REPU MT541 - Receive Securities Against Payment Messages 206

207 Table 6.20 shows the transaction types used in field 22F. Table 6.20 Transaction Indicator Value TRAD REPU Description Trade Repurchase 20: Field 22F: Cancellation After Affirmation/Matching Indicator Field 22F indicates that the broker/dealer attempted to cancel a trade after matching or affirmation. CAMI :4!c/[8c]/4!c <TTCO>/<DTCY>/<cancel after match> Cancellation After Matching :22F::TTCO/DTCY/CAMI s for Sequence E1 Settlement Parties Subsequence E1 contains information about the settlement location, agent, clearing broker, and executing broker. It is mandatory. 21: Field 95P or 95C: Settlement Location Field 95P or 95C indicates the settlement location. PSET :4!a2!a2!c[3!c] or 4!c//2!a <PSET>/<place of settlement> Place of Settlement :95P::PSET/DTCUS33 :95C::PSET//GB 22: Field 95R: Agent TradeSuite ID or Field 95P: Agent BIC Field 95R: Agent TradeSuite ID Field 95R indicates the agent TradeSuite ID, up to eight digits. DECU :4!c/a/[8c]/34x <DECU>/<DTCYID>/<TradeSuite ID> TradeSuite ID or Agent ID Number :95R::DECU/DTCYID/ Field 95P: Agent BIC Field 95P indicates the Agent BIC. DECU :4!c//4!a2!a2!c[3!c] DECU//<agent BIC> Agent BIC :95P::DECU//AGTFUS34XXX MT541 - Receive Securities Against Payment Messages 207

208 23: Field 95S: Alternate ID Number or Agent DTC ID Number Field 95S indicates the alternate ID number or agent DTC ID number. ALTE 4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate Identifier :95S::ALTE/DTCYID/CORP/US/ : Field 97A: Agent Internal Account Number Field 97A indicates the agent internal account number, up to 35 characters. SAFE :4!c//35x <SAFE>//<agent safekeeping account> Safekeeping Account :97A::SAFE//ABC : Field 95R: Clearing Broker ID# or Field 95P: Clearing Broker BIC Field 95R: Clearing Broker ID# Field 95R indicates the clearing broker TradeSuite ID number, up to eight digits. DEAG :4!c/a/[8c]/34x <DEAG>/<DTCYID>/<TradeSuite ID> Delivering Agent :95R::DEAG/DTCYID/ Field 95P: Clearing Broker BIC Field 95P indicates the clearing broker/dealer BIC. DEAG :4!c//4!a2!a2!c[3!c] <DEAG>//<clearing broker BIC> Delivering Agent :95P::DEAG// : Field 95S: Alternate Clearing Broker DTC ID Field 95S indicates the alternate clearing broker ID number. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID service> Alternate Identifier :95S::ALTE/DTCYID/CORP/US/ MT541 - Receive Securities Against Payment Messages 208

209 27: Field 97A: Clearing Broker Internal Account Number Input and output. Optional. Field 97A indicates the clearing broker internal account number. SAFE :4!c//35x <SAFE>//<clearing Agent internal account> Safekeeping Account :95S::SAFE// : Field 95R: Primary Executing Broker Number or Field 95P: Primary Executing Broker BIC Field 95R: Primary Executing Broker Number Field 95R indicates the executing broker/dealer TradeSuite ID service, up to eight digits. SELL :4!c/8c/34x <SELL>/<DTCYID>/<TradeSuite ID> Seller TradeSuite ID :95R::SELL/DTCYID/ Field 95P: Primary Executing Broker BIC Field 95P indicates the executing broker/dealer BIC. SELL :4!c//4!a2!a2!c[3!c] <SELL>//<executing broker BIC> Seller TradeSuite ID :95P::SELL//XCRCUS97XXX 29: Field 95S: Alternate Executing Broker Number or DTC ID Field 95S indicates the alternate ID number of the executing broker, up to eight digits. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate Identifier :95S::ALTE/DTCYID/CORP/US/ : Field 97A: Broker Internal Account Number Input and output. Mandatory or Optional (SWIFT). Field 97A indicates the broker/dealer internal account number, up to 12 characters. SAFE :4!c//35x <SAFE>//<TradeSuite ID> Safekeeping Account :95S::SAFE// MT541 - Receive Securities Against Payment Messages 209

210 s for subsequence E3 Amounts Subsequence E3 contains information about amounts such as principal, interest, commissions, and taxes. It is mandatory. For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. 31: Field 19A: Principal Amount Field 19A contains the ISO currency code, and trade amount (Share/Face value times Price). The TradeSuite ID service supports up to 14 digits or 13 digits and one comma. DEAL :4!c//3!a15d <DEAL>//<currency code and principal amount> Principal Amount :19A::DEAL//USD ,12 32: Field 19A: Interest Field 19A specifies the interest accrued on a bond that is accounted for in its sale. The TradeSuite ID service supports up to 11 digits or 10 digits and one comma. ACRU :4!c//3!a15d <ACRU>//<currency code and interest> Interest :19A::ACRU//USD ,00 33: Field 19A: Commission Field 19A indicates the amount for the broker commission, interest, SEC fees, registration fees, and shipping fees, country tax, other charges, principal amount, or net amount, depending on the qualifier. The TradeSuite ID service supports up to nine digits or eight digits and one comma. EXEC :4!c//3!a15d <EXEC>//<currency code and commission> Broker Commission :19A::EXEC//USD , 34: Field 19A: Research Amount Field 19A specifies the amount of money paid for the provision of financial services that cannot be categorized by another qualifier. This field is used for the research amount per the MiFID II initiative. The LOCL qualifier used in the original Local Tax field has been replaced with the CHAR qualifier in this Research Amount field. CHAR s :4!c//[N]3!a15d <CHAR>//[N]<research amount> Research Amount :19A::CHAR//USD ,02 :19A::CHAR//NUSD ,02 MT541 - Receive Securities Against Payment Messages 210

211 35: Field 19A: Country Tax Field 19A specifies the ISO currency code and the country, national, or federal tax that applies to this transaction. This field is also used for American depositary receipt (ADR) foreign taxes. The TradeSuite ID service supports up to nine digits or eight digits and one comma. COUN :4!c//3!a15d <COUN>//<currency code and country tax> Country/National Tax :19A::COUN//USD123456,12 36: Field 19A: SEC Fees/Registration and Shipping Fees Field 19A specifies the ISO currency code and regulatory fees, such as securities fees, exchange fees, registration fees, and shipping amounts. The TradeSuite ID service supports up to nine digits or eight digits and one comma. REGF :4!c//3!a15d <REGF>//<currency code and fees> Regulatory Fees :19A::REGF//USD123456,12 37: Field 19A: Other Charges Field 19A contains the ISO currency code and the sum of any charges that apply to this transaction for which no other field is designated. The TradeSuite ID service supports up to nine digits or eight digits and one comma. OTHR :4!c//3!a15d <OTHR>//<currency code and other charges> Other Charges :19A::OTHR//USD123456,12 38: Field 19A: Net Amount Field 19A contains the ISO currency code and the cash settlement amount that is equal to the principal amount plus or minus any commissions, fees, taxes, or other charges. The TradeSuite ID service supports up to 14 digits or 13 digits and one comma. SETT :4!c//3!a15d <SETT>//<currency code and net amount> Net Amount :19A::SETT//USD ,12 MT541 - Receive Securities Against Payment Messages 211

212 s for Sequence F other party Sequence F contains information about other parties and is mandatory. 39: Field 95R or 95P: Message Recipient Field 95R or 95P indicates the detail message recipient. MERE :4!c/8c/34x <MERE>/<DTCYID>/<TradeSuite ID> :4!a2!a2!c[3!c] <MERE>/<DTCYID>/<BIC> Message Recipient :95R::MERE/DTCYID/ :95P::MERE//GBXVUS37XXX 40: Field 95R: Primary Institution ID or Field 95P: Institution BIC Field 95R: Primary Institution ID Field 95R indicates the primary investment manager identifier. MEOR :4!c/8c/34x <MEOR>/<DTCYID>/<primary institution TradeSuite ID> Institution TradeSuite ID :95R::MEOR/DTCYID/ Field 95P: Institution BIC Field 95P indicates the investment manager BIC. MEOR :4!c//4!a2!a2!c[3!c] <MEOR>//<institution BIC> Institution BIC :95P::MEOR//RGHJUS61XXX 41: Field 95S: Alternate ID Number: Institution DTC ID Field 95S indicates the alternate TradeSuite ID number of the investment manager. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate Identifier :95S::ALTE/DTCYID/CORP/US/ MT541 - Receive Securities Against Payment Messages 212

213 42: Field 97A: Institution Internal Account Number Field 97A indicates the institution internal account number, up to 16 characters. SAFE :4!c//35x <SAFE>//<institutional internal account> Institutional Internal Account :97A::SAFE//ABC MT541 - Receive Securities Against Payment Messages 213

214 7. MT543 - DELIVER SECURITIES AGAINST PAYMENT MESSAGES This section describes the SWIFT MT543 deliver securities against payment messages. Use these messages to: Instruct the delivery of financial instruments against payment to a specified party. Request the cancellation of a previous Deliver Against Payment instruction. Notify DTCC of a forthcoming Deliver Against Payment Instruction. Use the linkages sequence to link the instruction to other settlement instructions, for example turnaround, back-to-back, or other transactions, such as a foreign exchange deal. Specifications This section explains the format specifications for MT543 deliver security against payment messages. Start-of-Block and End-of-Block Fields The SWIFT Trade Initiation and Confirmation (TIC 3) messages contain a series of linking blocks containing related information. These blocks, called sequences and similar to mathematical equations, have an opening bracket (16R: Start-of-Block) and a closing bracket (16S: End-of-Block). To maintain their business relationship, group related information by sequences and specific repetitive fields. The values assigned to the block field identify the types of information grouped within the block, as shown in Table 7.1. Table 7.1 Sequences Sequence Description Value A Mandatory general information. GENL >>A1 Optional linked transactions. LINK B Mandatory and optional trade details. TRADDET B1 Mandatory financial instrument attributes. FIA C Financial instrument account. FIAC E Mandatory settlement details. SETDET >>E1 Mandatory settlement parties. SETPRTY >>E3 Amounts. AMT >>F Other parties. OTHRPRTY DTCC forwards or returns fields received on input, which can result in some conversions and enrichment. The tables in this section include some symbols and key letters that indicate sequence and field conditions or rules. Here are the descriptions of the symbols and key letters. M = Mandatory O = Optional C = Conditional = No corresponding field MT543 - Deliver Securities Against Payment Messages 214

215 >> = Repetitive sequence that requires a start-of-block and end-of-block field tags > = Repetitive field within a sequence When the mandatory (M), optional (O), or conditional (C) specification appears in the SWIFT or DTCC columns for both input and output messages, the specification applies only to input messages. Sequence A General Information Input and output. Mandatory. Table 7.2 shows the sequence A mandatory general information for MT543 input and output messages. Table 7.2 General Information (Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output (A) New Message 16R GENL 4c Start of General Information Block M Both See 1 on C SEME//9d :4!c//16x DTC Control Number M M Both See 2 on 225. SEME//16x Sender s Reference Number 23G NEWM 4!c Transaction Type M M Both See 3 on 225. (A) Cancellation 16R GENL 4c Start of Cancellation Block M Both See 1 on C SEME//9d :4!c//16x DTC Control Number M M Both See 2 on G CANC 4!c Transaction Type M M Both See 3 on F TRTR/DTCY/C :4!c/[8c]/4!c Transaction Type Indicator M M Both See 4 on nnn 226. Cancellation Reason Code MT543 - Deliver Securities Against Payment Messages 215

216 Subsequence A1 Linked Transactions Input and output. Optional. Table 7.3 shows the optional repetitive subsequence A1 linkages for MT543 input and output messages. Table 7.3 Subsequence A1 Linked Transactions Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output >>(A1) Common Reference Block (Mandatory DTCC) 16R LINK 4c Start of Linkage Block M Both See 1 on C COMM//12x or PREV//12x :4!c//16x Institution Block Reference ID M M Both See 5 on S LINK 4c End of Linkage Block M Both See 1 on 225. >> (A1) Common Reference Block Detail (Mandatory DTCC) 16R LINK 4c Start of Linkage Block M Both See 1 on C COMM//12x PREV//12x :4!c//16x Institution Detail Reference ID M M Both See 6 on S LINK 4c End of Linkage Block M Both See 1 on 225. >> (A1) Institution Order Routing Block (Optional) 16R LINK 4c Start of Linkage Block M Both See 1 on F LINK/DTCY/IORN :4!c/[8c]/4!c Institution Order Routing Number Code O Both See 7 on C RELA//12x :4!c//16x Institution Detail Reference ID M M Both See 6 on S LINK 4c End of Linkage Block M Both See 1 on 225. Mandatory Sequence A General Information (continued) 16S GENL 4c End of General Details Block M Both See 1 on 225. MT543 - Deliver Securities Against Payment Messages 216

217 Sequence B Trade Details Input and output. Mandatory. Table 7.4 shows the sequence B mandatory trade details for MT543 input and output messages. Table 7.4 Sequence B Trade Details (Mandatory) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R TRADDET 7c Start of Trade Details Block M Both See 1 on A SETT//YYYYMMDD :4!c//8!n Settlement Date O M Both See 8 on B SETT//WISS :4!c/[8c]/4!c Settlement Type 98A TRAD//YYYYMMDD :4!c/8!n Trade Date M M Both See 9 on A DEAL/12d :4!c//4!c/15d Average Price M M Both See 10 on 90B DEAL/3x12d :4!c//4!c/3!a15d (format dependent on the security type) B ISIN/12a One or more of the following qualifiers: [ISIN1!e12!c] [4*35x] [4*35x] Security ID number Non-security identifier format: M M/O Both See 11 on 229. /2!a/9x country code /TS/31x ticket symbol /XX/31x proprietary scheme or security description Subsequence B1 Financial Instrument Attributes Input and output. Mandatory. Table 7.5 shows the sequence B mandatory financial instrument attributes for MT543 input and output messages. Table 7.5 Subsequence B1 - financial instrument attributes (mandatory) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R FIA 3c Start of Financial Instrument Block M Both See 1 on A CLAS/ISIT/5x :4!c[8c]/30x Security Type or Classification Types Both See 12 on S FIA 3c End of Financial Instrument Block M Both See 1 on 225. MT543 - Deliver Securities Against Payment Messages 217

218 Sequence B Trade Details (Continued) Input and output. Optional. Table 7.6 shows the sequence B optional trade details for MT543 input and output messages. Table 7.6 Sequence B - Trade Details (Optional) Field Tag DTCC Value SWIFT 22F COSB//PERU COSB//FLAT COSB//PERC :4!c/[8c]/4!c Field Name SWIFT DTCC Input Allocation Commission Type Indicator 22F TTCO/DTCY/CAMI :4!c/[8c]/4!c Cancellation After Matching Indicator Output s O O Both See 13 on 232. O O Both See 14 on S TRADDET 7c End of Trade Detail Block M Both See 1 on Sequence C Financial Instrument Account Input and output. Mandatory. Table 7.7 shows the sequence C mandatory financial instrument account details for MT543 input and output messages. Table 7.7 Sequence C - Financial Instrument Account Details 225. Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 16R FIAC 4c Start of Financial Instrument Account Block M Both See 1 on B SETT//FAMT SETT//UNIT :4!c//4!c/15d Share/Face Value M M Both See 15 on A SAFE//35x 4!c//35x Safekeeping Account - Agent Internal Account Number M Both See 16 on S FIAC 4c End of Financial Instrument Account Block M Both See 1 on 225. MT543 - Deliver Securities Against Payment Messages 218

219 Sequence E Settlement Details Input and output. Mandatory. Table 7.8 shows the sequence E mandatory settlement details for MT543 input and output messages. Table 7.8 Sequence E - Settlement Details (Mandatory) Field DTCC Value SWIFT Field Name SWIFT DTCC Input s Tag Output 16R SETDET 6c Start of Settlement Details Block M Both See 1 on F STCO//PHYS :4!c//4!c PSET ISO Country Code Indicator O Both See 17 on F STCO//SPST :4!c//4!c Split Currency Settlement Indicator O O Both See 18 on F SETR//TRAD SETR//REPU :4!c//4!c Trade Indicator M Both See 19 on F TTCO/DTCY/CAMI :4!c/[8c]/4!c Cancellation After Affirmation/Matching Indicator O Both See 20 on 234. MT543 - Deliver Securities Against Payment Messages 219

220 Subsequence E1 Settlement Parties Input and output. Mandatory. Table 7.9 shows the subsequence E1 mandatory settlement parties for MT543 input and output messages. Table 7.9 Subsequence E1 - Settlement Parties (Mandatory) Field Tag DTCC Value SWIFT Field SWIFT DTCC Input s Name Output >>(E1) Settlement Location Block (mandatory) 16R SETPRTY 7c Start of Settlement Location Block 95P PSET/DTCYUS33xxx :4!a2!a2!c[3!c] Settlement Location 95C PSET/GB :4!c//2!a 16S SETPRTY 7c End of Settlement Location Block M Both See 1 on 225. M Both See 21 on 235. M Both See 1 on 225. >>(E1) Agent ID Block (mandatory) 16R SETPRTY 7c Start of Agent Block 95R RECU/DTCYID/8n :4!c/a/[8c]/34x Agent ID 95P RECU//11xx :4!c//4!a2!a2!c Agent BIC [3!c] 95S ALTE/DTCYID/CORP/US/8n :4!c/a/ Alternate [8c]/4!c/2!a/30x ID Number or Agent DTC ID Number 97A SAFE//16x :4!c//35x Agent Internal Account Number 16S SETPRTY 7c End of Agent Block M Both See 1 on 225. M O Both See 22 on 236. O O Both See 23 on 236. M/O Both See 24 on 236. M Both See 1 on 225. >>(E1) Clearing Broker Block (mandatory) MT543 - Deliver Securities Against Payment Messages 220

221 Table 7.9 Subsequence E1 - Settlement Parties (Mandatory) (continued) Field Tag DTCC Value SWIFT Field SWIFT DTCC Input s Name Output 16R SETPRTY 7c Start of Clearing Broker Block 95R REAG/DTCYID/8n :4!c/a/[8c]/34x Clearing Broker ID 95P RECU//11x :4!c//4!a2!a2!c [3!c] Clearing Broker BIC 95S ALTE/DTCYID/CORP/US/8n :4!c/ Alternate [8c]/4!c/2!a/30x Clearing Broker DTC ID 97A SAFE//16x :4!c//35x Clearing Broker Internal Account Number 16S SETPRTY 7c End of Clearing Broker Block M Both See 1 on 225. M Both See 25 on 236. O Both See 26 on 237. O Both See 27 on 237. M Both See 1 on 225. >>(E1) Executing Broker Block (mandatory) 16R SETPRTY 7c Start of Executing Broker Block 95R BUYR/DTCYID/8n :4!c/8c/34x Primary Executing Broker 95P BUYR//11x :4!c//4!a2!a2!c Number [3!c] Executing Broker BIC M Both See 1 on 225. M M Both See 28 on 237. MT543 - Deliver Securities Against Payment Messages 221

222 Table 7.9 Subsequence E1 - Settlement Parties (Mandatory) (continued) Field Tag DTCC Value SWIFT Field SWIFT DTCC Input s Name Output 95S ALTE/DTCYID/CORP/US/8n :4!c/ Alternate O O Both See 29 on 237. [8c]/4!c/2!a/30x Executing Broker Number or DTC ID Number 97A SAFE//16x :4!c//35x Broker Internal Account Number 16S SETPRTY 7c End of Executing Broker Block O Both See 30 on 237. M Both See 1 on 225. Subsequence E3 Amounts Input and output. Mandatory. Table 7.10 shows the subsequence E3 mandatory amounts for MT543 input and output messages. Table 7.10 Subsequence E3 - Amounts (Mandatory) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(E3) Principal Amount Block (Optional) 16R AMT 3c Start of Principal Amount Block M Both See 1 on A DEAL//iso14d :4!c//3!a15d Principal Amount O O Both See 31 on S AMT 3c End of Principal Amount Block M Both See 1 on 225. >>(E3) Interest Block (Optional) 16R AMT 3c Start of Interest Block M Both See 1 on A ACRU//iso11d :4!c//3!a15d Interest O O Both See 32 on S AMT 3c End of Interest Block M Both See 1 on 225. >>(E3) Commission Block (mandatory) 16R AMT 3c Start of Commission Block O M Both See 1 on 225. MT543 - Deliver Securities Against Payment Messages 222

223 Table 7.10 Subsequence E3 - Amounts (Mandatory) (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s 19A EXEC//iso9d :4!c//3!a15d Commission M M Both See 33 on S AMT 3c End of Commission Block M M Both See 1 on 225. >>(E3) Research Amount Block (Optional) 16R AMT 3c Start of Research Amount Block 19A CHAR//iso9d :4!c//3!a15d Research Amount 16S AMT 3c End of Research Amount Block M Both See 1 on 225. O O Both See 34 on 238. M Both See 1 on 225. >>(E3) Country Tax Block (Optional) 16R AMT 3c Start of Country Tax Block M Both See 1 on A COUN//iso9d :4!c//3!a15d Country Tax O O Both See 35 on S AMT 3c End of Country Tax Block M Both See 1 on 225. >>(E3) Fees Block (Optional) 16R AMT 3c Start of Fees Block 19A REGF//iso9d :4!c//3!a15d SEC Fees/Registration and Shipping Fees M Both See 1 on 225. O O Both See 36 on S AMT 3c End of Fees Block M Both See 1 on 225. >>(E3) Other Charges Block (Optional) 16R AMT 3c Start of Other Charges Block M Both See 1 on A OTHR//iso9d :4!c//3!a15d Other Charges O O Both See 37 on S AMT 3c End of Other Charges Block M Both See 1 on 225. >>(E3) Net Amount Block (mandatory) 16R AMT 3c Start of Net Amount Block M Both See 1 on A SETT//iso14d :4!c//3!a15d Net Amount M M Both See 38 on 239. MT543 - Deliver Securities Against Payment Messages 223

224 Table 7.10 Subsequence E3 - Amounts (Mandatory) (continued) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s Mandatory Sequence E - settlement details (continued) 16S SETDET 6c End of Settlement Detail Block M Both See 1 on 225. Sequence F other party Input and output. Mandatory. Table 7.11 shows the sequence F mandatory other party details for MT543 input and output messages. Table 7.11 Sequence F - other party details (mandatory) Field Tag DTCC Value SWIFT Field Name SWIFT DTCC Input Output s >>(F) Message Receipt Block (mandatory) 16R OTHRPRTY 8c Start of Other Party Block M Both See 1 on R or 95P MERE/DTCYID/8n or MERE//11x :4!c/8c/34x or :4!c//4!a2!a2!c Message Recipient M Both See 39 on 239. [3!c] 16S OTHRPRTY 8c End of Other Party Block M Both See 1 on 225. >>(F) Institution Block (mandatory) 16R OTHRPRTY 8c Start of Other Party Block 95R MEOR/DTCYID/8n :4!c/8c/34x Primary Institution ID Number 95P MEOR//11x :4!c//4!a2!a2!c [3!c] Institution BIC 95S ALTE/DTCYID/CORP/US/8n :4!c/ Alternate ID Number [8c]/4!c/2!a/30x Institution DTC ID 97A SAFE//16x :4!c//35x Institution Internal Account Number 16S OTHRPRTY 8c End of Other Party Block M Both See 1 on 225. M Both See 40 on 240. O O Both See 41 on 240. O Both See 42 on 240. M Both See 1 on 225. MT543 - Deliver Securities Against Payment Messages 224

225 Field Specifications for MT543 Messages This section contains the field specifications used in MT543 deliver securities against payment messages. for Start and End of Block Delimiters Each sequence and subsequence opens with a Start-of-Block field and closes with an End-of-Block field to delimit the information. A carriage return/line feed (CRLF) delimits each SWIFT field/line. For more information, see Start-of-Block and End-of-Block Fields on : fields 16R and 16S: Start-of-Block or End-of-Block Here is the start-of-block and end-of-block format to open and close each sequence and subsequence. 4c :16R:GENL :16S:GENL s for Sequence A General Information Sequence A contains mandatory general user information. 2: Field 20C: DTC Control Number or Sender s Reference Number The type of reference number input in the Sender Reference Number field depends on whether the message is new or a cancellation. New Message New messages contain either a nine-digit DTC control number or a maximum 16 character sender reference number. SEME :4!c//16x <SEME>//<sender reference id> Sender Reference Number :20C::SEME//SENDREF Cancellation Cancellation messages contain a nine-digit DTC control number. SEME :4!c//16x <SEME>//<DTC control number> Sender Reference Number :20C::SEME// : Field 23G: Transaction Type Field 23G indicates the function of the message. The message can be a new confirmation or a broker cancellation of a previously sent MT515. 4!c <message type> :23G:NEWM :23G:CANC MT543 - Deliver Securities Against Payment Messages 225

226 Table 7.12 shows the transaction types used in field 23G. Table 7.12 Transaction Types Type NEWM CANC Description New message or resubmission. Request to cancel a previously sent confirmation. The Linked Reference field in 20C must contain the original broker confirm number for cancellations and rejections. Cancellation messages must contain all mandatory fields. 4: Field 22F: Cancellation Reason Code or Trade Transaction Type Field 22F user codes and values depend on the message type entered in field 23G. Cancellation reason codes for common cancellations contain the reason the investment manager is canceling a prior allocation. For more information, see Error Codes on 241. TRTR :4!c/[8c]/4!c <TRTR>/<DTCY>/<value dependent on message type> Trade transmission type :22F::TRTR/DTCY/C001 :22F::TRTR/DTCY/S001 Table 7.13 shows the message type values used in field 22F. Table 7.13 Message Type Values Field 23G Qualifier User Code Value Description NEWM TRTR DTCY NEWM New institution instruction message. NEWM TRTR DTCY REPL DTC error replacement II message. NEWM TRTR DTCY SUBS Substitution of previous II message. CANC TRTR DTCY C S nnn nnn Investment manager cancellation of the institution instruction common record. Investment manager substitution of the institution instruction details. Subsequence A1 Linked Transactions This section contains the notes about the linked transactions for sequence A1. For more information, see Error Codes on : Field 20C: Institution Block Reference ID Field 20C specifies the reference number assigned to the original message. :4!c//16x <qualifier>//<reference ID> :20C::COMM// :20C::PREV// MT543 - Deliver Securities Against Payment Messages 226

227 Table 7.14 shows the message type values used in field 22F. Table 7.14 Message type values Message Type Qualifier Length of reference ID New COMM 12 characters Cancellation PREV 12 characters 6: Field 22F: Institution Order Routing Number Field 22F, an optional field, enables the investment manager to identify orders, route the order to specific vendor terminals, or both. If this field is blank or contains spaces, this sequence (link) is not included in the output. :4!c/[8c]/4!c <LINK>/<DTCY>/<institution order routing number> :22F::TRTR/DTCY/IORN 7: Field 20C: Institution Detail Reference ID Field 20C specifies the reference number assigned to the original message. RELA :4!c//16x <RELA>//<institution detail reference ID> Reference number :20C::RELA// s for Sequence B Trade Details 8: Field 98A: Settlement Date or field 98B: Settlement Type Field 98A: Settlement Date Field 98A contains the settlement date or settlement type of the trade. Regular Way trades require the settlement date. For When-Issued trades, DTCC does not use the settlement date, but still uses the settlement type. SETT :4!c//8!n <SETT>//<settlement date> Settlement Date :98A:: Field 98B: Settlement Type Field 98B contains the settlement date or settlement type of the trade. Use when trades do not have a settlement date in 98A and, therefore, require a WISS or When-Issued code. SETT :4!c//[8c]//4!c <SETT>//<settlement type> Settlement Type :98A::SETT//WISS MT543 - Deliver Securities Against Payment Messages 227

228 9: Field 98A: Trade Date Field 98A contains the trade date. TRAD 4!c//8!n <TRAD>//<trade date> Trade Date :98A::TRAD// : Field 90A or 90B: Average Price Field 90A or 90B contains the average price for the trade. The currency code (90B) is based on the security types shown in Table Otherwise, the format is without the currency code (90A). DEAL :4!c/15d :4!c/3!a15d <DEAL>//<Average Price> Average Price :90A://DEAL/10000,00 :90B://DEAL/USD10000,00 Table 7.15 shows the security types used in field 90B. Table 7.15 Security Types Type Description SHS Equities/Shares OPC Options contracts ADR American depository receipts SHP Equities - preferred shares WTS Warrants MSC Miscellaneous PRC Premium contracts PRS Premium shares RTE Rentes RTS Rights CER Representative certificates UNT Units CSH US cash wire CS1 US cash wire number 1 CS2 US cash wire number 2 CS3 US cash wire number 3 CS4 US cash wire number 4 CS5 US cash wire number 5 OPS Option shares MT543 - Deliver Securities Against Payment Messages 228

229 11: Field 35B: Security Identifier Field 35B contains the identification number assigned to the traded security. Enter a valid CUSIP, SEDOL, or ISIN number when the security numbering system is US (CUSIP), GB (SEDOL), or IS (ISIN) respectively. ISIN identifiers can use the ISIN-formatted field. Lines 1 4 of the narrative field contains all non-isin identifiers. When using a non-isin number, ensure that the ISO country code exists, in /2!a/ format. Use the Narrative field as a second security identifier with its ISO code (/2!a/); however, DTCC does not validate it. In the Narrative field, use a bilaterally agreed upon or proprietary numbering scheme (/XX/). X(02) = ISIN country code for ISIN only; otherwise, spaces. X (09) = Security Number: If the security identifier is less than 9 bytes in length, it must be left-justified, space-filled to the right. Invalid security identifier when the security numbering system is not CUSIP (U.S.), SEDOL (GB), or ISIN (IS). Security Number Translation: On input, when using security translation, the first line contains the security number input by the user. On output, the first two lines contain the following security number types: Line 1 Line 2 ISIN SEDOL CUSIP User- Oriented Converted security number. When line 1 contains a translated number, line 2 contains the Original Security Number used on input. [ISIN1!e12!c] or [/2!a/9!x] [4*35x] <isin or national security numbering scheme><narrative> :35B:ISIN AN Z DESCRIPTION :35B:/GB/SLP2345 DESCRIPTION :35B:/US/OACK56789 DESCRIPTION :35B:/XX/GTH123 DESCRIPTION Table 7.16 shows the code word used in field 35B. For the ISO country codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. Table 7.16 Code words Code Word /2!a/10!x /TS/31x /XX/31x Description ISO two-digit country code, followed by the national numbering scheme, for example, CUSIP. Ticker symbol. Proprietary scheme or security description. Table 7.17 shows the national numbering schemes used in field 35B. MT543 - Deliver Securities Against Payment Messages 229

230 Table 7.17 National numbering schemes National Numbering Description Schemes AT Wertpapierkennummer (Austria) AU Australia BE Secretariat des Valeurs Mobilieres-SVM (Belgium) BR Brazil CE CEDEL CH Valorennummer (Switzerland) DE Wertpapierkennummer (Germany) DK Fondskode (Denmark) ES Spain ES Euroclear FR SICOVAM (France) GB SEDOL (United Kingdom) IE Ireland IS ISIN IT CODICE UIC (Italy) JP QUICK (Japan) LU Luxembourg MX Mexico NL Netherlands NO Norway RU Reuters SE Sweden US CUSIP (United States) XS Common Code (CEDEL/Euroclear) 99 User Originated When using a user-originated, bilaterally agreed upon, or proprietary numbering scheme (/XX/) in the Narrative field, parties must agree on the definition of this user-oriented field. s for subsequence B1 Financial Instrument Attributes This section contains the notes about the financial instrument attributes details for subsequence B1. 12: Field 12A: Security Type or Classification Types Field 12A indicates a valid security type value. Matching non-dtcc-eligible securities requires a value other than spaces. Use the miscellaneous MSC code only for allocation of financial instruments that are not securities (that is, a foreign exchange trade). MT543 - Deliver Securities Against Payment Messages 230

231 CLAS :4!c/[8c]/30x <CLAS>/<ISIT>/<security type> Security or Classification 12A::CLAS/ISIT/CS Table 7.18 shows the security types used in field 12A. Table 7.18 Security types Security Type Description ABS Asset-backed securities AGS Agencies, such as SBA and TVA BAS Banker s acceptances CDS Corporate debt securities CER Representative certificates CMO Collateralized mortgage obligation CON Certificate of deposit CON Convertible bond CPA Commercial paper CPN Coupons CSH U.S. cash wire CS1* U.S. cash wire 1 CS2* U.S. cash wire 2 CS3* U.S. cash wire 3 CS4* U.S. cash wire 4 CS5** U.S. cash wire 5 EBD Eurobonds ECD Euro CD ECP Euro CP ENT Euronotes FIN Financial FMR Freddie Mac REMICS FNM Federal national mortgage association (Fannie Mae) FNR Fannie Mae REMICS FPA Face, principal, or nominal amount FRM Freddie Mac GDS Government debt securities GMR Ginnie Mae REMICS GNM Government national mortgage association (Ginnie Mae) ITS Indexed treasury securities MBS Mortgage-backed securities MT543 - Deliver Securities Against Payment Messages 231

232 Table 7.18 Security types (continued) Security Type MMI MSC MTN MUN NSD OMB OMM OPC OPS PRC PRS RTE RTS SHS TBI TEM TRB TRN TRS UNT WTS XCP Description Money market instruments Miscellaneous Medium term notes Municipal bonds Non-U.S. sovereign debt Other mortgage-backed securities (whole loan) Other money market instruments Options contracts Option shares Premium contracts Premium shares Rentes Rights Equities (shares) Treasury bills Tax exempt money markets Treasury bonds Treasury notes Treasury strips Units Warrants Tax exempt commercial paper Establish parent/child relationships among securities within the standing instructions database using these values. s for Sequence B Trade Details (continued) This section contains the notes about the trade details for sequence B. 13: Field 22F: Allocation Commission Type Indicator Field 22F provides the allocation commission type indicator. COSB :4!c/[8c]/4!c <COSB>//<Allocation Commission Type> Allocation Commission Type Indicator :22F::COSB//PERU Table 7.19 shows the commission type indicators used in field 22F. MT543 - Deliver Securities Against Payment Messages 232

233 Table 7.19 Commission type indicators Value PERU FLAT SOFT Description Per unit of financial instrument. When the indicator is cents per share or fixed dollar, the commission fee is numeric. Commission sharing basis is a flat fee for the allocation. Commission type is a percentage commission. 14: Field 22F: Cancellation After Matching Indicator Field 22F indicates the cancellation after matching indicator (CAMI). TTCO :4!c/[8c]/4!c <TTCO>/<DTCY>/<cancellation after matching indicator> Cancellation After Matching Indicator :22F::TTCO/DTCY/CAMI s for Sequence C Financial Instrument Account This section contains the notes about the mandatory financial instrument account details for sequence C. 15: Field 36B: Execution Shares/Face Value Field 36B indicates the total shares or face value of the security traded. The qualifier indicates whether the quantity is in shares or face amount. Valid values must range between nine whole numbers (plus a decimal comma) with five decimal places and 12 whole numbers (plus a decimal comma) with two decimal places. Valid formats include: 9n,5n 10n,4n 11n,3n 12n,2n When-Issued and When-Distributed trades can be equal to zero. SETT :4!c//4!c/15d <SETT>//<type>/<amount or quantity> Quantity of Financial Instrument in Notice of Order Execution :36B::SETT//FAMT/ ,99999 :36B::SETT//UNIT/10000 Table 7.20 shows the financial instrument account types used in field 36B. Table 7.20 Financial instrument account types Value FAMT UNIT Description Quantity expressed as a face amount. Quantity expressed as a number (count). 16: Field 97A: Safekeeping Account Agent Internal Account Number Field 97A provides the safekeeping account agent internal account number. MT543 - Deliver Securities Against Payment Messages 233

234 SAFE :4!c//35x <SAFE>//<agent safekeeping account> Safekeeping Account :97A::SAFE//AGENTNUM s for Sequence E Settlement Details This section contains the notes about the settlement details for sequence E. 17: Field 22F: PSET ISO Country Code Indicator Field 22F is required if PSET is an ISO country code; otherwise, this field is optional for input and output messages. Omit this field if PSET references a CSD (Depository) BIC. For the ISO country codes, see TradeSuite ID service Input/Output Information available in the TradeSuite ID service 8.0 section of the Institutional Trade Matching - Learning Center. STCO :4!c//4!c <STCO>//<PHYS> PSET ISO Country Code Indicator :22F::STCO//PHYS 18: Field 22F: Split Currency Settlement Indicator Field 22F identifies when securities and cash settle in different locations. If the split currency indicator equals Y, include this field. If it does not equal Y, omit this field from the output. STCO :4!c//4!c <STCO>//<SPST> Settlement Condition Indicator :22F::STCO//SPST 19: Field 22F: Trade Indicator Field 22F provides the trade indicator. :4!c//4!c <SETR>//<trade indicator> :22F::SETR//TRAD :22F::SETR//REPU Table 7.21 shows the transaction types used in field 22F. Table 7.21 Transaction Types Qualifier TRAD REPU Description Trade Repurchase 20: Field 22F: Cancellation After Affirmation/Matching Indicator Field 22F indicates that the broker/dealer attempted to cancel a trade after matching or affirmation. MT543 - Deliver Securities Against Payment Messages 234

235 CAMI :4!c/[8c]/4!c <TTCO>/<DTCY>/<cancellation after affirmation/matching indicator> Cancellation After Matching :22F::TTCO/DTCY/CAMI s for Sequence E1 settlement parties Subsequence E1 is mandatory and contains information about the settlement location, agent, clearing broker, and executing broker. 21: Field 95P or 95C: Settlement Location Field 95P or 95C provides the settlement location. PSET :4!a2!a2!c[3!c] :4!c//2!a <PSET>/<place of settlement> Settlement Location :95P::PSET/DTCUS33 :95C::PSET//GB MT543 - Deliver Securities Against Payment Messages 235

236 22: Field 95R: Agent TradeSuite ID or Field 95P: Agent BIC Field 95R: Primary ID Number or Agent ID Number Field 95R indicates the agent TradeSuite ID, up to eight digits. RECU :4!c/a/[8c]/34x <RECU>/<DTCYID>/<TradeSuite ID> Primary or Agent ID Number :95R::RECU/DTCYID/ Field 95P: Agent BIC Field 95P indicates the agent BIC number. RECU :4!c//4!a2!a2!c[3!c] RECU//<agent BIC> Agent BIC :95P::RECU// : Field 95S: Alternate ID Number or Agent DTC ID Number Field 95S provides the alternate ID number or agent DTC ID number. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate identifier :95S::ALTE/DTCYID/CORP/US/ : Field 97A: Agent Internal Account Number Field 97A indicates the agent internal account number. SAFE :4!c//35x <SAFE>//<agent safekeeping account> Safekeeping Account :97A::SAFE//ABC : Field 95R: Clearing Broker ID or 95P: Clearing Broker BIC Field 95R: Clearing Broker ID Field 95R indicates the clearing broker/dealer ID number. REAG :4!c/a/[8c]/34x <REAG>/<DTCYID>/8n Receiving agent :95P::REAG/DTCYID/ Field 95P: Clearing Broker BIC Field 95P indicates the clearing broker/dealer BIC. REAG :4!c//4!a2!a2!c[3!c] <REAG>//11x Receiving agent 95P::REAG// MT543 - Deliver Securities Against Payment Messages 236

237 26: Field 95S: Alternate Clearing Broker DTC ID Field 95S indicates the alternate clearing broker ID number of the clearing broker. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate identifier :95S::ALTE/DTCYID/CORP/US/ : Field 97A: Clearing Broker Internal Account Number Field 97A indicates the optional clearing broker internal account number, up to 16 characters, for input and output messages. SEME :4!c//35x <SAFE>//<clearing broker internal account number> Safekeeping Account :95S::SAFE// : Field 95R: Primary Executing Broker Number or Field 95P: Executing Broker BIC Field 95R: Executing Broker Primary ID Number Field 95R indicates the executing broker/dealer's TradeSuite ID, up to eight digits. BUYR :4!c/8c/34x <BUYR>/<DTCYID>/<TradeSuite ID> Buyer TradeSuite ID :95R::BUYR/DTCYID/ Field 95P: Executing Broker BIC Field 95P indicates the executing broker/dealer BIC. BUYR :4!c//4!a2!a2!c[3!c] <BUYR>//<executing broker BIC> Buyer BIC :95P::BUYR// : Field 95S: Alternate Executing Broker ID Number or DTC ID Number Field 95S indicates the alternate ID number of the investment manager. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate identifier 95S::ALTE/DTCYID/CORP/US/ : Field 97A: Broker Internal Account Number Field 95R indicates the broker/dealer's internal account number, up to 12 characters, for input and output messages. This field is mandatory in DTCC, but optional in SWIFT. SAFE :4!c//35x <SAFE>//<TradeSuite ID> Safekeeping Account :95S::SAFE// MT543 - Deliver Securities Against Payment Messages 237

238 s for subsequence E3 Amounts Subsequence E3 contains information about amounts such as principal, interest, commissions, and taxes. This subsequence is mandatory. Field 19A uses the ISO currency code. For more information about ISO country and currency codes, see TradeSuite ID Input/Output Information available in the TradeSuite ID 8.0 section of the Institutional Trade Processing - TradeSuite ID Learning Center. 31: Field 19A: Principal Amount Field 19A contains the ISO currency code, and trade amount (share/face value times price). The TradeSuite ID service supports up to 14 digits or 13 digits and one comma. DEAL :4!c//3!a15d <DEAL>//<currency code and principal amount> Principal Amount :19A::DEAL//USD ,12 32: Field 19A: Interest Field 19A specifies the interest accrued on a bond that is accounted for in its sale. TradeSuite ID service supports up to 11 digits or 10 digits and one comma. ACRU :4!c//3!a15d <ACRU>//<currency code and interest> Interest :19A::ACRU//USD ,00 33: Field 19A: Commission Field 19A indicates the amount of the broker commission, interest, SEC fees, registration fees, shipping fees, country tax, other charges, principal amount, and net amount, depending on the qualifier. The TradeSuite ID service supports up to nine digits or eight digits and one comma. EXEC :4!c//3!a15d <EXEC>//<currency code and commission> Broker Commission :19A::EXEC//USD : Field 19A: Research Amount Field 19A specifies the amount of money paid for the provision of financial services that cannot be categorized by another qualifier. This field is used for the research amount per the MiFID II initiative. The LOCL qualifier used in the original Local Tax field has been replaced with the CHAR qualifier in this Research Amount field. CHAR s :4!c//[N]3!a15d <CHAR>//[N]<research amount> Research Amount :19A::CHAR//USD ,02 :19A::CHAR//NUSD ,02 MT543 - Deliver Securities Against Payment Messages 238

239 35: Field 19A: Country Tax Field 19A specifies the ISO currency code and the country, national, or federal tax that applies to this transaction. This field is also used for American depositary receipt (ADR) foreign taxes. The TradeSuite ID service supports up to nine digits or eight digits and one comma. COUN :4!c//3!a15d <COUN>//<currency code and country tax> Country/National Tax :19A::COUN//USD123456,12 36: Field 19A: SEC Fees/Registration and Shipping Fees Field 19A specifies the ISO currency code and regulatory fees, such as securities fees, exchange fees, registration fees, and shipping amounts. The TradeSuite ID service supports up to nine digits or eight digits and one comma. REGF :4!c//3!a15d <REGF>//<currency code and fees> Regulatory Fees :19A::REGF//USD123456,12 37: Field 19A: Other Charges Field 19A contains the ISO currency code and the sum of any charges that apply to this transaction for which no other field is designated. The Trade Blotter supports up to nine digits or eight digits and one comma. OTHR :4!c//3!a15d <OTHR>//<currency code and other charges> Other Charges :19A::OTHR//USD123456,12 38: Field 19A: Net Amount Field 19A contains the ISO currency code and the cash settlement amount that is equal to the principal amount plus or minus any commissions, fees, taxes, or other charges. The TradeSuite ID service supports up to 14 digits or 13 digits and one comma. SETT :4!c//3!a15d <SETT>//<currency code and net amount> Net Amount :19A::SETT//USD ,12 s for Sequence F Other Parties Sequence F contains mandatory information about other parties. 39: Field 95R or 95P: Message Recipient Field 95R or 95P indicates the detail message recipient. MT543 - Deliver Securities Against Payment Messages 239

240 MERE s :4!c/8c/34x <MERE>/<DTCYID>/<TradeSuite ID> :4!a2!a2!c[3!c] <MERE>/<DTCYID>/<BIC> Message Recipient :95R::MERE/DTCYID/ :95P::MERE//GBXVUS37XXX 40: Field 95R: Primary Institution ID Number or Field 95P: Institution BIC Field 95R: Primary Institution ID Field 95R indicates the primary investment manager identifier. MEOR :4!c/8c/34x <MEOR>/<DTCYID>/<primary institution TradeSuite ID> Institution TradeSuite ID :95R::MEOR/DTCYID/ Field 95P: Institution BIC Field 95P indicates the investment manager BIC. MEOR :4!c//4!a2!a2!c[3!c] <MEOR>//<primary institution BIC> Institution BIC :95P::MEOR//AUHJUS31XXX 41: Field 95S: Alternate ID Number: Institution DTC ID Field 95S indicates the alternate ID number of the investment manager. ALTE :4!c/[8c]/4!c/2!a/30x <ALTE>/<DTCYID>/<CORP>/<US>/<TradeSuite ID> Alternate identifier :95S::ALTE/DTCYID/CORP/US/RGHJUS61XXX 42: Field 97A: Institution Internal Account Number Field 97A indicates the institution internal account number, up to 16 characters. SAFE :4!c//35x <SAFE>//<institutional internal account> Institutional internal account :97A::SAFE//ABC MT543 - Deliver Securities Against Payment Messages 240

241 A. ERROR CODES This section contains: Common Cancellation Codes Detail Cancellation Codes Rejection Codes Common Cancellation Codes Table A.1 lists the cancellation reason codes and descriptions for the cancellation, rejection, and settlement codes. Table A.1 Cancellation Reason Codes Code C000 C001 C002 C003 C004 C005 C006 C007 C008 C009 C010 C011 C012 C013 C014 C015 C016 C017 C018 C019 C020 C021 C022 C023 C024 C025 Description Unspecified issue. Incorrect trade date. Incorrect settlement date. Incorrect security number. Incorrect security number system. Incorrect security type. Incorrect security description. Incorrect settlement type. Incorrect settlement location. Incorrect buy/sell. Incorrect shares/face value. Incorrect price. Incorrect principal amount. Incorrect interest. Incorrect currency code. Incorrect average price. Incorrect commission. Incorrect split indicator. Incorrect security (regulatory) fees. Incorrect registration or shipping amount. Incorrect research amount. Incorrect country tax. Incorrect other charges. Incorrect net amount. Incorrect account number. Incorrect commission equivalent. Error Codes 241

242 Table A.1 Cancellation Reason Codes (continued) Code Description C026 Incorrect interested party #1. C030 Incorrect interested party #2. C034 Incorrect interested party #3. C038 Incorrect customer. C040 Incorrect role. C041 Incorrect market. C042 Incorrect net price. C043 Incorrect account type. C044 Incorrect alternate currency. C046 Incorrect alternate currency rate. C047 Incorrect alternate net amount. C048 Incorrect institution (investment manager). C049 Incorrect agent. C050 Incorrect interested party. C051 Incorrect broker/dealer sub-custodian. C052 Incorrect agent sub-custodian. C053 Incorrect amortization or accretion factor. C054 Incorrect special instruction. C057 Incorrect ticker symbol. C059 Don t know (DK) execution. C060 Incorrect commission type. C999 Other issue. Error Codes 242

243 Detail Cancellation Codes Table A.2 lists the detail cancellation codes and descriptions. Table A.2 Detail Cancellation Codes Code Description S008 Incorrect settlement location. S010 Incorrect shares/face value. S013 Incorrect interest. S016 Incorrect commission or fee. S017 Incorrect split indicator. S019 Incorrect SEC fees, registration, or shipping amount. S020 Incorrect research amount. S021 Incorrect country tax. S022 Incorrect other charges. S023 Incorrect net amount. S060 Incorrect commission type. S062 Incorrect institution account number. S063 Incorrect step-in broker ID. S064 Incorrect dummy allocation. S070 Incorrect agent ID. S071 Incorrect agent safekeeping account. S072 Incorrect principal amount. S073 Incorrect broker of credit ID. S074 Incorrect non-id broker custody or non-id correspondent broker. S075 Incorrect institution (investment manager) number. S076 Incorrect non-id step-in broker. S077 Incorrect step-in broker notify indicator. S079 Incorrect step-out reason code number 1. S080 Incorrect step-out reason code number 2. S081 Incorrect step-out reason code number 3. S082 Incorrect step-out reason text. S085 Incorrect broker of credit commission or fee. S089 Incorrect detail reference identifier. S090 Incorrect allocation reason code. Error Codes 243

244 Rejection Codes Table A.3 lists the rejection codes and descriptions. Table A.3 Rejection Codes Error Code R000 R001 R002 R003 R004 R005 R006 R007 R008 R009 R010 R011 R013 R014 R015 R016 R057 R059 R060 R065 R066 R067 R068 R069 R086 R087 R088 Description Unspecified issue. Incorrect trade date. Incorrect settlement date. Incorrect security identifier. Incorrect security number system. Incorrect security type. Incorrect security description. Incorrect settlement type. Incorrect settlement location. Incorrect buy/sell. Incorrect shares/face value. Incorrect price. Incorrect interest. Incorrect currency code. Incorrect average price. Incorrect commission. Incorrect ticker symbol. Don t know (DK) execution. Incorrect commission type. Incorrect branch or executing broker. Incorrect transaction type. Incorrect branch or broker notify indicator. Incorrect institution (investment manager) block reference ID. Incorrect submitting institution (investment manager). Incorrect notice of order execution reference identifier. Incorrect institution (investment manager) order routing number. Incorrect step-out indicator. Error Codes 244

245 FOR MORE INFORMATION DTCC Learning at: or visit us on the web at: