Page Last Updated 8/15/99

 

This document describes the rules and contents of the TOF fields populated by Cognotec from the Standard Interface (SI) data stream. SI data is produced for every valid deal made in the AutoDeal system. Payment Instructions are also available through SI but are transmitted as a separate record, following the position record (Deal). Fields in italics are currently not passed to TOF by the SI feed.

SI passes four deal types to the TOF conversion process

  1. Spot
  2. Swap (includes Take-ups and Extensions)
  3. Forward/Outright
  4. Loan/Deposit (includes Rollovers)

The type of deal is identified as follows

  1. Spot
  • deal_type = ‘SP ’
  1. Swap
  • deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’; dealno_id = ‘A’
  1. Forward/Outright
  • deal_type = ‘FR ’ or ‘FO ’
  1. Loan/Deposit
  • deal_type = ‘SL ’ (Standard Loan) or ‘SD ’ (Standard Deposit)
  • for Rollovers the deal-type is still ‘SL’ or ‘SD’ but with a backward reference to the original deal number (not relevant to TOF).

A unique deal is identified by combining the following fields into a Deal No. (char. 22)

 

dealno_branch

 

8

 

Branch of a Deal

 

dealno_year

 

4

 

Current Year

 

dealno_seq_no

 

7

 

Deal reference number

 

dealno_id

 

1

 

Deal Id. for Near/Far leg

 

message_type

 

2

 

Type of Message (ND = New Deal, UD = Update)

Payment Instructions are identified with a message_type of ‘UD’ and can be matched to the relevant position record by matching the Deal No components, excluding message_type.

The following section describes the processing rules for SI to TOF conversion. Fields can be directly populated from an equivalent SI field or may be derived from values available in the AutoDeal SI. This document should be viewed in conjunction with the detailed TOF Mapping included in Appendix A.

  1. Source of Data
  • Recommended to be 1 &emdash; Offline deal capture.
  1. Source Reference
  • Taken directly from dealno_year + dealno_seq_no (Year + Deal Reference Number)
  1. Date of Deal
  • Derived from date_deal. All SI dates are in the format YYYYMMDD. MM will need to be converted to a three character identifier and the day and year components reversed (TOF dates are ‘dd mmm yyyy’). SI will provide dates and times based on GMT.
  1. Time of Deal
  • For FX, extracted from fxm_time4, position 9 to 16, giving ‘hh:mm:ss’
  • For MM, extracted from mm_time3, position 9 to 16, giving ‘hh:mm:ss’
  1. Dealer Id
  • A dealer id is available if the deal being sent through SI was actioned through Dealer Intervention. In SI the dealer_code field is 8 characters. The first two digits of this field are the system id of the AutoDeal LITE system (e.g. if the LITE system id is 45 then all dealer ids are in the format 45XXXXXX). The remaining six characters are the unique Dealer Id on the system, therefore Dealer Id will be populated from position 3 to 8 of dealer_code.
  1. Date confirmed
  • AutoDeal has no concept of a delay in confirming deals, therefore this field is always equal to 502
  1. Time confirmed
  • AutoDeal has no concept of a delay in confirming deals, therefore this field is always equal to 503
  1. Confirmed-by Id
  • Always the same as 504
  1. Bank 1 Dealing Code
  • TOF expects a TCID in this field which is not available from SI, will default to ####
  1. Bank 1 Name
  • AutoDeal can provide any or all of the following if requested
  • client_code char 8
  • client_shortname char 10
  • client_longname char 30
  1. Broker Dealing Code
  • TOF expects a TCID in this field which is not available from SI, will default to ####
  1. Broker Name
  • AutoDeal can provide the Branch id (sel_branch) of the Branch associated with the Client on whose behalf a deal is being executed.
  1. Reason for Sending
  2. Bank 2 Name
  3. Deal Type
  • bank_sell_ccy_near indicates direction when compared to fixed_ccy_near or counter_ccy_near.
  • 1 = Buy; bank_sell_ccy_near = counter_ccy_near and deal_type = 'SP', ‘FR’ or ‘FO’
  • 2 = Sell; bank_sell_ccy_near = fixed_ccy_near and deal_type = 'SP', ‘FR’ or ‘FO’
  • 3 = Buy and Sell; bank_sell_ccy_near = counter_ccy_near and deal_type = 'FX_SW' , ‘FX_EX’ or ‘FX_TU’
  • 4 = Sell and Buy; bank_sell_ccy_near = fixed_ccy_near and deal_type = 'FX_SW' , ‘FX_EX’ or ‘FX_TU’
  • 5 = Lend; deal_type = SL (if lend = loan, to be confirmed)
  • 6 = Borrow; deal_type = SD (if borrow = deposit, to be confirmed)
  1. Period 1
  • Taken directly from period_near
  1. Period 2
  • Taken directly from period_far
  1. Currency 1
  • For FX deals, taken directly from fixed_ccy_near (major/only currency code)
  • For MM deals, taken directly from mm_ccy (deposit/loan currency code
  1. Currency 2
  • For FX deals, taken directly from counter_ccy_near (minor/only currency code)
  1. Deal Volume Currency 1 (see Note 1 on truncating Currency Volumes)
  • For FX deals use fixed_amt_near (major currency start amount)
  • For MM deals use mm_principal (deposit/loan amount)
  1. Deposit Rate
  • For Deposit/Loans only, use mm_client3
  1. Swap rate
  • For Swaps (see notes above on which deal_type indicates a Swap), subtract the near rate (nr in 522) from the far rate (fr in 523)
  1. Exchange Rate Period 1
  • Taken directly from nr
  1. Exchange Rate Period 2
  • Taken directly from fr
  1. Rate Direction
  • AutoDeal LITE allows Banks to set a system-wide flag (sys_quote_basis_indicator) which indicates whether all currency pairs will be treated as Normal or Inverse. The system also allows an individual currency pair (pair_normal) to be set up as Normal or Inverse. This setting overrides the system-wide setting. The following table describes the affect of this and the resulting value in TOF

     

    System Indicator

     

    Currency Pair indicator

     

    AutoDeal Result

     

    TOF Value

     

    Direct (Normal)

     

    Direct (Normal)

     

    T (true)

     

    1 (Normal)

     

    Direct

     

    Inverse

     

    F (false)

     

    2 (Inverse)

     

    Inverse

     

    Direct

     

    T

     

    1 (Normal)

     

    Inverse

     

    Inverse

     

    F

     

    2 (Inverse)

  • The True/False value is taken from FXM_R_TP_PP_NORMAL
  1. Value Date Period 1 Currency 1
  • If deal_type = ‘SP’ use date_spot
  • Otherwise use date_near
  1. Value Date Period 1 Currency 2
  • Always the same as 525
  1. Value Date Period 2 Currency 1
  • Use date_far
  1. Value Date Period 2 Currency 2
  • Always the same as 527
  1. Payment Instruction Period 1 Currency 1
  • In AutoDeal, Payment Instructions are sent after the original deal (the position record). Where a deal has two components (near and far legs) there will be two PI records generated (one for each leg). The fields described below are for FX only. MM details will be forwarded as soon as possible.
  • Any of the following fields can be included in the TOF Payment Instruction field (up to a maximum of 56 characters) :
    • pi_inw_ccy : Char 3;
  • pi_inw_method : Char 5;

    pi_inw_branch : Char 8;

    pi_inw_bankname : Char 30;

    pi_inw_address1 : Char 30;

    pi_inw_address2 : Char 30;

    pi_inw_address3 : Char 30;

    pi_inw_city : Char 30;

    pi_inw_post_code : Char 30;

    pi_inw_account_name : Char 30;

    pi_inw_account_no : Char 30;

    pi_out_ccy : Char 3;

    pi_out_method : Char 5;

    pi_out_branch : Char 8;

    pi_out_bankname : Char 30;

    pi_out_address1 : Char 30;

    pi_out_address2 : Char 30;

    pi_out_address3 : Char 30;

    pi_out_city : Char 30;

    pi_out_post_code : Char 30;

    pi_out_account_name : Char 30;

    pi_out_account_no : Char 30;

  • A PI record is identified by message_type ‘UD’.
  • If deal_type = ‘SP’, ‘FR’, ‘FO’, ‘SD’ or ‘SL’ then move pi_inw_xxx to 529
  • If deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’ and dealno_id = ‘A’ then move pi_inw_xxx to 529
  1. Payment Instruction Period 1 Currency 2
  • If deal_type = ‘SP’, ‘FR’ or ‘FO’ then move pi_out_xxx to 530
  • If deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’ and dealno_id = ‘A’ then move pi_out_xxx to 530
  1. Payment Instruction Period 2 Currency 1
  • If deal_type = ‘SD’ or ‘SL’ then move pi_inw_xxx to 531
  • If deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’and dealno_id = ‘B’ then move pi_inw_xxx to 531
  1. Payment Instruction Period 2 Currency 2
  • If deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’ and dealno_id = ‘B’ then move pi_out_xxx to 532
  1. Oldest Deal id
  2. Oldest Deal date
  3. Oldest Deal time
  4. Latest Deal id
  5. Latest Deal date
  6. Latest Deal time
  7. Secondary Source reference
  8. Method of Deal
  • Always default to 1
  1. Rate Currency 1 against USD
  2. Rate Currency 2 against USD
  3. Rate Base Currency against USD
  4. Base Currency
  5. Calculated volume Period 1 Currency 2
  • Use count_amt_near (minor currency start amount)
  • Not used for Deposits
  1. Calculated volume Period 2 Currency 2
  • Use count_amt_far (minor currency start amount)
  • Only used for Swaps
  1. Calculated volume Period 2 Currency 1
  • Use fixed_amt_far (major currency start amount)
  • Used for Swaps and Deposits
  1. Conversation text
  2. Dealer Name
  • The follow fields are available from AutoDeal

     

    dealer_name

     

    8

     

    Dealer Name

     

    dealer_shortname

     

    10

     

    Dealer Short name

     

    dealer_longname

     

    29

     

    Dealer Long name

  1. Confirmed-by name
  • Can be the same as 549 above or any combination of the dealer fields listed for 549
  1. Local TCID
  • Will be pre-defined as ‘LITE’ in the TOF conversion routine but can be amended for each individual customer
  1. Review reference number
  • Same as 501
  1. Comment text
  • For FX deals use remarks
  • For MM use mm_comments
  1. FRA fixing date
  2. FRA settlement date
  3. FRA maturity date
  4. IMM indicator
  5. Dealing 2000 Version Number
  6. Outright Points Premium Rate
  7. Spot Basis rate
  8. User-defined title 1
  9. User-defined data 1
  10. User-defined title 2
  11. User-defined data 2
  12. User-defined title 3
  13. User-defined data 3
  14. ID of original if this is a Contra
  • Not applicable since Reversals/Cancellations are not supported in AutoDeal LITE
  1. ID of previous if this is a next
  2. Pure deal type
  • derived from deal_type
    • deal_type = ‘SP‘ (Spot) = 2 (Forex Spot)
  • deal_type = ‘FR’ or ‘FO’ (Forward) = 4 (Forex Outright)

    deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’ (Swap) = 8 (Forex Swap)

    deal_type = ‘SD’ or ‘SL’ (Loan/Deposit) = 16 (Forex deposit)

    n/a = 36 (Forex FRA)

    n/a = 64 (Bullion Spot)

  1. Volume of Interest
  • For Deposit only, use mm_interest
  1. Days elapsed during deal
  • For FX deals, not supplied in SI
  • For MM deals, use mm_term
  1. Year Length
  • For Deposit only, use curr_mm_interest_days
  1. Price convention
  • To provide this information as required in TOF (i.e. pure market convention, regardless of any system settings) would require SI to access a system database which it does not currently do during SI processing. Can be provided if there is demand to do so but could impact performance. Needs further evaluation.
  1. Interest message (CIF)
  2. SWIFT-BIC Currency 1 Period 1
  3. SWIFT-BIC Currency 2 Period 1
  4. SWIFT-BIC Currency 1 Period 2
  5. SWIFT-BIC Currency 2 Period 2
  6. D2000-2 Credit reduction
  7. D2000-2 Credit remaining
  8. Base Currency 2
  9. Base Currency 3
  10. Rate Base Currency 2 versus USD
  11. Rate Base Currency 3 versus USD

Note 1 : TOF stores amounts (volumes) as 15 characters, including an optional leading minus and one or zero decimal points. SI sends amounts as 16 characters, also with an optional leading minus and one or zero decimal points. This is an obvious incompatibility. Any SI amounts which use all 16 characters will not be processed through TOF. An error message will be generated and the ticket will need to be manually keyed into the back office systems. Cognotec will monitor this situation with customers and if it proves to be a regular occurrence an alternative solution will be considered.