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 ’

2. Swap

• deal_type = ‘FX_SW’, ‘FX_TU’ or ‘FX_EX’; dealno_id = ‘A’

3. Forward/Outright

• deal_type = ‘FR ’ or ‘FO ’

4. 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.

500. Source of Data

• Recommended to be 1 &emdash; Offline deal capture.

501. Source Reference

• Taken directly from dealno_year + dealno_seq_no (Year + Deal Reference Number)

502. 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.

503. 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’

504. 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.

505. Date confirmed

• AutoDeal has no concept of a delay in confirming deals, therefore this field is always equal to 502

506. Time confirmed

• AutoDeal has no concept of a delay in confirming deals, therefore this field is always equal to 503

507. Confirmed-by Id

• Always the same as 504

508. Bank 1 Dealing Code

• TOF expects a TCID in this field which is not available from SI, will default to ####

509. 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

510. Broker Dealing Code

• TOF expects a TCID in this field which is not available from SI, will default to ####

511. 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.

512. Reason for Sending
513. Bank 2 Name
514. 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)

515. Period 1

• Taken directly from period_near

516. Period 2

• Taken directly from period_far

517. 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

518. Currency 2

• For FX deals, taken directly from counter_ccy_near (minor/only currency code)

519. 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)

520. Deposit Rate

• For Deposit/Loans only, use mm_client3

521. 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)

522. Exchange Rate Period 1

• Taken directly from nr

523. Exchange Rate Period 2

• Taken directly from fr

524. 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

525. Value Date Period 1 Currency 1

• If deal_type = ‘SP’ use date_spot
• Otherwise use date_near

526. Value Date Period 1 Currency 2

• Always the same as 525

527. Value Date Period 2 Currency 1

• Use date_far

528. Value Date Period 2 Currency 2

• Always the same as 527

529. 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

530. 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

531. 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

532. 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

533. Oldest Deal id
534. Oldest Deal date
535. Oldest Deal time
536. Latest Deal id
537. Latest Deal date
538. Latest Deal time
539. Secondary Source reference
540. Method of Deal

• Always default to 1

541. Rate Currency 1 against USD
542. Rate Currency 2 against USD
543. Rate Base Currency against USD
544. Base Currency
545. Calculated volume Period 1 Currency 2

• Use count_amt_near (minor currency start amount)
• Not used for Deposits

546. Calculated volume Period 2 Currency 2

• Use count_amt_far (minor currency start amount)
• Only used for Swaps

547. Calculated volume Period 2 Currency 1

• Use fixed_amt_far (major currency start amount)
• Used for Swaps and Deposits

548. Conversation text
549. 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

550. Confirmed-by name

• Can be the same as 549 above or any combination of the dealer fields listed for 549

551. Local TCID

• Will be pre-defined as ‘LITE’ in the TOF conversion routine but can be amended for each individual customer

552. Review reference number

• Same as 501

553. Comment text

• For FX deals use remarks
• For MM use mm_comments

554. FRA fixing date
555. FRA settlement date
556. FRA maturity date
557. IMM indicator
558. Dealing 2000 Version Number
559. Outright Points Premium Rate
560. Spot Basis rate
561. User-defined title 1
562. User-defined data 1
563. User-defined title 2
564. User-defined data 2
565. User-defined title 3
566. User-defined data 3
567. ID of original if this is a Contra

• Not applicable since Reversals/Cancellations are not supported in AutoDeal LITE

568. ID of previous if this is a next
569. 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)

570. Volume of Interest

• For Deposit only, use mm_interest

571. Days elapsed during deal

• For FX deals, not supplied in SI
• For MM deals, use mm_term

572. Year Length

• For Deposit only, use curr_mm_interest_days

573. 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.

574. Interest message (CIF)
575. SWIFT-BIC Currency 1 Period 1
576. SWIFT-BIC Currency 2 Period 1
577. SWIFT-BIC Currency 1 Period 2
578. SWIFT-BIC Currency 2 Period 2
579. D2000-2 Credit reduction
580. D2000-2 Credit remaining
581. Base Currency 2
582. Base Currency 3
583. Rate Base Currency 2 versus USD
584. 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.