3.05 Institutional Delivery System Notification of Order Execution (NOEC/NOEM) Function User s Guide

Transcription

1 CCF/CCF-II/MDH Transmission Guides 3.05 Institutional Delivery System Notification of Order Execution (NOEC/NOEM) Function User s Guide Version 01 Release 02 The Depository Trust Company August 1998

2 ( DTC ). All rights reserved. This work is proprietary and is intended for the exclusive use of DTC s Participants and other users of DTC s services. No part of this work may be reproduced or distributed (including by transmission) in any form or by any means, or stored in any information storage and retrieval system, without DTC s prior written permission NOTIFICATION OF ORDER EXECUTION (NOE) ii August 1998

3 3.05 Notification of Order Execution: Function User's Guide Table of Contents Section Page 1. Objectives of This Chapter Overview Transaction Types i Original NOEs (Transaction Type 1) ii Cancellation of NOE (Transaction Type 3) iii Rejection of NOE by Institution (Transaction Type 5) July 1998 Modifications NOE Record Formats NOE Errors Notification of Order Execution Detail Record Error Codes NOTIFICATION OF ORDER EXECUTION (NOE) iii August 1998

4 1. Objectives of This Chapter The objectives of this chapter are to: Give an overview of the Notification of Order Execution (NOE) function Provide templates for required records List order execution error codes 2. Overview The NOE function enables Broker-Dealers to report the execution of trades that cannot be definitively confirmed since the trade is a block to be allocated among a number of accounts. NOE is used only if confirmation information required for trade input is not complete. The NOE function: Enables Broker-Dealers and institutions to eliminate market risk arising from misunderstandings soon after trades are executed. Provides institutions with machine-readable records to feed portfolio management systems in order to process allocations (institution instructions) back to Broker-Dealers. In order to create an audit trail for both parties showing agreement with trade details, and to provide allocation information for Broker-Dealers to send trade confirmations, institutions must affirm the NOE by quickly returning institution instructions to Broker-Dealers. If an institution is in disagreement with NOE for example, if it does not know the trade or disagrees with some part of the record a prompt reply using the Rejection Transaction Type provides an electronic audit trail for both parties NOTIFICATION OF ORDER EXECUTION (NOE) Page 1 August 1998

5 2.1 Transaction Types There are three types of machine-readable NOEs. 2.1.i Original NOEs (Transaction Type 1) A branch or Executing Broker-Dealer submits an original NOE to notify an Institution that an order was executed and provides details pertaining to that execution. Such details include: A branch or Executing Broker-Dealer reference identifier that uniquely identifies each NOE. (For each field shown in the machine-readable input/output specification as Validation = Yes) is validated against several criteria, including valid ID numbers numeric/character format, space-filled and zero-filled fields and specific values. All validated fields are required for an original NOE. (Optional) in addition to actual execution price, a running average price when multiple executions are made for a single order. To process an original NOE, it is necessary to indicate Unspecified 000 in the Reject/ Cancel Reason Code field, position 253 in the NOE Detail Record (see page 12). Any other code for Transaction Type 1 causes an unacceptable value error. 2.1.ii Cancellation of NOE (Transaction Type 3) Branch or Executing Broker-Dealer can cancel a previously submitted NOE by means of a Cancellation NOE. The following fields are required for an NOE cancellation: Transaction Type Branch or Executing Broker-Dealer Number Cancellation Reason Code Branch or Executing Broker-Dealer Reference Identifier of the original NOE. The Branch or Executing Broker-Dealer communicates the reason for the NOE cancellation by entering one of the 13 valid Cancellation Reason Codes identified in the machine-readable NOE input specification (Position 253 see page 12). The corresponding NOE output generated for institutions contains all the information provided on the original NOE along with the Cancellation Reason Code NOTIFICATION OF ORDER EXECUTION (NOE) Page 2 August 1998

6 2.1.iii Rejection of NOE by Institution (Transaction Type 5) Institutions can reject NOEs that are incorrect or are not known by the institution. The following fields are required to reject an NOE. Transaction Type Institution Number Branch or Executing Broker-Dealer Number Branch or Executing Broker-Dealer Reference Identifier Reject Reason Code In order to retrieve the details of the original NOE, institutions must submit Branch or Executing Broker-Dealer Reference Identifiers of the original NOE on their rejection NOEs. In addition, institutions must indicate the reason for NOE rejection by entering a valid Reject Reason Code identified in the machine-readable NOE input specification. If the Institution does not recognize the NOE, it must enter Reason Code 059 Don't Know Execution. The Rejection NOE output generated for Broker-Dealers contains all the information provided on the original NOE along with the Reject Reason Code NOTIFICATION OF ORDER EXECUTION (NOE) Page 3 August 1998

7 3. July 1998 Modifications Four new values have been added to the Security Numbering System codes (position 72-73), and one existing value has been modified. Field Name Position Format Field Contents Comments Record I Character Values that must be added or modified: Security X(2) Numbering CE = CEDEL New System ES = Spain New LU = Luxembourg Modified SE = Sweden New XS = Common Code (CEDEL/Euroclear) New Previously, CEDEL and Luxembourg shared the same 7-digit security numbering system code (LU), which is now used exclusively by Luxembourg, and a new 6-digit code (CE) has been issued for CEDEL. It is important that this change should be noted on both trade input and trade output, since the new security number translation process validates the security numbering system code against the length of the security identifier NOTIFICATION OF ORDER EXECUTION (NOE) Page 4 August 1998

8 4. NOE Record Formats The following input/output record format contains application data necessary for processing NOEs: NOE Transaction Header NOE Detail Record The NOE Transaction Header, consisting of seven communication-oriented fields totaling 26 characters, precedes NOE Detail Record. Input that does not meet the edit criteria defined here is automatically returned to the submitter. The Transaction Header and the Detail Record are combined in the record format description. 4.1 NOE Errors Both these records are preceded by a message prefix and followed by an error block (see Chapter 3.04) to identify field(s) in error. Potential errors are contained in Section 4, Notification of Order Execution Error Codes, on page 15 of this document. For a full description of this processing, see Chapters 2.3 and 2.4. Input and output application records are identical, with the following exceptions: The output record contains a unique reference identifier assigned by DTC and an Executing Broker-Dealer number. The Executing Broker-Dealer number field is an output field that enables institutions to recognize that a branch identifier was submitted on input. The value of this field differs from the branch or Executing Broker-Dealer number (Positions 28 35, see page 7) when a Branch is supplied. These fields appear in italics at the end of the output record. Refer to Input/Output Information where noted in this document NOTIFICATION OF ORDER EXECUTION (NOE) Page 5 August 1998

9 4.2 Notification of Order Execution Detail Record Use of an italicized typeface indicates fields that are limited to the output record. Position Length Format Field Validate NOE Detail Record Field Description Part 1 of 9 Name Positions 1 through 26: Transaction Header Characte Feedback N r Indicator X(1) Output * = If no errors? = If record contained errors. This field is used by DTC to indicate the return of this record because of errors. A full description of this processing is available in a separate document Interface Control Management Characte Production/ Y Required indicator: P = Production; T=Test r Test X(1) Indicator Characte Record Y Type of data contained in the message: r Type X(6) NOE = Notification of Order Execution Numeric Record Y Record number identifier, since more than one record may be 9(2) Suffix contained in a single logical record. 01 = Notification of Order Execution Numeric Version Y The Version Number defines the record format. It is incremented by 9(2) Number DTC as fields are added or deleted from the format. See the cover page of this document for current version number Characte Record N Submitter-assigned transaction identifier (optional); returned only r Sequence during interactive error reporting. X(6) Number Characte r X(8) Addressee Y Output: eight-character DTC destination of user for whom the record is produced, enabling a group user to redistribute the record NOTIFICATION OF ORDER EXECUTION (NOE) Page 6 August 1998

10 Position Length Format Field Validate NOE Detail Record Field Description Part 2 of 9 Name Numeric Transaction Y 1 = Original (broker input) 9(1) Type 3 = Cancellation (broker input) 5 = Rejection (institution input) For a list of fields required for cancellation and rejection transaction records, see Section 2.1.ii, Cancellation of NOE, on page 2. A reason code is required for cancellations and rejections Numeric Branch or Y Eight-digit identifier of the branch or executing Broker-Dealer. 9(8) Executing Institutional Instructions must be routed to the number designated. Broker- Right justified, zero filled. Dealer Number Characte Branch or Y Unique identifier issued by the Branch or Executing Broker-Dealer to r Executing identify the original NOE (Transaction Type 1). X(16) Broker- Dealer or Identifier of the original NOE the Institution is rejecting (Transaction Reference Type 5). Identifier or Identifier of the original NOE the Broker is canceling (Transaction Type 3) Numeric Institution Y Eight-digit institution identifier. Right justified, zero filled. 9(8) Number Since Institutions can have multiple ID numbers, DTC will publish a directory to identify single ID numbers to be used for NOE routing purposes Numeric Trade Y 9(6) Date Numeric Settlement Y 9(6) Date Date when the trade was executed, in mmddyy format. Date when the trade is scheduled to be settled, in mmddyy format NOTIFICATION OF ORDER EXECUTION (NOE) Page 7 August 1998

11 Position Length Format Field Validate NOE Detail Record Field Description Part 3 of 9 Name Characte Security Y AT = Wertpapierennummer (Austria) r Numbering AU = Australia X(2) System BE = Secretariat des Valeurs Mobilières-SVM (Belgium) BR = Brazil CE = CEDEL CH = Valorennummer (Switzerland) DE = Wertpapierennummer (Germany) DK = Fondskode (Denmark) ES = Spain EU = Euroclear FR = SICOVAM (France) GB = SEDOL (United Kingdom) IE = Ireland IS = ISIN IT = Codice UIC (Italy) JP = QUICK (Japan) LU = Luxembourg MX = Mexico NL = Netherlands NO = Norway RU = Reuters SE = Sweden US = CUSIP (United States) XS = Common Code (CEDEL/Euroclear) 99 = USER ORIGINATED. Can be used with the Security Identifier field (position 74), but must also be used with either the Ticker Symbol field (position 86) or the Security Description field (position 100) Characte Security Y The identification number assigned to the security (see Chapter 3.04, r Identifier Section 2.1, ISO Country and Currency Codes, and Appendix A.I, for X(12) check-digit calculations). Required if Security Numbering System (position 74) = CUSIP, SEDOL, or ISIN X(02) = ISIN Country Code (for ISIN only, otherwise spaces) X(09) = Security Number X(01) = ISIN Check Digit (for ISIN only, otherwise spaces) 3.05 NOTIFICATION OF ORDER EXECUTION (NOE) Page 8 August 1998

12 Position Length Format Field Validate NOE Detail Record Field Description Part 4 of 9 Name Characte Ticker Y The US ticker symbol, used as an optional means of identifying equity r Symbol securities, generally consisting of the ticker symbol, suffix and/or class. X(14) = Base Symbol = Suffix = Class Identifier Characte Security Y (Free-form text) issuer Name and any other unique characteristics of r Description the issue type if no Security Identifier or Ticker Symbol exists. X(78) 3.05 NOTIFICATION OF ORDER EXECUTION (NOE) Page 9 August 1998

13 Position Length Format Field Validate NOE Detail Record Field Description Part 5 of 9 Name Characte Security Y Spaces = Not Determined r Type ITS = Indexed Treasury Securities X(3) ABS = Asset Backed Security MBS = Mortgage Backed Securities AGS = Agencies MMI = Money Market Instruments BAS = Banker s Acceptances MSC = Miscellaneous CDS = Corporate Debt MTN = Medium Term Notes CER = Representative Certificates MUN = Municipal Bonds CMO = Collateralized Mortgage Obligation NSD = Non-US Sovereign Debt COD = Certificate of Deposit OMB = Other Mortgage Backed Securities CON = Convertible Bond OMM = Other Money Market Instruments CPA = Commercial Paper OPC = Options Contracts CPN = Coupons OPS = Options Shares CSH = US Cash Wire PRC = Premium Contracts EBD = Eurobonds PRS = Premium Shares ECD = Euro CP RTE = Rentes ECP = Euro CP RTS = Rights ENT = Euronotes SHS = Equities (Shares) FMR = Freddie Mac REMICS TBI = Treasury FNM = Fannie Mae TEM = Tax Exempt Money Markets FNR = Fannie Mae REMICS TRB = Treasury Bonds FPA = Face or Principal or Nominal Amount FRM = Freddie Mac TRS = Treasury Strips 3.05 NOTIFICATION OF ORDER EXECUTION (NOE) Page 10 August 1998

14 Position Length Format Field Validate NOE Detail Record Field Description Part 6 of 9 Name Characte Security Y UNT = Units r Type GMR = Ginnie Mae REMICS X(3) WTS = Warrants (continued) GNM = Ginnie Mae XCP = Tax Exempt Commercial Paper Note: Broker-Dealers are encouraged to provide a value other than spaces to allow the Institution to route an NOE to an appropriate trading desk Numeric Settlement Y 1 = Regular Way 9(1) Type 2 = When Issued 3 = When Distributed 4 = When Issued and Distributed Numeric Buy/ Y 1 = Sell Broker Is Receiving 9(1) Sell 2 = Buy Broker Is Delivering Numeric Execution Y Quantity of shares or face value. Must be numeric and greater than 9(12)V9( Shares/ zero for other than when issued/when distributed trades. Can contain 5) Face zeroes for when-issued or when-distributed trades. Right justified, zero Value filled Characte Actual Y The price per share at which the security was traded. Can contain a r Price decimal in any position. All other positions must be numeric. Right X(11) justified; zero filled. Whole numbers do not require the use of a decimal. Maximum 10 positions to the right of the decimal or 11 whole numbers without decimals. For Settlement Type 1 (Regular Way), the entry here can be zeroes if an average price is used in position 228. Can contain zeroes for when-issued or when-distributed trades Numeric Working Y Total number of shares completed for the security/symbol and side. 9(12)V9( Allocation Right justified, zero filled. 5) Number of Shares Must be numeric and greater than zero for trades other than whenissued/when-distributed trades. Maximum 10 positions to the right of the decimal or 11 whole numbers without decimals Can contain zeroes for when-issued or when-distributed trades NOTIFICATION OF ORDER EXECUTION (NOE) Page 11 August 1998

15 Position Length Format Field Validate NOE Detail Record Field Description Part 7 of 9 Name Characte Average Y The average of multiple executions at different times and/or markets. r Price Right justified, zero filled. X(11) or Can contain a decimal in any position; all other positions must be 9(5)V9(6 numeric. ) Whole numbers do not require the use of a decimal. Maximum 10 positions to the right of the decimal or 11 whole numbers without decimals. For Regular Way trades (Settlement Type 1), this can be zeroes if an Actual Price is entered at position 200. Can contain zeroes for when-issued or when-distributed trades Numeric Interest Y Interest accrued on a bond that must be accounted for in its sale. Right 9(9)V99 justified, zero filled Characte Currency Y Currency of the traded security. (See Chapter 3.04, Section 2.1, ISO r Code Currency Codes.) X(3) Numeric Reject/ Y Reason why the Broker is canceling this NOE or the Institution is 9(3) Cancel rejecting it; required if Transaction Type (position 27) = 3 or 5. Reason Code 000 = None Specified 001 = Trade Date Wrong 002 = Settlement Date Wrong 003 = Security Identifier Wrong 004 = Sec Number System Wrong 005 = Security Type Wrong 006 = Security Description Wrong 007 = Settlement Type Wrong 009 = Buy/Sell Wrong 010 = Shares/Face Value Wrong 011 = Price Wrong 013 = Interest Wrong 014 = Currency Code Wrong 015 = Average Price Wrong 016 = Commission Wrong 057 = Ticker Symbol Wrong 059 = Don't Know Execution 060 = Commission Type Wrong 3.05 NOTIFICATION OF ORDER EXECUTION (NOE) Page 12 August 1998

16 Position Length Format Field Validate NOE Detail Record Field Description Part 8 of 9 Name Characte Commissio Y C = Cents per Share r n Type F = Fixed Dollar X(1) Indicator D = Discount Percent of Net Amount U = Unknown If the indicator = C or F, Commission/Fee entry (position 257) must be numeric. When the indicator = D, the Commission/Fee field (position 257) must be less than or equal to 100 percent (100.00) Numeric Commis- Y The Commission Fee charged directly to this transaction, which can be 9(7)V99 sion/fee or Characte r X(9) stated as cents per share, dollar Amount, or discount percent of Net Amount, as specified by the value stated in the Commission Type Indicator field (position 256). Right justified, zero filled. Can be spaces. If the indicator in position 256 = C or F, Commission/Fee entry here must be numeric. When the indicator in position 256 = D, the Commission/Fee here must be less than or equal to 100 percent (100.00) Numeric Executing ID number of the Executing Broker-Dealer; right justified, zero filled. 9(8) Broker- Dealer This field does not appear on the input record. When the Standing Number Instructions Database (SID) is used and a Branch is entered on NOE input, this field is retrieved from SID and placed on NOE output. If an Executing Broker number was entered on input, this field contains the same Executing Broker number Characte DTC Identifier assigned by DTC to the Broker-Dealer's NOE. r Reference X(9) Identifier The Input Record is 265 characters and the Output Record is 282 characters. Fields starting in positions 266 and 274 appear in italics because they are output fields that do not appear on the input record. When the Standing Instruction Database is being used and a Branch is entered on NOE input, this field is retrieved from SID and placed on NOE output. If an Executing Broker Number was entered on input, this field contains the same Executing Broker Number NOTIFICATION OF ORDER EXECUTION (NOE) Page 13 August 1998

17 5. Error Codes The machine readable input error codes are a combination of the field error (a 4-byte field code) and the error type (a 4-byte reason code). The resultant 8-byte error codes identify the specific fields and the types of error that prevented an input message from being processed. Inputs containing one or more errors are returned to the submitter for correction. The following error code table is sorted alphabetically by field code (column one) and then by reason code (column two). Field Reason Explanation (Part 1 of 4) Code Code BAAA Settlement Date 9AAF 9AAK Settlement Date is not numeric. Trade Date is greater than settlement date. BAAB Trade Date 9AAJ IAAG IAAH Trade Date not numeric or one of the following invalid conditions applies: Must be greater than zero. Trade date must be a valid date (for example, not February 30). Trade Date exceeds the current date (Eastern Time U.S.) by more than one day. Trade Date is less than current date minus 250 settlement days. CAAA Institution 9AAN IAAE Institution not eligible for ID Processing. The Institution elected not to receive the Notification of Order Execution. CAAB Branch or Executing Broker-Dealer 9AAN IAAE The Branch or Executing Broker-Dealer is not eligible for ID processing. The Branch or Executing Broker-Dealer elected not to receive the NOE rejection. DAA7 Commission/Fee 9AAF Commission/Fee is not numeric (spaces is the only non-numeric acceptable value). DAA9 Working Allocation Number of Shares 9AAF Working Allocation Number of shares is not numeric NOTIFICATION OF ORDER EXECUTION (NOE) Page 14 August 1998

18 Field Reason Explanation (Part 2 of 4) Code Code 9AAH Working Allocation Number of shares is not greater than zero for Settlement Type = 1, Regular Way. DAAA Shares/Face Value 9AAF 9AAH Shares/Face Value is not numeric. Shares/Face Value must be greater than zero for Settlement Type = 1, Regular Way. DAAI Interest 9AAF Interest is not numeric. DAAP Actual Price 9AAF 9AAH Actual Price is not numeric. Actual Price is not greater than zero for Settlement Type = 1, Regular Way. DAAQ Average Price 9AAF 9AAH Average Price is not numeric. Average Price is not greater than zero for Settlement Type = 1, Regular Way. EAAA Buy/Sell Indicator 9AAE Buy/Sell Code is not equal to 1 or 2. GAAD Settlement Type 9AAE The Settlement Type is not equal to: 1 = Regular Way. 2 = When Issued. 3 = When Distributing. 4 = When Issued and Distributed. GAAE Security Type 9AAE Security Type is not equal to one of the acceptable values NOTIFICATION OF ORDER EXECUTION (NOE) Page 15 August 1998

19 Field Reason Explanation (Part 3 of 4) Code Code GAAF Security Identifier The Security Number Format does not conform to the standards for the Security Numbering System. 9AAO 9AAP 9AAQ ISIN CUSIP SEDOL The ISO Country Code is invalid. The International Check-Digit is invalid. If the Settlement Location is DTC then the Country Code must be US. If the Country Code is US then: the CUSIP Check-Digit must be valid. If the Country Code is GB then: the first two positions after the Country Code must be zero the SEDOL Check-Digit must be valid. The ISO Country Code is not blank. The International Check-Digit is not blank. The CUSIP Check-Digit is invalid. The ISO Country Code is not blank The International Check-Digit is not blank The first two digits of the Security Number are not zeros The SEDOL Check-Digit is invalid. 9AA5 9ABE IAA6 Security Identified is blank when intended for matching. Security Number was not entered. One of the three fields that identify the security (Security Identifier, Ticker Symbol or Security Description) must be entered. GAAP Security Numbering System 9AAE Security Numbering System is not equal to one of the acceptable values. See Chapter 3.04, Section 4, Security Numbering Systems, for acceptable values NOTIFICATION OF ORDER EXECUTION (NOE) Page 16 August 1998

20 Field Reason Explanation (Part 4 of 4) Code Code GAAV Branch Or Executing Broker-Dealer Reference Number 9AAE IAAN IAA4 IAA1 IABD The Branch or executing broker dealer reference number is spaces. The Branch or Executing Broker-Dealer Reference Number matches a previously entered NOE (for original). The Branch or Executing Broker-Dealer Reference Number does not match to an original NOE (for rejects and cancellations). The NOE was already canceled. The NOE was already rejected. GABI Reject Reason Code 9AAE Reject Reason Code is not equal to one of the acceptable values; see Chapter 3.04, Section 7.4, Trade Input Error Codes, for acceptable values. GABL Commission Type Indicator 9AAE Commission Type Indicator is not equal to C, F, D or U. GABN Transaction Type 9AAE Transaction Type not Equal to: 1 = Original (Broker Input only). 3 = Cancellation (Broker Input only). 5 = Rejection (Institution Input only). or the submitter is not eligible to input this Transaction Type NOTIFICATION OF ORDER EXECUTION (NOE) Page 17 August 1998