3.04 Institutional Delivery System Input/Output Information

CCF/CCF-II/MDH Transmission Guides

3.04

3.04 Institutional Delivery System Input/Output Information

The Depository Trust Company November 2005

THE DEPOSITORY TRUST COMPANY

3.04 INSTITUTIONAL DELIVERY SYSTEM I/O INFORMATION Page ii November 2005 Copyright © 2005 by The Depository Trust Company

Copyright © 2005 by The Depository Trust Company (“DTC”). All rights reserved. This work is proprietary and is intended for exclusive use by DTC’s Participants and other users of DTC’s services. No part of this work may be reproduced or distributed (including by transmission) in any form or by any means, or stored in any information storage and retrieval system, without DTC’s prior written permission.


3.04 INSTITUTIONAL DELIVERY SYSTEM I/O INFORMATION Page iii November 2005 Copyright © 2005 by The Depository Trust Company

3.04 Institutional Delivery System

Input/Output Information

Table of Contents

Section Page

1. Objective of This Chapter ........................................................................1

2. Codes ......................................................................................................2 2.1 ISO Country and Currency Codes (in country-name order)............2 2.2 Market Codes .............................................................................. 13 2.3 Cancellation Reason Codes .......................................................... 18 2.4 Eligible Codes and Eligibility........................................................ 21 2.5 Interactive Format Input to End-of-Day Format Output Code

Conversion .................................................................................. 24 2.6 MBS Specification Codes.............................................................. 25

3. Moody’s/S&P Ratings and Conversions ..........................................................27

4. Security Numbering Systems .......................................................................29

5. Transaction Types .................................................................................31

6. Interactive Fields ..................................................................................32

7. Error Processing....................................................................................33 7.1 Error Block Specification ............................................................. 33 7.2 Message Prefix Specification ....................................................... 34 7.3 Error Codes ................................................................................. 34 7.4 Trade Input Error Codes .............................................................. 35

8. Special Processing Notes.......................................................................55 8.1 Affirming Party Indicator ............................................................ 55 8.2 Payment Method Indicator .......................................................... 55 8.3 Price Conversion ......................................................................... 55

9. Additional Parties..................................................................................56 9.1 Additional Parties Derived From SID ........................................... 56 9.2 Old-Format Input ........................................................................ 56 9.3 New-Format Input....................................................................... 56 9.4 Old-Format Output ...................................................................... 57


3.04 INSTITUTIONAL DELIVERY SYSTEM I/O INFORMATION Page iv November 2005 Copyright © 2005 by The Depository Trust Company

9.5 New-Format Output........................................................................ 57 9.5.i Settlement Location of DTC or BRC.......................... 57 9.5.ii All Other Settlement Locations................................ 57

10. Settlement Fields That Can Be Bypassed From SID ...............................59

11. Appendix A. Security Numbering System Formats.................................60 11.1 Computing Check-Digits .................................................................. 62

11.1.i ISIN Modulus Ten.................................................... 62 11.1.ii CUSIP Modulus Ten ................................................. 65 11.1.iii SEDOL Securities Identifier Check Digits ................. 68


3.04 INSTITUTIONAL DELIVERY SYSTEM I/O INFORMATION Page 1 November 2005 Copyright © 2005 by The Depository Trust Company

1 Objective of This Chapter

The objective of this chapter is to provide lists of codes and definitions required for ID input and output.



2 Codes

2.1 ISO Country and Currency Codes (in country-name order)

The only valid currency code for settlement locations of DTC, BRC, US, PTC, and FED is US Dollar (01 for end-of-day format or USD/USN for interactive format). Input of 01 in the old format converts to USD in the new output format.

ISO Country and Currency Codes Country Name

Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Afghanistan

AF

Afghani

AFA

2

Albania

AL

Lek

ALL

2

Algeria

DZ

Algerian Dinar

DZD

2

American Samoa

AS

US Dollar

USD

2

Andorra

AD

Andorran Peseta

ADP

0

Andorra

AD

Spanish Peseta

ESP

0

Andorra

AD

French Franc

FRF

2

Angola

AO

New Kwanza

AON

2

Anguilla

AI

East Caribbean Dollar

XCD

2

Antigua and Barbuda

AG


XCD

2

Argentina

AR

Argentine Peso

ARS

2

Armenia

AM

Russian Ruble

RUR

2

Aruba

AW

Aruban Guilder

AWG

2

Australia

AU

Australian Dollar

UD

2

Austria

AT

Shilling

ATS

2

Azerbaijan

AZ

Russian Ruble

RUR

2

Bahamas

BS

Bahamian Dollar

BSD

2

Bahrain

BH

Bahraini Dinar

BHD

3

Bangladesh

BD

Taka

BDT

2

Barbados

BB

Barbados Dollar

BBD

2

Belarus

BY

Russian Ruble

RUR

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Belgium

BE

Belgian Franc

BEF

0

Belize

BZ

Belize Dollar

BZD

2

Benin

BJ

CFA Franc BCEAO

XOF

0

Bermuda

BM

Bermudian Dollar

BMD

2

Bhutan

BT

Ngultrum

BTN

2

Bhutan

BT

Indian Rupee

INR

2

Bolivia

BO

Boliviano

BOB

2

Bosnia-Herzegovina

BA

Yugoslavian Dinar

YUN

2

Botswana

BW

Pula

BWP

2

Bouvet Island

BV

Norwegian Krone

NOK

2

Brazil

BR

Brazilian Real

BRL

2

British Indian Ocean Territory

IO

US Dollar

USD

2

Brunei Darussalam

BN

Brunei Dollar

BND

2

Bulgaria

BG

Lev

BGL

2

Burkina Faso

BF

CFA Franc BCEAO

XOF

0

Burundi

BI

Burundi Franc

BIF

0

Cambodia

KH

Riel

KHR

2

Cameroon

CM

CFA Franc BEAC

XAF

0

Canada

CA

Canadian Dollar

CAD

2

Cape Verde

CV

Cape Verde Escudo

CVE

2

Cayman\Islands

Cayman Islands Dollar

KYD

2

Central African Republic

CF

CFA Franc BEAC

XAF

0

Chad

TD

CFA Franc BEAC

XAF

0

Chile

CL

Chilean Peso

CLP

2

Chile

CL

Unidades de Fomento

CLF

2

China

CN

Yuan Renminbi

CNY

2

Christmas Island

CX

Australian Dollar

AUD

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Cocos (Keeling) Islands

CC

Australian Dollar

AUD

2

Colombia

CO

Colombian Peso

COP

2

Comoros

KM

Comoro Franc

KMF

0

Congo

CG

CFA Franc BEAC

XAF

0

Cook Islands

CK

New Zealand Dollar

NZD

2

Costa Rica

CR

Costa Rican Colon

CRC

2

Cote D’Ivoire

CI

CFA Franc BCEAO

XOF

0

Croatia

HR

Croatian Dinar

HRD

0

Croatia

HR

Kuna

HRK

2

Cuba

CU

Cuban Peso

CUP

2

Cyprus

CY

Cyprus Pound

CYP

2

Czech Republic

CZ

Czech Koruna

CZK

2

Denmark

DK

Danish Krone

DKK

2

Djibouti

DJ

Djibouti Franc

DJF

0

Dominica

DM


XCD

2

Dominican Republic

DO

Dominican Peso

DOP

2

East Timor

TP

Timor Escudo

TPE

0

East Timor

TP

Rupiah

IDR

2

Ecuador

EC

Sucre

ECS

2

Egypt

EG

Egyptian Pound

EGP

3

El Salvador

SV

El Salvador Colon

SVC

2

Equatorial Guinea

GQ

CFA Franc BEAC

XAF

0

Estonia

EE

Kroon

EEK

2

Ethiopia

ET

Ethiopian Birr

ETB

2

Faeroe Islands

FO

Danish Krone

DKK

2

Falkland Islands (Malvinas)

FK

Falkland Islands Pound

FKP

2

Fiji

FJ

Fiji Dollar

FJD

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Finland

FI

Markka

FIM

2

France

FR

French Franc

FRF

2

French Polynesia

PF

CFP Franc

XPF

0

French Southern Territories

TF

French Franc

FRF

2

French Guiana

GF

French Franc

FRF

2

Gabon

GA

CFA Franc BEAC

XAF

0

Gambia

GM

Dalasi

GMD

2

Georgia

GE

Russian Ruble

RUR

2

Georgia

GE

Georgian Coupon

GEK

0

Germany

DE

Deutsche Mark

DEM

2

Ghana

GH

Cedi

GHC

2

Gibraltar

GI

Gibraltar Pound

GIP

2

Granada

GD


XCD

Greece

GR

Drachma

GRD

0

Greenland

GL

Danish Krone

DKK

2

Guadeloupe

GP

French Franc

FRF

2

Guam

GU

US Dollar

USD

2

Guatemala

GT

Quetzal

GTQ

2

Guernsey, Channel Islands

GG

Pound Sterling

GBP

2

Guinea

GN

Guinea Franc

GNF

0

Guinea-Bissau

GW

Guinea-Bissau Peso

GWP

2

Guyana

GY

Guyana Dollar

GYD

2

Haiti

HT

US Dollar

USD

2

Haiti

HT

Gourde

HTG

2

Heard and McDonald Islands

HM

Australian Dollar

AUD

2

Honduras

HN

Lempira

HNL

2

Hong Kong

HK

Hong Kong Dollar

HKD

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Hungary

HU

Forint

HUF

2

Iceland

IS

Iceland Krona

ISK

2

India

IN

Indian Rupee

INR

2

Indonesia

ID

Rupiah

IDR

2

Iran (Islamic Republic of)

IR

Iranian Rial

IRR

2

Iraq

IQ

Iraqi Dinar

IQD

3

Ireland

IE

Irish Pound

IEP

2

Isle of Man

IM

Pound Sterling

GBP

2

Israel

IL

Shekel

ILS

2

Italy

IT

Italian Lira

ITL

0

Jamaica

JM

Jamaican Dollar

JMD

2

Japan

JP

Yen

JPY

0

Jersey, Channel Islands

JE

Pound Sterling

GBP

2

Jordan

JO

Jordanian Dinar

JOD

3

Kazahstan

KZ

Tenge

KZT

2

Kenya

KE

Kenyan Shilling

KES

2

Kiribati

KI

Australian Dollar

AUD

2

Korea, Democratic People’s Republic of

KP

North Korean Won

KPW

2

Korea, Republic of

KR

Won

KRW

0

Kuwait

KW

Kuwaiti Dinar

KWD

3

Kyrgyzstan

KG

Som

KGS

2

Kyrgyzstan

KG

Russian Ruble

RUR

2

Lao People’s Democratic Republic

LA

Kip

LAK

2

Latvia

LV

Latvian Ruble

LVR

2

Latvia

LV

Latvian Lats

LVL

2

Lebanon

LB

Lebanese Pound

LBP

2

Lesotho

LS

Rand

ZAR

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Lesotho

LS

Financial Rand

ZAL

2

Lesotho

LS

Loti

LSL

2

Liberia

LR

Liberian Dollar

LRD

2

Libyan Arab Jamahiriya

LY

Libyan Dinar

LYD

3

Liechtenstein

LI

Swiss Franc

CHF

2

Lithuania

LT

Lithuanian Litas

LTL

2

Luxembourg

LU

Belgian Franc

BEF

0

Luxembourg

LU

Luxembourg Franc

LUF

0

Macau

MO

Pataca

MOP

2

Macedonia, the Former Yugoslav Republic of

MK

Dinar

MKD

2

Madagascar

MG

Malagasy Franc

MGF

0

Malawi

MW

Kwacha

MWK

2

Malaysia

MY

Malaysian Ringgit

MYR

2

Maldives

MV

Rufiyaa

MVR

2

Mali

ML

CFA Franc BCEAO

XOF

0

Malta

MT

Maltese Lira

MTL

2

Marshall Islands

MH

US Dollar

USD

2

Martinique

MQ

French Franc

FRF

2

Mauritania

MR

Ouguiya

MRO

2

Mauritius

MU

Mauritius Rupee

MUR

2

Mexico

MX

Mexican Nuevo Peso

MXN

2

Mexico

MX

Mexican Peso

MXP

0

Micronesia

FM

US Dollar

USD

2

Moldova, Republic of

MD

Moldovan Leu

MDL

2

Moldova, Republic of

MD

Russian Ruble

RUR

2

Monaco

MC

French Franc

FRF

2

Mongolia

MN

Tugrik

MNT

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Montserrat

MS


XCD

2

Morocco

MA

Moroccan Dirham

MAD

2

Mozambique

MZ

Metical

MZM

2

Myanmar

MM

Kyat

MMK

2

Namibia

NA

Namibia

NAD

2

Namibia

NA

Rand

ZAR

2

Nauru

NR

Australian Dollar

AUD

2

Nepal

NP

Nepalese Rupee

NPR

2

Netherlands

NL

Netherlands Guilder

NLG

2

Netherlands Antilles

AN

Netherlands Antillean Guilder

ANG

2

Neutral Zone (between Saudi Arabia and Iraq)

NT

Kuwaiti Dinar

KWD

3


NT

Iraqi Dinar

IQD

3


NT

Saudi Riyal

SAR

2

New Caledonia

NC

CFP Franc

XPF

0

New Zealand

NZ

New Zealand Dollar

NZD

2

Nicaragua

NI

Cordoba Oro

NIO

2

Niger

NE

CFA Franc BCEAO

XOF

0

Nigeria

NG

Naira

NGN

2

Niue

NU

New Zealand Dollar

NZD

2

Norfolk Island

NF

Australian Dollar

AUD

2

Northern Mariana Islands

MP

US Dollar

USD

2

Norway

NO

Norwegian Krone

NOK

2

Oman

OM

Rial Omani

OMR

3

Pakistan

PK

Pakistan Rupee

PKR

2

Palau

PW

US Dollar

USD

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Panama

PA

US Dollar

USD

2

Panama

PA

Balboa

PAB

2

Panama Canal Zone

PG

Papua New Guinea

PG

Kina

PGK

2

Paraguay

PY

Guarani

PYG

0

Peru

PE

Nuevo Sol

PEN

2

Philippines

PH

Philippine Peso

PHP

2

Pitcairn Island

PN

New Zealand Dollar

NZD

2

Poland

PL

Zloty

PLZ

2

Portugal

PT

Portuguese Escudo

PTE

0

Puerto Rico

PR

US Dollar

USD

2

Qatar

QA

Qatari Rial

QAR

2

Reunion

RE

French Franc

FRF

2

Romania

RO

Leu

ROL

2

Russia

RU

Russian Ruble

RUR

2

Rwanda

RW

Rwanda Franc

RWF

0

St Kitts and Nevis

KN


XCD

2

St Lucia

LC


XCD

2

St Vincent and the Grenadines

VC


XCD

2

Samoa

WS

San Marino

SM

Italian Lira

ITL

0

São Tomé and Principe

ST

Dobra

STD

2

Saudi Arabia

SA

Saudi Riyal

SAR

2

Senegal

SN

CFA Franc BCEAO

XOF

0

Seychelles

SC

Seychelles Rupee

SCR

2

Sierra Leone

SL

Leone

SLL

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Singapore

SG

Singapore Dollar

SGD

2

Slovakia

SK

Slovak Koruna

SKK

2

Slovenia

SI

Tolar

SIT

2

Solomon Islands

SB

Solomon Islands Dollar

SBD

2

Somalia

SO

Somali Shilling

SOS

2

South Africa

ZA

Financial Rand

ZAL

2

South Africa

ZA

Rand

ZAR

2

Spain

ES

Spanish Peseta

ESP

0

Sri Lanka

LK

Sri Lanka Rupee

LKR

2

St Pierre and Miquelon

PM

French Franc

FRF

2

St Helena

SH

St Helena Pound

SHP

2

Sudan

SD

Sudanese Dinar

SDD

2

Suriname

SR

Surinam Guilder

SRG

2

Svalbard and Jan Mayen Islands

SJ

Norwegian Krone

NOK

2

Swaziland

SZ

Lilangeni

SZL

2

Sweden

SE

Swedish Krona

SEK

2

Switzerland

CH

Swiss Franc

CHF

2

Syrian Arab Republic

SY

Syrian Pound

SYP

2

Taiwan

TW

New Taiwan Dollar

TWD

2

Tajikistan

TJ

Russian Ruble

RUR

2

Tanzania, United Republic of

TZ

Tanzanian Shilling

TZS

2

Thailand

TH

Baht

THB

2

Togo

TG

CFA Franc BCEAO

XOF

0

Tokelau

TK

New Zealand Dollar

NZD

2

Tonga

TO

Pa’anga

TOP

2

Trinidad and Tobago

TT

Trinidad and Tobago Dollar

TTD

2

Tunisia

TN

Tunisian Dinar

TND

3




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Turkey

TR

Turkish Lira

TRL

2

Turkmenistan

TM

Manat

TMM

2

Turkmenistan

TM

Russian Ruble

RUR

2

Turks and Caicos Islands

TC

US Dollar

USD

2

Tuvalu

TV

Australian Dollar

AUD

2

Uganda

UG

Uganda Shilling

UGX

0

Ukraine

UA

Karbovanet

UAK

2

United Arab Emirates

AE

UAE Dirham

AED

2

United Kingdom

GB

Pound Sterling

GBP

2

United States

US

US Dollar

USD

2

United States

US

US Dollar, Next Day Funds

USN

2

United States Minor Outlying Islands

UM

US Dollar

USD

2

Uruguay

UY

Peso Uruguayo

UYU

2

Uzbekistan

UZ

Russian Ruble

RUR

2

Vanuatu

VU

Vatu

VUV

0

Vanuatu

VU

Tala

WST

2

Vatican City State

VA

Italian Lira

ITL

0

Venezuela

VE

Bolivar

VEB

2

Vietnam

VN

Dong

VND

2

Virgin Islands (British)

VG

US Dollar

USD

2

Virgin Islands, U.S.

VI

US Dollar

USD

2

Wallis and Futuna Islands

WF

CFP Franc

XPF

0

Western Sahara

EH

Moroccan Dirham

MAD

2

Yemen, Republic of

YE

Yemeni Rial

YER

2

Yugoslavia

YU

Yugoslavian Dinar

YUN

2

Zaire

ZR

New Zaire

ZRN

2

Zambia

ZM

Kwacha

ZMK

2




Country

Code

Currency Name

Curren

cy Code

Currency Fraction

Zimbabwe

ZW

Zimbabwe Dollar

ZWD

2

European Composite Unit (EURCO)

XBA

5

European Currency Unit (ECU)

XEU

2

European Monetary Unit (EMU-6)

XBB

5

European Unit of Account-9 (EUA-17)

XBD

5

European Unit of Account-9 (EUA-9)

XBC

5

Gold

XAU

5

Gold-Franc (Special Settlement Currency)

XFO

5

Palladium

XPD

5

Platinum

XPT

5

SDR International Monetary Fund (IMF)

XDR

5

Silver

XAG

5

Transactions Without Currency

XXX

5

UIC-Franc (Special Settlement Currency)

XFU

5



2.2 Market Codes

Market Codes

Market Code US Exchanges

01

American Stock Exchange

16

Amex Basket Trade

14

Average Price Trade

04

Boston Stock Exchange

03

Broker to Broker Trade

18

CBOE Basket Trade

05

Chicago Stock Exchange

19

Cincinnati Stock Exchange

02

New York Stock Exchange

15

NYSE Basket Trade

07

Option

13

Other

09

Over the Counter

06

Philadelphia-Baltimore-Washington

10

Principal

12

Special

11

Syndicate

51

Syndicate Directed Concession

52

Syndicate Over Subscribed

53

Syndicate Directed/Over Subscribed

Market Code

Stock Loan

90

Stock Borrow

91

Stock Loan

92

Stock Loan Recall

93

Stock Loan Return

Market Code

US Exchanges–144a

95

Amex

96

NASD Portal



Market Codes

94 NYSE

Market Code

Americas (Excluding US)

PG

Asunción (Paraguay)

BG

Bogota (Colombia)

BE

Buenos Aires (Argentina)

CA

Caracas (Venezuela)

KS

Kingston (Jamaica)

BO

La Paz (Bolivia)

LI

Lima (Peru)

24

Mexico City (Mexico)

UR

Montevideo (Uruguay)

22

Montreal (Canada)

PN

Panama City (Panama)

TT

Port of Spain (Trinidad/Tobago)

EC

Quito (Ecuador)

RI

Rio De Janeiro (Brazil)

RO

Rosario (Argentina)

CO

San José (Costa Rica)

HO

San Pedro Sula (Honduras)

SS

San Salvador (El Salvador)

ST

Santiago (Chile)

SD

Santo Domingo (Dominican Republic)

SP

Sao Paulo (Brazil)

BD

St. Michael (Barbados)

21

Toronto (Canada)

23

Vancouver (Canada)

Market Code

Europe

41

Amsterdam (Netherlands)

AT

Athens (Greece)

BR

Barcelona (Spain)



Market Codes

BI Bilbao (Spain)

SV Bratislava (Slovakia)

32

Brussels (Belgium)

BP

Budapest (Hungary)

33

Copenhagen (Denmark)

CR

Croatia (Zagreb)

38

Dublin (Ireland)

34

European Economic Community

37

Frankfurt (Germany)

46

Geneva (Switzerland)

35

Helsinki (Finland)

PT

Lisbon (Portugal)

SL

Ljubljana (Slovenia)

47

London (United Kingdom)

40

Luxembourg (Luxembourg)

43

Madrid (Spain)

39

Milan (Italy)

MO

Moscow (Russia)

42

Oslo (Norway)

36

Paris (France)

PR

Porto (Portugal)

CZ

Prague (Czech Republic)

RK

Reykjavik (Iceland)

BU

Sofia (Bulgaria)

SG

St. Petersburg (Russia)

44

Stockholm (Sweden)

VL

Valencia (Spain)

31

Vienna (Austria)

WZ

Warsaw (Poland)

45

Zurich (Switzerland)

Market Code

Pacific Basin



Market Codes

BN Bangalore (India)

BK

Bangkok (Thailand)

BB

Bombay (India)

CL

Colombo (Sri Lanka)

DH

Dhaka (Bangladesh)

73

Hong Kong (Hong Kong)

JK

Jakarta (Indonesia)

KR

Karachi (Pakistan)

76

Kuala Lumpur (Malaysia)

78

Manila (Philippines)

72

Melbourne (Australia)

ND

New Delhi (India)

75

Osaka (Japan)

SE

Seoul (Korea)

SH

Shanghai (China)

SZ

Shenzhen (China)

79

Singapore (Singapore)

71

Sydney (Australia)

TP

Taipei (Taiwan)

74

Tokyo (Japan)

77

Wellington (New Zealand)

Market Code

Africa/Middle East

IC

Abidjan (Ivory Coast)

GH

Accra (Ghana)

AM

Amman (Jordan)

BH

Bahrain (Bahrain)

EG

Cairo (Egypt)

CB

Casablanca (Morocco)

BT

Gaborone (Botswana)

ZI

Harare (Zimbabwe)



Market Codes

IS Istanbul (Turkey)

SA Johannesburg (South Africa)

KW

Kuwait (Kuwait)

LA

Lagos (Nigeria)

SW

Mbabane (Swaziland)

OM

Muscat (Oman)

NR

Nairobi (Kenya)

PL

Port Louis (Mauritius)

RY

Riyadh (Saudi Arabia)

IR

Tehran (Iran)

TA

Tel-Aviv (Israel)

TU

Tunis (Tunisia)

ML

Valleta (Malta)

NM

Windhoek (Namibia)



2.3 Cancellation Reason Codes

Reason Code

Cancellation Reason Description

Reason Code


001

Trade Date Wrong

026

Inter Party #1 Wrong

002

Settlement Date Wrong

030


003

Security Number Wrong

034


004

Sec Number System Wrong

038

Customer Wrong

005

Security Type Wrong

040

Role Wrong

006

Security Description Wrong

041

Market Wrong

007

Settlement Type Wrong

042

Net Price Wrong

008

Settlement Location Wrong

043

Account Type Wrong

009

Buy/Sell Wrong

044

Alt Currency Wrong

010

Shares/Face Value Wrong

046

Alt Currency Rate Wrong

011

Price Wrong

047

Alt Net Amount Wrong

012

Principal Amount Wrong

048

Institution Wrong

013

Interest Wrong

049

Agent Wrong

014

Currency Code Wrong

050

Interested Party Wrong

015

Average Price Wrong

051

Broker Sub-Cust Wrong

016

Commission Wrong

052

Agent Sub-Cust Wrong

017

Split Indicator Wrong

053

Amort/Accret Factor Wrong

018

Fees Wrong

054

Special Instruction Wrong

019

Registration/Ship Wrong

059

Don’t Know Execution

020

Local Tax Wrong

065

Branch or Ex Broker Wrong

021

Country Tax Wrong

066

Transaction Type Wrong

022

Other Charges Wrong

068

Institution Ref ID Wrong

023

Net Amount Wrong

069

Submit Institution Wrong

024

Account Number Wrong

070

ID Agent Wrong



Reason Code


Reason Code


071

ID Agent Int Acct # Wrong

503

Related Reference Num Wrong

072

Principal Amount Wrong

504

Num Days Accrued Int Wrong

073

ID Broker of Credit Wrong

505

Yield Wrong

074

Non-ID BRC Wrong

506

Issue Date Wrong

075

Institution Number Wrong

507

Record Date Wrong

079

Step-Out Reason Code #1

508

Trade Type Ind Wrong

080


509

Clr Agt Int Acct Num Wrong

081


510

Instit Int Acct Num Wrong

082

Step-Out Reason Text

511

Inst Order Rout Num Wrong

085

Broker of Credit Com/Fee

512

Additional Party #4 Wrong

100

Do Not Know

513

Additional Party #5 Wrong

101

Duplicate Confirm

514

Add’l Pty #1 Acct Num Wrong

102

Confirm/Rebill Same

515


103

Allocation Change

516


104

Wrong Delivery Instruction

517


105

Multiple Erroneous Fields

518


106

Awaiting Instr to Affirm

519


107

TBA Cancel Due to Alloc

520

Add’l Pty #1 Instr #1 Wrong

108

TBA Cancellation

521


109

Pool Substitution

522


110

Pool Cancellation

523


111

MBS Miscellaneous Cancel

524


500

Current Face Wrong

525


501

Factor/Effect Date Wrong

526


502

Pool Number Wrong

527




Reason Code


Reason Code


528


539

Spec in Slot #08 Wrong

529


540


530


541


531


542


532


543


533


544


534


545


535


546


536


547


537


999

Other

538




2.4 Eligible Codes and Eligibility

Trade input submitted for DTC settlement may generate ineligible confirmations for the reasons shown in the table below. DTC eligibility is re-evaluated during affirmation and end-of-day processing until, and including, S-1. If eligibility changes between trade input and affirmation (including matched affirmed), then the affirmed or matched affirmed confirmation shows an eligibility status different from what was previously shown.

At the end of the day, the system also reevaluates eligibility for confirmations ("unaffirmed" or "matched and/or affirmed") that were previously reported. If the eligibility status changes during the day, the system produces a Change of Eligibility Confirmation (Positions 3–8 equals COELIG in the Transaction Header) as part of the End of Day reports. This does not include any confirmations for which eligibility was previously reported as changed at affirmation.

Ineligible Confirmation Codes

Code* Explanation

61

CUSIP Ineligible The CUSIP number is not eligible for DTC settlement.

62

CUSIP Frozen The CUSIP number is frozen.

64

When-Issued/Distrib Trade The settlement code is 2 (When Issued), 3 (When Distributed), or 4 (When Issued/Distributed).

65

Clearing Agent Not SDFS The Clearing Agent Bank number on the DTC Eligibility File is not set to SDFS and the security is an SDFS issue.

66

Clearing Broker Not SDFS The Clearing Broker-Dealer number on the DTC Eligibility File is not set to SDFS and the security is an SDFS issue.

74

Same Day Trade The Settlement Date equals the Trade Date.

75

Past Dated Trade The Confirm date is greater than the Settlement date minus 2 (trade input was entered on or after S-2; therefore, the trade is not eligible for automated settlement).




Code* Explanation

78

Depository Chill Deliveries for this security may not be made to or from a DTC Participant.

79

Agent Participant Chill The Participant is not eligible for delivery processing.

80

Broker Participant Chill The Participant is not eligible for delivery processing.

81

Late Affirm The trade was affirmed after S-2 and is not eligible for automated settlement.

82_

Agent Participant Invalid The Clearing Agent is not a DTC Participant.

83_

Broker Participant Invalid The Clearing Broker is not a DTC Participant.

84_

Security Type Ineligible The Security Type changed from an equity to a bond, or from a bond to an equity for old-format trade input.

85

Agent Bank Ineligible The Agent Bank is not eligible for DTC processing. This message is for old-format input only and results in an ineligible confirm for DTC-eligible trades. This condition would result in a trade error if the input was submitted in new format.

86

Broker Confirm # Not Unique This is an informative message and does not affect DTC eligibility. Old-format trade input was submitted with a duplicate Broker-Dealer confirm number. This resulted in trade error (Code GAAB IAAO in interactive format).

87

Attempt To Cancel Affirmed Trade This code is generated when a Broker-Dealer submits a cancellation on a trade input for an affirmed, matched or matched affirmed confirm.

88

Fractional Shares The confirmation contains fractional shares.

89

CNS Confirm Redetermined to Settle DTC Trade for Trade The confirm was initially determined to settle as a Prime Broker CNS delivery; however, after affirmation, DTC changed the CNS eligibility of the Prime Broker, or NSCC changed the CNS eligibility of the security; the delivery settles trade for trade at DTC.




Code* Explanation

90

DTC Trade for Trade Confirm Redetermined to Settle CNS The confirm was initially determined 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.

91

IPO Invalid Agent Account This code is used for flipping, to notify the parties to the trade that the security is a Tracking Initial Public Offering (IPO) and the Customer of the trade has not been identified by the Agent Internal Account number on the trade, or has been incorrectly identified; as a result, this trade potentially may not settle at DTC.

92

TBA Trade Not eligible for settlement at DTC.

99

Miscellaneous The confirm was inputted on or prior to June 2, 1994, and was ineligible based on eligibility requirements in effect prior to June 2,1994; the new system does not support a code to identify these older requirements; these trades would have previously been reported as Codes 47, 48, 49, 50, 52, 53, 56 or 57; they are all reported within this category.

* Refer to Output, Positions 916–925 _ This condition does not occur when the confirm is initially produced by

DTC. It can only occur during affirmation, matching or change of eligibility processing.



2.5 Interactive Format Input to End-of-Day Format Output Code Conversion

The following table indicates the conversion from currency codes in interactive format input to currency codes in end-of-day format output:

Currency Codes

Currency Codes

Interactive

Format

End-of-Day

Format Domestic

Interactive

Format

End-of-Day

Format Domestic

USD/USN

01

AED

15

GBP

02

ARS

16

FRF

03

SAR

17

CAD

04

ESP

18

CHF

05

ATS

19

XEU

06

MXP

20

DEM

07

SEK

21

AUD

08

FIM

22

NLG

09

JPY

23

HKD

10

ZAR

24

SGD

11

BEF

25

ITL

12

NZD

28

KWD

13

XXX

99

NOK

14

Note: Interactive format input containing any of the above currency codes is converted to the corresponding numeric value for receipt by end-of-day format users. All other currency codes are converted to 99 (Other).



2.6 MBS Specification Codes

The following table provides values for positions 219 through 506 of Record 4 of Trade Input Specifications, and positions 249 through 536 of Record 4 of Trade Output Specifications (see Chapter 3.1).

Table of Specifications Specification

Code

Specification Description

Value

Length

Editing Code*

001

Collateral Region

2

AL

002

Collateral region–excluded

2

AL

003

Index

3

CH

004

Interest rate cap–maximum

6

CH

005

Interest rate cap–minimum

6

CH

006

Issue date–earliest

8

DT

007

Issue date–latest

8

DT

008

Issuance region code

2

AL

009

Issuance region code exclude

2

AL

010

Maturity date–Earliest

8

DT

011

Maturity date–Latest

8

DT

012

Payment percentage cap–maximum

6

CH

013

Payment percentage cap–minimum

6

CH

014

Periodic cap–maximum

6

CH

015

Periodic cap–minimum

6

CH

016

Pieces–maximum number

4

NU

017

Pieces–minimum number

4

NU

018

Pools–maximum number

4

NU

019

Pools–minimum number

4

NU

020

Pools–maximum face value

12

CH

021

Pools minimum face value

12

CH



Table of Specifications

Specification

Code

Specification Description

Value

Length

Editing Code*

022

Prepayment percentage

6

CH

023

Reset date–earliest

8

DT

024

Reset date–latest

8

DT

025

Series number

3

CH

026

Specified pool

7

CH

027

State of pool issuance

2

AL

028

Upside/downside variance

8

CH

029

Variance

8

CH

030

WAC code–maximum %

5

CH

031

WAC code–minimum %

5

CH

032

WAM code–maximum %

4

CH

033

WAM code–minimum %

4

CH

034

Pools per million

2

NU

035

Specified original face

12

CH

036

Month to roll

15

NU

099

Free form

15

CH

*Editing Codes AL Alphabetic Left Justified NU Numeric Right Justified CH Character Left Justified DT Date ccyymmdd Left Justified



3 Moody’s/S&P Ratings and Conversions

Ratings and Conversions

Moody’s Ratings

S&P Ratings Pos’n 394–395

Code

Meaning

Pos’n 399–400

Code

Meaning

96

Aaa*

99

AAAL

95

Aaa

96

AAA**

90

Aa1

95

AAA

85

Aa

89

AAL

84

Aa2

86

AA+

83

Aa3

85

AA

75

A1

84

AA-

65

A

79

A3

64

A2

78

A2

63

A3

77

A1

55

Baa1

76

A+

45

Baa

75

A

44

Baa2

74

A-

43

Baa3

73

A1+

40

Ba1

66

BBB+

35

Ba

65

BBB

34

Ba2

64

BBB-

33

Ba3

56

BB+

30

B1

55

BB

25

B

54

BB-

24

B2

46

B+

23

B3

45

B

20

Caa

44

B-

15

Ca

35

CCC

10

C

25

CC



Ratings and Conversions

Moody’s Ratings

S&P Ratings Pos’n 394–395

Code

Meaning

Pos’n 399–400

Code

Meaning

09

P1

15

C

08

P2

05

D

07

P3

04

SP3

19

VMIG4

03

SP2

18

VMIG3

02

SP1

17

VMIG2

01

SP1+

16

VMIG1

00

Non-Rated

-4

MIG4

11

Under Review

-3

MIG3

-2

MIG2

-1

MIG1

00

Non-Rated

11

Under Review

* Conditional Rating ** Provisional Rating



4 Security Numbering Systems

Security Numbering Code and Description

SecurityLengt

h

Convert/

ISIN

Allow

Translation AT = Wertpapierkennummer (Austria)

06

AU = Australia

09

BE = Secretariat des Valeurs Mobilières-sum

(Belgium)

08

BR = Brazil

09

Yes

CE = CEDEL

06

CH = Valorennummer (Switzerland)

06

DE = Wertpapierkennummer (Germany)

06

DK = Fondskode (Denmark)

07

ES = Spain

08

EU = Euroclear

09

FR = SICOVAM (France)

06

GB = SEDOL (United Kingdom)

07

IE = Ireland

09

No

IS = ISIN

06

IT = Codice UIC (Italy)

06

JP = QUICK (Japan)

09

LU = Luxembourg

07

MX = Mexico

09

Yes

NL = Netherlands

06

NO = Norway

06

RU = Reuters

12

No

SE = Sweden

06

US = CUSIP (United States)

09

XS = Common Code (CEDEL/Euroclear)

09

99 = User Originated

12

No



Notes • New Security Numbering System Codes have been added for CEDEL

(CE), Common Code (CEDEL/Euroclear) (XS), Spain (ES), and Sweden (SE).

• Previously, Luxembourg and CEDEL shared the same security numbering system code (LU). That code is now used exclusively by Luxembourg and a new code (CE) has been issued for CEDEL The length of the security identifier is 07 for Luxembourg, and 06 for CEDEL. This change should be noted because DTC validates the security numbering system code against the length of the security identifier string entered.



5 Transaction Types

Transaction Types

Transaction Name (Number)

Transaction Definition/Description

New Confirm (1)

Broker-Dealer Confirm Number may not be the same as an active trade or cancellation

Cancellation (3)

Cancellations require:

• Executing Broker-Dealer Number • Broker-Dealer Confirm Number (identifying the cancellation) • Original Broker Confirm Number (identifying the confirm to be

cancelled) • Cancellation Reason Code.

All other fields within the input record are ignored. The Broker-Dealer Confirm Number, which identifies the cancellation (see Positions 347–358) may differ from the Broker-Dealer Confirm Number on the confirm to be cancelled. The Original Broker Confirm Number (see Positions 209–220) must be the same as in the existing confirm to be cancelled. Unless the original confirmation is matched or affirmed, the cancellation confirm deactivates the original confirm. If the confirm to be cancelled is matched or affirmed, a cancellation is generated and the Cancellation After Acknowledgment field (on the Output Record) is set to Y. This cancellation is only for informative purposes, as the existing matched or affirmed confirm remains active and can settle.

Resubmission (4)

This action was not implemented.

Correction (5)

Since the old format was not designed for corrections, input in the new format for this option would require the generation of a cancellation and resubmission in the old format, which is exactly what the correction option is intended to avoid. This option will be put on hold until Users have converted.



6 Interactive Fields

The following is a list of interactive processing fields not supported by old End-of-Day formats:

Record Type 1

Bypass SID Indicator Split Currency Indicator QC Exemption Indicator Settlement Location Security Numbering System Alternate Currency Conversion Rate Alternate Currency ISO Code Alternate Currency Net Amount Original Broker Confirm Number Confirm Process Time Designated Affirming Party Number Designated Affirming Party Type Confirm Process Date Additional Party #1 Type Additional Party #2 Type Institution Contact SID Account Found Indicator Cancellation After Acknowledgment Matched Indicator Matching Variance Variance Direction Amortized/Accreted Factor Additional Party #3 Type Additional Party #3 Number Additional Party #3 Account Additional Party #3 Line 1 Additional Party #3 Line 2

Record Type 2

Subject to Federal Tax Alternate Minimum Tax Additional Party #3 Name Original Input Security Numbering System Original Input Security Identifier CUSIP/CANS Security Numbering System CUSIP/CANS Security Identifier



7 Error Processing

Error processing procedures depend on whether CCF/CCF-II or MDH is in use. CCF/CCF-II error processing is done in two stages: 1. The signon is validated with the data entered to ensure that the submitter

can enter data for the records being processed, and the receipt of the data is within the appropriate time frame. This editing is done while the User is on the line. The submitter receives the input record returned with the Feedback Indicator set to ? and an error block (Section 13.1) indicating specific errors appended to the end of the record.

2. The second stage of CCF/CCF-II processing occurs when the User completes

the transmission. This type of editing consists of field validation. If errors are found at this point in processing, a message prefix (Section 13.2) is appended to the front of the record and the error block is appended to the end of the record. The record is logged to the User’s mailbox for output receipt.

For MDH, both processes happen while the User is on the line, therefore only the error block needs to be returned. Refer to Chapter 2.3, Interface Control Manager (Transaction Input), and Chapter 2.4, Interface Control Manager (Messaging Output), for a full description of the error block and message prefix.

7.1 Error Block Specification

Length

Format

Field Name

Field Description

1

8

Character

Error Code 1

9

8

Character

Error Code 2

17

8

Character

Error Code 3

25

8

Character

Error Code 4

Identifies the field and the reason why the field is erroneous:

• In each error code, the first four characters identify the field

• The next four characters identify the reason why the field is erroneous

• For error code values, see Section 7.4, Trade Input Error Codes.



Length

Format

Field Name

Field Description

33

8

Character

Error Code 5

7.2 Message Prefix Specification

Position

Length

Format

Field Name

Val

Description

1

1

Character

Filler

DTC use only; do not use

1

1

Character

Message Flag

–

O = current day message R = current day reprint U = current day message requested out of

sequence Y = prior day message.

3

1

Character

Filler

DTC use only; do not use

4

10

Character

Destination ID

–

Identifier of message queue the message was received from (= 8-character user signon plus 2-character destination).

14

1

Character

Filler

–

(constant value).

15

6

Numeric

Message Sequence Number

–

Unique message sequence number assigned by DTC’s Message Delivery System for each Destination ID (refer to Position 4).

Refer to Chapter 2.3, Interface Control Manager (Transaction Input), and Chapter 2.4, Interface Control Manager (Messaging Output), for a full description of the above fields.

7.3 Error Codes

The old ID system provided for three types of trade input validation codes: trade input edit codes, ineligible error codes, and informative error codes (refer to Section 170 of the ID System User Manual or Section M of the Participant Operating Procedures Manual). Informative confirm edits such as "No Security Description" were eliminated in favor of combined field codes and error-reason codes, as listed in the table in Section 7.4, Trade Input Error Codes.



7.4 Trade Input Error Codes

The combination of the field code and reason code formulates the error code (refer to Section 10.3). Trade inputs that contain one or more of these errors are returned to the submitter in the same media. No confirmation is produced.

The following table of error codes is sorted alphabetically by field code (column one) and then by reason code (column two).

Field Code

Reason Code

Trade Input Error Codes Descriptions

9AAA

Transaction Prefix The transaction header is not equal to one of the acceptable values.

9AAE

Information in the the transaction header is invalid.

AAAA

9AAN

The transaction header type is not eligible for ID processing.

AAAB

9AAE

Transaction Type Transaction Type does not equal

1 = New 3 = Cancellation 4 = Resubmission

IABG

Record type indicated in the transaction header is invalid.

AAAI

9AAE

Production/Test Indicator Header for ProductionTest indicator is not equal to one of the acceptable values.

9ABC

ProductionTest indicator is invalid or missing.

IAA3

ProductionTest indicator is not equal to one of the acceptable values

AAAJ

9AAE

Header Record Suffix Header suffix is invalid

IAB6

Record suffix is not equal to one of the acceptable values.

AAAK

9AAE

Version Number Version Number is not equal to one of the acceptable values.

IAB6

Invalid Version Number for step-out processing.



Field Code

Reason Code


IABG

Header Version Number is invalid.

AZZZ

9AA6

Transaction Record Transaction record is a duplicate.

9AAA

Transaction data record is invalid.

9AAE

Cancellation record contained invalid data.

9AAI

Data record is in an invalid format.

BAAA

9AAF

Settlement Date Settlement date is not numeric.

9AAJ

Settlement date is:

· not within two years of the current date · not a valid settlement date for DTC · not a valid calendar date · equal to zero.

9AAK

The Settlement date is less than the Trade date.

BAAB

9AAJ

Trade Date

The Trade date is:

· less than zero

· not numeric

· not a valid calendar date.

IAAF Trade date is greater than the current date for settlement in the US.

IAAG

Trade date exceeds the current date (Eastern Time US) by more than one day.

IAAH

Trade date is less than the current date minus 250 settlement days.

BABM Factor Effective Date

The Factor Effective Date was not a valid day of the year.

9AAA

BABN

9AAA

Issue Date The Issue Date was not a valid day of the year.



Field Code

Reason Code


9AAA

Delivery Date

The Delivery Date was not a valid day of the year.

BABO

BABP

9AAA

Option Expiration Date The Option Expiration Date was not a valid day of the year.

BABQ

9AAA

Record Date

The Record Date was not a valid day of the year.

CAAA

9AAE

Institution Identifier

Institution number does not equal submitting Institution.

9AAF Institution number is not numeric.

Institution is invalid or Institution is not eligible for ID processing.

9AAN

9ABB Institution number was not found in DTC’s database.

9ABG Institution updates are not permitted.

9ABM

Institution is not permitted to submit this message type.

IAAE Institution elected not to receive output.

IAAL No match could be made to the institution, the account number is

missing or account not found on SID.

IAAW

Not destined for matching and did not elect to notify Broker or Branch.

CAAB

9AAF

Executing Broker-Dealer Identifier Branch or Executing Broker-Dealer Identifier number is not numeric

9AAN Executing Broker-Dealer is not eligible for ID processing.

9ABB

Executing Broker-Dealer number not found in DTC’s database.

9ABM

Broker not valid submitter for this message type.

IAA4 Broker is not permitted to reject this message type.

Branch or Broker elected not to receive output.

IAAE

IABE Broker is not eligible for ID processing.



Field Code

Reason Code


IABI Rejection/at least one detail record has already matched.

CAAC

9AAN

Affirming Party Identifier

Affirming Party is not eligible for ID processing.

IAAB Affirming Party number is invalid.

IAAC Affirming Party is not on the trade message.

IAAD Affirming Party is not an Institution, Agent or Customer.

Broker-Dealer Sub-Custodian Identifier

Broker-Dealer Sub-Custodian is not eligible for ID processing or must be spaces or zeros if not provided.

CAAE

9AAN

Step-in Broker-Dealer Identifier

ID Step-in Broker-Dealer is not numeric.

CAAF

9AAF

9AAN

ID Step-in Broker-Dealer is not eligible for ID processing.

IAAE Step-in Broker and its Clearing Broker elected not to receive II, and

notify indicator is equal to “Y”.

CAAG

9AAN

Agent Sub-Custodian

Agent Sub-Custodian is not eligible for ID processing, or must be spaces or zeroes if not provided.

CAAH

9AA5

Agent Identifier

ID Agent number is invalid or blank.

9AAF ID Agent number is not numeric.

9AAN

Agent number is not eligible for ID processing.

9ABB Agent number was not found in DTC’s database.

Agent update not allowed.

9ABG

9ABM Agent not valid submitter for this message type

CAAI

9AAN

Interested Party #1 Identifier

Interested Party #1 is not eligible for ID processing, or must be spaces or zeros if not provided.



Field Code

Reason Code


9ABB Interested Party ID number was not found in DTC’s database.

9ABG

Interested Party #1 update not allowed.

9ABM Interested Party #1 not permitted to submit this message type.

CAAJ

9AAN

Issuing Agent Identifier

Issuing Agent Number is not eligible for ID processing.

9ABB Issuing Agent Number was not found in DTC’s database.

ID Broker of Credit Identifier

Duplicate ID Broker of Credit.

CAAN

9AA6

9AAF

ID Broker of Credit Identifier number is not numeric.

9AAN ID Broker of Credit Identifier number is not eligible for ID

processing.

CAAO

9AAN

Interested Party# 2 Identifier


9ABG

Interested Party #2 Identifier update not allowed.

CAAP

9AAN

Interested Party# 3 Identifier


9ABG

Interested Party #3 Identifier update not allowed.

CAAQ

9AAN

Submitting Institution

Submitting Institution is not eligible for ID processing.

IAAE Submitting Institution elected not to receive the II rejection.

9AAA

Branch Office Identifier

Branch ID number is invalid.

CAAR

Branch and Broker not related.

9ABB



Field Code

Reason Code


Non-ID Step-in Broker must be spaces when ID Step-in Broker is specified.

CAAS

9AAE

Non-ID Step-in Broker

ID Agent Internal Account number was not entered.

CAAU

9AA5

ID Agent Internal Account Number

Clearing Broker is not eligible for ID processing.

CAAY

9AAN

Clearing Broker Identifier.

IAAE Clearing Broker elected not to receive II’s.

IABH Clearing Broker is not active.

CABB

Customer Identifier

Customer Identifier is not eligible for ID processing, or must be spaces or zeroes if not provided.

9AAN

Customer Identifier is not allowed.

9ABG

9ABM Customer Identifier is not a valid submitter.

CABC

9ANN

Submitter Identifier

Submitter is not party to trade.

IAAB Submitter is not an affirming agent.

CACE

9AAA

Additional Party #4

Additional Party #4 is not valid for a domestic settlement location (DTC, BRC, PTC, FED, US).

9AAN

Additional Party #4 is not eligible for ID processing, or must be spaces or zeroes if not provided.

CACF

9AAA

Additional Party #5 Additional Party #5 is not valid for a domestic settlement location (DTC, BRC, PTC, FED, US).

9AAN Additional Party #5 is not eligible for ID processing, or must be

spaces or zeroes if not provided.



Field Code

Reason Code


CACG

9AAA

Generic TBA

A Generic TBA (Trade Type = 01) contained a pool number.

9ABD A Specified Pool Trade (Trade Type = 11) or a Generic Pool Trade

(Trade Type = 12) was missing a security number or a pool number.

Detail Reference Identifier

Detail Reference Identifier contains spaces.

CAGJ

9AA5

IAAN

Detail Reference Identifier in the detail allocation record within the “set” of allocations is a duplicate and not unique.

DAA3

9AAF

Total Allocation Shares/Face Value Total Allocation Shares/Face Value is not numeric.

9AAH Total Shares/Face Value must be greater than zero for regular

trade.

IAA2 Common Allocation not equal to Detail Allocation.

IABB

Total Shares/Face value not equal to original.

DAA4

9AAF

Broker of Credit Fee

Broker of Credit fee not numeric

DAA7

9AAF

Commission

Commission is not numeric.

DAA8

9AAF

Allocated Shares/Face Value for this Transaction

Allocated Shares/Face Value for this Transaction is not numeric.

9AAH Allocated Shares/Face Value for this Transaction is equal to zero.

Allocated Shares/Face Value for this Transaction is not valid.

IAA5

Working Allocation Number of Shares is not numeric.

DAA9

9AAF

Working Allocation Number of Shares

9AAH Working Allocation Number of Shares must be greater than zero.



Field Code

Reason Code


DAAA

9AAF

Shares/Face Value Quantity of Securities Face Value is not numeric in DTC’s Settlement systems and only applies to input with a DTC Settle-ment Location.)

9AAH

Quantity of Securities Face Value must be greater than zero.

IAAI

Shares/Face Value contains fractional shares. (Note: This applies only to input with a DTC settlement location.)

Shares/Face Value on the Broker-Dealer trade input for DTC is

greater than 999,999,999. (Note: This is the maximum value acceptable for processing in DTC’s Settlement systems and only applies to input with a DTC Settlement Location.)

IAAJ

Price is not numeric.

DAAD

9AAF

Price

9AAH

Price must be greater than zero for a regular trade.

Net Amount (Proceeds) not numeric.

DAAE

9AAF

Net Amount

9AAH

Net Amount (Proceeds) must be greater than zero for a regular trade.

IAAK Amount (Proceeds) on the Broker-Dealer trade input for DTC is

greater than $999,999,999.99. (Note: These are the maximum values acceptable for processing in DTC’s Settlement systems and only apply to input with a DTC settlement location.)

DAAF

9AAF

Principal Amount

Principal is not numeric.

9AAH Principal must be greater than zero for a regular trade.

DAAH

9AAF

Other Charges

Other Charges is not numeric.

DAAI

9AAF

Interest Interest is not numeric.



Field Code

Reason Code


DAAJ

9AAE

Commission

Commission is geater than 100 percent.

9AAF

Commission is not numeric.

DAAK

9AAF

Net Price

Net Price is not numeric.

9AAF Registration/Shipping or Fees not numeric. (Spaces only acceptable non-numeric value.)

DAAL

Registration/Shipping

DAAM

9AAF Alternate Net Amount is not numeric.

Alternate Net Amount

State/Local/Province Tax is not numeric.

DAAN

9AAF

State/Local/Province Tax

Country/Federal Tax is not numeric.

DAAO

9AAF

Country/Federal Tax

Actual Price and Net Price are both zeroes for “Regular Way” trades.

DAAP

9AAE

Actual Price

9AAF

Actual Price is not numeric.

9AAH Actual Price must be greater than zero for “Regular Way” trades

DAAQ

9AAF

Average Price

Average Price is not numeric.

9AAH Average Price must be greater than zero.

DABE

9AAF

Current Face Value The Current Face Value was not numeric.

DABG

9AAF

Good Delivery Millions Good Delivery Millions was not numeric.



Field Code

Reason Code


DABH

9AAF

Number of Days Accrued Interest The Number of Days Accrued Interest was not numeric.

DABI

9AAF

Number of Pools Number of Pools was not numeric.

DAGB

9AAF

Original Trade Par The Original Trade Par was not numeric.

EAA6

9AAE

Step-in Broker Notify Indicator Step-in Broker Notify Indicator not equal to Y/N.

EAAA

9AAE

Buy/Sell Indicator Buy/Sell Indicator is not equal to one of the acceptable values

EAAB

9AAE

Broker Notify Indicator Broker Notify Indicator value is not equal to one of the values.

EAAC

Split Currency Indicator Split Currency Settlement Indicator is not equal to Y = Yes or N = No.

9AAE

EAE5

Specified Pool Trade A Specified Pool trade (Trade Type = 11) did not contain any specifications; a Specified Pool trade must contain at least one specification.

IAEH

9AAA

Trade Type is not equal to:

01 = Generic TBA 02 = Specified TBA 03 = Specified Pool TBA 11 = Specified Pool 12 = Generic Pool 50 = Other MBS

9ABD

Trade Type indicator was missing on input.

IAEF

Specified TBA (Trade Type = 02) did not contain any specifications; a Specified TBA must contain at least one specification.



Field Code

Reason Code


FAAA

9AAF

Conversion Rate Conversion Rate is not numeric.

FAAB

9AAF

Amortized/Accreted Factor

Amortized/Accreted Factor is not numeric.

GAAA

9ABB

CUSIP Number

CUSIP Number not found.

GAAB

9AAA

Broker-Dealer Confirm Number

Broker-Dealer Confirm Number is invalid.

IAAO Broker-Dealer Confirm Number not unique for new and resubmitted

confirmations (Transaction Type = 1 and 4).

GAAC

9AAE

Role

Role is not equal to an acceptable value:

3 = other than customer

5 = average price

1 = agent 2 = principal

4 = both customer and agent

Settlement Code

Settlement Code not equal to an acceptable value:

2 = when issued

GAAD

9AAE

1 = regular

3 = when distributed 4 = when issued/distributed

GAAE

9AA5

Security Type Security Type is blank when intended for matching and the security is ineligible at DTC.



Field Code

Reason Code


9AAA

GMR = Ginnie Mae REMICS

The trade contained MBS information but the Security Type was not equal to an acceptable value:

ABS = Asset Backed Securities CMO = Collateralized Mortgage Obligation FMR = Freddie Mac REMICS FNM = Fannie Mae FNR = Fannie Mae REMICS FRM = Freddie MAC MBS = Mortgage Backed Securities

GNM = Ginnie Mae OMB = Other Mortgage Backed Securities

9AAE

The Security Type is not equal to one of the acceptable values.

9ABE

Security Type is required.

GAAF

Security Identifier The Security Number Format does not conform to the standards for the Security Numbering System.

9AAO ISIN

· If the Settlement Location is DTC then the Country Code must be US.

· If the Country Code is GB then: the first two positions after the Country Code must be zero the SEDOL Check-Digit must be valid.

· The ISO Country Code is invalid. · The International Check-Digit is invalid.

· If the Country Code is US then: the CUSIP Check-Digit must be valid.

· The International Check-Digit is not blank.

9AAP CUSIP

· The ISO Country Code is not blank.

· The CUSIP Check-Digit is invalid.

9AAQ · The ISO Country Code is not blank

· The first two digits of the Security Number are not zeros

SEDOL

· The International Check-Digit is not blank

· The SEDOL Check-Digit is invalid.

9AA5 Security Identified is blank when intended for matching.

9ABE

Security Number was not entered.



Field Code

Reason Code


IAA6 One of the three fields that identify the security (Security Identifier,

Ticker Symbol or Security Description) must be entered.

GAAG

9AAA

Cancellation Reason Code Cancellation Reason Code is invalid.

9AAE

Cancellation Reason Code is not equal to one of the acceptable values. Refer to Section 2.3, Cancellation Reason Codes.

9AAI

Reason Format is invalid.

9ABS

Cancellation Reason Codes-More than one code was entered.

GAAH

9AA6

Correction Reason Codes Correction Reason Codes repeated-Duplicate transaction.

Correction Reason Code invalid-Data type.

9AAE

GAAI

9AAE

Currency Code

Currency Code is not equal to one of the acceptable values. Refer to Section 2.1 for acceptable values.

IAAP

Currency Code is not equal to USD or USN. (Note: This applies only to input with a DTC Settlement Location.)

GAAJ

9AAA

DTC Control Number

DTC Control Number is invalid.

9ABB

DTC Control Number was not found in DTC’s database.

IAAT

Trade was already canceled.

IAAU Trade was already affirmed.

IAAV

Trade cannot be affirmed because of affirmation reversal, Prime Broker disaffirmation or an administrative cancellation. A new trade must be submitted.

IAAZ

Trade not found. DTC/ID Control Number or Executing Broker-Dealer and/or Broker-Dealer Confirm number for a cancellation, correction or affirmation does not match an existing trade.

IAEI

A reverse affirmation was submitted on a trade that is not affirmed.



Field Code

Reason Code


GAAK

9ABD

Request for Correction Reason Code Correction Recipient missing.

GAAL

9ABD

Request for Cancellation Reason Code

Cancellation Recipient missing.

GAAM

9AAE

Market Code Market Code is not equal to one of the acceptable values; refer to Section 2.2.

9AAI

Market Code format invalid.

GAAN

9AAE

Account Type Account Type is not equal to:

02 = Cash/DVP 05 = Short 09 = Margin 99 = Other.

GAAP

9AAE

Security Numbering System Security Numbering System Code is not equal to one of the acceptable values. Shown in messages as field description.

GAAR

9AAE

Alternate Currency Code Alternate Currency Code is not equal to one of the acceptable values; refer to Section 2.1, ISO Country and Currency Codes, for acceptable values.

IAAQ

To/From Currencies are provided, and Alternate Rate or Net Amount are missing, Alternate Currency field must be blank.

GAAS

9AAA

Settlement Location Settlement Location is invalid.

9AAE

Settlement Location is not equal to one of the acceptable values.

9ABB

Settlement Location was not found.

IAAR

Trade designated for DTC settlement but contained Sub-Custodians, Depositories (other than DTC) accounts or Branch ID numbers (US physical settlements).



Field Code

Reason Code


GAAT

IAA1

Institution Block Reference Number Institution Block Reference Number was already canceled.

IAA3

Institution Block Reference Number is invalid.

IAA4

Institution Block Reference Number is not equal to original allocation.

IAAN

Institution Reference Number is not unique.

IABD

Institution Block Reference was already rejected.

GAAV

9AAE

Broker-Dealer Reference Number Branch or Executing Broker Reference Number is spaces.

IAA1

Notice of Execution or Institution Block Reference Number was already cancelled.

IAA4

DTC could not match the original Broker Reference number for a reject or a cancel.

IAAN Broker Reference Number not unique.

IABD

Notice of Execution was already rejected.

GAAW

9AAA

Original Broker-Dealer Reference Number Original Broker-Dealer Reference Number invalid.

IAA1

Trade is already marked as a cancellation.

IAAZ

Trade not found. Executing Broker and Original Broker Confirm Number for a cancellation does not match an existing trade.

GABI

9AA3

Reject Reason Code Reject Reason Code is invalid.

GABL

9AAA

Allocation Commission Type Indicator Allocation Commission Type Indicator is equal to “Unknown.” Broker commission fee and Broker of Credit commissions fees are greater than zero.

9AAE

Allocation Commission Type invalid.



Field Code

Reason Code


GABN

9AA3

Transaction Type II message type not equal to Allocation (Institution input), Common Cancellation (Institution input), Substitution (Institution input), or Common Rejection (Broker input).

IAA7

No corresponding Common Record.

IABK

Transaction Type invalid for MDH.

IACG

Only transaction 1 or 4 can be submitted with a trailer.

GABO

9AAE

Data Type Data Type invalid; Refer to documentation.

IAA7 Detail Record submitted without a corresponding common record.

IAA8

No detail record type.

IABC

Detail record(s) are submitted for cancellations or rejections; transaction type 3 or 5.

IABG Step-out part missing in input when cancelling a stepped-out detail

or step-out part found in input when cancelling an allocation which is not stepped out.

GABP

9AAE

Substitution Indicator Message type not equal to “O” (Original), “C” (Cancellation), “S” (Substitution) or “R” (Replacement).

IAA9

Substitution Indicator not equal to “O” for transaction type 1 (Allocation).

IABA

Substitution Indicator not equal to “C” or “S” for transaction type 4 (Substitution).

GABQ

9AAE

Institution Internal Account Number Institution Internal Account Number is spaces.

GABW

Step-out Reason Code 1

9AAE Step-out Reason Code 1 is not equal to one of the acceptable values. Refer to the Institution Instruction Input/Output Specifications.



Field Code

Reason Code


GABX


9AAE

Step-out Reason Code 2 is not equal to one of the acceptable values. Refer to the Institution Instruction Input/Output Specifications.

GABY


9AAA

Submitted type is invalid for step-out processing.

9AAE

Step-out Reason Code 3 is not equal to one of the acceptable values. Refer to the Institution Instruction Input or Output Specifications.

GAC2

9ABB

Specification Code Not Found A specification did not equal an acceptable value

IACD

Specification Code 001 Invalid The Collateral Region Specification was not alphabetic or too long

IACE

Specification Code 002 Invalid The Collateral Region Excluded Specification was not alphabetic or too long

IACG Specification Code 003 Invalid The Index Specification was too long

IACG

The Interest Rate Cap-Maximum Specification was too long Specification Code 004 Invalid

IACH

Specification Code 005 Invalid The Interest Rate Cap-Minimum Specification was too long

IACI

Specification Code 006 Invalid The Issue Date-Earliest Specification was not a valid day of the year or was too long

IACJ

Specification Code 007 Invalid The Issue Date-Latest Specification was not a valid day of the year or was too long

IACK

Specification Code 008 Invalid The Issuance Region Code Specification was not alphabetic or was too long

IACL The Issuance Region Code Exclude Specification was not alphabetic or was too long

Specification Code 009 Invalid



Field Code

Reason Code


IACM

Specification Code 010 Invalid The Maturity Date-Latest Specification was not a valid day of the year or was too long

IACN

Specification Code 011 Invalid The Maturity Date-Latest Specification was not a valid day of the year or was too long

IACO

Specification Code 012 Invalid The Payment Percentage Cap-Maximum Specification was too long

IACP

Specification Code 013 Invalid The Payment Percentage Cap-Minimum Specification was too long

IACQ

Specification Code 014 Invalid The Periodic Cap-Maximum Specification was too long

IACR Specification Code 015 Invalid The Periodic Cap-Minimum Specification was too long

IACS

Specification Code 016 Invalid The Pieces-Maximum Number Specification was not numeric or was too long

The Pieces-Minimum Number Specification was not numeric or was too long

IACT Specification Code 017 Invalid

IACU

Specification Code 018 Invalid The Pools-Maximum Number Specification was not numeric or was too long

IACV

The Pools-Minimum Number Specification was not numeric or was too long


IACW

Specification Code 020 Invalid The Pools-Maximum Face Value Specification was too long

IACX

Specification Code 021 Invalid The Pools-Minimum Face Value Specification was too long

IACY

Specification Code 022 Invalid The Prepayment Percentage Specification was too long

IACZ Specification Code 023 Invalid

The Reset Date-Earliest Specification was not a valid day of the year or was too long



Field Code

Reason Code


IADA

Specification Code 024 Invalid The Reset Date-Latest Specification was not a valid day of the year or was too long

IADB Specification Code 025 Invalid The Series Number Specification was too long

The Specified Pool Specification was too long

IADC


IADD

The State of Pool Issuance Specification was not alphabetic or was too long


IADE

Specification Code 028 Invalid The Upside/Downside Variance Specification was too long

IADF

Specification Code 029 Invalid The Variance Specification was too long

IADG

Specification Code 030 Invalid The WAC Code–Maximum % Specification was too long

IADH

Specification Code 031 Invalid The WAC Code–Minimum % Specification was too long

IADI

Specification Code 032 Invalid The WAM Code–Maximun % Specification was too long

IADL

Specification Code 035 Invalid The Specified Original Face Specification was too long

IADM

Specification Code 036 Invalid The Month To Roll Specification was not numeric or was too long


IADJ

The WAM code–Minimum % Specification was too long

IADK

Specification Code 034 Invalid The Pools Per Million Specification was not numeric or was too long

The Free Form Specification was too long IADN Specification Code 099 Invalid

GAC3

9AAE

Allocation Reason Code Allocation Reason Code is not equal to one of the acceptable values. Refer to the input/output specifications for acceptable values.



Field Code

Reason Code


GACE

9AAA

Country Code

Country Code is invalid.

HACY

9AAE

Yield Invalid The Yield was not numeric.

HACZ

9AAF

Terminator Value Invalid The Terminator value was not numeric.

HADA

9AAA

Possible Duplicate Field Invalid

The ‘Possible Duplicate’ field was not valid; it must contain either a space or an X.

HADI

9AAA

EPN Time Invalid The ‘EPN Time’ field was not valid; it must be numeric and in military format.



8 Special Processing Notes

8.1 Affirming Party Indicator

The Affirming Party Indicator now contains six values (0–5). In the new system, the Interested Party or Customer can affirm trades. A new value (5) was added to indicate this condition. The field for old-format output User contains a 1 (Affirmed By Institution) when the Customer or Interested Party affirms the trade.

8.2 Payment Method Indicator

This field is ignored when processing old-format domestic trade input, and has been deleted from new-format trade input. Brokers can no longer request "Settle As Ineligible" for SDFS or NDFS trades. However, this field is retained for old and new-format output (Position 319), and reflects the funds the security settles in if the security is DTC-eligible.

8.3 Price Conversion

Price in old ID format is a fixed 5-integer and 6-decimal field. Input in old IID and new formats allows for a floating decimal anywhere in the field. Conversion from old IID and new input formats to old ID output is as follows:

· If the Price fits the 5-integer/6-decimal configuration, it appears as

such on the old-format ID output. · If the Price does not fit the 5-integer/6-decimal configuration, the

Price field is filled with 9s to signify that a floating decimal price was reported but could not be converted.



9 Additional Parties

The new system provides Interested Party and settlement information, either as entered on trade input or derived from SID. A maximum of three additional parties can appear on new confirmation output. 9.1 Additional Parties Derived From SID

The following identifies potential sources for these additional parties and the order in which they appear on output:

Interested Parties: SID allows for up to four ID User slots (one Customer and three Interested Parties). SID records whether the Customer or an Interested Party is the affirmer. A Customer that is not an ID User can also be recorded on SID, and can appear on the confirmation, but does not receive a copy through ID.

Settlement Parties: Three types of settlement information are recorded on SID:

· Sub-Custodian: for trades where the Settlement Location is any

country except the US

· Branch Information: for trades settling physically in the U.S., denoted "US" in the Settlement Location field on input

· Depository Account: for trades where the Settlement Location is FED, PTC, EUR, CED and FNB

9.2 Old-Format Input

The new system continues to accept up to two Interested Parties or two Sub-Custodians for old-format input.

9.3 New-Format Input

The system is designed so that all settlement and customer/interested party information can be derived from SID. Broker-Dealers can also continue to input in two fields, as follows:

· Settlement locations in the U.S. (DTC, BRC, US, PTC, FED): up to two

Interested Parties only · Settlement location outside the U.S.: two Sub-Custodians, no

Interested Parties. First is Broker Sub-Custodian, followed by Agent Sub-Custodian



9.4 Old-Format Output

If on SID, Customer and Interested Party data is fitted into the two available fields, determined by Customer, then Interested Parties 1, 2 or 3, in that order (that is, if nothing in Customer SID supplies data for Interested Parties 1 and 2). If not on SID, the output shows whatever was submitted on trade input.

9.5 New-Format Output

9.5.1

9.5.2

Settlement Location of DTC or BRC ID confirmations do not need to show settlement instructions for

settlement locations of DTC or BRC. All three "Additional Party" fields are available for Customer and Interested Party information derived from SID in the order explained above, or submitted on trade input.

All Other Settlement Locations For all other settlement locations, settlement information is required

on the confirm. However, to maximize the usefulness of the three available fields, settlement information is shown from the perspective of the other (Contra) side. Settlement information includes Sub-Custodians, Depository Account and Branch Information.

The confirmation recipient’s Sub-Custodian is only used when there are not two Interested Parties or a Customer and an Interested Party to be displayed. The relationship of an ID User to its associated Sub-Custodian is shown in the following table:

ID User Your Sub-

Custodian

Contra Sub-Custodian

Institution/Agent/Customer or Interested-Party Custodian

Agent Sub-Custodian

Broker Sub-Custodian

Broker

Broker Sub-Custodian

Agent Sub-Custodian

For example, an Institution has recorded Customer and two Interested Parties on SID. The confirm to the Institution shows the Broker’s Sub-Custodian, Customer and Interested Party number one. The confirms to the Agent and the Interested Parties are the same. The confirm to the



Broker shows the Agent’s Sub-Custodian, the Customer and Interested Party number one.

If there is only one interested party, the confirms show the Contra Sub-Custodian in the first Additional Party field, the Interested Party in the second and the other Sub-Custodian in the third.

Therefore, the order for filling the three additional party fields for all settlement locations other than DTC and BRC is:

1. Contra Sub-Custodian 2. Customer (ID or non-ID) 3. Interested Party #1 4. Interested Party #2 5. Interested Party #3 6. Your Sub-Custodian

Refer to Positions 819, 820 and 821, which identify the type of each additional party.



10 Settlement Fields That Can Be Bypassed From SID

A SID Bypass Indicator (Position 197) has been provided on trade input for the infrequent cases where a trade must settle differently from normal practice as recorded on the Standing Instructions Database. The bypass ignores the settlement related fields listed below, but allows SID to generate Additional Party information. In addition, the Bypass Indicator does not allow matching to occur. The field will not initially be used. It is for future use.

Field Name

Position

Agent ID Number 45–52

Agent Internal Account Number

323–334

Broker Sub-Custodian ID Number*

623–630

Broker Sub-Custodian Account Number* 631–642

643–667 Broker Sub-Custodian Instruction Line 1*

Broker Sub-Custodian Instruction Line 2*

668–692

Agent Sub-Custodian ID Number*

693–700

Agent Sub-Custodian Account Number* 701–712

Agent Sub-Custodian Instruction Line 1*

713–737

Agent Sub-Custodian Instruction Line 2*

738–762

* Listed in Input and Output Specifications as Additional Party fields



11 Appendix A. Security Numbering System Formats

Efficiency of Checking. On average, for every 10,000 numbers checked, five numbers pass the test but will be incorrect because of multiple errors that "cancel out." This is because the weights and modulus used in the check are not the best possible. The method was selected by securities industry representatives in 1967 because they required that the check-digit be numeric and increment uniformly with the sixth digit. While there are good reasons for ignoring this requirement and selecting different weights and modulus, securities industry representatives decided that the improvements in error checking which would be brought about by a change would not be justified because of the disruption that the change would cause.

ISIN Definition: ISIN is a code that uniquely identifies a specific securities issue. It consists of:

· A prefix, consisting of a 2-letter country code (refer to ISO 3166) of the country where the issuer of securities, other than debt securities, is legally registered or, in the absence of registration, in which he/she has legal domicile.

For debt securities issued after the date of publication of the third edition of the International Standard, the agency in the country of the lead manager for the particular issue allocates the ISIN, except under conditions to be determined by the lead manager. An international clearing system can allocate the ISIN in the same capacity as a national agency.

For debt securities issued prior to the date of publication of the third edition of the International Standard, the agency in the country of the main paying agent allocates the ISIN. The Issuer of depositary receipts is the body which has issued them, not the body which issued the securities they represent. Therefore, the country code of the Issuer of the depositary receipts is used.

· The basic number, which is 9-characters (letters and/or digits) in

length. Where the existing national number consists of nine characters, this is the number to be used. Where the national number consists of fewer than nine characters, this also is used with zeros inserted in front of the national number. Where a national check-digit exists, it is regarded as part of the basic number within the nine characters.



· A check-digit computed according to the Modulus Ten "Double-Add-Double" formula described in Section 10.1 i, ISIN Modulus Ten "Double-Add-Double" Check-Digit (see page 63).



11.1Computing Check-Digits

11.1.1

Step 1 Assign alphabetic characters a numeric value. The letter A is 10. The value of each subsequent letter is the preceding letter’s value incremented by 1:

A = 10 F = 15 K = 20 P = 25 U = 30

Z = 35

Step 2 Double the value of alternate digits beginning with the first right-hand digit (low order), including zeros.

ISIN Modulus Ten "Double-Add-Double" Check-Digit

B = 11 G = 16 L = 21 Q = 26 V = 31 C = 12 H = 17 M = 22 R = 27 W = 32 D = 13 I = 18 N = 23 S = 28 X = 33 E = 14 J = 19 O = 24 T = 29 Y = 34

Step 3 Add the individual digits composing the products obtained

in Step 2 and each of the unaffected digits in the original number.

Step 4 Subtract the total obtained in Step 3 from the next higher

number ending in 0. (This is the equivalent of calculating the "tens complement" of the low order digit [unit digit] of the total.) If the total obtained in Step 3 is a number ending in zero (30, 40, etc.), the check-digit is 0.



Example 1

Check digit

W.R. Grace and Co. shares1

US 3 8 3 8 8 3 1 0 5 30 28 3 8 3 8 8 3 1 0 5

21 21 2 1 2 1 2 1 2 1 2 60 48 6 8 6 8 16 3 2 0 10 6 + 0 + 4 + 8 + 6 + 8 + 6 + 8 + 1 + 6 + 3 + 2 + 0 + 1 + 0 = 59

1

60

Example 2

Hitachi Ltd. shares

JP 0 0 0 0 0 6 5 0 1 19 25 0 0 0 0 0 6 5 0 1

21 21 2 1 2 1 2 1 2 1 2 29 45 0 0 0 0 0 6 10 0 2 2 + 9 + 4 + 5 + 0 + 0 + 0 + 0 + 0 + 6 + 1 + 0 + 0 + 2 = 29 Check digit 1

30

1 From International Organization for Standardization Publication #6166, Fourth Edition, December 15, 1987



Example 3

8 5 18 0 10 6 23 26 18

International Bank for Reconstruction and Development (Worldbank) 15 1/8% due 15 Dec. 19912

US 4 5 9 0 5 6 D G 9 30 28 4 5 9 0 5 6 13 16 9

21 21 2 1 2 1 2 1 21 21 2 60 48 6 + 0 + 4 + 8 + 8 + 5 + 1 + 8 + 0 + 1 + 0 + 6 + 2 + 3 + 2 + 6 + 1 + 8 = 69 Check digit 1

70

2 From International Organization for Standardization Publication #6166, Fourth Edition, December 15, 1987



11.1.2 CUSIP Modulus Ten "Double-Add-Double" Check-Digit The CUSIP check-digit is based on the Modulus Ten double-add-double technique (see Section 10.1.i on page 63). The following examples illustrate the calculation of a Modulus Ten double-add-double check-digit.3

Example 1 Issuer Number 837649 Issue Number 12

8 3 7 6 4 9 1 2 x 1 x 2 x 1 x 2 x 1 x 2 x 1 x 2 8 6 7 12 4 18 1 4 Thus:

8 + 6 + 7 + 1 + 2 + 4 + 1 + 8 + 1 + 4 = 42

The complement of the last digit of the sum becomes the check-digit. The complement of 2 is 8. Therefore, the CUSIP number with the check-digit would appear as:

837649 12 8

3 From The Cusip Directory, 1993, prepared for the CUSIP Agency by Standard & Poor’s Corporation, Copyright 1993, American Bankers Association



Example 2 Alphabetic characters are assigned a numeric value to calculate the check-digit. The letter A is 10. The value of each subsequent letter is the value of the preceding letter incremented by 1. A=10 B=11 C =12 D=13 E=14 F=15 G=16 H=17 I=18 J=19 K=20 L=21 M=22 N=23 O=24 P=25 Q=26 R=27 S=28 T=29 U=30 V=31 W=32 X=33 Y=34 Z=35 . (period) =36 @=37 #=38(PPN System–Private Placement Number)

Issuer Number 392690 Issue Number QT

3 9 2 6 9 0 Q T (Q=26, T= 29) x 1 x 2 x 1 x 2 x 1 x 2 x 1 x 2 3 18 2 12 9 0 26 58

Thus:

3 + 1 + 8 + 2 + 1 + 2 + 9 + 0 + 2 + 6 + 5 + 8 = 47

The complement of the last digit of the sum becomes the check-digit. The complement of 7 is 3. Therefore, the CUSIP number with the check-digit would appear as:

392690 QT 3



· Although the CUSIP and ISIN check-digit routines are similar, they differ in the manner in which they multiply the numeric value assigned to a letter (A through Z).

· The ISIN algorithm multiplies the 2-position number assigned to a letter by two numbers. Therefore, a T would convert to 29 and the tens column would be multiplied by 1 and the units column by 2 (or 2 and 1) depending on where it was placed in the CUSIP. In the above example it would be multiplied as follows: (2 x 1) + (9 x 2). All resulting digits (three in this example) are added independently to the calculation, adding a value of 11 (2+1+8) to the sum.

Notes

· The CUSIP algorithm multiplies the 2-position number assigned to a letter by a single number. Therefore, a T would convert to 29 and be multiplied by either 2 or 1, depending on where the letter was placed in the CUSIP. In the above example it is multiplied by 2 for a product of 58. Both digits are added independently to the calculation, adding a value of 13 (5+8) to the sum.



11.1.3

123-45

SEDOL Securities Identifier Check Digits

Format. A seven digit code number is allocated to give every security in the system a unique identification.4

0

7

Series Digit

Numerical Identification Check

Digit

· The first of the seven digits is called the series digit.

· The middle five digits are allocated to the range 00001 to

99998 so that the numeric sequence of these digits corresponds approximately to the alphabetic sequence of the security within a series digit. There is no correspondence in sequence between the different series.

· The last of the seven digits is a Modulus-Ten check-digit.

The normal format for printing the number is 0-123-457. Breaking the number up into small groups like this reduces the risk of transcription errors.

Significance of the Series Digit. The significance of the series digit (first position) is explained in the following table.

Please note that the purpose of series digit does not include classification of securities by geographical area. The country of incorporation and other classification codes must be used instead. Normally, a new code number is not allocated to a security because its current series digit is inappropriate.

4 Subsection 8.1.iii from the London Stock Exchange Securities Coding System Manual



Series Digit

SEDOL Series Digits Explanation

0

Officially coded security that satisfies one or more of the following conditions:

· It is registered in the British Isles or Gibraltar but is not listed on The Stock Exchange.

· It has a full, Unlisted Securities Market or Third Market Listing.

· It is listed by an organization incorporated in the British Isles or Gibraltar and is not listed or registered elsewhere.

1

Privately coded security for a User’s internal procedures. The Stock Exchange uses this series for special test items, but information on such items is not published.

2


· It is listed on an exchange in the American continental area. · It is registered in the American continental area but is not listed

there or on The Stock Exchange. · It is issued by an organization incorporated in the American

continental area and is not listed or registered elsewhere. · ADR’s are listed on The Stock Exchange.

3 Reserved for future use by The Stock Exchange

· It is registered in the European continental area but is not listed or registered elsewhere.

4 Officially coded security that satisfies one or more of the following conditions:

· It is listed on a stock exchange in the European continental area (countries other than the British Isles and Gibraltar).

· It is issued by an organization incorporated in the European continental area and is not listed or registered elsewhere.

5 Reserved for future use by The Stock Exchange

6


· It is registered in the African, Australian, Far Eastern or other continental areas but is not listed there or on The Stock Exchange.

· It is listed on a stock exchange in the African, Australian, Far Eastern or other continental areas.

· It is issued by an organization incorporated in the African, Australian, Far Eastern or other continental areas and is not listed or registered elsewhere.

7

Reserved for future use by The Stock Exchange



Series Digit

SEDOL Series Digits Explanation

8 Officially coded security that The Stock Exchange has ruled shall be

coded in this series, notwithstanding its eligibility for coding in another series. Blocks of this series are reserved for specific types of securities. The following blocks are currently in use:

8400000–8449995 Traded Options


8550002–8599986 Reserved for Excel

8201504–8399993 Securities Master File



8101228–8201485 Reserved for Excel 8450005–8499990 Reserved for Excel

8650009–8700584 Reserved for Excel

8000013–8101206 Unlisted Local Authority Mortgages

9-102-004 to 9-104-992

Note. Users must avoid allocating numbers in the building society range so that they do not confuse their own privately allocated numbers with the Building Societies numbers. Future Building Societies numbers will be allocated in the 0-series if the item is a particular class of share or deposit.

9 Privately coded item that cannot be considered a security, secondary security, or special item. The Stock Exchange uses this series for text items that are printed in directories and code books. Such numbers are not published, so Users’ private allocations are in no way restricted. Building Society Numbers. The following numbers in the 9-series have been published by Building Societies on their interest tax counterfoils (see note below):

Checking a Number. To check that a number is reported correctly, each digit is multiplied by a weight and the results are added. The weight used for each digit is set out as follows:

Digit Weight

1st (series) 1 2nd 3 3rd 1 4th 7 5th 3 6th 9 7th 1



Number reported as 0-123-457

Digit Weight Product

0 1 0

If the sum of the results is a multiple of 10, the number is taken to be correct, otherwise it is incorrect. The application of the method is illustrated in the following examples.

Example 1

1 3 3 2 1 2 3 7 21 4 3 12 5 9 45 7 1 7

Example 2

5 7 35

Sum = 90

Since the sum is a multiple of 10, the number has been quoted correctly.

Number reported as 0-125-457


0 1 0 1 3 3 2 1 2

4 3 12 5 9 45 7 1 7

Sum = 104

Since the sum is not a multiple of 10, the number has been quoted incorrectly.



Deriving a Check-Digit. To derive a check-digit for a number:

1. Multiply each of the six digits by the corresponding weight.

b. If the remainder = 0, the check digit = 0.

The application of the method is clear from the following two examples.

1 3 3

2. Add the results.

3. Divide the answer by 10.

4. Subtract the remainder from 10, unless it is 0.

a. If the remainder is greater than 0, the check-digit is the difference between the remainder and 10

Example 1 Number 0-123-457


0 1 0

2 1 2 3 7 21 4 3 12 5 9 45

Sum = 83

Remainder on division by 10 = 3

Therefore check-digit = 7



Example 2

1 7 7

0 9 0

Number 0-101-00?


0 1 0 1 3 3 0 1 0

0 3 0

Sum = 10

Remainder on division by 10 = 0

Therefore check-digit = 0

3.04 Institutional Delivery System Input/Output Information

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