C1
In sequence A, if field 14A consists of code OTHER, field 77D must be present (Error code(s): D35).
C2
In sequence A, if subfield 1 of field 77H consists of code OTHER, field 77D must be present (Error code(s): D36).
C3
In sequences B, C, E and F, if field 14A consists of code OTHER, field 37N must be present in the respective sequence (Error code(s): D55).
C4
In sequences B, C, E and F, if field 14D consists of code OTHER, field 37N must be present in the respective sequence (Error code(s): D37).
C5
In sequences C and F, if field 14F consists of code OTHER, field 37N must be present in the respective sequence (Error code(s): D38).
C6
In sequences C and F, if field 14J consists of code OTHER, field 37N must be present in the respective sequence (Error code(s): D39).
C7
In sequences C and F, if Frequency of field 14G consists of code 'O', field 37N must be present in the respective sequence (Error code(s): D40).
C8
In sequences C and F, if Period of field 38E consists of code 'O', field 37N must be present in the respective sequence (Error code(s): D41).
C9
In sequences C and F, if Period From or Period To of 38G or field 38H consist of code 'O', field 37N must be present in the respective sequence (Error code(s): D42).
C10
The presence of the fixed and floating legs and the additional amount to be paid, depends on the type of transaction, the additional amount in this case being the premium paid for a cap, floor or collar. Thus, depending on the code value in sequence A, field 23A Type of Swap, only the following combinations of the optional sequences B, C, E, F, L and M are allowed (Error code(s): D58):
 Sequence Aif subfield 1 of field 23A is... |
then sequence B is...
|
then sequence C is...
|
then sequence E is...
|
then sequence F is...
|
|---|---|---|---|---|
| FIXEDFIXED
|
Mandatory
|
Not allowed
|
Mandatory
|
Not allowed
|
| FLOATFLOAT
|
Not allowed
|
Mandatory
|
Not allowed
|
Mandatory
|
| FLOATFIXED
|
Mandatory
|
Not allowed
|
Not allowed
|
Mandatory
|
| FIXEDFLOAT
|
Not allowed
|
Mandatory
|
Mandatory
|
Not allowed
|
| CAPBUYER
|
Not allowed
|
Mandatory
|
Not allowed
|
Not allowed
|
| CAPSELLER
|
Not allowed
|
Not allowed
|
Not allowed
|
Mandatory
|
| FLOORBUYER
|
Not allowed
|
Mandatory
|
Not allowed
|
Not allowed
|
| FLOORSLLER
|
Not allowed
|
Not allowed
|
Not allowed
|
Mandatory
|
| COLLARBYER
|
Not allowed
|
Mandatory
|
Not allowed
|
Mandatory
|
| COLLARSLLR
|
Not allowed
|
Mandatory
|
Not allowed
|
Mandatory
|
| Sequence Aif subfield 1 of field 23A is... |
then sequence B is... |
then sequence C is... |
then sequence E is... |
then sequence F is... |
then sequence L is... |
then sequence M is... |
|---|---|---|---|---|---|---|
| FIXEDFIXED |
Mandatory |
Not allowed |
Mandatory |
Not allowed |
Optional |
Optional |
| FLOATFLOAT |
Not allowed |
Mandatory |
Not allowed |
Mandatory |
Optional |
Optional |
| FLOATFIXED |
Mandatory |
Not allowed |
Not allowed |
Mandatory |
Optional |
Optional |
| FIXEDFLOAT |
Not allowed |
Mandatory |
Mandatory |
Not allowed |
Optional |
Optional |
| CAPBUYER |
Not allowed |
Mandatory |
Not allowed |
Not allowed |
Optional |
Optional |
| CAPSELLER |
Not allowed |
Not allowed |
Not allowed |
Mandatory |
Optional |
Optional |
| FLOORBUYER |
Not allowed |
Mandatory |
Not allowed |
Not allowed |
Optional |
Optional |
| FLOORSLLER |
Not allowed |
Not allowed |
Not allowed |
Mandatory |
Optional |
Optional |
| COLLARBYER |
Not allowed |
Mandatory |
Not allowed |
Mandatory |
Optional |
Optional |
| COLLARSLLR |
Not allowed |
Mandatory |
Not allowed |
Mandatory |
Optional |
Optional |
C11
In the fixed leg payable by party B, either the fixed amounts are used or the rate and day count fraction. In the latter case, the period end date adjustment indicator must also be present. Thus, when subsequence B1 is used, the presence of fields 32M, 17F and 14D depends on field 37U being present or not as follows (Error code(s): D45):
| If in Sequence Bfield 37U is... |
Subsequence B1then field 32M is... |
Subsequence B1 and field 17F is... |
Subsequence B1 and field 14D is... |
|---|---|---|---|
| Present |
Not allowed |
Mandatory |
Mandatory |
| Not present |
Mandatory |
Not allowed |
Not allowed |
| Note:For the presence of subsequence B1, refer to C17. |
|||
C12
In the fixed leg payable by party A, either the fixed amounts are used or the rate and day count fraction. In the latter case, the period end date adjustment indicator must also be present. Thus, when subsequence E1 is used, the presence of fields 32M, 17F and 14D depends on field 37U being present or not as follows (Error code(s): D59):
| If in Sequence E field 37U is ... |
Subsequence E1 then field 32M is ... |
Subsequence E1 and field 17F is ... |
Subsequence E1 and field 14D is ... |
|---|---|---|---|
| Present |
Not allowed |
Mandatory |
Mandatory |
| Not present |
Mandatory |
Not allowed |
Not allowed |
| Note:For the presence of subsequence E1, refer to C17. |
|||
C13
If settlement instructions are used, the receiving agent must be used and the other settlement instructions are optional. Thus, for all occurrences of the fields 53a, 56a and 57a in sequences L or M: the following rules apply (Error code(s): D48):
| If, in sequence L or M,field 57a is... |
Then, in the same sequence,fields 53a, 56a are... |
|---|---|
| Present |
Optional |
| Not present |
Not allowed |
C14
The second intermediary field can only be used if two intermediaries are required. Thus, for all occurrences of the fields 56a and 86a: the following rules apply (Error code(s): E35):
| If, in a sequence,field 56a is... |
then, in the same sequence,field 86a is... |
|---|---|
| Present |
Optional |
| Not present |
Not allowed |
C15
Only one currency is allowed in the message. Thus, the currency code in all amount fields must be the same (Error code(s): C02).
C16
Taking into account C10:
In the case of an AFB Master Agreement, the information contained in the 'Convention Table between ISDA and AFB terms' of this document and quoted as 'Not Defined' must not be used (Error code(s): E40):
| Sequence Aif subfield 1 of field 77H is... |
then fields 14G, 37R in subsequences C1 and F1 and Subsequences C2 and F2 are... |
|---|---|
| AFB |
Not allowed |
| not AFB |
Conditional (C17) |
C16
Taking into account C10:
If the Floating Rate Option is a post determined (AFB or ISDA) rate then the fixed rate must be used in sequence B or E and the subsequences B1, C1, C2, C3, E1, F1, F2 and F3 must not be used. Thus, the presence of field 37U in sequences B and E and the presence of subsequences B1, C1, C2, C3, E1, F1, F2 and F3 depend on the content of the first subfield of field 77H and on the content of field 14F as follows (Error code(s): E41):
| Sequence Aif subfield 1 of field 77H is... |
Sequences C and F andif field 14F is... |
then Subsequences B1, C1, C2, C3, E1, F1, F2, F3 are... |
and in Sequences B and E, field 37U is... |
|---|---|---|---|
| ISDA |
FRF-TAM-CDCFRF-T4M-CDCFRF-T4M-CDCCOMPFRF-TAG-CDCFRF-TAG-CDCCOMPFRF-TMP-CDCAVERAG |
Not allowed |
Mandatory |
| AFB |
FRF-SWAP-AMRFRF-SWAP-TMP-IFFRF-SWAP-TMP-MFRF-SWAP-T4M-AMRFRF-CAP-TAMFRF-CAP-T4MFRF-FLOOR-TAMFRF-FLOOR-T4M |
Not allowed |
Mandatory |
| Else |
B1, C1, E1, F1: MandatoryC2, C3, F2, F3: Optional |
Optional |
|
C17
The related reference must be present in the case of an amendment or cancellation. Thus, in sequence A, the presence of field 21 depends on field 22A as follows (Error code(s): D02):
| Sequence Aif field 22A is... |
Sequence Athen field 21 is... |
|---|---|
| AMND |
Mandatory |
| CANC |
Mandatory |
| DUPL |
Optional |
| NEWT |
Optional |
C18
The broker identification must be present when the message is sent by a money broker. The brokerage can only be used in the case of a money broker confirmation. Thus, the presence of fields 88a and 71F in sequence N and therefore, the presence of sequence N itself, depend on field 94A in sequence A as follows (Error code(s): D74):
| Sequence Aif field 94A is... |
Then sequence N is... |
Sequence N with field 88a... |
Sequence N with field 71F... |
|---|---|---|---|
| Not present |
Optional |
Optional |
Not allowed |
| AGNT |
Optional |
Optional |
Not allowed |
| BILA |
Optional |
Optional |
Not allowed |
| BROK |
Mandatory |
Mandatory |
Optional |
C19
Taking into account C10:
The cap and floor rates are mandatory in the case of a cap, floor or collar otherwise they are optional. Thus, in sequences C and F, the presence of fields 37J and 37L depends on subfield 1 of field 23A in sequence A as follows (Error code(s): E42):
| Sequence Aif subfield 1 of field 23A is... |
Sequence C then field 37J is... |
Sequence C then field 37L is... |
Sequence F then field 37J is... |
Sequence F then field 37L is... |
|---|---|---|---|---|
| FIXEDFIXED |
n/a |
n/a |
n/a |
n/a |
| FLOATFLOAT |
Optional |
Optional |
Optional |
Optional |
| FLOATFIXED |
n/a |
n/a |
Optional |
Optional |
| FIXEDFLOAT |
Optional |
Optional |
n/a |
n/a |
| CAPBUYER |
Mandatory |
Not allowed |
n/a |
n/a |
| CAPSELLER |
n/a |
n/a |
Mandatory |
Not allowed |
| FLOORBUYER |
Not allowed |
Mandatory |
n/a |
n/a |
| FLOORSLLER |
n/a |
n/a |
Not allowed |
Mandatory |
| COLLARBYER |
Optional |
Mandatory |
Mandatory |
Optional |
| COLLARBYER |
Mandatory |
Optional |
Optional |
Mandatory |
| COLLARSLLR |
Optional |
Mandatory |
Mandatory |
Optional |
| COLLARSLLR |
Mandatory |
Optional |
Optional |
Mandatory |
| n/a: not applicable |
||||
