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Trax Match CSV Entry Point Version 2 Technical Specification

Trax Match CSV Entry Point – Technical Specification

May 2014 Version 1.1 of 92

For any help or assistance regarding this document please contact:

Client Services

[email protected]

Telephone +44 (0)20 3655 3440

©2014 Xtrakter Limited (the "Company"). Trax is a trading name of Xtrakter Limited. The Company is a wholly owned subsidiary of MarketAxess Holdings Inc. To the fullest extent permitted by applicable law, the Company disclaims all warranties and representations contained herein. The Company does not independently verify information obtained from third party sources. Confidential and proprietary information of the Company. All forms of copying prohibited. The Company is authorised and regulated by the UK Financial Conduct Authority.

Whilst every effort has been made to ensure that the contents contained herein are accurate and complete, Xtrakter Ltd does not accept liability for any errors or omissions. The development of products and methods is continuous and published information may not be up-to-date. Therefore, it is important to check the current status with Xtrakter Ltd.

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Revision History

Version Date Comments (i.e. Why)

1.1 December 2015

Issued Version



1 OVERVIEW ................................................................................................... 6

1.1 Introduction ......................................................................................... 6

1.2 Document Structure ........................................................................... 6

1.3 Related Documentation ..................................................................... 7

2 CONNECTING TO TRAX .............................................................................. 8

2.1 Overview ............................................................................................. 8

2.2 Internet ................................................................................................ 8

2.3 Extranet Solution ................................................................................ 8

3 EXCHANGING FILES WITH TRAX .............................................................. 9

3.1 Launching Secure FTPS .................................................................... 9

3.2 Configuring the Options Tab ............................................................. 9

3.3 Configuring the Connection Tab ..................................................... 10

3.4 Uploading and downloading files ................................................... 11

4 SERVICE OVERVIEW ................................................................................ 12

4.1 Introduction ....................................................................................... 12

4.2 Inputting Trades ............................................................................... 12

4.3 Monitoring Trades ............................................................................ 13

5 REQUEST FILES ........................................................................................ 14

5.1 File Format ........................................................................................ 14

5.2 File Validation ................................................................................... 15

5.3 Request Message Validation ........................................................... 16

5.4 Message Layouts .............................................................................. 16

5.5 Trade Instruction Template .............................................................. 18

5.6 Reconciliation Request Template ......... Error! Bookmark not defined.

6 RESPONSE FILES ..................................................................................... 31



6.1 Overview ........................................................................................... 31

6.2 File Naming Convention................................................................... 31

6.3 Message Layouts ............................................................................... 32

6.4 Trade Instruction Response ............................................................ 33

6.5 Statement Response ........................................................................ 40

7 UNSOLICITED FILES ................................................................................. 47

7.1 Overview ........................................................................................... 47

7.2 File Naming Convention................................................................... 47

7.3 Message Layouts ............................................................................... 47

8 DATA DICTIONARY ................................................................................... 48

8.1 Field Formats .................................................................................... 48

8.2 CSV Field Examples ......................................................................... 49

8.3 Field Definitions ................................................................................ 50

9 REJECTION REASON CODES AND NARRATIVES .................................. 89

9.1 Overview ........................................................................................... 89

9.2 Request File Rejections ................................................................... 89

9.3 Syntax Rejections ............................................................................. 89

9.4 Business Error Rejections ............................................................... 89

10 IP ADDRESSES .......................................................................................... 90

11 EXAMPLE FILES ........................................................................................ 91

11.1 Request Files .................................................................................... 91

11.2 Response Files ................................................................................. 92



1 OVERVIEW

1.1 Introduction

The Trax Match CSV Entry point has been created to provide clients with a simple CSV file based interface to the Trax Match service via FTP Secure

1 (FTPS).

Depending on the services subscribed to, the CSV Entry point will allow clients to:

Input and match Cash and Securities Financing Trades

Manage the lifecycle of Cash and Securities Financing trades, i.e. cancel, deny and amend

trades including Lifecycle Events2 on Securities Financing Trades; and

Transaction report Cash Trades to the relevant Competent Authority.

Version 2 of the CSV Entry point allows clients to access additional functionality within the Trax Match application:

Input and match tri-party repo and securities lending transactions

Input and match additional Lifecycle Events on Securities Financing Trades

Retrieve Lifecycle Events via the reconciliation request.

For further information on the underlying services, please refer to the Service Description (see Related Documentation).

The purpose of this specification is to provide the information necessary to:

establish a connection with the Trax FTPS servers for the exchange of File based requests

and responses; and

Describe the file flow and message formats supported by the service.

1.2 Document Structure

This document is structured as follows:

Section 2 explains how to implement a connection between the participant firm and the Trax

system

Section 3 explains the upload and download process between the participant firm and the

Trax FTPS server

Section 4 provides an overview of the Trax Match CSV Entry Point service

Section 5 describes the format of the Request File files sent by participant firms to the Trax

Match

Section 6 describes the format of the Trax Match Response Files

Section 7 describes the format of Trax Match Unsolicited files

Section 8 describes the format of message fields (Data Dictionary)

1 FTPS negotiates a secure session using the SSL (Secure Sockets Layer) protocol between the

client and the FTPS servers before any data transfer takes place. 2 Lifecycle Events - previously referred to as Post Trade Actions.



Section 9 lists the error messages that can be returned in a Trax Match response

Section 10 defines the IP addresses and ports for the live and test Trax systems; and

Section 11 provides example Request and Response Files.

1.3 Related Documentation

The following documents are referenced within this technical specification:

Trax Match CSV Entry Point Service Description – Nov 2015

Trax Match Error and Information Messages Annex – Nov 2015.



2 CONNECTING TO TRAX

2.1 Overview

There are two methods available for a client to obtain access to the Trax Secure File Transfer

Service:

The participant’s own Internet connection An extranet solution via TNS or BT Radianz network providers.

To connect to the Trax Secure File Transfer Service, participants may use any FTP client of their

choice. For information, Trax has tested using the following FTP clients:

SecureFTP via FTPS

FileZilla via SFTP

Putty via SFTP

Please note that although a simple FTP client will be able to establish a session with the Trax FTP

servers, the data transfer, including usernames and passwords, will normally be unencrypted. For this

reason Trax recommend the use of a secure client.

As the files exchanged between clients and Trax will contain trade instructions, Trax recommends that all files exchanged be encrypted with OpenPGP (“Pretty Good Privacy”) standard (RFC2440) cryptographic software. This will require clients to communicate their public key in advance to their Business Liaison Consultant, who will in turn send them the Trax public key.

2.2 Internet

Using the Internet, a client firm can request the qualified URL – FTP.XTRAKTER.COM from their

secure FTP client. Their internal security team would need to allow the FTP session through their

firewall using the TCP port 990 (FTPS) and TCP ports 3000 to 3100 for a secure session or 20/21 for

a non-secure session. Name resolution of the Trax FTPS Server’s IP address will not be required as

this should be performed by the Internet Service Provider as well as routing across the Internet.

Please see Appendix A for IP Address / DNS Server details

2.3 Extranet Solution

Participants can connect to the Trax Secure File Transfer Service over the TNS and BT Radianz networks. Participant firms will need to contact their TNS/BT Radianz consultant for details on how to connect to the Trax network.

A participant firm can request the qualified URL (CSV.TRAX2.BIZ) from their FTP client to connect to the correct host address for the FTP server at Trax.

If a firewall exists between the participant firms PC and the connection to the Trax network, it will be necessary to allow TCP Port 990 (FTPS) and TCP Ports 3000 – 3100 for a FTPS session, TCP Port 22 for SFTP or ports 20/21 for a non-secure connection to access the Trax network via the firewall.

Please see Appendix A for IP Address / DNS Server details.



3 EXCHANGING FILES WITH TRAX

This section describes how to upload/download files on the Trax FTPS server using the Secure FTP client. If you prefer to use a different FTP client, the user interface will clearly look different from the images in this guide but it should be easy to apply the instructions to any appropriate client software.

3.1 Launching Secure FTPS

Launch the Secure FTP client as shown below:

The main window appears, showing the contents of the selected directory on your Desktop in the left pane. Use the dropdown menu to move to the directory containing the files to be transferred.

Click on the green Connect button in the top left corner (or select File > Connect from the menu bar). You will see a dialog box with two tabs, Connection and Options.

3.2 Configuring the Options Tab

Configure the Options tab to look like the picture below, i.e. ensure that an implicit SSL connection is selected on port 990:



3.3 Configuring the Connection Tab

Click on the Connection tab. You need to know the following details:

Host Name

This is the URL or IP Address you use to connect (please refer to section 2 for further details).

User Name

This will be provided by Client Services

([email protected], +44 (0)20 3655 3440)

Password

This will be provided by Client Services.

Enter these details in the relevant fields. If you wish to save this configuration, click on Save to Bookmarks. A new profile will be created with the same name as the Host Name and it will become available from the Profile dropdown menu.

The example below shows user 112233 connecting via the Internet:

Click Connect.

The first time that you connect you will be prompted to specify whether you wish to deny the connection, grant it for this session only, or always grant it. Click on Grant Always to proceed.

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3.4 Uploading and downloading files

Once you connect to the Trax FTPS server, you will see its contents in the right pane. Please note that you have access only to your own folder. To locate your folder, double click on the User directory.

The User folder contains subfolders for all the clients. Look for a subfolder that has the same name as your user name (i.e. the sample user 112233 would look for a subfolder “112233”

3). Double click on

your folder to open it. The directory field at the top of the right pane will change to show the name of the folder currently open.

Use the directory field at the top of the left pane to move to the folder containing the file(s) to be uploaded.

Right click on the file that you wish to upload and select Upload from the popup menu. The uploaded file appears in the right hand pane.

You can now disconnect. Allow some time for Trax Match to process the file, then reconnect and open your user directory as explained above. You will see that the file has disappeared and has been replaced by a response file.

You can download this file to your PC by right clicking on it and selecting Download.

The file can be viewed and edited in Excel or any other compatible application of your choice.

3 Note: Folder Name for the CSV Service will be “TNNNNN”, where NNNNN is the 5 digit TRAX ID

assigned by Trax.



4 SERVICE OVERVIEW

4.1 Introduction

The following sections provide an overview of the Trax Match CSV Entry Point service in terms of how a subscriber may interact with the service, i.e.:

Inputting trade instructions

Monitoring trades.

For further detail on how to use the service to input and monitor trades, please refer to the Service Description (see Related Documentation).

Note that the CSV Entry point does not provide facilities to download Trax Reference Data as it is expected that a participants own systems will have access to the required data (e.g. Securities, Counterparty Identifiers

4, Market Identifier Codes etc.).

4.2 Inputting Trades

Subscribers should submit a Request File containing request messages to input trades (e.g. New Cash Trade).

Trax Match will process the Request File and return a Trax Match Response File containing a response message for each request message (e.g. New Cash Trade response).

Each response message will indicate the outcome of the request, e.g.:

The Trade Status indicates that the trade matched a trade input by the Counterparty (Trade

Status is MAT)

The Trade Status indicates that an unmatched trade (Trade Status is UNM) was created.

Subscribers can import the relevant details (e.g. Trade Status, Counterparty Settlement Details etc.) into their own systems if required. Full details of the trades can also be viewed in Trax Insight - www.traxinsight.com

5.

Where a response message indicates a syntax or business error has occurred, the request message is rejected. The subscriber will have to take action to correct the relevant details and re-submit the request message in the next Request File. Note that Trax Match business error messages (see Section 9) will be visible within Trax Insight (Trax Rejections).

4 If a participant wishes to use Trax Codes to identify Counterparties, the list of Trax participants can

be retrieved from the Trax Extranet. 5 Details will be visible in the browser based GUI application.



4.3 Monitoring Trades

Subscribers have the option to operate in one of (or a combination of) the following ways depending on their internal operational work flows:

Operate in ‘pseudo real-time’ mode and collect periodic Trax Match Unsolicited Files

containing trade status updates

Request reconciliation statements, for example to reconcile unmatched trades or to reconcile

daily activity.

4.3.1 Unsolicited Trade Status Updates

Unsolicited Files containing trade status updates will provide notification of:

Trades previously input by the subscriber where the Counterparty has undertaken an action

that impacts the trade (e.g. inputs a matching trade or denies an unmatched trade)

Unmatched trades input, or amended by the Counterparty (Advisory trades)

Previously advised trades that have been cancelled by the Counterparty; and

Any trade action performed by the subscriber directly using Trax Insight

Subscribers can import the relevant details (e.g. Trade Status, Counterparty Settlement Details etc.) into their own systems if required.

If a subscriber needs to take action as a result of a trade status update (e.g. to correct an unmatched trade, deny an Advisory trade etc.), the subscriber should format the required trade instruction (e.g. Amend, Deny, etc.) and submit the request message in the next Request File.

4.3.2 Reconciliation Statements

A subscriber can request a reconciliation statement for trades at a specific status (or generic group of statuses) for a specific trade date; and optionally for lifecycle events at a specific status for an effective/end date range.

For example, to reconcile unmatched trades, subscribers can submit a Request File containing a single reconciliation request message (Reconciliation Request) requesting all ‘unmatched’

6 trades.

Trax Match will process a reconciliation request and return a Response File containing a reconciliation response message for each trade that matches the requested selection criteria.

Subscribers can use the returned details to reconcile their activity. If a subscriber needs to take action as a result (e.g. to correct an unmatched trade, deny an Advisory trade etc.), the subscriber should format the required trade instruction (e.g. Amend, Deny, etc.) and submit the request message in a new Request File.

6 All unmatched, denied unmatched, marked for cancellation, awaiting cancellation, advisory and not

known advisory trades, plus all matched trades with advisory, conflicting or unmatched settlement.



5 REQUEST FILES

5.1 File Format

5.1.1 Overview

Trax will accept Request Files 24 hours a day, 7 days a week, subject to scheduled maintenance downtime. The Trax Match CSV Entry point will accept up to 9999 request files from a subscriber in a single business day (see Sequence Numbers in Section 5.2.2. below).

A Request File must consist of one or more variable length records with a maximum length of 3,000 bytes. A Request File will contain either:

One or more request messages (up to a maximum of 9,999) to input, amend, cancel or deny

a Trade or Lifecycle Event; or

One reconciliation request.

The format of Request Files must conform to the following CSV definition:

A single line of text represents each record

Each field within the record is separated by a comma (,)

There will be NO trailing comma (,) after the last field

Each field is represented by a sequence of ASCII characters

Double-quotes (“”) are optional but must be used if the field value contains commas and/or

quotes.

Each record terminates with a ‘new line’ character.

All records should have the fields presented in the same order.

Note that although the above definition requires that a single line of text represents each record, in CSV, the ‘new line’ character can be enclosed in quotes. This means that a record can be split over one or more lines of text. Where this occurs, the Trax Match CSV Entry Point service will treat the relevant text lines as a single record.

5.1.2 File Naming Convention

Files must have a ‘CSV’ extension and must follow the naming convention “TTTT_AAA_SSSSS_XXXX_YYYYMMDD_(NN or NNNN)”, where:

TTTT The Service the file is being sent to. Must be set to “TRAX”.

AAA The Type of file. Must be set to “REQ” (Request File)

SSSSS The 5 digit Trax Identifier of the subscriber that has sent the file to

Trax

XXXX Template: “INST” the file contains requests to input, amend, cancel

or deny a Trade or Lifecycle Event. “RCON” – the file contains a

reconciliation request.

YYYYMMDD Generated Date

NN or NNNN Sequence Number. Files must be submitted in Sequence Number

order with no gaps. Sequence Numbers must be reset to 01 each

day (Note that format NN is retained for backwards compatibility).

Note that the first eight characters of a Request File name must be “TRAX_REQ”, otherwise the submitted file will be ignored.



5.2 File Validation

5.2.1 File Rejections

The Trax Match CSV Entry Point will perform file level checks on a submitted Request file before attempting to process any of the request messages in the file. If a file level check fails, the Request File is rejected (see Response Files in Section 6).

The Trax Match CSV Entry Point will check that the Request File is correctly named7 and has a valid

structure (i.e. that the number of request messages in the file is consistent with the type of request). Additional checks are also performed which are detailed in the following sections.

5.2.2 Security

From a security point of view, access to a subscriber’s FTP folder will be restricted to the address range provided to Trax by the subscriber.

Where a subscriber encrypts files, the subscriber will use the Trax public key to encrypt the file and

their own private key to digitally sign the file. Trax will decrypt the file using the Trax private key and

check the private key against the public key registered to the subscriber8.

The Trax Match CSV Entry Point will also check that the FTP folder is registered to the Trax Identifier contained in the Request File Name.

If any of the security checks fail, the submitted file will be rejected.

5.2.3 Sequence Numbers

Generated Date and Sequence Number will be used to ensure that Request Files are processed in the sequence intended by the sending user.

Sequence numbers must start at 01 for a Generated Date and be incremented by one for each Request File submitted for that Generated Date. Up to 9999 Request Files can be submitted for a Generated Date.

If the Sequence Number on a Submitted Request File does not match the expected Sequence Number for the Generated Date, the submitted file will be rejected.

Subscribers must reset the Generated Date each calendar day. The Trax Match CSV Entry Point will check that the Generated Date is within 1 calendar day (ahead or behind) of the current London date. If the Generated Date is not within 1 calendar day of the current London date, the submitted file will be rejected.

7 The service will return a Trade File Error Response (TFIL) if the Request File name is invalid (See

Section 6). 8 The process is reversed for files sent by Trax.



5.2.4 Duplicate Files

A File is identified as a duplicate if it has the same ‘Trax Identifier‘, ‘Generated Date’ and ‘Sequence Number’ as a file that has already been successfully processed. A submitted file that is a duplicate file will be rejected.

5.3 Request Message Validation

5.3.1 Syntax Validation

Validation is initially carried out on the messages in a Request File at a field syntax level. Each field in a message is checked against the format defined for the field in the Data Dictionary (see Section 8). If a field in a message fails syntax validation, a syntax error is written to the Response File and the message is not sent to the Trax Match Service.

5.3.2 Business Validation

Messages that pass field level syntax validation undergo specific CSV Entry point business validation once sent to the Trax Match Service. If a message fails a validation check, a business error is written to the Response File

9.

Messages sent to Trax Match are validated and processed according to the published service offering. A response(s) is written to the Response File for each message sent to Trax Match.

Where the Template of the Request File is “INST”, the response will either:

Confirm that the request message was processed successfully by Trax Match; or

Indicate that the request message could not be processed as it did not pass Trax Match

business validation (e.g. the Quantity for a new Fixed Income trade was not a multiple of the

Minimum Bond Denomination).

Where the Template of the Request File is “RCON”, the response(s) will either:

Indicate that the record could not be processed as it did not pass Trax Match business

validation (e.g. the Request Date is in the future); or

Provide the details of each Trade (and Lifecycle Event) that matched the selection criteria

specified in the reconciliation request.

5.4 Message Layouts

The message layouts in the following sections indicate whether a field is Mandatory (M), Optional (O), or not required (-) for a Message Type. Where a field is dependent on the value of another field in the message, the dependency is defined in the Conditional Rule Column. This information defines the message syntax which is checked as part of the Trax Match business validation.

Where a field has a default value specified in the Default column (Def.), the CSV Entry point will assume the default value if the field is not entered for the Message Type. Where a default value is indicated for a Mandatory field, subscribers must populate the field if they wish to specify a value other than the default.

9 Specific CSV Entry Point business validation errors will not be visible in Trax Insight.



The Disclosure column (Disc.) indicates where a field is disclosed to the Counterparty. Note that some fields are only disclosed in an Advisory (ADV).

The Matchable column indicates where a field is matchable. A distinction is made for extended matching (MMS) which is optional for Cash trades, but mandatory for Securities Financing Trades.

Each Template represents a CSV format, i.e. each field in the Template must be included in the correct order including where a field is not required for a Message Type. Where a field that is not required for a Message Type is populated, the field contents will be ignored. Please see Section 11 for an example Request File.

Message layouts are defined for the following:

Trade Instruction Template:

Message Message Type

New Cash Trade CARN

Cash Trade Amend CARA

Deny Cash Trade CARD

Cash Trade Cancel CARC

New Securities Financing Trade RERN

Securities Financing Trade Amend RERA

Deny Securities Financing Trade RERD

Securities Financing Trade Cancel RERC

New Lifecycle Event PTRN

Lifecycle Event Amend PTRA

Deny Lifecycle Event PTRD

Lifecycle Event Cancel PTRC

Reconciliation Request Template:


Reconciliation Request RECO



5.5 Trade Instruction Template

This message template can be used to:

Create a new Cash or Securities Financing Trade

Create a new Lifecycle Event on a matched Securities Financing Trade

Request an amendment to a previously sent Cash or Securities Financing Trade or Lifecycle Event. This requires the complete Trade, or Lifecycle Event,

to be re-sent with the required field change(s). To remove/delete a field, the field must not be present in the amended message.

Note: Depending on the status of the underlying Trade or Lifecycle Event, the amendment of a field may not be allowed. Please refer to the

Service Description for details of valid field amendment actions.

Cancel a previously sent Cash or Securities Financing Trade or Lifecycle Event

Deny a previously received advisory Cash or Securities Financing Trade or Lifecycle Event.

The messages can be used to:

Match Cash and Securities Financing Trades;

Match Lifecycle Events on matched Securities Financing Trades; and

Report Cash Trades to the relevant Competent Authorities (UK, French and Belgian Regulators).

For ease of presentation, the Template is split into two sections, one section covering Cash and Securities Financing Trades and one covering Lifecycle Events.



5.5.1 Trade Instruction Template – Cash and Securities Financing Trades

Field Name Message Type Default Mat. Disc. Conditional Rules

CARN CARA CARC CARD RERN RERA RERC RERD

Message Type M M M M M M M M N/A

Trade Reference M O O - M O O - N One of Trade Reference or Trax Reference (but

not both) must be entered. Trax Reference - O O M - O O M N/A

Trax Version Number - O O O - O O O N/A Optional if Trax Reference is provided.

Otherwise must be not entered.

Trade Date M M - - M M - - Y Y

Trade Time M M - - M M - - Y

Settlement Code O O - - - - - - Y Y One of Settlement Date or Settlement Code (but

not both) must be entered for Cash Trades. Settlement Date O O - - M M - - Y Y

Price Type O O - - O O - - Note

110

Y Y

Deal Price M M - - M M - - Note 8. Y

Number of Days Accrued O O - - O O - - Y

Place of Trade Type M M - - M M - - OTCO N

Place of Trade O O - - O O - - N See Note 11.

Payment Indicator O O - - M M - - Note 9. Y See Note 1.

Trade Transaction Conditions O O - - O O - - Y Y

Trade Regulatory Conditions O O - - - - - - N

Buy Sell Indicator M M - - M M - - Y Y

Counterparty Code Type M M - - M M - O BIC Y

Counterparty Code M M - - M M - O Note 6. Y

Counterparty Code 2 Type - - - - - - - - Fields are no longer used. If populated, these

fields will be ignored. Counterparty Code 2 - - - - - - - -

Narrative O O O O O O O O Y





Trade Sub Account - - - - - - - - Field is no longer used. If populated, the field will

be ignored.

Quantity M M - - M M - - Y Y

Financial Instrument Code Type M M - - O O - - IS Y Y Optional for Tri-Party Repo. Otherwise, must be

entered. See also Note 7. Financial Instrument Code M M - - O O - - Y Y

Financial Instrument Type M M - - M M - - BOND Y Y

Method of Interest Computation O O - - O O - - Y

Denomination Currency M M - - M M - - Y Y

Settlement Amount O O - - M M - - Y Y Fields are mandatory for matching clients but

optional for reporting only clients. If one of the

two fields is entered, then both fields must be

entered

Settlement Currency O O - - M M - - Y Y

Settlement Transaction Type O O - - O O - - Y

Place of Settlement Code O O - - M M - - MMS Y See Note 1.

Settlement Agent Code O O - - M M - - MMS Y

Securities Account O O - - M M - - MMS Y

Custody Agent Code O O - - O O - - MMS Y

Custody Securities Account O O - - O O - - MMS Y

Principal’s Counterparty Place of Settlement

Code

O O - - O O - - MMS Y See Note 3.

Principal’s Counterparty Settlement Agent

Code

O O - - O O - - MMS Y

Principal’s Counterparty Securities Account O O - - O O - - MMS Y

Principal’s Counterparty Custody Agent

Code

O O - - O O - - MMS Y

Principal’s Counterparty Custody Securities

Account

O O - - O O - - MMS Y





Settlement Breakdown Amount 1 O O - - O O - - Y See Note 4.

Settlement Breakdown Amount 1 Type O O - - O O - - Y

Settlement Breakdown Amount 2 O O - - O O - - Y






Second Leg Reference - - - - M M - - N

Lifecycle Event Reference - - - - - - - -

Lifecycle Event Version Number - - - - - - - -

Lifecycle Event Type - - - - - - - -

Repo Type Indicator - - - - - - - - Field is no longer used. If populated, the field will

be ignored.

Fund Id - - - - O O - - Y Y Mandatory if the principal is a buy-side

Repo Rate - - - - O O - - Y Y See Note 5.

Repo Spread - - - - O O - - Y Y

Reference Rate - - - - O O - - Y Y

Forward Price - - - - O O - - Y Mandatory for Buy/Sell Backs (Transaction Type

is BYSE). Otherwise, must be not entered.

Price - - - - - - - -

Effective Date - - - - - - - -

Repo End Date - - - - O O - - Y Y Mandatory if Term Type is TERM. Otherwise,

must be not entered.

Closing Amount - - - - O O - - Y Y Mandatory for specific types of Securities

Financing transactions. Please refer to the

Service Description for further detail.





Closing Currency - - - - O O - - Y Y Mandatory if Closing Amount is provided.

Otherwise, must be not entered.

Repo Call Notice - - - - O O - - Y Y

Transaction Type M M - - M M - - Note 12. Y Y

Triparty Flag - - - - M M - - N Y Y Can only be Y for repo and securities lending

trades.

Reason Code - - - M - - - M Y

Intermediary Code O O - - O O - - MMS Y

Intermediary Security Account O O - - O O - - MMS Y

Principal’s Counterparty Intermediary Code O O - - O O - - MMS Y

Principal’s Counterparty Intermediary

Security Account

O O - - O O - - MMS Y

Term Type - - - - M M - - Y Y Must be TERM for Buy/Sell Backs (Transaction

Type is BYSE).

Agreement Type - - - - O O - - Y

Collateral Set - - - - O O - - MMS Y Must be entered for Tri-Party (Triparty Flag is Y)

if principal is delivering securities. Otherwise,

must not be entered.

Haircut - - - - O O - - ADV

Lifecycle Event Senders Reference - - - - - - - -

Substitution Financial Instrument Code - - - - - - - -

Interest Amount - - - - - - - -

Interest Amount Currency - - - - - - - -

Notes:

1. Settlement Field Dependencies:

a. If one of Place of Settlement Code, Settlement Agent Code or Securities Account is entered, then all three fields must be entered

b. Payment Indicator is optional, but must be entered if one of Place of Settlement Code, Settlement Agent Code or Securities Account is entered



c. If one of Custody Agent Code or Custody Securities Account is entered, then both fields must be entered

d. If one of Intermediary Code or Intermediary Securities Account is entered, then both fields must be entered

e. If Intermediary Code is entered, then Custody Agent Code must be entered

f. Place of Settlement Code must be entered if one of Custody Agent Code or Custody Securities Account is entered.

2. Note is no longer referenced.

3. Principal’s Counterparty Field Dependencies:

a. If one of Principal’s Counterparty Place of Settlement Code, Principal’s Counterparty Settlement Agent Code or Principal’s Counterparty

Securities Account is entered, then all three fields must be entered

b. If one of Principal’s Counterparty Custody Agent Code or Principal’s Counterparty Custody Securities Account is entered, then both fields must

be entered

c. If one of Principal’s Counterparty Intermediary Code or Principal’s Counterparty Intermediary Securities Account is entered, then both fields must

be entered

d. If Principal’s Counterparty Intermediary Code is entered, then Principal’s Counterparty Custody Agent Code must be entered

e. Principal’s Counterparty Place of Settlement Code must be entered if one of Principal’s Counterparty Custody Agent Code or Principal’s

Counterparty Custody Securities Account is entered.

4. Settlement Breakdown Amount Field Dependencies:

a. If one of Settlement Breakdown Amount or Settlement Breakdown Amount Type is entered, then both fields must be entered (for that breakdown

amount)

b. If breakdown amounts are provided, they do not have to be contiguous or start from Settlement Breakdown Amount 1.

c. Duplicate breakdown amount types must not be entered.

5. Repo Rate Field Dependencies:

a. For Repo and Securities Lending (Transaction Type is REPO or LEND), one of Repo Rate or Repo Spread must be entered

b. For Buy/Sell Backs (Transaction Type is BYSE), only Repo Rate must be entered (Repo Spread must be not entered)

c. Reference Rate is mandatory if Repo Spread is entered. Otherwise, must be not entered.

6. Counterparty Code – Matchable when entered as a BIC or a Trax Code.



7. Financial Instrument Code – matched using the internal Trax identifier for the security (see Financial Instrument Code Trax). To match bilateral codes that

are not held within the Trax Securities Reference Data, the Trade Transaction Condition – OS (‘Off Securities Database’) must be used. For Tri-Party

Repo, Financial Instrument Code is optional and is non-matching (and non-disclosed) if entered. For Tri-Party Repo, clients can enter their own internal

code to identify the collateral being delivered/received.

8. Deal Price – Matchable for Cash Trades except in specific scenarios (please see service description for further details). Non-Matchable for Securities

Financing Transactions.

9. Payment Indicator – Matchable for Securities Financing Transactions. Non-Matchable for Cash Trades.

10. If not populated, Price Type will default to PRCT for fixed income trades, or ACTU for equity trades.

11. Place of Trade - must be entered if Place of Trade Type is one of EXCH, , or SYSI. Must not be entered if Place of Trade Type is OTCO.

12. Transaction Type - defaults to CASH for cash trades and REPO for securities financing trades.

5.5.2 Trade Instruction Template – Lifecycle Events


PTRN PTRA PTRC PTRD

Message Type M M M M N/A

Trade Reference M O O - N One of Trade Reference or Trax Reference (but not both) must be entered.

Trax Reference O O O M N/A

Trax Version Number O O O O N/A Optional if Trax Reference is provided. Otherwise must be not entered.

Trade Date - - - -

Trade Time - - - -

Settlement Code - - - -

Settlement Date - - - -

Price Type - - - -

Deal Price - - - -

Number of Days Accrued - - - -

Place of Trade Type - - - -

Place of Trade - - - -

Payment Indicator - - - -




PTRN PTRA PTRC PTRD

Trade Transaction Conditions - - - -

Trade Regulatory Conditions - - - -

Buy Sell Indicator - - - -

Counterparty Code Type - - - -

Counterparty Code - - - -

Counterparty Code 2 Type - - - -

Counterparty Code 2 - - - -

Narrative O O - M Y

Trade Sub Account - - - -

Quantity - - - -

Financial Instrument Code Type - - - -

Financial Instrument Code - - - -

Financial Instrument Type - - - -

Method of Interest Computation - - - -

Denomination Currency - - - -

Settlement Amount - - - -

Settlement Currency - - - -

Settlement Transaction Type - - - -

Place of Settlement Code - - - -

Settlement Agent Code - - - -

Securities Account - - - -

Custody Agent Code - - - -

Custody Securities Account - - - -

Principal’s Counterparty Place of Settlement Code - - - -

Principal’s Counterparty Settlement Agent Code - - - -

Principal’s Counterparty Securities Account - - - -

Principal’s Counterparty Custody Agent Code - - - -




PTRN PTRA PTRC PTRD

Principal’s Counterparty Custody Securities Account - - - -

Settlement Breakdown Amount 1 - - - -

Settlement Breakdown Amount 1 Type - - - -







Second Leg Reference - - - -

Lifecycle Event Reference - O O O N/A See Note 1.

Lifecycle Event Version Number - O O O N/A

Lifecycle Event Type M M M M Y Y The Lifecycle Event types that can be undertaken depend on the type of

Securities Financing transaction. Please refer to the Service Description

for further details.

Please refer to the Service Description for further details.

Repo Type Indicator - - - -

Fund Id - - - -

Repo Rate O O - - Y Y See Note 2.

Repo Spread O O - - Y Y

Reference Rate - - - -

Forward Price - -

Price O O - - Y Y See Note 2.

Effective Date O O - - Y Y

Repo End Date O O - - Y Y

Closing Amount O O - - Y Y




PTRN PTRA PTRC PTRD

Closing Currency O O - - Y Y

Repo Call Notice - - - -

Transaction Type - - - -

Triparty Flag - - - -

Reason Code - - - -

Intermediary Code - - - -

Intermediary Security Account - - - -

Principal’s Counterparty Intermediary Code - - - -

Principal’s Counterparty Intermediary Security Account - - - -

Term Type - - - -

Agreement Type - - - -

Collateral Set - - - -

Haircut - - - -

Lifecycle Event Senders Reference O O O O N See Note 2.

Substitution Financial Instrument Code O O - - Y Y See Note 2.

Interest Amount O O - - Y Y

Interest Amount Currency O O - - Y Y

Notes:

1. One of Lifecycle Event Reference or Lifecycle Event Senders Reference must be entered to amend, cancel or deny a Lifecycle Event.



2. Lifecycle Event fields required by Lifecycle Event Type (please refer to the Service Description for further detail):

Field Lifecycle Event Type

Rate/Spread

(RATE)

Price (RPRI) Close (CLOS) End (ENDD) Substitution

(SUBS)

Roll-over

(ROLL)

Repo Rate One of fields must be

entered.

- - - - -

Repo Spread - - - - -

Price - M - - - -

Effective Date M M - - M M

Repo End Date - - O M - -

Closing Amount - - M M - -

Closing Amount Currency - - M M - -

Substitution Financial Instrument Code - - - - M -

Interest Amount - - - - - M

Interest Amount Currency - - - - - M



5.6 Reconciliation Request Template

5.6.1 Trade Request Template

The message template is used to request a reconciliation statement (Message Type RECO) to provide:

The latest details of trades with a specific trade status (or generic status) for the specified Trade Date; and optionally

Field Name Message

Type

Default Conditional Rules

RECO

Message Type M

Request Trade Date O Current Date

Request Trade Status O Note 1.

Notes:

1. Set to ‘All unmatched, denied unmatched, marked for cancellation, awaiting cancelation, advisory and not known advisory trades, plus all matched trades

with advisory, conflicting or unmatched settlement’ (UAD).

5.6.2 Lifecycle Event Request Template

The message template is used to request a reconciliation statement (Message Type RECP) to provide:

The latest details of lifecycle events with a specific lifecycle event status (or generic status) for the specified Effective/End Date range.



Field Name Message

Type

Default Conditional Rules

RECP

Message Type M

Request Lifecycle Event Status O All statuses

Lifecycle Event Range Start Date O Current Date

– 20

calendar

days

Lifecycle Event Range End Date O Current Date Must not be earlier than Lifecycle Range End Date. Date range must not be greater than 20 calendar days.



6 RESPONSE FILES

6.1 Overview

Request Files will be submitted by subscribers to their designated directory on the Trax FTP server. The Trax Match CSV Entry Point will in turn send Response Files back to the same directory on the FTP server for subscribers to collect.

For a Request File with a Template of “INST”, a Response File will contain a response for each request message contained in the Request File indicating the success or otherwise of the request.

For a Request File with a Template of “RCON”, a Response File will contain:

A response for each Trade/Lifecycle Event that meets the selection criteria specified in the

reconciliation request; or

A response indicating that the reconciliation request could not be processed.

Where a reconciliation request results in no data being returned, the Response File will be empty.

Where a Request File is rejected (e.g. a duplicate file is submitted), the records in the Request File will not be processed and the Response File will contain a single File Error response.

Response Files will be in CSV format and the format will conform to the standard defined in Section 5.

6.2 File Naming Convention

Response Files will have a ‘CSV’ extension and will follow the naming convention10

“TTTT_AAA_SSSSS_XXXX_YYYYMMDD_(NN or NNNN)”, where:

TTTT The Service the file is sent from (i.e. “TRAX”).

AAA The Type of file. Will be set to “RSP” (Response File).

SSSSS The Trax Identifier of the subscriber. From the submitted

Request File.

XXXX Template: “RESP” – the file contains responses to trade

instructions. “STAT” – the file contains statement responses.

YYYYMMDD Generated Date. From the submitted Request File.

NN or NNNN Sequence Number. From the submitted Request File.

The file name will be appended with the _Timestamp of when the Request File was received on the FTP Server followed by:

_XTRAKTER11

; or

_XTRAKTER_NULL where a ‘null’ statement is returned.

10 If Trax is unable to decrypt a Request File, a file containing the underlying PGP error will be created

in the same directory on the Trax FTP server in which the subscriber placed the Request File. The file will have the following naming convention “PGP_TSSSSS_YYMMDDHHMMSS.LOG” (where TSSSSS is the FTP Folder Name). 11

The legacy suffix predates the Trax rebranding in Q3 2014. It is still in use and valid at the time of writing.



6.3 Message Layouts

The message layouts in the following sections indicate whether a field is always present (M), optionally present (O) or not present (-) for a Message Type.

Each Template represents a CSV format, i.e. each field in the Template is included in the required order including where a field is not present for a Message Type. Please refer to Section 11 for an example Response File.

Message layouts are defined for the following:

Trade Instruction Response Template:


New Cash Trade Response CANR

Cash Trade Amend Response CAAR

Deny Cash Trade Response CADR

Cash Trade Cancel Response CACR

New Securities Financing Trade Response RENR

Securities Financing Trade Amend Response REAR

Deny Securities Financing Trade Response REDR

Securities Financing Trade Cancel Response RECR

New Lifecycle Event Response PTNR

Lifecycle Event Amend Response PTAR

Deny Lifecycle Event Response PTDR

Lifecycle Event Cancel Response PTCR

Trade Instruction File Error Response TFIL

Trade Instruction Syntax Error Response TSYN

Trade Instruction Business Error Response TBUS

Statement Response Template (*) see Unsolicited File in Section 7:


Cash Trade Reconciliation Response CARR

Securities Financing Trade Reconciliation Response RERR

Lifecycle Event Reconciliation Response PTRR

Cash Trade Status Update (*) CASU

Securities Financing Trade Status Update (*) RESU

Lifecycle Event Status Update (*) PTSU

Trade/PTA Delete Status Update (*) TDSU

Reconciliation File Error Response RFIL

Reconciliation Syntax Error Response RSYN

Reconciliation Business Error Response RBUS



6.4 Trade Instruction Response

The messages defined in this template are retuned by the Trax Match CSV Entry Point in response to a Trade Instruction message and provide the following:

The status and associated details of a new Cash or Securities Financing Trade

The status and associated details of a Cash or Securities Financing Trade amendment request

The status of a request to cancel or deny an existing Cash or Securities Financing Trade.

The status of a request to create a new, or amend, cancel or deny an existing Lifecycle Event

The reason for the rejection of the Trade Instruction either due to a syntax or business validation error.

For new and amended Trades, the following details are retuned:

Additional fields derived by Trax Match; and

The relevant fields disclosed by the Counterparty where the Trade is matched (see Trade Instruction Template in Section 5).

Where a Request File containing Trade Instructions is rejected, a Trade File Error response (Message Type TFIL) is returned.

For ease of presentation, the Template is split into 2 sections, one section covering Cash and Securities Financing Trades and rejection responses and one section covering Lifecycle Events.

6.4.1 Trade Instruction Response Template – Cash, Securities Financing and Rejections

Field Name Message Type Comments/Notes

CANR CAAR CACR CADR RENR REAR RECR REDR TFIL TSYN TBUS

Message Type M M M M M M M M M M M

Trax Reference M M M M M M M M - - -

Preparation Date Time M M M M M M M M M M M

Trade Reference M M M - M M M - - - -

Previous Trax Reference - - - - - - - - - - - Legacy field - no longer populated.

Trax Version Number M M M M M M M M - - -

Record Number - - - - - - - - - M M





Rejection Reason Code - - - - - - - - M M M

Rejection Reason Narrative - - - - - - - - M M M

Trade Status M M M M M M M M - - -

Financial Instrument Code ISIN O O - - O O - - - - - See Note 1.

Financial Instrument Code Trax O O - - O O - - - - -

Financial Instrument Type Trax O O - - O O - - - - -

Financial Instrument Name Trax O O - - O O - - - - -

Creation Date Time M M - - M M - - - - -

Update Date Time M M M M M M M M - - -

Counterparty Code BIC O O - - O O - - - - - See Note 2.

Counterparty Code Trax O O - - O O - - - - -

Counterparty’s Narrative O O - - O O - - - - -

Counterparty’s Settlement Transaction Type O O - - O O - - - - -

Counterparty’s Method of Interest Computation O O - - O O - - - - -

Counterparty’s Number of Days Accrued O O - - O O - - - - -

Counterparty’s Payment Indicator O O - - O O - - - - -

Counterparty’s Place of Settlement Code O O - - O O - - - - - Counterparty’s settlement details as

entered by the Counterparty.

Counterparty’s Settlement Agent Code O O - - O O - - - - -

Counterparty’s Securities Account O O - - O O - - - - -

Counterparty’s Custody Agent Code O O - - O O - - - - -

Counterparty’s Custody Securities Account O O - - O O - - - - -





Counterparty’s Counterparty Place of Settlement Code O O - - O O - - - - - Counterparty’s understanding of the

message recipient’s (the participants)

settlement details.

Counterparty’s Counterparty Settlement Agent Code O O - - O O - - - - -

Counterparty’s Counterparty Securities Account O O - - O O - - - - -

Counterparty’s Counterparty Custody Agent Code O O - - O O - - - - -

Counterparty’s Counterparty Custody Securities

Account

O O - - O O - - - - -

Counterparty’s Settlement Currency O O - - O O - - - - -

Counterparty’s Settlement Amount O O - - O O - - - - -

Counterparty’s Settlement Breakdown Amount 1 O O - - O O - - - - -

Counterparty’s Settlement Breakdown Amount 1 Type O O - - O O - - - - -







Second Leg Reference - - - - M M - - - - -

Repo Second Leg Status - - - - M M M M - - -

Lifecycle Event Reference - - - - - - - - - - -

Previous Lifecycle Event Reference - - - - - - - - - - -

Lifecycle Event Version Number - - - - - - - - - - -

Lifecycle Event Date Time - - - - - - - - - - -

Lifecycle Event Status - - - - - - - - - - -

Counterparty’s Opening Leg Deal Price - - - - O O - - - - -

Counterparty’s Forward Leg Deal Price - - - - O O - - - - -

Counterparty’s Repo End Date - - - - O O - - - - -

Counterparty’s Closing Amount - - - - O O - - - - -





Counterparty’s Closing Currency - - - - O O - - - - -

Counterparty’s Trade Time O O - - O O - - - - -

Counterparty’s Reason Code - O - - - O - - - - -

Counterparty’s Intermediary Code O O - - O O - - - - -

Counterparty’s Intermediary Securities Account O O - - O O - - - - -

Counterparty’s Counterparty Intermediary Code O O - - O O - - - - -

Counterparty’s Counterparty Intermediary Securities

Account

O O - - O O - - - - -

Counterparty’s Agreement Type - - - - O O - - - - -

Counterparty’s Collateral Set - - - - O O - - - - -

Trade Match Id O O - - O O - - - - -

Trax Related Reference O O - - O O - - - - -

Notes:

1. Returned if the Financial Instrument Code in the original Trade Instruction exists in the Trax Securities Reference Data.

2. Returned if the Counterparty was identified using either a BIC or a Trax Code in the original Trade Instruction



6.4.2 Trade Instruction Response Template – Lifecycle Events


PTNR PTAR PTCR PTDR

Message Type M M M M

Trax Reference M M M M

Preparation Date Time M M M M

Trade Reference M M M -

Previous Trax Reference - - - - Legacy field - no longer populated.

Trax Version Number M M M M

Record Number - - - -

Rejection Reason Code - - - -

Rejection Reason Narrative - - - -

Trade Status M M M M

Financial Instrument Code ISIN - - - - See Note 1.

Financial Instrument Code Trax - - - -

Financial Instrument Type Trax - - - -

Financial Instrument Name Trax - - - -

Creation Date Time - - - -

Update Date Time - - - -

Counterparty Code BIC - - - - See Note 2.

Counterparty Code Trax - - - -

Counterparty’s Narrative O O - -

Counterparty’s Settlement Transaction Type - - - -

Counterparty’s Method of Interest Computation - - - -

Counterparty’s Number of Days Accrued - - - -

Counterparty’s Payment Indicator - - - -




PTNR PTAR PTCR PTDR

Counterparty’s Place of Settlement Code - - - - Counterparty’s settlement details as entered by the Counterparty.

Counterparty’s Settlement Agent Code - - - -

Counterparty’s Securities Account - - - -

Counterparty’s Custody Agent Code - - - -

Counterparty’s Custody Securities Account - - - -

Counterparty’s Counterparty Place of Settlement Code - - - - Counterparty’s understanding of the message recipient’s (the

participants) settlement details.

Counterparty’s Counterparty Settlement Agent Code - - - -

Counterparty’s Counterparty Securities Account - - - -

Counterparty’s Counterparty Custody Agent Code - - - -

Counterparty’s Counterparty Custody Securities Account - - - -

Counterparty’s Settlement Currency - - - -

Counterparty’s Settlement Amount - - - -

Counterparty’s Settlement Breakdown Amount 1 - - - -

Counterparty’s Settlement Breakdown Amount 1 Type - - - -







Second Leg Reference - - - -

Repo Second Leg Status M M M M

Lifecycle Event Reference M M M M

Previous Lifecycle Event Reference - - - - Legacy field - no longer populated.

Lifecycle Event Version Number M M M M

Lifecycle Event Date Time M M M M

Lifecycle Event Status M M M M




PTNR PTAR PTCR PTDR

Counterparty’s Opening Leg Deal Price - - - -

Counterparty’s Forward Leg Deal Price - - - -

Counterparty’s Repo End Date - - - -

Counterparty’s Closing Amount - - - -

Counterparty’s Closing Currency - - - -

Counterparty’s Trade Time - - - -

Counterparty’s Reason Code - - - -

Counterparty’s Intermediary Code - - - -

Counterparty’s Intermediary Securities Account - - - -

Counterparty’s Counterparty Intermediary Code - - - -

Counterparty’s Counterparty Intermediary Securities Account - - - -

Counterparty’s Agreement Type - - - -

Counterparty’s Collateral Set - - - -

Trade Match Id - - - -

Trax Related Reference - - - -

Notes:

1. Returned if the Financial Instrument Code in the original Trade Instruction exists in the Trax Securities Reference Data.

2. Returned if the Counterparty was identified using either a BIC or a Trax Code in the original Trade Instruction



6.5 Statement Response

The messages defined in this template are returned by the Trax Match CSV Entry Point in the following circumstances:

In response to a Reconciliation Request (Message Type RECO). A Trade Reconciliation Response will provide the latest status and associated details of

a Cash Trade, Securities Financing Trade or Lifecycle Event that meets the selection criteria specified in the reconciliation request

Within an Unsolicited Trade Status Update File (see Section 7). A Trade Status Update response will provide the following:

o The latest status and associated details of a Cash Trade, Securities Financing Trade or Lifecycle Event input by the message recipient (the

participant) that has been updated as a result of an action taken by the Counterparty (e.g. the Counterparty has matched a previously unmatched

Trade or Lifecycle Event) or as a result of intervention taken by the participant directly in the Trax GUI application

o The latest status and associated details of an Advisory Trade or Advisory Lifecycle Event that has been input or amended by the Counterparty

o The Trax Reference of previously advised Trade or Lifecycle Event that is no longer alleged against the message recipient (the Counterparty has

either cancelled the Trade or Lifecycle Event or has amended the Trade to allege against another Counterparty).

Note that the message provides the latest status of a Trade or Lifecycle Event. Depending on the timing of a reconciliation request (or the scheduling of the Unsolicited File), transitory statuses will not be notified; for example, where an Advisory Trade is matched by the participant, or an unmatched Trade is matched and then cancelled by the Counterparty.

The following details are returned for a Trade or Lifecycle Event (except for Message Type TDSU where only the Trax Reference of the deleted Advisory Trade or Lifecycle Event is returned):

Details input by the message recipient (the participant) in the original Trade Instruction

Additional fields derived by Trax Match; and

The relevant fields disclosed by the Counterparty for a matched Trade or an Advisory Trade or Lifecycle Event (see Trade Instruction Template in Section

5).

The messages defined in this template can also be returned to provide:

The reason for the rejection of a Reconciliation Request where the request is rejected either due to a syntax or business validation error (Message Types

RSYN and RBUS); and

The reason for the rejection of the reconciliation Request File (Message Type RFIL).




CASU RESU PTSU TDSU CARR RERR PTRR RFIL RSYN RBUS

Message Type M M M M M M M M M M

Preparation Date Time M M M M M M M M M M

Trade Details Type M M - O M M - - - -

Trax Reference M M M M M M M - - -

Previous Trax Reference - - - - - - - - - - See Note 3.

Trax Version Number M M M M M M M - - -

Record Number - - - - - - - - M M

Rejection Reason Code - - - - - - - M M M

Rejection Reason Narrative - - - - - - - M M M

Trade Reference O O O - O O O - - -

Trade Status M M M - M M M - - -

Trade Date M M - - M M - - - -

Trade Time O O - - O O - - - -

Buy Sell Indicator M M - - M M - - - -

Settlement Code O - - - O - - - - -

Settlement Date O O - - O O - - - -

Price Type M M - - M M - - - -

Deal Price M M - - M M - - - -

Number of Days Accrued O O - - O O - - - -

Place of Trade Type O O - - O O - - - -

Place of Trade O O - - O O - - - -

Trade Regulatory Conditions O - - - O - - - - -

Trade Transaction Conditions O O - - O O - - - -

Payment Indicator O O - - O O - - - -

Creation Date Time O O - - M M - - - -

Update Date Time M M - M M M - - - -





Counterparty Code BIC O O - - O O - - - - See Note 1.

Counterparty Code Trax O O - - O O - - - -

Counterparty Code Type O O - - O O - - - -

Counterparty Code O O - - O O - - - -

Counterparty Code 2 Type - - - - - - - - - - See Note 3.

Counterparty Code 2 - - - - - - - - - - See Note 3.

Trade Sub Account - - - - - - - - - - See Note 3.

Narrative O O O - O O O - - -

Counterparty’s Narrative O O O - O O O - - -

Quantity M M - - M M - - - -

Financial Instrument Code ISIN O O - - O O - - - - See Note 2

Financial Instrument Code Trax O O - - O O - - - -

Financial Instrument Type Trax O O - - O O - - - -

Financial Instrument Name Trax O O - - O O - - - -

Financial Instrument Code Type M M - - M M - - - -

Financial Instrument Code M M - - M M - - - -

Financial Instrument Type M M - - M M - - - -

Method of Interest Computation O O - - O O - - - -

Denomination Currency M M - - M M - - - -

Settlement Transaction Type O O - - O O - - - -

Counterparty’s Settlement Transaction Type O O - - O O - - - -

Counterparty’s Method of Interest Computation O O - - O O - - - -

Counterparty’s Number of Days Accrued O O - - O O - - - -

Counterparty’s Payment Indicator O M - - O O - - - -





Place of Settlement Code O O - - O O - - - - Message recipient’s (the

participant’s) settlement details. Settlement Agent Code O O - - O O - - - -

Securities Account O O - - O O - - - -

Custody Agent Code O O - - O O - - - -

Custody Securities Account O O - - O O - - - -

Principal’s Counterparty Place of Settlement Code O O - - O O - - - - The Counterparty’s settlement

details as entered by the

message recipient (the

participant) on the original Cash

Trade message.

Principal’s Counterparty Settlement Agent Code O O - - O O - - - -

Principal’s Counterparty Securities Account O O - - O O - - - -

Principal’s Counterparty Custody Agent Code O O - - O O - - - -

Principal’s Counterparty Custody Securities Account O O - - O O - - - -

Counterparty’s Place of Settlement Code O O - - O O - - - - Counterparty’s settlement details

as entered by the Counterparty. Counterparty’s Settlement Agent Code O O - - O O - - - -

Counterparty’s Securities Account O O - - O O - - - -

Counterparty’s Custody Agent Code O O - - O O - - - -

Counterparty’s Custody Securities Account O O - - O O - - - -

Counterparty’s Counterparty Place of Settlement Code O O - - O O - - - - Counterparty’s understanding of

the message recipient’s (the

participants) settlement details.

Counterparty’s Counterparty Settlement Agent Code O O - - O O - - - -

Counterparty’s Counterparty Securities Account O O - - O O - - - -

Counterparty’s Counterparty Custody Agent Code O O - - O O - - - -

Counterparty’s Counterparty Custody Securities Account O O - - O O - - - -

Settlement Currency O O - - O O - - - -

Settlement Amount O O - - O O - - - -

Settlement Breakdown Amount 1 O O - - O O - - - -

Settlement Breakdown Amount Type 1 O O - - O O - - - -











Counterparty’s Settlement Currency O O - - O O - - - -

Counterparty’s Settlement Amount O O - - O O - - - -

Counterparty’s Settlement Breakdown Amount 1 O O - - O O - - - -

Counterparty’s Settlement Breakdown Amount Type 1 O O - - O O - - - -







Second Leg Reference - O - - - O - - - -

Repo Second Leg Status - M M - - M M - - -

Lifecycle Event Reference - - M O - - M - - -

Previous Lifecycle Event Reference - - - - - - - - - - See Note 3.

Lifecycle Event Version Number - - M - - - M - - -

Lifecycle Event Type - - M - - - M - - -

Lifecycle Event Status - - M - - - M - - -

Lifecycle Event Date Time - - M - - - M - - -

Lifecycle Event Details Type - - M O - - M - - -

Repo Type Indicator - - - - - - - - - - See Note 3.

Fund Id - O - - - O - - - -

Repo Rate - O O - - O O - - -

Repo Spread - O O - - O O - - -

Reference Rate - O - - - O - - - -





Forward Price - O - - - O - - - -

Price - - O - - - O - - -

Effective Date - - O - - - O - - -

Repo End Date - O O - - O O - - -

Closing Amount - O O - - O O - - -

Closing Amount Currency - O O - - O O - - -

Repo Call Notice - O - - - O - - - -

Counterparty’s Opening Leg Deal Price - O - - - O - - - -

Counterparty’s Forward Leg Deal Price - O - - - O - - - -

Counterparty’s Repo End Date - O - - - O - - - -

Counterparty’s Closing Amount - O - - - O - - - -

Counterparty’s Closing Currency - O - - - O - - - -

Transaction Type M M - - M M - - - -

Triparty Flag - - - - M M - - - -

Reason Code O O - - O O - - - -

Counterparty’s Trade Time O O - - O O - - - -

Counterparty’s Reason Code O O - - O O - - - -

Intermediary Code O O - - O O - - - -

Intermediary Securities Account O O - - O O - - - -

Principal’s Counterparty Intermediary Code O O - - O O - - - -

Principal’s Counterparty Intermediary Securities Account O O - - O O - - - -

Counterparty’s Intermediary Code O O - - O O - - - -

Counterparty’s Intermediary Securities Account O O - - O O - - - -

Counterparty’s Counterparty Intermediary Code O O - - O O - - - -

Counterparty’s Counterparty Intermediary Securities Account O O - - O O - - - -

Term Type - M - - - M - - - -

Agreement Type - O - - - O - - - -





Collateral Set - O - - - O - - - -

Counterparty’s Collateral Set - O - - - O - - - -

Haircut - O - - - O - - - -

Lifecycle Event Senders Reference - - - - - - O - - -

Substitution Financial Instrument Code - - O - - - O - - -

Interest Amount - - O - - - O - - -

Interest Currency - - O - - - O - - -

Trade Match Id O O - - O O - - - -

Related Trax Reference O O - - O O - - - -

Notes:

1. Returned if the Counterparty was identified using either a BIC or a Trax Code in the original Trade Instruction.

2. Returned if the Financial Instrument Code in the original Trade Instruction exists in the Trax Securities Reference Data

3. Legacy field - will not be populated.



7 UNSOLICITED FILES

7.1 Overview

The Trax Match CSV Entry Point will create Unsolicited Files for a subscriber and send the files to the same directory on the Trax FTP Server in which the subscriber places Request Files.

The Trax CSV Entry Point will create periodic Unsolicited Files containing Trade Status Update messages (see Section 6.5). Subscribers can select the period of update from a list of pre-defined Status Update Schedules (please refer to the Service Description for further detail).

Subscribers can also elect not to receive specific messages types within Unsolicited Files. This option may be beneficial for subscribers that operate separate real-time connections to Trax Match and are using the CSV entry point solely to instruct and monitor a specific a transaction type (e.g. Securities Financing). Please refer to the Service Description for further detail.

Unsolicited Files will have a Type of “UNS” and will contain zero, one or more Status Update messages. Each Trade or Lifecycle Event for which a status update has occurred since the last Unsolicited File was generated will be reported.

An Unsolicited File will always be created, even when there are no Trades or Lifecycle Events to report.

Unsolicited Files will be in CSV format and will conform to the format defined in Section 4.

7.2 File Naming Convention

Unsolicited Files will have a ‘CSV’ extension and will follow the naming convention “TTTT_AAA_SSSSS_XXXX_YYYYMMDD_NNNN”, where:

TTTT The Service the file is sent from. Will be set to “TRAX”.

AAA The Type of file. Will be set to “UNS” (Unsolicited File).

SSSSS The Trax Identifier of the subscriber the file has been created for

XXXX Template: “STAT” – the file contains statement responses.

YYYYMMDD Generated Date

NNNN Sequence Number. Files are created in Sequence Number

order for a subscriber with no gaps. Sequence Numbers will be

reset to 0001 each day.

The file name will be appended with the following:

_XTRAKTER; or

_XTRAKTER_NULL where a ‘null’ statement is returned.

7.3 Message Layouts

See Section 6.3.



8 DATA DICTIONARY

8.1 Field Formats

8.1.1 Overview

Field formats are defined in terms of the following:

Length restrictions

Types of characters

Notation; and

Number Definitions

These ‘attributes’ are described in details in the following sections.

8.1.2 Length Restrictions

The following length restrictions are defined:

nn Minimum of 1 character and a maximum of nn characters

nn! Fixed number of characters

nn-nn Range of characters

8.1.3 Types of Character

The following types of character are defined:

Character Description Character Set

a Upper case letters A B C D E F G H I J K L M N O P Q R S T

U V W X Y Z

c Upper case alphanumeric characters A B C D E F G H I J K L M N O P Q R S T

U V W X Y Z 0 1 2 3 4 5 6 7 8 9

d Digits with a decimal point 0 1 2 3 4 5 6 7 8 9 .

e Blank space Space

n Digits 0 1 2 3 4 5 6 7 8 9

x Trax character set Any ASCII character in the decimal range

32-126 (see www.asciitable.com) for list of

allowable characters.

8.1.4 Notation

The following notation is used to describe the structure and use or format of data fields.

If a character is optional within a field, it is shown in square brackets “[...]”. The [ and ]

characters do not form part of the message

An exclamation mark (“!”) denotes that a field must contain the exact number of characters,

e.g. 4!n mean that the field must be 4 numeric characters. If no exclamation mark is present,

the field can contain up to 4 numeric characters

http://www.asciitable.com/



Signed numbers are identified using the ISO notation “N”. For example, [N]3!n means that a

sign “-“ must be present if the number is negative.

8.1.5 Decimal Numbers

Decimal numbers are specified as format ‘d’. The format requires the use of a separator (decimal point) with at least one digit before the decimal point. Leading and trailing zeroes are acceptable. Valid formats include:

123. 12.3 0.123 123456. 123.0

00123. 12345678.00

The ‘d’ format requires a decimal point to be positioned at any point in the decimal value. Where this is not compatible with the Trax Match system, an additional sub-definition is specified to identify the maximum number of integers and decimal places.

For example, the Trade Price is defined as ‘17d’ with a sub-definition of [9(8)v9(8)]. Therefore, the minimum and maximum value that can be supported in this example is “0.00000001” to “99999999.99999999”.

8.2 CSV Field Examples

The following table provides examples of how fields are presented in CSV Format:

Format Example Notes

4!c ,BUYR,

,”BUYR”,

Leading or trailing spaces not allowed.

4!a2!a2!c3!c ,CPTYGB02XXX,

,”CPTYGB02XXX”,

Leading or trailing spaces not allowed.

7x ,ABC0001,

,”ABC0001”,

Leading and trailing spaces will be ignored.

70x ,”AT&T CORP 7,75 21-11-06”, Double-quotes (“”) are optional but must be

used if the field value contains commas

and/or quote.

Leading and trailing spaces will be ignored.

15d ,“105.25”, Leading and trailing zeros are acceptable.

[N]3!n ,-125,

,”-125”,

Sign is optional.



8.3 Field Definitions

8.3.1 Agreement Type

Description: Indicates type of agreement under which a securities financing trade is transacted.

Format: 4!c

Enumerations: MRPA - Global Master Repurchase Agreement

MSLA - Global Master Securities Lending Agreement.

Message

Template

Trade Instruction, Statement Response.

8.3.2 Buy Sell Indicator

Description: Specifies whether a transaction relates to the sale or purchase of financial instruments

from the perspective of the message sender/receiver.

Format: 4!c

Enumerations: BUYR - transaction is a purchase of financial instruments

SELL – transaction is a sale of financial instruments.

Message

Template


8.3.3 Closing Amount

Description: Cash amount to be settled in the second leg of a repurchase agreement.

Format: 19d [9(14)v9(3)]

Message

Template


8.3.4 Closing Currency

Description: The currency of the closing amount.

Format: 3!c

Message

Template




8.3.5 Collateral Set

Description: Identifier of the collateral set (e.g. Tier 1 ECB eligible) within a specific securities account

at the Tri-Party Agent.

Input by the Sender on an Instruction to identify their own Collateral Set where the Sender

is delivering collateral.

Format: 35x

Message

Template

Trade Instruction Response, Statement Response.

8.3.6 Counterparty’s Agreement Type

Description: The Agreement Type entered by the Counterparty.

Included in an Instruction or Statement Response disclosing the Agreement Type input by

the Counterparty on their instruction.

Format: 4!c

Enumerations: See Agreement Type.

Message

Template


8.3.7 Counterparty’s Closing Amount

Description: The Closing Amount entered by the counterparty for a repurchase agreement.

Included in an Instruction or Statement Response disclosing the Closing Amount input by

the Counterparty on their Instruction.

Format: 19d [9(14)v9(3)]

Message

Template


8.3.8 Counterparty’s Closing Currency

Description: The currency of the Closing Amount entered by the counterparty for a repurchase

agreement.

Included in an Instruction or Statement Response disclosing the Closing Currency input by


Format: 3!c

Message

Template




8.3.9 Counterparty Code

Description: The identifier for the Counterparty.

Format 16x

Business

Formats:

4!a2!a2!c3!c – where the counterparty is identified using a BIC

8!x – where the counterparty is identified using a Trax Code

7x – where the counterparty is identified using an FCA Reference Number

16x – where the counterparty is identified using the subscribers internal code

Related Field: See Counterparty Code Type

Message

Template


8.3.10 Counterparty Code BIC

Description: The BIC of the Counterparty.

Formats: 4!a2!a2!c3!c

Message

Template


8.3.11 Counterparty Code Trax

Description: The Trax Code of the Counterparty.

Formats: 8!x

Message

Template


8.3.12 Counterparty Code Type

Description: The type of code used to identify the Counterparty.

Formats: 3!c

Enumerations: BIC – Bank Identifier Code (BIC)

FCA – FCA Reference Number

TRX – Trade Code

INT – Subscribers Internal Code.

Related Field: Counterparty Code

Message

Template




8.3.13 Counterparty’s Collateral Set

Description: See Collateral Set.

Included in an Instruction or Statement Response disclosing the Collateral Set input by the

Counterparty on their instruction.

Format: 35x

Message

Template


8.3.14 Counterparty’s Counterparty Custody Agent Code

Description: The BIC of the Receiving or Delivering Custodian of the message recipient as input by the

Counterparty.

Included in an Instruction or Statement Response disclosing the Principal’s Counterparty

Custody Agent optionally input by the Counterparty on their Instruction.


Business

Formats:

4!a2!a2!c3!c – where the custodian is identified using a BIC

Message

Template




8.3.15 Counterparty’s Counterparty Custody Securities Account

Description: The securities account owned or held by the Custody Agent of the message recipient as

input by the Counterparty.


Custody Securities Account optionally input by the Counterparty on their Instruction.

Formats: 35x

Message

Template


8.3.16 Counterparty’s Counterparty Intermediary Code

Description: The BIC the Receiving or Delivering Intermediary of the message recipient as input by the

Counterparty.


Intermediary optionally input by the Counterparty on their Instruction.


Business

Formats:

4!a2!a2!c3!c – where the custodian is identified using a BIC

Message

Template


8.3.17 Counterparty’s Counterparty Intermediary Security Account

Description: The securities account owned or held by the Intermediary of the message recipient as



Intermediary Securities Account optionally input by the Counterparty on their Instruction.

Formats: 35x

Message

Template


8.3.18 Counterparty’s Counterparty Place of Settlement Code

Description: The BIC of the Place of Settlement of the message recipient, as input by the Counterparty.


Place of Settlement optionally input by the Counterparty on their Instruction.


Business

Formats:

4!a2!a2!c3!c – where the place of settlement is identified using a BIC

Message

Template




8.3.19 Counterparty’s Counterparty Securities Account

Description: The securities account owned or held by the Settlement Agent of the message recipient as



Securities Account optionally input by the Counterparty on their Instruction.

Formats: 35x

Message

Template


8.3.20 Counterparty’s Counterparty Settlement Agent Code

Description: The BIC of the Receiving or Delivering Agent of the message recipient, as input by the

Counterparty.


Settlement Agent optionally input by the Counterparty on their Instruction.


Business

Formats:

4!a2!a2!c3!c – where the settlement agent is identified using a BIC

Message

Template


8.3.21 Counterparty’s Custody Agent Code

Description: The BIC of the Counterparty’s Receiving or Delivering Custodian.

Included in an Instruction or Statement Response disclosing Custody Agent optionally

input by the Counterparty on their Instruction.


Business

Formats:

4!a2!a2!c3!c – where the custody agent is identified using a BIC

Message

Template


8.3.22 Counterparty’s Custody Securities Account

Description: The securities account owned or held by the Counterparty’s Custody Agent.

Included in an Instruction or Statement Response disclosing the Custody Securities

Account optionally input by the Counterparty on their Instruction.

Formats: 35x

Message

Template




8.3.23 Counterparty’s Forward Price

Description: The forward or closing price for a Buy/Sell Back entered by the Counterparty.

Included in an Instruction or Statement Response disclosing the Forward Price input by

the Counterparty on their instruction.

Formats: 17d [9(8)v9(8)]

Message

Template


8.3.24 Counterparty’s Intermediary Code

Description: The BIC of Counterparty’s Receiving or Delivering Intermediary.

Included in an Instruction or Statement Response disclosing the Intermediary optionally

input by the Counterparty on their Instruction.

Format: 4!a2!a2!c3!c

Business

Formats:

4!a2!a2!c3!c – where the intermediary is identified using a BIC

Message

Template


8.3.25 Counterparty’s Intermediary Securities Account

Description: The securities account owned or held by the Counterparty’s Intermediary.

Included in an Instruction or Statement Response disclosing the Intermediary Securities

Account optionally input by the Counterparty on their Instruction.

Formats: 35x

Message

Template




8.3.26 Counterparty’s Method of Interest Computation

Description: Computational method used to calculate the accrued interest of the related financial

instrument, as input by the Counterparty.

Included in an Instruction or Statement Response disclosing the Method of Interest

Computation optionally input by the Counterparty on their Instruction.

Formats: 4!c

Enumerations: See Method of Interest Computation.

Message

Template


8.3.27 Counterparty’s Narrative

Description: Free format text added to a trade by the Counterparty.

Included in an Instruction or Statement Response disclosing the Narrative optionally

entered by the Counterparty on their instruction.

Formats: 140x

Message

Template


8.3.28 Counterparty’s Number of Days Accrued

Description: Number of days used for calculating the accrued interest amount, as input by the

Counterparty.

Included in an Instruction or Statement Response disclosing the Number of Days Accrued

optionally input by the Counterparty on their Instruction.

Formats: [N]3!n

Message

Template


8.3.29 Counterparty’s Opening Leg Deal Price

Description: The opening leg price (Deal Price) entered by the Counterparty.

Included in an Instruction or Statement Response disclosing the opening leg price input by


Formats: 17d [9(8)v9(8)] - if price is not expressed as a Yield

N17d [9(7)v9(8)] - if price is expressed as a Yield

Message

Template




8.3.30 Counterparty’s Payment Indicator

Description: Indicates how a trade is to be settled at the Place of Settlement, as input by the

Counterparty.

Included in an Instruction or Statement Response disclosing the Payment Indicator


Format: 4!c

Enumerations: See Payment Indicator.

Message

Template


8.3.31 Counterparty’s Place of Settlement Code

Description: The BIC of the Counterparty’s Place of Settlement.

Included in an Instruction or Statement Response disclosing the Place of Settlement



Business

Formats:


Message

Template


8.3.32 Counterparty’s Reason Code

Description: The Reason Code entered by the Counterparty.

Included in an Instruction or Statement Response disclosing the Reason Code input by the


Format: 4!c

Enumerations: See Reason Code.

Message

Template


8.3.33 Counterparty’s Repo End Date

Description: The Repo End Date entered by the Counterparty.

Included in an Instruction or Statement Response disclosing the Repo End Date input by


Format: 8n!

Validation: Date must be a valid date expressed as YYYYMMDD.

Message

Template




8.3.34 Counterparty’s Securities Account

Description: The securities account owned or held by the Counterparty’s Settlement Agent.

Included in an Instruction or Statement Response disclosing the Securities Account


Formats: 35x

Message

Template


8.3.35 Counterparty’s Settlement Agent Code

Description: The BIC of the Counterparty’s Delivering or Receiving Agent.

Included in an Instruction or Statement Response disclosing the Settlement Agent



Business

Formats:


Message

Template

Trade Instruction Response, Statement Response..

8.3.36 Counterparty’s Settlement Amount

Description: Total amount of money to be paid/received in exchange for the financial instrument, as


Included in an Instruction or Statement Response disclosing the Settlement Amount


Formats: 19d [9(14)v9(3)]

Message

Template


8.3.37 Counterparty’s Settlement Breakdown Amount 1

Description: A cash amount (which is included in the Settlement Amount) to be paid/received in

exchange for the financial instrument. Up to 4 additional cash amounts can be included;

see also Counterparty’s Settlement Breakdown Amount 2, 3 and 4.

Included in an Instruction or Statement Response disclosing the Settlement Breakdown

Amount 1 optionally input by the Counterparty.

Format: [N]19d [9(13)v9(3)]

Related Field: Counterparty’s Settlement Breakdown Amount 1 Type.

Message

Template





See Counterparty’s Settlement Breakdown Amount 1.





8.3.41 Counterparty’s Settlement Breakdown Amount 1 Type

Description: Identifies the type of additional cash amount (such as taxes and charges) included in an

instruction.

Included in an Instruction or Statement Response disclosing the Settlement Breakdown

Amount 1 Type optionally input by the Counterparty.

Format: 4!c

Enumerations: See Settlement Breakdown Amount Type 1.

Related Field: Counterparty’s Settlement Breakdown Amount 1

Message

Template



See Counterparty’s Settlement Breakdown Amount 1 Type.





8.3.45 Counterparty’s Settlement Currency

Description: The currency of the settlement amount, as input by the Counterparty.

Included in an Instruction or Statement Response Settlement Currency optionally input

by the Counterparty on their Instruction.

Formats: 3!c

Message

Template




8.3.46 Counterparty’s Settlement Transaction Type

Description: The type of settlement transaction contained in the settlement details for the trade, as


Included in an Instruction or Statement Response disclosing the Settlement Transaction

Type optionally input by the Counterparty on their Instruction.

Format: 4!c

Enumerations: See Settlement Transaction Type.

Message

Template


8.3.47 Counterparty’s Trade Time

Description: The Trade Time entered by the Counterparty.

Included in an Instruction or Statement Response disclosing the Trade Time input by the


Format: 6!n

Validation: Must be a valid time expressed as HHMMSS.

Message

Template


8.3.48 Creation Date Time

Description: The date and time a Trade was created in Trax Match (London Time).

Formats: 8n!6n!

Validation: Date must be a valid date expressed as YYYYMMDD. Time must be a valid time

expressed as HHMMSS.

Message

Template




8.3.49 Custody Agent Code

Description: The BIC of the Receiving or Delivering Custodian.


Business

Formats:


Message

Template


8.3.50 Custody Securities Account

Description: The securities account owned or held by the Receiving or Delivering Custodian.

Formats: 35x

Message

Template


8.3.51 Deal Price

Description: The Trade price as agreed with the Counterparty.

Formats: 17d [9(8)v9(8)] - if price is not expressed as a Yield

N17d [9(7)v9(8)] - if price is expressed as a Yield.

Related Field: Price Type

Message

Template




8.3.52 Denomination Currency

Description: The denomination of the currency in which the Financial Instrument was issued.

Formats: 3!c

Message

Template


8.3.53 Effective Date

Description: The date the repo rate, price or spread change, or substitution or interest draw down is

effective from.

Formats: 8n!


Message

Template


8.3.54 Financial Instrument Code

Description: The code used to identify the Financial Instrument.

Formats: 12c

Message

Template


8.3.55 Financial Instrument Code ISIN

Description: The ISIN code for the Financial Instrument.

Formats: 12!c

Message

Template


8.3.56 Financial Instrument Code Trax

Description: The internal Trax identifier for the Financial Instrument.

Formats: 12c

Message

Template




8.3.57 Financial Instrument Code Type

Description: The type of code used to identify the Financial Instrument.

Formats: 2!c

Enumerations: GB – UK Domestic Sedol Code

IS – ISIN Code

US – US Domestic Code (CUSIP)

XC – Euroclear and Cedel International Code

XI – Trax Security Code

XX – Unilateral Code.

Message

Template


8.3.58 Financial Instrument Name Trax

Description: The description of the Financial Instrument as defined in the Trax Securities Reference

Data.

Formats: 70c

Message

Template


8.3.59 Financial Instrument Type

Description: Identifies the type of Financial Instrument.

Formats: 4!c

Enumerations: For Tri-Party Repo:

BASK - Collateral Basket

For Cash, Repo, Buy/Sell Back and Securities Lending:

EQUT – Equity

BOND – Fixed Income.

Message

Template

Trade instruction, Statement Response.



8.3.60 Financial Instrument Type Trax

Description: The type of Financial Instrument as defined in the Trax Securities Reference Data or as

provided on the Trade Instruction by the participant (if the security does not exist in the

Trax reference data).

Formats: 4!c

Enumerations: BASK – Collateral Basket

CONV – Convertible

FLOA – Floating Rate Note (FRN)

BILL – Bill

GLDR – Global Depository Receipt.

STRT – Straight Bond

EQUT – Equity

WARR – Warrant (Derivative).

Message

Template


8.3.61 Forward Price

Description: The forward or closing price for a Buy/Sell Back.

Formats: 17d [9(8)v9(8)]

Message

Template


8.3.62 Fund Id

Description: The underlying fund or client for a Securities Financing trade block allocation.

Formats: 16x.

Message

Template


8.3.63 Haircut

Description: The ‘initial margin’ or haircut applicable to a securities financing trade expressed as a rate

or an amount.

Format: 17d [9(8)v9(8)]

Message

Template




8.3.64 Interest Amount

Description: The interest amount to be drawn down on a securities financing trade.

Format: 19d [9(14)v9(3)]

Message

Template


8.3.65 Interest Amount Currency

Description: The currency of the interest drawdown amount.

Format: 3!c

Message

Template


8.3.66 Intermediary Code

Description: The identifier for the Receiving or Delivering Intermediary.

Format: 4!a2!a2!c3!c

Business

Formats:

4!a2!a2!c3!c – where the intermediary is identified using a BIC

Message

Template


8.3.67 Intermediary Securities Account

Description: The securities account owned or held by the Receiving or Delivering intermediary.

Formats: 35x

Message

Template




8.3.68 Lifecycle Event Date Time

Description: The date and time a Lifecycle Event was created in Trax Match (London Time).

Formats: 8n!6n!



Message

Template


8.3.69 Lifecycle Event Details Type

Description: The type of details returned for a Lifecycle Event.

Format: 4!c

Enumerations: RPTA – full details are returned

RDEL – Lifecycle Event delete (an advisory has been cancelled by the counterparty

and is no longer alleged against the receiver).

Message

Template

Statement Response.

8.3.70 Lifecycle Event Reference

Description: The number assigned to the Lifecycle Event for a submitting party by Trax Match.

Format: 4!n

Message

Template

Trade Instruction, Trade Instruction Response, Statement Response.

8.3.71 Lifecycle Event Range End Date

Description: The Lifecycle Event date range end (effective date or end date) for which a reconciliation

statement is requested.

Format: 8!n

Validation: Must be a valid date expressed as YYYYMMDD.

Message

Template

Statement Request.

8.3.72 Lifecycle Event Range Start Date



Description: The Lifecycle Event date range start (effective date or end date) for which a reconciliation

statement is requested.

Format: 8!n


Message

Template

Statement Request.

8.3.73 Lifecycle Event Senders Reference

Description: The reference assigned to a lifecycle event by the sender.

The reference must be unique for the securities financing trade.

Format: 16x

Message

Template


8.3.74 Lifecycle Event Status

Description: The status of a Lifecycle Event.

Format: 3!c

Enumerations: UNM – Event is unmatched

MAT – Event is matched

CAN – Event is cancelled

DKA – Denied Advisory

MKC – Matched event, marked for cancellation

ADV – Advisory

AWC – Matched, awaiting cancellation

DEN – Denied, unmatched

NMT – Non-matchable.

Message

Template




8.3.75 Lifecycle Event Type

Description: The type of Lifecycle Event.

Format: 4!c

Enumerations: CLOS – Close out Lifecycle Event

ENDD – End Date Lifecycle Event

RATE – Rate or Spread Lifecycle Event

RPRI – Price Lifecycle Event

SUBS – Substitution Lifecycle Event

ROLL – Roll-over Lifecycle Event

Message

Template


8.3.76 Lifecycle Event Version Number

Description: The current version number of the Lifecycle Event.

Format: 2!n

Message

Template


8.3.77 Message Type

Description: Identifies the type of message in a Request, Response, or Unsolicited File.

Formats: 4!c

Enumerations: See Sections 5.4 and 6.3.

Message

Template

Trade Instruction, Trade Instruction Response, Statement Request, Statement Response.

8.3.78 Method of Interest Computation

Description: Computational method used to calculate the accrued interest of the related financial

instrument.

Formats: 4!c

Enumerations: A001 – 30U/360 – U.S.30/360

A004 – Act/360 – Actual/360

A005 – Act/365 – Actual/365

A006 – Act/Act – ICMA & US Treasury (Actual/Actual)

A007 – 30E/360 – European 30/360

A008 – Act/Act (ISDA) – ISDA(Actual/Actual)

A009 – Act/Year – Actual/days in year of payment date

Message

Template




8.3.79 Narrative

Description: Free format text that can be added to a trade or lifecycle event and passed to the

counterparty.

Formats: 140x

Message

Template


8.3.80 Number of Days Accrued

Description: Number of days used for calculating the accrued interest amount.

Formats: [N]3!n

Message

Template


8.3.81 Payment Indicator

Description: Indicates how a trade is to be settled at the Place of Settlement.

Format: 4!c

Enumerations: APMT – Against payment

FREE – Free of Payment

Message

Template


8.3.82 Place of Settlement Code

Description: The BIC of the Place of Settlement.


Business

Formats:


Message

Template




8.3.83 Place of Trade

Description: The Venue on which the trade was agreed.

Format: 12x

Business

Formats:

4!c – if Place of Trade Type is EXCH or MTFC

4!a2!a2!c3!c – where Place of Trade Type is SYSI.

Related Field: See Place of Trade Type

Message

Template


8.3.84 Place of Trade Type

Description: The type of Venue on which the trade was agreed.

Format: 4!c

Enumerations: OTCO – venue is Over the Counter

EXCH – venue is a Stock Exchange

MTFC - venue is a Multi-lateral Trading Facility

SYSI – venue is a Systematic Internaliser.

Related Field: Place of Trade

Message

Template




8.3.85 Preparation Date Time

Description: The date and time at which a message was generated (prepared for sending).

Format: 8n!6n!



Message

Template


8.3.86 Price

Description: The new price for an open Securities Financing trade (Price Change Lifecycle Event).

Format: 17d [9(8)v9(8)]

Message

Template


8.3.87 Price Multiplier

Description: The value of the unit change in price such that Price * Quantity * Price Multiplier = Trade

Value.

Format: 19d [9(11)v9(6)]

Message

Template


8.3.88 Price Type

Description: Indicates how the Deal Price is expressed.

YIEL is not valid for Securities Financing Trades.

Format: 4!c

Enumerations: PRCT - expressed as a percentage of par

ACTU - expressed as an amount of currency per unit or per share

YIEL – expressed as a yield.

Message

Template




8.3.89 Principal’s Counterparty Custody Agent Code

Description: The BIC of the Counterparty’s Receiving or Delivering Custodian.

Optionally input by the Sender on an Instruction to identify the Custody Agent of the

Counterparty.


Business

Formats:


Message

Template


8.3.90 Principal’s Counterparty Custody Securities Account

Description: The securities account owned or held by the Counterparty’s Custody Agent.

Optionally input by the Sender on an Instruction to identify the Securities Account of the

Counterparty’s Custodian.

Format: 35x

Message

Template


8.3.91 Principal’s Counterparty Intermediary Code

Description: The identifier for the counterparty’s Receiving or Delivering Intermediary.

Optionally input by the Sender on an Instruction to identify the Intermediary of the

Counterparty

Formats: 4!a2!a2!c3!c – where the intermediary is identified using a BIC

Message

Template


8.3.92 Principal’s Counterparty Intermediary Securities Account

Description: The securities account owned or held by the counterparty’s Receiving or Delivering

intermediary.

Optionally input by the Sender on an Instruction to identify the securities account of the

Counterparty’s Intermediary.

Formats: 35x

Message

Template




8.3.93 Principal’s Counterparty Place of Settlement Code

Description: The BIC of the Counterparty’s Place of Settlement.

Optionally input by the Sender on an Instruction to identify the Place of Settlement of the

Counterparty.


Business

Formats:


Message

Template


8.3.94 Principal’s Counterparty Securities Account

Description: The securities account owned or held by the Counterparty’s Settlement Agent.

Optionally input by the Sender on an Instruction to identify the Securities Account of the

Counterparty’s Settlement Agent.

Format: 35x

Message

Template


8.3.95 Principal’s Counterparty Settlement Agent Code

Description: The BIC of the Counterparty’s Delivering or Receiving Agent.

Optionally input by the Sender on an Instruction to identify the Settlement Agent of the

Counterparty


Business

Formats:


Message

Template


8.3.96 Quantity

Description: Quantity of financial instrument confirmed.

Format: 16d [9(13)v9(2)]

Message

Template




8.3.97 Reason Code

Description: Indicates the reason an advisory trade is denied.

Format: 4!n

Enumerations: 0001 - Trade not recognised

0002 - Disagreement Direction of Trade

0003 - Disagreement Security

0004 - Disagreement Deal Price

0005 - Disagreement Deal Price Currency

0008 - Disagreement Trade Date

0011 - Disagreement Settlement Date

0013 - Disagreement Trade Conditions

0014 - Disagreement Fund Id

0015 - Disagreement Quantity

0016 - Disagreement SSIs

0019 - Disagreement Settlement Amount Currency

0020 - Disagreement Settlement Amount

0022 - Possible duplicate trade

0023 - Disagreement Termination Transaction Amount

0024 - Disagreement Termination Type

0024 - Disagreement Repo Rate

0025 - Disagreement Closing Date Time

0026 - Disagreement Variable Rate Support

0027 - Disagreement Call Notice

Message

Template


8.3.98 Record Number

Description: The number of the record in a Request File where a syntax or business error was

detected.

Format: 4!n

Message

Template




8.3.99 Reference Rate

Description: Index or support rate used together with the spread in basis points to calculate the

repurchase rate.

Format: 4!c

Enumerations: LIBO – Spread index using LIBOR

EOIA – Spread index using EONIA

EREP – Spread index using GC Repo

SOIA – Spread index using SONIA

FEDF – Spread index using US Fed Fund

Message

Template


8.3.100 Rejection Reason Code

Description: The code of the reason for the rejection of a request message or file.

Format: 4!c

Enumerations: See Section 8 for the list of Rejection Reasons and Narratives.

Message

Template


8.3.101 Rejection Reason Narrative

Description: The narrative of the reason for the rejection of a request message or file.

Format: 210x

Enumerations: See Section 8 for the list of Rejection Reasons and Narratives.

Message

Template


8.3.102 Repo Call Notice

Description: The number of days notice required to call a ‘callable’ Securities Financing trade.

Format: 3!n

Message

Template




8.3.103 Repo End Date

Description: The date on which a term Securities Financing trade is to close. For an open trade, date

on which the trade actually closed.

Format: 8n!


Message

Template


8.3.104 Repo Rate

Description: Repurchase rate; the rate to be used to re-calculate the repurchase amount.

Format: 17d [9(8)v9(8)]

Message

Template


8.3.105 Repo Second Leg Status

Description: The status of the second leg of a Securities Financing Trade.

Format: 3!c

Enumerations: UNM – Trade is unmatched

NMT – Trade is non matchable

MAT – Trade is matched

CAN – Trade is cancelled


MKC – Matched trade, marked for cancellation

ADV – Advisory



MCS – Matched conflicting settlement

MMS – Matched, matched settlement

Message

Template


8.3.106 Repo Spread

Description: Repurchase spread interest rate; margin over or under an index that determines the

repurchase amount.

Format: [N]17d [9(7)v9(8)]

Message

Template




8.3.107 Request Lifecycle Event Status

Description: The Lifecycle Event or generic status to be retrieved in a Statement Request.

Format: 3!a

Enumerations: ALL – All uncancelled events – All Lifecycle Event Statuses other than CAN

UNM – All unmatched events

NMT – All non-matchable events

MAT – All matched events

CAN – All cancelled

DKA – All denied advisory events

MKC – All matched, marked for cancellation events

ADV – All advisory events

AWC – All matched, awaiting cancellation events

DEN – All denied, unmatched events

MAN – All matched and non-matchable events - statuses MAT and NMT

UAN – All events that are not matched or non-matchable – statuses ADV, UNM, DEN,

DKA, MKC, AWC and NMT.

Message

Template

Statement Request

8.3.108 Request Trade Date

Description: The date (Trade Date) for which a reconciliation statement is requested.

Format: 8!n


Message

Template

Statement Request.



8.3.109 Request Trade Status

Description: The Trade or generic status to be retrieved in a Statement Request.

Format: 3!a

Enumerations: ALL – All uncancelled trades – All Trade Statuses other than CAN

UNM – All unmatched trades

NMT – All non-matchable trades

MAT – All matched trades

CAN – All cancelled

DKA – All denied advisory trades

MKC – All matched, marked for cancellation trades

ADV – All advisory trades

AWC – All matched, awaiting cancellation trades

DEN – All denied, unmatched trades

MAN – All matched and non-matchable trades - Trade Statuses MAT and NMT

MUS – All matched, unmatched settlement trades

MAS – All matched, advisory settlement trades

MCS – All matched conflicting settlement trades

MNS – All matched, non matchable settlement trades

MMS – All Matched, matched settlement trades

MSU – All matched trades including settlement matched – Trade Statuses MAT, MMS

and MNS

MUA – All trades that are not settlement matched – Trade Statuses MUS, MAS and

MCS

UAD – All trades that are not matched (including settlement matched) - Trade

Statuses ADV, UNM, DEN, DKA, MKC, AWC, MUS, MAS and MCS.

UAN – All trades that are not matched or non-matchable – Trade Statuses ADV, UNM,

DEN, DKA, MKC, AWC and NMT

UEM – All trades that are not settlement matched or non-matchable – Trade Statuses

MUS, MAS, MCS and MNS.

Message

Template

Statement Request



8.3.110 Second Leg Reference

Description: The reference assigned to the second leg of the Securities Financing trade by the sender.

The second leg reference must be unique for the Trax Match on-line period, i.e. 30

business days from the trade date or 30 business days after the settlement date of the end

leg of a term or open dated Securities Financing trade.

Format: 16x

Message

Template


8.3.111 Securities Account

Description: The securities account owned or held by the Settlement Agent.

Format: 35x

Message

Template


8.3.112 Settlement Agent Code

Description: The BIC of the Receiving or Delivering Agent.


Business

Formats:


Message

Template




8.3.113 Settlement Amount

Description: Total amount of money to be paid/received in exchange for the financial instrument.

Format: 19d [9(14)v9(3)]

Message

Template


8.3.114 Settlement Breakdown Amount 1

Description: A cash amount (which is included in the Settlement Amount) to be paid/received in

exchange for the financial instrument. Up to 4 additional cash amounts can be included;

see also Settlement Breakdown Amount 2, 3 and 4.

Format: [N]19d [9(13)v9(3)]

Related Field: Settlement Breakdown Amount 1 Type.

Message

Template



See Settlement Breakdown Amount 1.







8.3.118 Settlement Breakdown Amount 1 Type

Description: Identifies the type of additional cash amount (such as taxes and charges) included in an

instruction.

Format: 4!c

Enumerations: ACRU – Accrued interest amount

EXEC – Executing Brokers Commission

CHAR – Charges/fees levied

LOCO – local broker’s commission

COUN – Country, national federal tax

DEAL – Deal Amount

ISDI – Issue discount/allowance

LEVY – payment levy tax

MARG – margin amount

STAM – Stamp Duty

TRAX – transaction tax

VATA – value added tax

WITH – withholding tax

OTHR – other amount

RESU – amount resulting from a foreign exchange conversion.

Related Field: Settlement Breakdown Amount 1

Message

Template



See Settlement Breakdown Amount 1 Type.





8.3.122 Settlement Code

Description: Indicates that the trade is a ‘grey market’ trade and will be settled ‘when issued’.

Format: 4!c

Enumerations: WISS – settle when issued

Message

Template




8.3.123 Settlement Currency

Description: The currency of the settlement amount.

Format: 3!c

Message

Template


8.3.124 Settlement Date

Description: The date on which settlement of the trade is due.

Format: 8!n


Message

Template


8.3.125 Settlement Transaction Type

Description: The type of settlement transaction contained in the settlement details for the trade.

Format: 4!c

Enumerations: OWNE – the transaction relates to an external own account transfer

OWNI – the transaction relates to an own account transfer

TRAD – the transaction relates to the settlement of a trade

Message

Template


8.3.126 Substitution Financial Instrument Code

Description: The ISIN code of the equivalent securities for a substitution event.

Formats: 12!c

Message

Template


8.3.127 Term Type

Description: Indicates whether a securities financing transaction is open ended or term.

Format: 4!c

Enumerations: TERM – Term

OPEN - Open.

Message

Template




8.3.128 Trade Date

Description: The date on which a trade was agreed.

Format: 8!n


Message

Template


8.3.129 Trade Details Type

Description: The type of details returned for a trade.

Format: 4!c

Enumerations: FULL – full details are returned

TDEL – trade delete (an advisory has been amended or cancelled by the counterparty

and is no longer alleged against the receiver).

Message

Template

Statement Response.

8.3.130 Trade Match Id

Description: The identifier assigned to the Trade by Trax Match once the trade is matched.

Format: 16x

Message

Template


8.3.131 Trade Reference

Description: The reference assigned to the trade by the sender.

Trade Reference must be unique for the Trax Match on-line period, i.e. 30 business days

from the trade date or 30 business days after the settlement date of the end leg of a

Securities Financing trade.

Format: 16x (up to 14 characters for Securities Financing Trades)

Message

Template




8.3.132 Trade Regulatory Conditions

Description: Special Conditions applying to the trade.

A maximum of 3*2 character conditions can be entered. Each condition must be one of the

following 2 character codes. A condition cannot be repeated..

Format: 16c

FR – Autorité des Marchés Financiers (AMF)

FS – Financial Conduct Authority

GB – Financial Conduct Authority

OE –Off Exchange-regulated Market

PM – Primary Market Operations

Message

Template


8.3.133 Trade Status

Description: The status of the trade.

Format: 3!c

Enumerations: UNM – Trade is unmatched

MSM – Trade is mismatched

NMT – Trade is non matchable

MAT – Trade is matched

CAN – Trade is cancelled


MKC – Matched trade, marked for cancellation

ADV – Advisory



MUS – Matched, unmatched settlement

MAS – Matched, advisory settlement

MCS – Matched conflicting settlement

MNS – Matched, non matchable settlement

MMS – Matched, matched settlement

Message

Template




8.3.134 Trade Time

Description: The local time at which the Trade was agreed.

Format: 6!n

Validation: Must be a valid time expressed as HHMMSS.

Message

Template


8.3.135 Trade Transaction Conditions

Description: Conditions under which the trade was executed.

A maximum of 8*2 character conditions can be entered (maximum of 7*2 characters for

Securities Financing Trades). Each condition must be one of the following 2 character

codes. A condition cannot be repeated.

Format: 16c

BI – Buy In

CC – Cum Coupon

CM – Cum Capital Repayment

CR – Cum Rights

FP – Flat Price

OF – Off Database

RN – Redemption

SO – Sell Out

XA - Ex All

XC - Ex Coupon

XX – Special Consideration

CB – Cum Bonus

CD – Cum Dividend

CP – Commercial Paper

EC – Callable

GD – Guaranteed Delivery

OS – Off Securities Database

RO – Result of Option

SP – Special Price

XB – EX Bonus

XD – Ex Dividend

XP – Ex Capital Repayment

XR – Ex Rights

Message

Template




8.3.136 Transaction Type

Description: Indicates the type of transaction.

Format: 4!c

Enumerations: BYSE – Buy/Sell Back

REPO – Repo

CASH – Cash

LEND – Securities Lending

Message

Template

Trade Instruction, Statement Response

8.3.137 Trax Reference

Description: The Reference assigned to the Trade for the submitting party by Trax Match.

Format: 15x

Message

Template


8.3.138 Trax Related Reference

Description: The Trax Reference of a mismatched advisory trade.

Format: 15x

Message

Template


8.3.139 Trax Version Number

Description: The current version number of the Trade.

Format: 2!n

Message

Template


8.3.140 Triparty Flag

Description: Indicates whether a repo or securities lending transaction is triparty.

Format: 1c

Enumerations: Y – transaction is triparty

N - transaction is bilateral.

Message

Template




8.3.141 Update Date Time

Description: The date and time a Trade was last updated in Trax Match (London Time).

Format: 8n!6n!



Message

Template




9 REJECTION REASON CODES AND NARRATIVES

9.1 Overview

The following sections define the rejection codes and narratives that can be sent back to the subscriber following validation of a submitted Request File.

Three classifications are defined:

Request File rejections

Syntax rejection. A request message is rejected due to a syntax error. The rejected request

message is not processed

Business Error rejections:

o A message is syntactically valid but fails specific CSV Entry point validation. The

rejected message is not processed

o A message is syntactically valid, passes specific CSV Entry point validation and is

forwarded to Trax Match for processing, but fails Trax Match business validation. The

rejected message is not processed.

It should be noted that a Syntax or Business Error rejection does not prevent the processing of other request messages in the Request File. It is possible however, for other request messages to be impacted as a result of the rejection of an earlier request message, for example:

A New and an Amend message for the same trade are included in the same Request File. If

the New message is rejected, the Amend message will also be rejected.

Two Amend messages for the same trade are included in the same Request File. The first

Amend message may fail and the second Amend message may be processed successfully.

9.2 Request File Rejections

If a Request File fails file validation, the submitted file is rejected in its entirety and none of the request messages in the file are processed.

If a Request File is invalid, a File Error Response is returned. A list of the File Error Responses can be found in the Trax Match Error and Information Messages Annex.

9.3 Syntax Rejections

If an individual request message is syntactically invalid, a Syntax Error Response is returned for the rejected request message. A list of the Syntax Error Responses can be found in the Trax Match Error and Information Messages Annex.

9.4 Business Error Rejections

If an individual request message fails business validation, a Business Error Response is returned for the rejected message. A list of the Business Error Responses (those specific to the CSV Entry Point service and those returned by Trax Match) can be found in the Trax Match Error and Information Messages Annex.



10 IP ADDRESSES

For business continuity purposes, Trax recommends that participants use dynamic name resolution to lookup the IP addresses of the Live Trax Match service,

see section 2 for details.

Internet

Service name Live or

test

DNS TCP/IP address Port Number

Standard FTP

Port Number

Secure FTP

TCP or

UDP

Trax Match Test – Internet Test FTP.XTRAKTER-TEST.COM 194.98.129.89 or

194.196.129.89

20 and 21 990, 22, 3000 to

3100

TCP

Trax Match Live – Internet Live FTP.XTRAKTER.COM 194.98.129.82 or

194.196.129.82

20 and 21 990, 22, 3000 to

3100

TCP

BT Radianz/TNS

Service name Live or

test

DNS TCP/IP address Port Number

Standard FTP

Port Number

Secure FTP

TCP or

UDP

Trax Match Test Extranet Test CSV.TRAX2-TEST.BIZ 194.69.84.2 20 and 21 990, 22, 3000 to

3100

TCP

Trax Match Live Extranet Live CSV.TRAX2.BIZ 194.69.83.2 or

194.69.83.5

20 and 21 990,22,3000 to

3100

TCP



11 EXAMPLE FILES

11.1 Request Files

The following shows an example Request File with 4 request messages to create a new Cash Trade and 1 request message to Deny an advisory cash trade.

For Trades CLIREF001 to CLIREF003, only the required fields have been supplied. Other fields required by Trax Match are automatically set to their respective defaults.

For the Trade CLIREF004, the counterparty does not have a BIC Code and therefore a Trax Code has been used to identify the Counterparty (requires Counterparty Code Type to be supplied).



11.2 Response Files

The following shows an example Response File generated for the Request File above. In this example, one of the request messages is rejected by Trax Match and a Business Error message is returned.

COPYRIGHT NOTICE

©Xtrakter Ltd trading as Trax, 2014.

All Rights reserved. No part of this document may be copied, reproduced, transmitted or divulged in any form to any other party without the prior

written consent of Xtrakter Ltd.

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