schemas.fixml-5-0-sp2.fixml-fields-base-5-0-SP2.xsd Maven / Gradle / Ivy
Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.
Unique identifier of advertisement message.
(Prior to FIX 4.1 this field was of type int)
Reference identifier used with CANCEL and REPLACE transaction types.
(Prior to FIX 4.1 this field was of type int)
Broker's side of advertised trade
Buy
Sell
Trade
Cross
Identifies advertisement message transaction type
New
Cancel
Replace
Calculated average price of all fills on this order.
For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.
Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.
Commission. Note if CommType (13) is percentage, Commission of 5% should be represented as .05.
Specifies the basis or unit used to calculate the total commission based on the rate.
Amount per unit
Percent
Absolute
Percentage waived, cash discount basis
Percentage waived, enhanced units basis
Points per bond or contract
Basis points
Amount per contract
Total quantity (e.g. number of shares) filled.
(Prior to FIX 4.2 this field was of type int)
Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).
Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.
(Prior to FIX 4.1 this field was of type int).
Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
Stay on offer side
Not held
Work
Go along
Over the day
Held
Participate don't initiate
Strict scale
Try to scale
Stay on bid side
No cross
OK to cross
Call first
Percent of volume
Do not increase - DNI
Do not reduce - DNR
All or none - AON
Reinstate on system failure
Institutions only
Reinstate on trading halt
Cancel on trading halt
Last peg (last sale)
Mid-price peg (midprice of inside quote)
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Primary peg
Suspend
Fixed peg to local best bid or offer at time of order
Customer display instruction
Netting (for Forex)
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Trailing stop peg
Strict limit
Ignore price validity checks
Peg to limit price
Work to target strategy
Intermarket sweep
External routing allowed
External routing not allowed
Imbalance only
Single execution requested for block trade
Best execution
Suspend on system failure
Suspend on trading halt
Reinstate on connection loss
Cancel on connection loss
Suspend on connection loss
Release
Execute as delta neutral using volatility provided
Execute as duration neutral
Execute as FX neutral
Minimum guaranteed fill eligible
Bypass non-displayed liquidity
Lock
Ignore notional value checks
Trade at reference price
Reference identifier used with Trade, Trade Cancel and Trade Correct execution types.
(Prior to FIX 4.1 this field was of type int)
Instructions for order handling on Broker trading floor
Automated execution order, private, no Broker intervention
Automated execution order, public, Broker intervention OK
Manual order, best execution
Identifies class or source of the SecurityID(48) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Unique identifier of IOI message.
(Prior to FIX 4.1 this field was of type int)
Relative quality of indication
High
Low
Medium
Reference identifier used with CANCEL and REPLACE, transaction types.
(Prior to FIX 4.1 this field was of type int)
Quantity (e.g. number of shares) in numeric form or relative size.
Small
Medium
Large
Undisclosed Quantity
Identifies IOI message transaction type
New
Cancel
Replace
Broker capacity in order execution
Agent
Cross as agent
Cross as principal
Principal
Riskless principal
Market of execution for last fill, or an indication of the market where an order was routed
Valid values:
See "Appendix 6-C"
Price of this (last) fill.
Quantity (e.g. shares) bought/sold on this (last) fill.
(Prior to FIX 4.2 this field was of type int)
Integer message sequence number.
Defines message type ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted)
Note: A "U" as the first character in the MsgType field (i.e. U, U2, etc) indicates that the message format is privately defined between the sender and receiver.
*** Note the use of lower case letters ***
Heartbeat
TestRequest
ResendRequest
Reject
SequenceReset
Logout
IOI
Advertisement
ExecutionReport
OrderCancelReject
Logon
News
Email
NewOrderSingle
NewOrderList
OrderCancelRequest
OrderCancelReplaceRequest
OrderStatusRequest
AllocationInstruction
ListCancelRequest
ListExecute
ListStatusRequest
ListStatus
AllocationInstructionAck
DontKnowTrade
QuoteRequest
Quote
SettlementInstructions
MarketDataRequest
MarketDataSnapshotFullRefresh
MarketDataIncrementalRefresh
MarketDataRequestReject
QuoteCancel
QuoteStatusRequest
MassQuoteAck
SecurityDefinitionRequest
SecurityDefinition
SecurityStatusRequest
SecurityStatus
TradingSessionStatusRequest
TradingSessionStatus
MassQuote
BusinessMessageReject
BidRequest
BidResponse
ListStrikePrice
XMLnonFIX
RegistrationInstructions
RegistrationInstructionsResponse
OrderMassCancelRequest
OrderMassCancelReport
NewOrderCross
CrossOrderCancelReplaceRequest
CrossOrderCancelRequest
SecurityTypeRequest
SecurityTypes
SecurityListRequest
SecurityList
DerivativeSecurityListRequest
DerivativeSecurityList
NewOrderMultileg
MultilegOrderCancelReplace
TradeCaptureReportRequest
TradeCaptureReport
OrderMassStatusRequest
QuoteRequestReject
RFQRequest
QuoteStatusReport
QuoteResponse
Confirmation
PositionMaintenanceRequest
PositionMaintenanceReport
RequestForPositions
RequestForPositionsAck
PositionReport
TradeCaptureReportRequestAck
TradeCaptureReportAck
AllocationReport
AllocationReportAck
ConfirmationAck
SettlementInstructionRequest
AssignmentReport
CollateralRequest
CollateralAssignment
CollateralResponse
CollateralReport
CollateralInquiry
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusResponse
UserRequest
UserResponse
CollateralInquiryAck
ConfirmationRequest
ContraryIntentionReport
SecurityDefinitionUpdateReport
SecurityListUpdateReport
AdjustedPositionReport
AllocationInstructionAlert
ExecutionAck
TradingSessionList
TradingSessionListRequest
SettlementObligationReport
DerivativeSecurityListUpdateReport
TradingSessionListUpdateReport
MarketDefinitionRequest
MarketDefinition
MarketDefinitionUpdateReport
ApplicationMessageRequest
ApplicationMessageRequestAck
ApplicationMessageReport
OrderMassActionReport
OrderMassActionRequest
UserNotification
StreamAssignmentRequest
StreamAssignmentReport
StreamAssignmentReportACK
PartyDetailsListRequest
PartyDetailsListReport
MarginRequirementInquiry
MarginRequirementInquiryAck
MarginRequirementReport
PartyDetailsListUpdateReport
PartyRiskLimitsRequest
PartyRiskLimitsReport
SecurityMassStatusRequest
SecurityMassStatus
AccountSummaryReport
PartyRiskLimitsUpdateReport
PartyRiskLimitsDefinitionRequest
PartyRiskLimitsDefinitionRequestAck
PartyEntitlementsRequest
PartyEntitlementsReport
QuoteAck
PartyDetailsDefinitionRequest
PartyDetailsDefinitionRequestAck
PartyEntitlementsUpdateReport
PartyEntitlementsDefinitionRequest
PartyEntitlementsDefinitionRequestAck
TradeMatchReport
TradeMatchReportAck
PartyRiskLimitsReportAck
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequestAck
PartyActionRequest
PartyActionReport
MassOrder
MassOrderAck
PositionTransferInstruction
PositionTransferInstructionAck
PositionTransferReport
MarketDataStatisticsRequest
MarketDataStatisticsReport
CollateralReportAck
MarketDataReport
CrossRequest
CrossRequestAck
Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.
Quantity ordered. This represents the number of shares for equities or par, face or nominal value for FI instruments.
(Prior to FIX 4.2 this field was of type int)
Identifies current status of order. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
New
Partially filled
Filled
Done for day
Canceled
Replaced (No longer used)
Pending Cancel (i.e. result of Order Cancel Request)
Stopped
Rejected
Suspended
Pending New
Calculated
Expired
Accepted for Bidding
Pending Replace (i.e. result of Order Cancel/Replace Request)
Order type. *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)
Market
Limit
Stop/Stop Loss.
Stop Limit.
Market On Close (No longer used)
With Or Without
Limit Or Better
Limit With Or Without
On Basis
On Close (No longer used)
Limit On Close (No longer used)
Forex Market (No longer used)
Previously Quoted
Previously Indicated
Forex Limit (No longer used)
Forex Swap
Forex Previously Quoted (No longer used)
Funari (Limit day order with unexecuted portion handles as Market On Close. E.g. Japan)
Market If Touched (MIT)
Market With Left Over as Limit (market order with unexecuted quantity becoming limit order at last price)
Previous Fund Valuation Point (Historic pricing; for CIV)
Next Fund Valuation Point (Forward pricing; for CIV)
Pegged
Counter-order selection
Stop on Bid or Offer
Stop Limit on Bid or Offer
ClOrdID (11) of the previous order (NOT the initial order of the day) as assigned by the institution, used to identify the previous order in cancel and cancel/replace requests.
Time of message origination (always expressed in UTC (Universal Time Coordinated, also known as "GMT"))
Indicates possible retransmission of message with this sequence number
Original transmission
Possible duplicate
Price per unit of quantity (e.g. per share)
Reference message sequence number
Security identifier value of SecurityIDSource (22) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityIDSource.
Assigned value used to identify firm sending message.
Assigned value used to identify specific message originator (desk, trader, etc.)
Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Overall/total quantity (e.g. number of shares)
(Prior to FIX 4.2 this field was of type int)
Side of order (see Volume : "Glossary" for value definitions)
Buy
Sell
Buy minus
Sell plus
Sell short
Sell short exempt
Undisclosed
Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
Cross short
Cross short exempt
"As Defined" (for use with multileg instruments)
"Opposite" (for use with multileg instruments)
Subscribe (e.g. CIV)
Redeem (e.g. CIV)
Lend (FINANCING - identifies direction of collateral)
Borrow (FINANCING - identifies direction of collateral)
Sell undisclosed
Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)
Use "[N/A]" for products which do not have a symbol.
Assigned value used to identify receiving firm.
Assigned value used to identify specific individual or unit intended to receive message. "ADMIN" reserved for administrative messages not intended for a specific user.
Free format text string
(Note: this field does not have a specified maximum length)
Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders. (see Volume : "Glossary" for value definitions)
Day (or session)
Good Till Cancel (GTC)
At the Opening (OPG)
Immediate Or Cancel (IOC)
Fill Or Kill (FOK)
Good Till Crossing (GTX)
Good Till Date (GTD)
At the Close
Good Through Crossing
At Crossing
Good for Time (GFT)
Good for auction (GFA)
Timestamp when the business transaction represented by the message occurred.
Urgency flag
Normal
Flash
Background
Indicates expiration time of indication message (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)
Regular is defined as the default settlement period for the particular security on the exchange of execution.
In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.
Additionally the following patterns may be uses as well as enum values
Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0
Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.
Regular / FX Spot settlement (T+1 or T+2 depending on currency)
Cash (TOD / T+0)
Next Day (TOM / T+1)
T+2
T+3
T+4
Future
When And If Issued
Sellers Option
T+5
Broken date
FX Spot Next settlement (Spot+1, aka next day)
Specific date of trade settlement (SettlementDate) in YYYYMMDD format.
If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)
(expressed in local time at place of settlement)
Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType (167).
As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory.
EUCP with lump-sum interest rather than discount price
"When Issued" for a security to be reissued under an old CUSIP or ISIN
Unique identifier for list as assigned by institution, used to associate multiple individual orders. Uniqueness must be guaranteed within a single trading day. Firms which generate multi-day orders should consider embedding a date within the ListID field to assure uniqueness across days.
Sequence of individual order within list (i.e. ListSeqNo of TotNoOrders (68), 2 of 25, 3 of 25, . . . )
Total number of list order entries across all messages. Should be the sum of all NoOrders (73) in each message that has repeating list order entries related to the same ListID (66). Used to support fragmentation.
(Prior to FIX 4.2 this field was named "ListNoOrds")
Free format text message containing list handling and execution instructions.
Unique identifier for allocation message.
(Prior to FIX 4.1 this field was of type int)
Identifies allocation transaction type *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***
New
Replace
Cancel
Preliminary (without MiscFees and NetMoney) (Removed/Replaced)
Calculated (includes MiscFees and NetMoney) (Removed/Replaced)
Calculated without Preliminary (sent unsolicited by broker, includes MiscFees and NetMoney) (Removed/Replaced)
Reversal
Reference identifier to be used with AllocTransType (71) = Replace or Cancel.
(Prior to FIX 4.1 this field was of type int)
Indicates number of decimal places to be used for average pricing. Absence of this field indicates that default precision arranged by the broker/institution is to be used.
Indicates date of trading day. Absence of this field indicates current day (expressed in local time at place of trade).
Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.
Close
FIFO
Open
Rolled
Close but notify on open
Default
Sub-account mnemonic
Quantity to be allocated to specific sub-account
(Prior to FIX 4.2 this field was of type int)
Processing code for sub-account. Absence of this field in AllocAccount (79) / AllocPrice (366) /AllocQty (80) / ProcessCode instance indicates regular trade.
Regular
Soft Dollar
Step-In
Step-Out
Soft-dollar Step-In
Soft-dollar Step-Out
Plan Sponsor
Total number of reports within series.
Sequence number of message within report series. Used to carry reporting sequence number of the fill as represented on the Trade Report Side.
Total quantity canceled for this order.
(Prior to FIX 4.2 this field was of type int)
Identifies status of allocation.
Accepted (successfully processed)
Block level reject
Account level reject
Received (received not yet processed)
Incomplete
Rejected by intermediary
Allocation pending
Reversed
Cancelled by intermediary
Claimed
Refused
Pending give-up approval
Cancelled
Pending take-up approval
Reversal pending
Identifies reason for rejection.
Unknown or missing account(s)
Incorrect or missing block quantity
Incorrect or missing average price
Unknown executing broker mnemonic
Incorrect or missing commission
Unknown OrderID (37)
Unknown ListID (66)
Other (further in Text (58))
Incorrect or missing allocated quantity
Calculation difference
Unknown or stale ExecID
Mismatched data
Unknown ClOrdID
Warehouse request rejected
Duplicate or missing IndividualAllocId(467)
Trade not recognized
Trade previously allocated
Incorrect or missing instrument
Incorrect or missing settlement date
Incorrect or missing fund ID or fund name
Incorrect or missing settlement instructions
Incorrect or missing fees
Incorrect or missing tax
Unknown or missing party
Incorrect or missing side
Incorrect or missing net-money
Incorrect or missing trade date
Incorrect or missing settlement currency instructions
Incorrrect or missing ProcessCode(81)
Other
Email message type.
New
Reply
Admin Reply
Number of bytes in raw data field.
Unformatted raw data, can include bitmaps, word processor documents, etc.
Indicates that message may contain information that has been sent under another sequence number.
Original Transmission
Possible Resend
Price per unit of quantity (e.g. per share)
Execution destination as defined by institution when order is entered.
Valid values:
See "Appendix 6-C"
Code to identify reason for cancel rejection.
Too late to cancel
Unknown order
Broker / Exchange Option
Order already in Pending Cancel or Pending Replace status
Unable to process Order Mass Cancel Request
OrigOrdModTime (586) did not match last TransactTime (60) of order
Duplicate ClOrdID (11) received
Price exceeds current price
Price exceeds current price band
Invalid price increment
Other
Code to identify reason for order rejection. Note: Values 3, 4, and 5 will be used when rejecting an order due to pre-allocation information errors.
Broker / Exchange option
Unknown symbol
Exchange closed
Order exceeds limit
Too late to enter
Unknown order
Duplicate Order (e.g. dupe ClOrdID)
Duplicate of a verbally communicated order
Stale order
Trade along required
Invalid Investor ID
Unsupported order characteristic
Surveillance option
Incorrect quantity
Incorrect allocated quantity
Unknown account(s)
Price exceeds current price band
Invalid price increment
Reference price not available
Notional value exceeds threshold
Algorithm risk threshold breached
Short sell not permitted
Short sell rejected due to security pre-borrow restriction
Short sell rejected due to account pre-borrow restriction
Insufficient credit limit
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
Other
Code to qualify IOI use. (see Volume : "Glossary" for value definitions)
All or None (AON)
Market On Close (MOC) (held to close)
At the close (around/not held to close)
VWAP (Volume Weighted Average Price)
Axe
Axe on bid
Axe on offer
Client natural working
In touch with
Position wanted
Market making
Limit
More Behind
Client natural block
At the Open
Taking a Position
At the Market (previously called Current Quote)
Ready to Trade
Inventory or Portfolio Shown
Through the Day
Unwind
Versus
Indication - Working Away
Crossing Opportunity
At the Midpoint
Pre-open
Quantity is negotiable
Allow late bids
Immediate or counter
Auto trade
Automatic spot
Platform calculated spot
Outside spread
Deferred spot
Negotiated spot
Name of security issuer (e.g. International Business Machines, GNMA).
see also Volume 7: "PRODUCT: FIXED INCOME - Euro Issuer Values"
Can be used to provide an optional textual description for a financial instrument.
Minimum quantity of an order to be executed.
(Prior to FIX 4.2 this field was of type int)
The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Identifies party of trade responsible for exchange reporting.
Indicates the party sending message will report trade
Indicates the party receiving message must report trade
Indicates whether the broker is to locate the stock in conjunction with a short sell order.
Indicates the broker is not required to locate
Indicates the broker is responsible for locating the stock
Assigned value used to identify firm originating message if the message was delivered by a third party i.e. the third party firm identifier would be delivered in the SenderCompID field and the firm originating the message in this field.
Assigned value used to identify specific message originator (i.e. trader) if the message was delivered by a third party
Unique identifier for quote
Total amount due as the result of the transaction (e.g. for Buy order - principal + commission + fees) reported in currency of execution.
Total amount due expressed in settlement currency (includes the effect of the forex transaction)
Currency code of settlement denomination.
Indicates request for forex accommodation trade to be executed along with security transaction.
Do Not Execute Forex After Security Trade
Execute Forex After Security Trade
Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT") when transmitting orders as the result of a resend request.
Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
The meaning of expiration is specific to the context where the field is used.
For orders, this is the expiration time of a Good Til Date TimeInForce.
For Quotes - this is the expiration of the quote.
Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process.
For collateral requests, this is the time by which collateral must be assigned.
For collateral assignments, this is the time by which a response to the assignment is expected.
For credit/risk limit checks, this is the time when the reserved credit limit will expire for the requested transaction.
Reason for execution rejection.
Unknown security
Wrong side
Quantity exceeds order
No matching order
Price exceeds limit
Calculation difference
No matching ExecutionReport(35=8)
Other
Assigned value used to identify the firm targeted to receive the message if the message is delivered by a third party i.e. the third party firm identifier would be delivered in the TargetCompID (56) field and the ultimate receiver firm ID in this field.
Assigned value used to identify specific message recipient (i.e. trader) if the message is delivered by a third party
Indicates that IOI is the result of an existing agency order or a facilitation position resulting from an agency order, not from principal trading or order solicitation activity.
Not Natural
Natural
Unique identifier for a QuoteRequest(35=R).
Bid price/rate
Offer price/rate
Quantity of bid
(Prior to FIX 4.2 this field was of type int)
Quantity of offer
(Prior to FIX 4.2 this field was of type int)
Miscellaneous fee value
Currency of miscellaneous fee
Indicates type of miscellaneous fee.
Regulatory (e.g. SEC)
Tax
Local Commission
Exchange Fees
Stamp
Levy
Other
Markup
Consumption Tax
Per transaction
Conversion
Agent
Transfer Fee
Security Lending
Trade reporting
Tax on principal amount
Tax on accrued interest amount
New issuance fee
Service fee
Odd lot fee
Auction fee
Value Added tax - VAT
Sales tax
Previous closing price of security.
Assigned value used to identify specific message originator's location (i.e. geographic location and/or desk, trader)
Assigned value used to identify specific message destination's location (i.e. geographic location and/or desk, trader)
Assigned value used to identify specific message originator's location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party
Assigned value used to identify specific message recipient's location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party
The subject of an Email message
The headline of a News message
A URI (Uniform Resource Identifier) or URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
See "Appendix 6-B FIX Fields Based Upon Other Standards"
Describes the specific ExecutionRpt (e.g. Pending Cancel) while OrdStatus(39) will always identify the current order status (e.g. Partially Filled).
New
Done for day
Canceled
Replaced
Pending Cancel (e.g. result of Order Cancel Request)
Stopped
Rejected
Suspended
Pending New
Calculated
Expired
Restated (Execution Report sent unsolicited by sellside, with ExecRestatementReason (378) set)
Pending Replace (e.g. result of Order Cancel/Replace Request)
Trade (partial fill or fill)
Trade Correct
Trade Cancel
Order Status
Trade in a Clearing Hold
Trade has been released to Clearing
Triggered or Activated by System
Locked
Released
Quantity open for further execution. If the OrdStatus (39) is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty (38) - CumQty (14).
(Prior to FIX 4.2 this field was of type int)
Specifies the approximate order quantity desired in total monetary units vs. as tradeable units (e.g. number of shares). The broker or fund manager (for CIV orders) would be responsible for converting and calculating a tradeable unit (e.g. share) quantity (OrderQty (38)) based upon this amount to be used for the actual order and subsequent messages.
AvgPx (6) for a specific AllocAccount (79)
For Fixed Income this is always expressed as "percent of par" price type.
NetMoney (8) for a specific AllocAccount (79)
Foreign exchange rate used to compute SettlCurrAmt (9) from Currency (5) to SettlCurrency (20)
Specifies whether or not SettlCurrFxRate (155) should be multiplied or divided.
Multiply
Divide
Number of Days of Interest for convertible bonds and fixed income. Note value may be negative.
The amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond.
Amount of Accrued Interest for convertible bonds and fixed income
Indicates mode used for Settlement Instructions message. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***
Default (Replaced)
Standing Instructions Provided
Specific Allocation Account Overriding (Replaced)
Specific Allocation Account Standing (Replaced)
Specific Order for a single account (for CIV)
Request reject
Free format text related to a specific AllocAccount (79).
Unique identifier for Settlement Instruction.
Settlement Instructions message transaction type
New
Cancel
Replace
Restate
Unique identifier for an email thread (new and chain of replies)
Indicates source of Settlement Instructions
Broker's Instructions
Institution's Instructions
Investor (e.g. CIV use)
Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.
Euro Supranational Coupons *
Corporate Bond
Foreign Exchange Contract
Common Stock
Repurchase
Brady Bond
Term Loan
Bankers Acceptance
Asset-backed Securities
Other Anticipation Notes (BAN, GAN, etc.)
Mutual Fund
Federal Agency Coupon
Corporate Private Placement
Preferred Stock
Forward
Canadian Treasury Notes
Revolver Loan
Bank Depository Note
Canadian Mortgage Bonds
Certificate Of Obligation
Multileg Instrument
Non-deliverable forward
Cap
Federal Agency Discount Note
Convertible Bond
Credit Default Swap
Buy Sellback
Canadian Treasury Bills
Revolver/Term Loan
Bank Notes
Corp. Mortgage-backed Securities
Certificate Of Participation
No Security Type
FX Spot
US Treasury Note (Deprecated Value Use TNOTE)
Private Export Funding *
Dual Currency
Securities Loan
Euro Sovereigns *
Bridge Loan
Bill Of Exchanges
Collateralized Mortgage Obligation
General Obligation Bonds
FX Forward
Collar
US Treasury Bill (Deprecated Value Use TBILL)
USD Supranational Coupons *
Euro Corporate Bond
Securities Pledge
Canadian Provincial Bonds
Letter Of Credit
Canadian Money Markets
IOETTE Mortgage
Mandatory Tender
FX Swap
Commodity swap
Euro Corporate Floating Rate Notes
Treasury Bill - non US
Swing Line Facility
Certificate Of Deposit
Mortgage-backed Securities
Revenue Anticipation Note
Wildcard entry for use on Security Definition Request
Delivery versus pledge
Exotic
US Corporate Floating Rate Notes
Options on Combo
US Treasury Bond
Debtor In Possession
Call Loans
Mortgage Interest Only
Revenue Bonds
Cash
Floor
Collateral basket
Indexed Linked
Interest Strip From Any Bond Or Note
Defaulted
Commercial Paper
Mortgage Principal Only
Special Assessment
Forward Rate Agreement
Structured Notes
Future
US Treasury Bill
Treasury Inflation Protected Securities
Withdrawn
Deposit Notes
Mortgage Private Placement
Special Obligation
Yankee Corporate Bond
Principal Strip Of A Callable Bond Or Note
Replaced
Euro Certificate Of Deposit
Miscellaneous Pass-through
Special Tax
Derivative forward
Interest Rate Swap
Principal Strip From A Non-Callable Bond Or Note
Matured
Euro Commercial Paper
Pfandbriefe *
Tax Anticipation Note
Total return swap
US Treasury Note
Amended & Restated
Liquidity Note
To Be Announced
Tax Allocation
Loan/lease
Retired
Medium Term Notes
Tax Exempt Commercial Paper
Options on Futures
Overnight
Taxable Municipal CP
Options on Physical - use not recommended
Promissory Note
Short Term Loan Note
Tax Revenue Anticipation Note
Option
Plazos Fijos
Variable Rate Demand Note
Secured Liquidity Note
Warrant
Spot forward
Time Deposit
Swap option
Transmission
Term Liquidity Note
General type for a contract based on an established index
Extended Comm Note
Bond basket
Yankee Certificate Of Deposit
Contract for difference
Correlation swap
Dividend swap
Equity basket
Equity forward
Return swap
Variance swap
Time the details within the message should take effect (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Identifies the Standing Instruction database used
Other
DTC SID
Thomson ALERT
A Global Custodian (StandInstDBName (70) must be provided)
AccountNet
Name of the Standing Instruction database represented with StandInstDbType (169) (i.e. the Global Custodian's name).
Unique identifier used on the Standing Instructions database for the Standing Instructions to be referenced.
Identifies type of settlement
"Versus. Payment": Deliver (if Sell) or Receive (if Buy) vs. (Against) Payment
"Free": Deliver (if Sell) or Receive (if Buy) Free
Tri-Party
Hold In Custody
Bid F/X spot rate.
Bid F/X forward points added to spot rate. May be a negative value.
Offer F/X spot rate.
Offer F/X forward points added to spot rate. May be a negative value.
OrderQty (38) of the future part of a F/X swap order.
SettDate (64) of the future part of a F/X swap order.
F/X spot rate.
F/X forward points added to LastSpotRate (94). May be a negative value. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Can be used to link two different Allocation messages (each with unique AllocID (70)) together, i.e. for F/X "Netting" or "Swaps". Should be unique.
Identifies the type of Allocation linkage when AllocLinkID (96) is used.
FX Netting
FX Swap
Assigned by the party which accepts the order. Can be used to provide the OrderID (37) used by an exchange or executing system.
Can be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options).
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w) for week
A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).
Indicates whether an option contract is a put or call
Put
Call
Strike Price for an Option.
Used for derivative products, such as options
Covered
Uncovered
Provided to support versioning of option contracts as a result of corporate actions or events. Use of this field is defined by counterparty agreement or market conventions.
Market used to help identify a security.
Valid values:
See "Appendix 6-C"
Indicates whether or not details should be communicated to BrokerOfCredit (i.e. step-in broker).
Details should not be communicated
Details should be communicated
Indicates how the receiver (i.e. third party) of Allocation message should handle/process the account details.
Match
Forward
Forward and Match
Maximum quantity (e.g. number of shares) within an order to be shown to other customers (i.e. sent via an IOI).
(Prior to FIX 4.2 this field was of type int)
Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType (836)
(Prior to FIX 4.4 this field was of type PriceOffset)
Reference identifier for the SettlInstID (162) with Cancel and Replace SettlInstTransType (163) transaction types.
Indicates the type of RoutingID (217) specified.
Target Firm
Target List
Block Firm
Block List
Target Person
Block Person
Assigned value used to identify a specific routing destination.
For Fixed Income. Either Swap Spread or Spread to Benchmark depending upon the order type.
Spread to Benchmark: Basis points relative to a benchmark. To be expressed as "count of basis points" (vs. an absolute value). E.g. High Grade Corporate Bonds may express price as basis points relative to benchmark (the BenchmarkCurveName (22) field). Note: Basis points can be negative.
Swap Spread: Target spread for a swap.
Identifies currency used for benchmark curve. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Name of benchmark curve.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
EONIA
EUREPO
EURIBOR (deprecated use enum EURIBOR instead)
FutureSWAP
LIBID
LIBOR (London Inter-Bank Offer)
MuniAAA
OTHER
Pfandbriefe
SONIA
SWAP
Treasury
US Federal Reserve fed funds effective rate
US fed funds target rate
Euro interbank offer rate
Point on benchmark curve. Free form values: e.g. "Y", "7Y", "INTERPOLATED".
Sample values:
M = combination of a number between 1-12 and a "M" for month
Y = combination of number between 1-100 and a "Y" for year}
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon
See Fixed Income-specific documentation at http://www.fixtradingcommunity.org for additional values.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment. The coupon is always cited, along with maturity, in any quotation of a bond's price.
Date interest is to be paid. Used in identifying Corporate Bond issues.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
The date on which a bond or stock offering is issued. It may or may not be the same as the effective date ("Dated Date") or the date on which interest begins to accrue ("Interest Accrual Date")
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Number of business days before repurchase of a repo. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Percent of par at which a Repo will be repaid. Represented as a percent, e.g. .9525 represents 95-/4 percent of par. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
For Fixed Income: Amorization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than . In TIPS securities this is the Inflation index.
Qty * Factor * Price = Gross Trade Amount
For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract.
(Qty * Price) * Factor = Nominal Value
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Used with Fixed Income for Muncipal New Issue Market. Agreement in principal between counter-parties prior to actual trade date.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
The date when a distribution of interest is deducted from a securities assets or set aside for payment to bondholders. On the ex-date, the securities price drops by the amount of the distribution (plus or minus any market activity).
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Specifies the ratio or multiply factor to convert from "nominal" units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc). Applicable For Fixed Income, Convertible Bonds, Derivatives, etc.
For Fixed Income.
Type of Stipulation.
Other types may be used by mutual agreement of the counterparties.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Alternative Minimum Tax (Y/N)
Absolute Prepayment Speed
Incurred recovery (Y/N)
Auto Reinvestment at <rate> or better
Constant Prepayment Penalty
Additional term
Bank qualified (Y/N)
Constant Prepayment Rate
Modified equity delivery
Bargain conditions (see StipulationValue (234) for values)
Constant Prepayment Yield
No reference obligation (Y/N)
Coupon range
final CPR of Home Equity Prepayment Curve
Unknown reference obligation (Y/N)
ISO Currency Code
Percent of Manufactured Housing Prepayment Curve
All guarantees (Y/N)
Custom start/end date
Monthly Prepayment Rate
Reference price (Y/N)
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])
Percent of Prospectus Prepayment Curve
Reference policy (Y/N)
Valuation Discount
Percent of BMA Prepayment Curve
Secured list (Y/N)
Insured (Y/N)
Single Monthly Mortality
Year Or Year/Month of Issue (ex. 234=2002/09)
Issuer's ticker
issue size range
Lookback Days
Explicit lot identifier
Lot Variance (value in percent maximum over- or under-allocation allowed)
Maturity Year And Month
Maturity range
Maximum substitutions (Repo)
Minimum denomination
Minimum increment
Minimum quantity
Payment frequency, calendar
Number Of Pieces
Pools Maximum
Pools per Lot
Pools per Million
Pools per Trade
Price Range
Pricing frequency
Production Year
Call protection
Purpose
Benchmark price source
Rating source and range
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible
Restricted (Y/N)
Market Sector
Security Type included or excluded
Structure
Substitutions frequency (Repo)
Substitutions left (Repo)
Freeform Text
Trade Variance (value in percent maximum over- or under-allocation allowed)
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])
Weighted Average Life Coupon - value in percent (exact or range)
Weighted Average Loan Age - value in months (exact or range)
Weighted Average Maturity - value in months (exact or range)
Whole Pool (Y/N)
Yield Range
Average FICO Score
Original amount
Average Loan Size
Pool effective date
Maximum Loan Balance
Pool initial factor
Pool Identifier
Tranche identifier
Type of Roll trade
Substitution (Y/N)
reference to rolling or closing trade
Multiple exchange fallback (Y/N)
principal of rolling or closing trade
Component security fallback (Y/N)
interest of rolling or closing trade
Local jurisdiction (Y/N)
Available offer quantity to be shown to the street
Relevant jurisdiction (Y/N)
Broker's sales credit
Offer price to be shown to internal brokers
Offer quantity to be shown to internal brokers
The minimum residual offer quantity
Maximum order size
Order quantity increment
Primary or Secondary market indicator
Broker sales credit override
Trader's credit
Discount Rate (when price is denominated in percent of par)
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)
For Fixed Income. Value of stipulation.
The expression can be an absolute single value or a combination of values and logical operators:
< value
> value
<= value
>= value
value
value - value2
value OR value2
value AND value2
YES
NO
Bargain conditions recognized by the London Stock Exchange - to be used when StipulationType is "BGNCON".
CD = Special cum Dividend
XD = Special ex Dividend
CC = Special cum Coupon
XC = Special ex Coupon
CB = Special cum Bonus
XB = Special ex Bonus
CR = Special cum Rights
XR = Special ex Rights
CP = Special cum Capital Repayments
XP = Special ex Capital Repayments
CS = Cash Settlement
SP = Special Price
TR = Report for European Equity Market Securities in accordance with Chapter 8 of the Rules.
GD = Guaranteed Delivery
Values for StipulationType = "PXSOURCE":
BB GENERIC
BB FAIRVALUE
BROKERTEC
ESPEED
GOVPX
HILLIARD FARBER
ICAP
TRADEWEB
TULLETT LIBERTY
If a particular side of the market is wanted append /BID /OFFER or /MID.
plus appropriate combinations of the above and other expressions by mutual agreement of the counterparties.
Examples: ">=60", ".25", "ORANGE OR CONTRACOSTA", etc.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Type of yield. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
After Tax Yield (Municipals)
Annual Yield
Yield At Issue (Municipals)
Yield To Avg Maturity
Book Yield
Yield to Next Call
Yield Change Since Close
Closing Yield
Compound Yield
Current Yield
Gvnt Equivalent Yield
True Gross Yield
Yield with Inflation Assumption
Inverse Floater Bond Yield
Most Recent Closing Yield
Closing Yield Most Recent Month
Closing Yield Most Recent Quarter
Closing Yield Most Recent Year
Yield to Longest Average Life
Mark to Market Yield
Yield to Maturity
Yield to Next Refund (Sinking Fund Bonds)
Open Average Yield
Previous Close Yield
Proceeds Yield
Yield to Next Put
Semi-annual Yield
Yield to Shortest Average Life
Simple Yield
Tax Equivalent Yield
Yield to Tender Date
True Yield
Yield Value Of 1/32
Yield To Worst
Yield percentage.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
The price at which the securities are distributed to the different members of an underwriting group for the primary market in Municipals, total gross underwriter's spread.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Provides the reduction in price for the secondary market in Muncipals.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Identifies the collateral used in the transaction.
Valid values: see SecurityType (167) field (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Return of investor's principal in a security. Bond redemption can occur before maturity date.(Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)
Underlying security's CouponPaymentDate.
See CouponPaymentDate (224) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Underlying security's IssueDate.
See IssueDate (225) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Underlying security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description.(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's Factor.
See Factor (228) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)
Multileg instrument's individual leg security's CouponPaymentDate.
See CouponPaymentDate (224) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Multileg instrument's individual leg security's IssueDate.
See IssueDate (225) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Multileg instrument's individual leg security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's Factor.
See Factor (228) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)
An evaluation of a company's ability to repay obligations or its likelihood of not defaulting. These evaluation are provided by Credit Rating Agencies, i.e. S&P, Moody's.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Underlying security's CreditRating.
See CreditRating (255) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Multileg instrument's individual leg security's CreditRating.
See CreditRating (255) field for description
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Driver and part of trade in the event that the Security Master file was wrong at the point of entry(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Not Traded Flat
Traded Flat
BasisFeatureDate allows requesting firms within fixed income the ability to request an alternative yield-to-worst, -maturity, -extended or other call. This flows through the confirm process.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
(prior to FIX 4.4 field was of type UTCDate)
Price for BasisFeatureDate.
See BasisFeatureDate (259)
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
Unique identifier for Market Data Request
Subscription Request Type
Snapshot
Snapshot + Updates (Subscribe)
Disable previous Snapshot + Update Request (Unsubscribe)
Depth of market for Book Snapshot / Incremental updates
0 - full book depth
1 - top of book
2 and above - book depth (number of levels)
Specifies the type of Market Data update.
Full refresh
Incremental refresh
Specifies whether or not book entries should be aggregated. (Not specified) = broker option
book entries to be aggregated
book entries should not be aggregated
Type of market data entry.
Bid
Offer
Trade
Index value
Opening price
Closing price
Settlement price
Trading session high price
Trading session low price
Trading session Volume Weighted Average Price (VWAP)
Imbalance
Trade volume
Open interest
Composite underlying price
Simulated sell price
Simulated buy price
Margin rate
Mid-price
Empty book
Settle high price
Settle low price
Prior settle price
Session high bid
Session low offer
Early prices
Auction clearing price
Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
Daily value adjustment for long positions
Cumulative value adjustment for long positions
Daily value adjustment for short positions
Cumulative value adjustment for short positions
Fixing price
Cash rate
Recovery rate
Recovery rate for long positions
Recovery rate for short positions
Market bid
Market offer
Short sale minimum price
Previous closing price
Price of the Market Data Entry.
Quantity or volume represented by the Market Data Entry.
Date of Market Data Entry.
(prior to FIX 4.4 field was of type UTCDate)
Time of Market Data Entry.
Direction of the "tick".
Plus Tick
Zero-Plus Tick
Minus Tick
Zero-Minus Tick
Market posting quote / trade.
Valid values:
See "Appendix 6-C"
Space-delimited list of conditions describing a quote.
Open/Active
Closed/Inactive
Exchange Best
Consolidated Best
Locked
Crossed
Depth
Fast Trading
Non-Firm
Manual/Slow Quote
Outright Price
Implied Price
Depth on Offer
Depth on Bid
Closing
News Dissemination
Trading Range
Order Influx
Due to Related
News Pending
Additional Info
Additional Info due to related
Resume
View of Common
Volume Alert
Order Imbalance
Equipment Changeover
No Open / No Resume
Regular ETH
Automatic Execution
Automatic Execution ETH
Fast Market ETH
Inactive ETH
Rotation
Rotation ETH
Halt
Halt ETH
Due to News Dissemination
Due to News Pending
Trading Resume
Out of Sequence
Bid Specialist
Offer Specialist
Bid Offer Specialist
End of Day SAM
Forbidden SAM
Frozen SAM
PreOpening SAM
Opening SAM
Open SAM
Surveillance SAM
Suspended SAM
Reserved SAM
No Active SAM
Restricted
Rest of Book VWAP
Better Prices in Conditional Orders
Median Price
Full Curve
Flat Curve
Type of market data entry.
Cash (only) Market
Average Price Trade
Cash Trade (same day clearing)
Next Day (only)Market
Opening/Reopening Trade Detail
Intraday Trade Detail
Rule 127 Trade (NYSE)
Rule 155 Trade (AMEX)
Sold Last (late reporting)
Next Day Trade (next day clearing)
Opened (late report of opened trade)
Seller
Sold (out of sequence)
Stopped Stock (guarantee of price but does not execute the order)
Imbalance More Buyers (cannot be used in combination with Q)
Imbalance More Sellers (cannot be used in combination with P)
Opening Price
Bargain Condition (LSE)
Converted Price Indicator
Exchange Last
Final Price of Session
Ex-pit
Crossed
Trades resulting from manual/slow quote
Trades resulting from intermarket sweep
Volume Only
Direct Plus
Acquisition
Bunched
Distribution
Bunched Sale
Split Trade
Cancel Stopped
Cancel ETH
Cancel Stopped ETH
Out of Sequence ETH
Cancel Last ETH
Sold Last Sale ETH
Cancel Last
Sold Last Sale
Cancel Open
Cancel Open ETH
Opened Sale ETH
Cancel Only
Cancel Only ETH
Late Open ETH
Auto Execution ETH
Reopen
Reopen ETH
Adjusted
Adjusted ETH
Spread
Spread ETH
Straddle
Straddle ETH
Stopped
Stopped ETH
Regular ETH
Combo
Combo ETH
Official Closing Price
Prior Reference Price
Cancel
Stopped Sold Last
Stopped Out of Sequence
Offical Closing Price (duplicate enumeration - use 'AJ' instead)
Crossed (duplicate enumeration - use 'X' instead)
Fast Market
Automatic Execution
Form T
Basket Index
Burst Basket
Trade through exempt
Quote spread
Last auction price
High price
Low price
Systematic Internaliser (SI)
Away market
Mid-point price
Traded before issue date
Previous closing price
National Best Bid and Offer
Implied Trade
Marketplace entered trade
Multi-asset class multileg trade
Multileg-to-Multileg Trade
Short Sale Minimum Price
Benchmark
Unique Market Data Entry identifier.
Type of Market Data update action.
New
Change
Delete
Delete Thru
Delete From
Overlay
Refers to a previous MDEntryID (278).
Reason for the rejection of a Market Data request.
Unknown symbol
Duplicate MDReqID
Insufficient Bandwidth
Insufficient Permissions
Unsupported SubscriptionRequestType
Unsupported MarketDepth
Unsupported MDUpdateType
Unsupported AggregatedBook
Unsupported MDEntryType
Unsupported TradingSessionID
Unsupported Scope
Unsupported OpenCloseSettleFlag
Unsupported MDImplicitDelete
Insufficient credit
Originator of a Market Data Entry
Identification of a Market Maker's location
Identification of a Market Maker's desk
Reason for deletion.
Cancellation / Trade Bust
Error
Flag that identifies a market data entry. (Prior to FIX 4.3 this field was of type char)
Daily Open / Close / Settlement entry
Session Open / Close / Settlement entry
Delivery Settlement entry
Expected entry
Entry from previous business day
Theoretical Price value
Specifies the number of days that may elapse before delivery of the security
Buying party in a trade
Selling party in a trade
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with .
Identifies a firm's or a security's financial status
Bankrupt
Pending delisting
Restricted
Identifies the type of Corporate Action.
Ex-Dividend
Ex-Distribution
Ex-Rights
New
Ex-Interest
Cash Dividend
Stock Dividend
Non-Integer Stock Split
Reverse Stock Split
Standard-Integer Stock Split
Position Consolidation
Liquidation Reorganization
Merger Reorganization
Rights Offering
Shareholder Meeting
Spinoff
Tender Offer
Warrant
Special Action
Symbol Conversion
CUSIP / Name Change
Leap Rollover
Succession Event
Default Bid Size.
Default Offer Size.
Identifies the status of the quote acknowledgement.
Accepted
Canceled for specific securities
Canceled for specific SecurityTypes(167)
Canceled for underlying
Canceled all
Rejected
Removed from market
Expired
Query
Quote not found
Pending
Pass
Locked market warning
Crossed market warning
Canceled due to locked market
Canceled due to crossed market
Active
Canceled
Unsolicited quote replenishment
Pending end trade
Too late to end
Traded
Traded and removed
Identifies the type of quote cancel.
Cancel for one or more securities
Cancel for Security Type(s)
Cancel for underlying security
Cancel All Quotes
Cancel specified single quote
Cancel by type of quote
Cancel for Security Issuer
Cancel for Issuer of Underlying Security
Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated.
Reason Quote was rejected:
Unknown symbol (security)
Exchange (security) closed
Quote Request exceeds limit
Too late to enter
Unknown quote
Duplicate quote
Invalid bid/ask spread
Invalid price
Not authorized to quote security
Price exceeds current price band
Quote locked - unable to update/cancel
Invalid or unknown security issuer
Invalid or unknown issuer of underlying security
Notional value exceeds threshold
Price exceeds current price band
Reference price not available
Insufficient credit limit
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
Other
Level of Response requested from receiver of quote messages. A default value should be bilaterally agreed.
No Acknowledgement
Acknowledge only negative or erroneous quotes
Acknowledge each quote message
Summary Acknowledgement
Unique id for the Quote Set.
Indicates the type of Quote Request being generated
Manual
Automatic
Confirm quote
Total number of quotes for the quote set.
Underlying security's SecurityIDSource.
Valid values: see SecurityIDSource (22) field
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Underlying security's Issuer.
See Issuer (06) field for description
Description of the Underlying security.
See SecurityDesc(107).
Underlying security's SecurityExchange. Can be used to identify the underlying security.
Valid values: see SecurityExchange (207)
Underlying security's SecurityID.
See SecurityID (48) field for description
Underlying security's SecurityType.
Valid values: see SecurityType (167) field
(see below for details concerning this fields use in conjunction with SecurityType=REPO)
The following applies when used in conjunction with SecurityType=REPO
Represents the general or specific type of security that underlies a financing agreement
Valid values for SecurityType=REPO:
If bonds of a particular issuer or country are wanted in an Order or are in the basket of an Execution and the SecurityType is not granular enough, include the UnderlyingIssuer (306), UnderlyingCountryOfIssue (592), UnderlyingProgram, UnderlyingRegType and/or < UnderlyingStipulations > block e.g.:
Euro Supranational Coupons *
Corporate Bond
Foreign Exchange Contract
Common Stock
Repurchase
Brady Bond
Term Loan
Bankers Acceptance
Asset-backed Securities
Other Anticipation Notes (BAN, GAN, etc.)
Mutual Fund
Federal Agency Coupon
Corporate Private Placement
Preferred Stock
Forward
Canadian Treasury Notes
Revolver Loan
Bank Depository Note
Canadian Mortgage Bonds
Certificate Of Obligation
Multileg Instrument
Non-deliverable forward
Cap
Federal Agency Discount Note
Convertible Bond
Credit Default Swap
Buy Sellback
Canadian Treasury Bills
Revolver/Term Loan
Bank Notes
Corp. Mortgage-backed Securities
Certificate Of Participation
No Security Type
FX Spot
US Treasury Note (Deprecated Value Use TNOTE)
Private Export Funding *
Dual Currency
Securities Loan
Euro Sovereigns *
Bridge Loan
Bill Of Exchanges
Collateralized Mortgage Obligation
General Obligation Bonds
FX Forward
Collar
US Treasury Bill (Deprecated Value Use TBILL)
USD Supranational Coupons *
Euro Corporate Bond
Securities Pledge
Canadian Provincial Bonds
Letter Of Credit
Canadian Money Markets
IOETTE Mortgage
Mandatory Tender
FX Swap
Commodity swap
Euro Corporate Floating Rate Notes
Treasury Bill - non US
Swing Line Facility
Certificate Of Deposit
Mortgage-backed Securities
Revenue Anticipation Note
Wildcard entry for use on Security Definition Request
Delivery versus pledge
Exotic
US Corporate Floating Rate Notes
Options on Combo
US Treasury Bond
Debtor In Possession
Call Loans
Mortgage Interest Only
Revenue Bonds
Cash
Floor
Collateral basket
Indexed Linked
Interest Strip From Any Bond Or Note
Defaulted
Commercial Paper
Mortgage Principal Only
Special Assessment
Forward Rate Agreement
Structured Notes
Future
US Treasury Bill
Treasury Inflation Protected Securities
Withdrawn
Deposit Notes
Mortgage Private Placement
Special Obligation
Yankee Corporate Bond
Principal Strip Of A Callable Bond Or Note
Replaced
Euro Certificate Of Deposit
Miscellaneous Pass-through
Special Tax
Derivative forward
Interest Rate Swap
Principal Strip From A Non-Callable Bond Or Note
Matured
Euro Commercial Paper
Pfandbriefe *
Tax Anticipation Note
Total return swap
US Treasury Note
Amended & Restated
Liquidity Note
To Be Announced
Tax Allocation
Loan/lease
Retired
Medium Term Notes
Tax Exempt Commercial Paper
Options on Futures
Overnight
Taxable Municipal CP
Options on Physical - use not recommended
Promissory Note
Short Term Loan Note
Tax Revenue Anticipation Note
Option
Plazos Fijos
Variable Rate Demand Note
Secured Liquidity Note
Warrant
Spot forward
Time Deposit
Swap option
Transmission
Term Liquidity Note
General type for a contract based on an established index
Extended Comm Note
Bond basket
Yankee Certificate Of Deposit
Contract for difference
Correlation swap
Dividend swap
Equity basket
Equity forward
Return swap
Variance swap
Underlying security's Symbol.
See Symbol (55) field for description
Underlying security's SymbolSfx.
See SymbolSfx (65) field for description
EUCP with lump-sum interest rather than discount price
"When Issued" for a security to be reissued under an old CUSIP or ISIN
Underlying security's MaturityMonthYear. Can be used with standardized derivatives vs. the UnderlyingMaturityDate (542) field.
See MaturityMonthYear (200) field for description
Put or call indicator of the underlying security.
See PutOrCall(201).
Put
Call
Underlying security's StrikePrice.
See StrikePrice (202) field for description
Underlying security's OptAttribute.
See OptAttribute (206) field for description
Underlying security's Currency.
See Currency (5) field for description and valid values
Unique ID of a Security Definition Request.
Type of Security Definition Request.
Request Security identity and specifications
Request Security identity for the specifications provided (name of the security is not supplied)
Request List Security Types
Request List Securities (can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange. If provided then only list Securities for the specific type.)
Symbol
SecurityType and or CFICode
Product
TradingSessionID
All Securities
MarketID or MarketID + MarketSegmentID
Unique ID of a Security Definition message.
Type of Security Definition message response.
Accept security proposal as-is
Accept security proposal with revisions as indicated in the message
List of security types returned per request
List of securities returned per request
Reject security proposal
Cannot match selection criteria
Unique ID of a Security Status Request or a Security Mass Status Request message.
Indicates whether or not message is being sent as a result of a subscription request or not.
Message is being sent as a result of a prior request
Message is being sent unsolicited
Identifies the trading status applicable to the transaction.
Opening delay
Trading halt
Resume
No Open / No Resume
Price indication
Trading Range Indication
Market Imbalance Buy
Market Imbalance Sell
Market on Close Imbalance Buy
Market on Close Imbalance Sell
No Market Imbalance
No Market on Close Imbalance
ITS Pre-opening
New Price Indication
Trade Dissemination Time
Ready to trade (start of session)
Not available for trading (end of session)
Not traded on this market
Unknown or Invalid
Pre-open
Opening Rotation
Fast Market
Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
Post-close
No-cancel
Denotes the reason for the Opening Delay or Trading Halt.
News Dissemination
Order Influx
Order Imbalance
Additional Information
News Pending
Equipment Changeover
Indicates whether or not the halt was due to Common Stock trading being halted.
Halt was not related to a halt of the common stock
Halt was due to common stock being halted
Indicates whether or not the halt was due to the Related Security being halted.
Halt was not related to a halt of the related security
Halt was due to related security being halted
Quantity bought.
Quantity sold.
Represents an indication of the high end of the price range for a security prior to the open or reopen
Represents an indication of the low end of the price range for a security prior to the open or reopen
Identifies the type of adjustment.
Cancel
Error
Correction
Unique ID of a Trading Session Status message.
Identifier for a trading session.
A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties.
To specify good for session where session spans more than one calendar day, use TimeInForce = 0 (Day) in conjunction with TradingSessionID(336).
Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility.
Day
HalfDay
Morning
Afternoon
Evening
After-hours
Holiday
Identifies the trader (e.g. "badge number") of the ContraBroker.
Method of trading
Electronic
Open Outcry
Two Party
Trading Session Mode
Testing
Simulated
Production
State of the trading session.
Unknown
Halted
Open
Closed
Pre-Open
Pre-Close
Request Rejected
Starting time of the trading session
Time of the opening of the trading session
Time of the pre-closed of the trading session
Closing time of the trading session
End time of the trading session
Number of orders in the market.
Type of message encoding (non-ASCII (non-English) characters) used in a message's "Encoded" fields.
Byte length of encoded (non-ASCII characters) EncodedIssuer (349) field.
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Issuer field.
Byte length of encoded (non-ASCII characters) EncodedSecurityDesc (351) field.
Encoded (non-ASCII characters) representation of the SecurityDesc (107) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the SecurityDesc field.
Byte length of encoded (non-ASCII characters) EncodedListExecInst (353) field.
Encoded (non-ASCII characters) representation of the ListExecInst (69) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ListExecInst field.
Byte length of encoded (non-ASCII characters) EncodedText (355) field.
Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text(58) field.
Byte length of encoded (non-ASCII characters) EncodedSubject (357) field.
Encoded (non-ASCII characters) representation of the Subject (147) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Subject field.
Byte length of encoded (non-ASCII characters) EncodedHeadline (359) field.
Encoded (non-ASCII characters) representation of the Headline (148) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Headline field.
Byte length of encoded (non-ASCII characters) EncodedAllocText (361) field.
Encoded (non-ASCII characters) representation of the AllocText (161) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AllocText field.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingIssuer (363) field.
Encoded (non-ASCII characters) representation of the UnderlyingIssuer (306) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingIssuer field.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingSecurityDesc (365) field.
Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc (307) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingSecurityeDesc field.
Executed price for an AllocAccount (79) entry used when using "executed price" vs. "average price" allocations (e.g. Japan).
Indicates expiration time of this particular QuoteSet (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Reason Quote Entry was rejected:
Unknown symbol (security)
Exchange (security) closed
Quote Request exceeds limit
Too late to enter
Unknown quote
Duplicate quote
Invalid bid/ask spread
Invalid price
Not authorized to quote security
Price exceeds current price band
Quote locked - unable to update/cancel
Invalid or unknown security issuer
Invalid or unknown issuer of underlying security
Notional value exceeds threshold
Price exceeds current price band
Reference price not available
Insufficient credit limit
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
Other
The tag number of the FIX field being referenced.
The MsgType (35) of the FIX message being referenced.
Heartbeat
TestRequest
ResendRequest
Reject
SequenceReset
Logout
IOI
Advertisement
ExecutionReport
OrderCancelReject
Logon
News
Email
NewOrderSingle
NewOrderList
OrderCancelRequest
OrderCancelReplaceRequest
OrderStatusRequest
AllocationInstruction
ListCancelRequest
ListExecute
ListStatusRequest
ListStatus
AllocationInstructionAck
DontKnowTrade
QuoteRequest
Quote
SettlementInstructions
MarketDataRequest
MarketDataSnapshotFullRefresh
MarketDataIncrementalRefresh
MarketDataRequestReject
QuoteCancel
QuoteStatusRequest
MassQuoteAck
SecurityDefinitionRequest
SecurityDefinition
SecurityStatusRequest
SecurityStatus
TradingSessionStatusRequest
TradingSessionStatus
MassQuote
BusinessMessageReject
BidRequest
BidResponse
ListStrikePrice
XMLnonFIX
RegistrationInstructions
RegistrationInstructionsResponse
OrderMassCancelRequest
OrderMassCancelReport
NewOrderCross
CrossOrderCancelReplaceRequest
CrossOrderCancelRequest
SecurityTypeRequest
SecurityTypes
SecurityListRequest
SecurityList
DerivativeSecurityListRequest
DerivativeSecurityList
NewOrderMultileg
MultilegOrderCancelReplace
TradeCaptureReportRequest
TradeCaptureReport
OrderMassStatusRequest
QuoteRequestReject
RFQRequest
QuoteStatusReport
QuoteResponse
Confirmation
PositionMaintenanceRequest
PositionMaintenanceReport
RequestForPositions
RequestForPositionsAck
PositionReport
TradeCaptureReportRequestAck
TradeCaptureReportAck
AllocationReport
AllocationReportAck
ConfirmationAck
SettlementInstructionRequest
AssignmentReport
CollateralRequest
CollateralAssignment
CollateralResponse
CollateralReport
CollateralInquiry
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusResponse
UserRequest
UserResponse
CollateralInquiryAck
ConfirmationRequest
ContraryIntentionReport
SecurityDefinitionUpdateReport
SecurityListUpdateReport
AdjustedPositionReport
AllocationInstructionAlert
ExecutionAck
TradingSessionList
TradingSessionListRequest
SettlementObligationReport
DerivativeSecurityListUpdateReport
TradingSessionListUpdateReport
MarketDefinitionRequest
MarketDefinition
MarketDefinitionUpdateReport
ApplicationMessageRequest
ApplicationMessageRequestAck
ApplicationMessageReport
OrderMassActionReport
OrderMassActionRequest
UserNotification
StreamAssignmentRequest
StreamAssignmentReport
StreamAssignmentReportACK
PartyDetailsListRequest
PartyDetailsListReport
MarginRequirementInquiry
MarginRequirementInquiryAck
MarginRequirementReport
PartyDetailsListUpdateReport
PartyRiskLimitsRequest
PartyRiskLimitsReport
SecurityMassStatusRequest
SecurityMassStatus
AccountSummaryReport
PartyRiskLimitsUpdateReport
PartyRiskLimitsDefinitionRequest
PartyRiskLimitsDefinitionRequestAck
PartyEntitlementsRequest
PartyEntitlementsReport
QuoteAck
PartyDetailsDefinitionRequest
PartyDetailsDefinitionRequestAck
PartyEntitlementsUpdateReport
PartyEntitlementsDefinitionRequest
PartyEntitlementsDefinitionRequestAck
TradeMatchReport
TradeMatchReportAck
PartyRiskLimitsReportAck
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequestAck
PartyActionRequest
PartyActionReport
MassOrder
MassOrderAck
PositionTransferInstruction
PositionTransferInstructionAck
PositionTransferReport
MarketDataStatisticsRequest
MarketDataStatisticsReport
CollateralReportAck
MarketDataReport
CrossRequest
CrossRequestAck
Identifies the Bid Request message type.
Cancel
New
Identifies contra broker. Standard NASD market-maker mnemonic is preferred.
ID used to represent this transaction for compliance purposes (e.g. OATS reporting).
Indicates whether or not the order was solicited.
Was not solicited
Was solicited
The reason for restatement when an ExecutionReport(35=8) or TradeCaptureReport(35=AE) message is sent with ExecType(150) = D (Restated) or used when communicating an unsolicited cancel.
GT corporate action
GT renewal / restatement (no corporate action)
Verbal change
Repricing of order
Broker option
Partial decline of OrderQty (e.g. exchange initiated partial cancel)
Cancel on Trading Halt
Cancel on System Failure
Market (Exchange) option
Canceled, not best
Warehouse Recap
Peg Refresh
Cancel On Connection Loss
Cancel On Logout
Assign Time Priority
Cancelled, Trade Price Violation
Cancelled, Cross Imbalance
Other
The value of the business-level "ID" field on the message being referenced.
Code to identify reason for a Business Message Reject message.
Other
Unknown ID
Unknown Security
Unsupported Message Type
Application not available
Conditionally required field missing
Not Authorized
DeliverTo firm not available at this time
Throttle limit exceeded
Throttle limit exceeded, session will be disconnected
Throttled messages rejected on request
Invalid price increment
Total amount traded (i.e. quantity * price) expressed in units of currency. For FX Futures this is used to express the notional value of a fill when quantity fields are expressed in terms of contract size (i.e. quantity * price * contract size).
Total volume (quantity) traded.
Code to identify the price a DiscretionOffsetValue (389) is related to and should be mathematically added to.
Related to displayed price
Related to market price
Related to primary price
Related to local primary price
Related to midpoint price
Related to last trade price
Related to VWAP
Average Price Guarantee
Amount (signed) added to the "related to" price specified via DiscretionInst (388), in the context of DiscretionOffsetType (842)
(Prior to FIX 4.4 this field was of type PriceOffset)
For bid lists, unique identifier for BidResponse(35=I) as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day.
For quotes, unique identifier for the bid side of the quote assigned by the quote issuer.
Unique identifier for a Bid Request as assigned by institution. Uniqueness must be guaranteed within a single trading day.
Descriptive name for list order.
Total number of securities.
(Prior to FIX 4.4 this field was named TotalNumSecurities)
Code to identify the type of Bid Request.
"Non Disclosed" style (e.g. US/European)
"Disclosed" sytle (e.g. Japanese)
No bidding process
Total number of tickets.
Amounts in currency
Amounts in currency
Code to identify the type of BidDescriptor (400).
Sector
Country
Index
BidDescriptor value. Usage depends upon BidDescriptorTyp (399).
If BidDescriptorType = 1
Industrials etc - Free text
If BidDescriptorType = 2
"FR" etc - ISO Country Codes
If BidDescriptorType = 3
FT00, FT250, STOX - Free text
Code to identify which "SideValue" the value refers to. SideValue1 and SideValue2 are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
Side Value 1
Side Value 2
Liquidity indicator or lower limit if TotalNumSecurities (393) > 1. Represented as a percentage.
Upper liquidity indicator if TotalNumSecurities (393) > 1. Represented as a percentage.
Value between LiquidityPctLow (402) and LiquidityPctHigh (403) in Currency
Eg Used in EFP trades 2% (EFP - Exchange for Physical ). Represented as a percentage.
Used in EFP trades
Used in EFP trades. Represented as a percentage.
Used in EFP trades
Code to identify the type of liquidity indicator.
5-day moving average
20-day moving average
Normal market size
Other
Overall weighted average liquidity expressed as a % of average daily volume. Represented as a percentage.
Indicates whether or not to exchange for phsyical.
False
True
Value of stocks in Currency
Percentage of program that crosses in Currency. Represented as a percentage.
Code to identify the desired frequency of progress reports.
Buy-side explicitly requests status using Statue Request (default), the sell-side firm can, however, send a DONE status List STatus Response in an unsolicited fashion
Sell-side periodically sends status using List Status. Period optionally specified in ProgressPeriod.
Real-time execution reports (to be discourage)
Time in minutes between each ListStatus report sent by SellSide. Zero means don't send status.
Code to represent whether value is net (inclusive of tax) or gross.
Net
Gross
Indicates the total number of bidders on the list
Code to represent the type of trade.
(Prior to FIX 4.4 this field was named "TradeType")
Agency
VWAP Guarantee
Guaranteed Close
Risk Trade
Code to represent the basis price type.
Closing price at morning session
Closing price
Current price
SQ
VWAP through a day
VWAP through a morning session
VWAP through an afternoon session
VWAP through a day except "YORI" (an opening auction)
VWAP through a morning session except "YORI" (an opening auction)
VWAP through an afternoon session except "YORI" (an opening auction)
Strike
Open
Others
ISO Country Code in field
Total number of strike price entries across all messages. Should be the sum of all NoStrikes (428) in each message that has repeating strike price entries related to the same ListID (66). Used to support fragmentation.
Code to represent the price type.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
For GT orders, the OrderQty (38) less all quantity (adjusted for stock splits) that traded on previous days. DayOrderQty (424) = OrderQty - (CumQty (14) - DayCumQty (425))
Quantity on a GT order that has traded today.
The average price for quantity on a GT order that has traded today.
Code to identify whether to book out executions on a part-filled GT order on the day of execution or to accumulate.
Book out all trades on day of execution
Accumulate executions until order is filled or expires
Accumulate until verbally notified otherwise
Code to represent the status type.
Ack
Response
Timed
Exec Started
All Done
Alert
Code to represent whether value is net (inclusive of tax) or gross.
Net
Gross
Code to represent the status of a list order.
In bidding process
Received for execution
Executing
Cancelling
Alert
All Done
Reject
Date of order expiration (last day the order can trade), always expressed in terms of the local market date. The time at which the order expires is determined by the local market's business practices
Identifies the type of ListExecInst (69).
Immediate
Wait for Execut Instruction (i.e. a List Execut message or phone call before proceeding with execution of the list)
Exchange/switch CIV order - Sell driven
Exchange/switch CIV order - Buy driven, cash top-up (i.e. additional cash will be provided to fulfill the order)
Exchange/switch CIV order - Buy driven, cash withdraw (i.e. additional cash will not be provided to fulfill the order)
Identifies the type of request that a Cancel Reject is in response to.
Order cancel request
Order cancel/replace request
Underlying security's CouponRate.
See CouponRate (223) field for description
Underlying security's ContractMultiplier.
See ContractMultiplier (231) field for description
Quantity traded with the ContraBroker (375).
Identifes the time of the trade with the ContraBroker (375). (always expressed in UTC (Universal Time Coordinated, also known as "GMT")
Number of Securites between LiquidityPctLow (402) and LiquidityPctHigh (403) in Currency.
Used to indicate how the multi-legged security (e.g. option strategies, spreads, etc.) is being reported.
Single security (default if not specified)
Individual leg of a multi-leg security
Multi-leg security
The time at which current market prices are used to determine the value of a basket.
In negotiation workflows where a spread-to-benchmark price is negotiated, this is the pre-determined time at which the benchmark is to be spotted.
Free format text string related to List Status.
Byte length of encoded (non-ASCII characters) EncodedListStatusText (446) field.
Encoded (non-ASCII characters) representation of the ListStatusText (444) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ListStatusText field.
Identifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified.
See "Appendix 6-G - Use of <Parties> Component Block"
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Party identifier/code. See PartyIDSource (447) and PartyRole (452).
See "Appendix 6-G - Use of <Parties> Component Block"
Net change from previous day's closing price vs. last traded price.
Identifies the type or role of the PartyID (448) specified.
See "Appendix 6-G - Use of <Parties> Component Block"
(see Volume : "Glossary" for value definitions)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Alternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.
Identifies class or source of the SecurityAltID (455) value. Required if SecurityAltID is specified.
Valid values:
Same valid values as the SecurityIDSource (22) field
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Alternate Security identifier value for this underlying security of UnderlyingSecurityAltIDSource (459) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires UnderlyingSecurityAltIDSource.
Identifies class or source of the UnderlyingSecurityAltID (458) value. Required if UnderlyingSecurityAltID is specified.
Valid values:
Same valid values as the SecurityIDSource (22) field
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Indicates the type of product the security is associated with. See also the CFICode (461) and SecurityType (167) fields.
AGENCY
COMMODITY
CORPORATE
CURRENCY
EQUITY
GOVERNMENT
INDEX
LOAN
MONEYMARKET
MORTGAGE
MUNICIPAL
OTHER
FINANCING
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. See "Appendix 6-B FIX Fields Based Upon Other Standards". See also the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments.
A subset of possible values applicable to FIX usage are identified in "Appendix 6-D CFICode Usage - ISO 10962 Classification of Financial Instruments (CFI code)"
Underlying security's Product.
Valid values: see Product(460) field
AGENCY
COMMODITY
CORPORATE
CURRENCY
EQUITY
GOVERNMENT
INDEX
LOAN
MONEYMARKET
MORTGAGE
MUNICIPAL
OTHER
FINANCING
Underlying security's CFICode.
Valid values: see CFICode (461) field
Common reference passed to a post-trade booking process (e.g. industry matching utility).
Unique identifier for a specific NoAllocs (78) repeating group instance (e.g. for an AllocAccount).
Specifies which direction to round For CIV - indicates whether or not the quantity of shares/units is to be rounded and in which direction where CashOrdQty (152) or (for CIV only) OrderPercent (516) are specified on an order.
The default is for rounding to be at the discretion of the executing broker or fund manager.
e.g. for an order specifying CashOrdQty or OrderPercent if the calculated number of shares/units was 325.76 and RoundingModulus (469) was 0 - "round down" would give 320 units, 1 - "round up" would give 330 units and "round to nearest" would give 320 units.
Round to nearest
Round down
Round up
For CIV - a float value indicating the value to which rounding is required.
i.e. 0 means round to a multiple of 0 units/shares; 0.5 means round to a multiple of 0.5 units/shares.
The default, if RoundingDirection (468) is specified without RoundingModulus, is to round to a whole unit/share.
ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (48) (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
A two-character state or province abbreviation.
Identifies the locale or region of issue.
Set of Correspondence address details, possibly including phone, fax, etc.
The ISO 366 Country code (2 character) identifying which country the beneficial investor is resident for tax purposes.
"Settlement Payment Reference" - A free format Payment reference to assist with reconciliation, e.g. a Client and/or Order ID number.
A code identifying the payment method for a (fractional) distribution.
13 through 998 are reserved for future use
Values above 1000 are available for use by private agreement among counterparties
CREST
NSCC
Euroclear
Clearstream
Cheque
Telegraphic Transfer
Fed Wire
Direct Credit (BECS, BACS)
ACH Credit
BPAY
High Value Clearing System HVACS
Reinvest In Fund
Specifies currency to be used for Cash Distributions see "Appendix 6-A Valid Currency Codes".
Specifies currency to be use for Commission (12) if the Commission currency is different from the Deal Currency - see "Appendix 6-A; Valid Currency Codes".
For CIV - A one character code identifying whether Cancellation rights/Cooling off period applies.
Yes
No - Execution Only
No - Waiver agreement
No - Institutional
A one character code identifying Money laundering status.
Passed
Not Checked
Exempt - Below the Limit
Exempt - Client Money Type exemption
Exempt - Authorised Credit or financial institution
Free format text to specify mailing instruction requirements, e.g. "no third party mailings".
For CIV A date and time stamp to indicate the time a CIV order was booked by the fund manager.
For derivatives a date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU. Indicates the time at which the order was finalized between the buyer and seller prior to submission.
For CIV - Identifies how the execution price LastPx (31) was calculated from the fund unit/share price(s) calculated at the fund valuation point.
Bid price
Creation price
Creation price plus adjustment percent
Creation price plus adjustment amount
Offer price
Offer price minus adjustment percent
Offer price minus adjustment amount
Single price
For CIV the amount or percentage by which the fund unit/share price was adjusted, as indicated by ExecPriceType (484)
The date of birth applicable to the individual, e.g. required to open some types of tax-exempt account.
Identifies Trade Report message transaction type
(Prior to FIX 4.4 this field was of type char)
New
Cancel
Replace
Release
Reverse
Cancel Due To Back Out of Trade
The name of the payment card holder as specified on the card being used for payment.
The number of the payment card as specified on the card being used for payment.
The expiry date of the payment card as specified on the card being used for payment.
The issue number of the payment card as specified on the card being used for payment. This is only applicable to certain types of card.
A code identifying the Settlement payment method. 16 through 998 are reserved for future use
Values above 1000 are available for use by private agreement among counterparties
CREST
NSCC
Euroclear
Clearstream
Cheque
Telegraphic Transfer
Fed Wire
Debit Card
Direct Debit (BECS)
Direct Credit (BECS)
Credit Card
ACH Debit
ACH Credit
BPAY
High Value Clearing System (HVACS)
CHIPS
S.W.I.F.T.
CHAPS
SIC
euroSIC
For CIV - a fund manager-defined code identifying which of the fund manager's account types is required.
Free format text defining the designation to be associated with a holding on the register. Used to identify assets of a specific underlying investor using a common registration, e.g. a broker's nominee or street name.
For CIV - a code identifying the type of tax exempt account in which purchased shares/units are to be held.
30 - 998 are reserved for future use by recognized taxation authorities
999=Other
values above 1000 are available for use by private agreement among counterparties
None/Not Applicable (default)
Maxi ISA (UK)
TESSA (UK)
Mini Cash ISA (UK)
Mini Stocks And Shares ISA (UK)
Mini Insurance ISA (UK)
Current Year Payment (US)
Prior Year Payment (US)
Asset Transfer (US)
Employee - prior year (US)
Employee - current year (US)
Employer - prior year (US)
Employer - current year (US)
Non-fund prototype IRA (US)
Non-fund qualified plan (US)
Defined contribution plan (US)
Individual Retirement Account (US)
Individual Retirement Account - Rollover (US)
KEOGH (US)
Profit Sharing Plan (US)
401(k) (US)
Self-directed IRA (US)
403(b) (US)
457 (US)
Roth IRA (Fund Prototype) (US)
Roth IRA (Non-prototype) (US)
Roth Conversion IRA (Fund Prototype) (US)
Roth Conversion IRA (Non-prototype) (US)
Education IRA (Fund Prototype) (US)
Education IRA (Non-prototype) (US)
Other
Text indicating reason(s) why a Registration Instruction has been rejected.
A one character code identifying whether the Fund based renewal commission is to be waived.
No
Yes
Name of local agent bank if for cash distributions
BIC (Bank Identification Code--Swift managed) code of agent bank for cash distributions
Account number at agent bank for distributions.
Free format Payment reference to assist with reconciliation of distributions.
Name of account at agent bank for distributions.
The start date of the card as specified on the card being used for payment.
The date written on a cheque or date payment should be submitted to the relevant clearing system.
Identifies sender of a payment, e.g. the payment remitter or a customer reference number.
Registration status as returned by the broker or (for CIV) the fund manager:
Accepted
Rejected
Held
Reminder - i.e. Registration Instructions are still outstanding
Reason(s) why Registration Instructions has been rejected.
The reason may be further amplified in the RegistRejReasonCode field.
Possible values of reason code include:
Invalid/unacceptable Account Type
Invalid/unacceptable Tax Exempt Type
Invalid/unacceptable Ownership Type
Invalid/unacceptable No Reg Details
Invalid/unacceptable Reg Seq No
Invalid/unacceptable Reg Details
Invalid/unacceptable Mailing Details
Invalid/unacceptable Mailing Instructions
Invalid/unacceptable Investor ID
Invalid/unaceeptable Investor ID Source
Invalid/unacceptable Date Of Birth
Invalid/unacceptable Investor Country Of Residence
Invalid/unacceptable No Distrib Instns
Invalid/unacceptable Distrib Percentage
Invalid/unacceptable Distrib Payment Method
Invalid/unacceptable Cash Distrib Agent Acct Name
Invalid/unacceptable Cash Distrib Agent Code
Invalid/unacceptable Cash Distrib Agent Acct Num
Other
Reference identifier for the RegistID (53) with Cancel and Replace RegistTransType (54) transaction types.
Set of Registration name and address details, possibly including phone, fax etc.
Email address relating to Registration name and address details
The amount of each distribution to go to this beneficiary, expressed as a percentage
Unique identifier of the registration details as assigned by institution or intermediary.
Identifies Registration Instructions transaction type
New
Cancel
Replace
For CIV - a date and time stamp to indicate the fund valuation point with respect to which a order was priced by the fund manager.
For CIV specifies the approximate order quantity desired. For a CIV Sale it specifies percentage of investor's total holding to be sold. For a CIV switch/exchange it specifies percentage of investor's cash realised from sales to be re-invested. The executing broker, intermediary or fund manager is responsible for converting and calculating OrderQty (38) in shares/units for subsequent messages.
The relationship between Registration parties.
Joint Investors
Tenants in Common
Joint Trustees
Type of ContAmtValue (520).
NOTE That Commission Amount / % in Contract Amounts is the commission actually charged, rather than the commission instructions given in Fields 2/3.
Commission amount (actual)
Commission percent (actual)
Initial Charge Amount
Initial Charge Percent
Discount Amount
Discount Percent
Dilution Levy Amount
Dilution Levy Percent
Exit Charge Amount
Exit Charge Percent
Fund-Based Renewal Commission Percent (a.k.a. Trail commission)
Projected Fund Value (i.e. for investments intended to realise or exceed a specific future value)
Fund-Based Renewal Commission Amount (based on Order value)
Fund-Based Renewal Commission Amount (based on Projected Fund value)
Net Settlement Amount
Value of Contract Amount, e.g. a financial amount or percentage as indicated by ContAmtType (519).
Specifies currency for the Contract amount if different from the Deal Currency - see "Appendix 6-A; Valid Currency Codes".
Identifies the type of owner.
Individual investor
Public company
Private company
Individual trustee
Company trustee
Pension plan
Custodian under Gifts to Minors Act
Trusts
Fiduciaries
Networking sub-account
Non-profit organization
Corporate body
Nominee
Institutional customer
Combined
Member firm employee or associated person
Market making account
Proprietary account
Non-broker-dealer
Unknown beneficial owner type
Error account of firm
Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.
PartyID value within a nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a nested repeating group.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Assigned by the party which originates the order. Can be used to provide the ClOrdID (11) used by an exchange or executing system.
Assigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.
Designates the capacity of the firm placing the order.
(as of FIX 4.3, this field replaced Rule80A (tag 47) --used in conjunction with OrderRestrictions (529) field)
(see Volume : "Glossary" for value definitions)
Agency
Proprietary
Individual
Principal
Riskless Principal
Agent for Other Member
Mixed capacity
Restrictions associated with an order. If more than one restriction is applicable to an order, this field can contain multiple instructions separated by space.
Program Trade
Index Arbitrage
Non-Index Arbitrage
Competing Market Maker
Acting as Market Maker or Specialist in the security
Acting as Market Maker or Specialist in the underlying security of a derivative security
Foreign Entity (of foreign government or regulatory jurisdiction)
External Market Participant
External Inter-connected Market Linkage
Riskless Arbitrage
Issuer Holding
Issue Price Stabilization
Non-algorithmic
Algorithmic
Cross
Insider Account
Significant Shareholder
Normal Course Issuer Bid (NCIB)
Specifies scope of Order Mass Cancel Request.
Cancel orders for a security
Cancel orders for an underlying security
Cancel orders for a Product
Cancel orders for a CFICode
Cancel orders for a SecurityType
Cancel orders for a trading session
Cancel all orders
Cancel orders for a market
Cancel orders for a market segment
Cancel orders for a security group
Cancel for Security Issuer
Cancel for Issuer of Underlying Security
Specifies the action taken by counterparty order handling system as a result of the Order Mass Cancel Request
Cancel Request Rejected - See MassCancelRejectReason (532)
Cancel orders for a security
Cancel orders for an Underlying Security
Cancel orders for a Product
Cancel orders for a CFICode
Cancel orders for a SecurityType
Cancel orders for a trading session
Cancel All Orders
Cancel orders for a market
Cancel orders for a market segment
Cancel orders for a security group
Cancel Orders for a Securities Issuer
Cancel Orders for Issuer of Underlying Security
Reason Order Mass Cancel Request was rejected
Mass Cancel Not Supported
Invalid or Unknown Security
Invalid or Unkown Underlying security
Invalid or Unknown Product
Invalid or Unknown CFICode
Invalid or Unknown SecurityType
Invalid or Unknown Trading Session
Invalid or unknown Market
Invalid or unkown Market Segment
Invalid or unknown Security Group
Invalid or unknown Security Issuer
Invalid or unknown Issuer of Underlying Security
Other
Total number of orders affected by either the OrderMassActionRequest(MsgType=CA) or OrderMassCancelRequest(MsgType=Q).
OrderID(37) of an order affected by a mass cancel or mass action request.
SecondaryOrderID(198) of an order affected by a mass cancel or mass action request.
Identifies the type of quote.
An indicative quote is used to inform a counterparty of a market. An indicative quote does not result directly in a trade.
A tradeable quote is submitted to a market and will result directly in a trade against other orders and quotes in a market.
A restricted tradeable quote is submitted to a market and within a certain restriction (possibly based upon price or quantity) will automatically trade against orders. Order that do not comply with restrictions are sent to the quote issuer who can choose to accept or decline the order.
A counter quote is used in the negotiation model. See Volume 7 - Product: Fixed Income for example usage.
Indicative
Tradeable
Restricted tradeable
Counter (tradeable)
Initially tradeable
PartyRole value within a nested repeating group.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Total Amount of Accrued Interest for convertible bonds and fixed income
Date of maturity.
Underlying security's maturity date.
See MaturityDate (541) field for description
Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value "ZZ" to specify physical ownership of the security (e.g. stock certificate).
Identifies whether an order is a margin order or a non-margin order. This is primarily used when sending orders to Japanese exchanges to indicate sell margin or buy to cover. The same tag could be assigned also by buy-side to indicate the intent to sell or buy margin and the sell-side to accept or reject (base on some validation criteria) the margin request.
Cash
Margin Open
Margin Close
PartySubID value within a nested repeating group.
Same values as PartySubID (523)
Specifies the market scope of the market data.
Local Market (Exchange, ECN, ATS)
National
Global
Defines how a server handles distribution of a truncated book. Defaults to broker option.
Server must send an explicit delete for bids or offers falling outside the requested MarketDepth of the request
Client has responsibility for implicitly deleting bids or offers falling outside the MarketDepth of the request
Identifier for a cross order. Must be unique during a given trading day. Recommend that firms use the order date as part of the CrossID for Good Till Cancel (GT) orders.
Type of cross being submitted to a market
All-or-none cross
Immediate-or-cancel cross
One sided cross
Cross executed against book
Basis cross
Contingent cross
Volume-weighted-average-price (VWAP) cross
Special trading session cross
Customer to customer cross
Indicates if one side or the other of a cross order should be prioritized.
The definition of prioritization is left to the market. In some markets prioritization means which side of the cross order is applied to the market first. In other markets - prioritization may mean that the prioritized side is fully executed (sometimes referred to as the side being protected).
None
Buy side is prioritized
Sell side is prioritized
CrossID of the previous cross order (NOT the initial cross order of the day) as assigned by the institution, used to identify the previous cross order in Cross Cancel and Cross Cancel/Replace Requests.
Userid or username.
Password or passphrase.
Currency associated with a particular Leg's quantity
Used to support fragmentation. Indicates total number of security types when multiple Security Type messages are used to return results.
Identifies the type/criteria of Security List Request
Symbol
SecurityType and/or CFICode
Product
TradingSessionID
All Securities
MarketID or MarketID + MarketSegmentID
The results returned to a Security Request message
Valid request
Invalid or unsupported request
No instruments found that match selection criteria
Not authorized to retrieve instrument data
Instrument data temporarily unavailable
Request for instrument data not supported
The trading lot size of a security
The minimum order quantity (as expressed by TradeVolType(1786)) that can be submitted for a security.
Indicates the method of execution reporting requested by issuer of the order.
Report by mulitleg security only (do not report legs)
Report by multileg security and by instrument legs belonging to the multileg security
Report by instrument legs belonging to the multileg security only (do not report status of multileg security)
PositionEffect for leg of a multileg
See PositionEffect (77) field for description
Close
FIFO
Open
Rolled
Close but notify on open
Default
CoveredOrUncovered for leg of a multileg
See CoveredOrUncovered (203) field for description
Covered
Uncovered
Price for leg of a multileg
See Price (44) field for description
Indicates the reason a Trading Session Status Request was rejected.
Unknown or invalid TradingSessionID
Other
Trade Capture Report Request ID
Type of Trade Capture Report.
All Trades
Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
Unmatched trades that match criteria
Unreported trades that match criteria
Advisories that match criteria
Indicates if the trade capture report was previously reported to the counterparty or market.
Not reported to counterparty or market
Previously reported to counterparty or market
Unique identifier of trade capture report
Reference identifier used with CANCEL and REPLACE transaction types.
The status of this trade with respect to matching or comparison.
Compared, matched or affirmed
Uncompared, unmatched, or unaffirmed
Advisory or alert
The point in the matching process at which this trade was matched.
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator plus four badges and execution time (within two-minute window)
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus four badges
ACT Accepted Trade
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges and execution time (within two-minute window)
ACT Default Trade
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges
ACT Default After M2
Exact match on Trade Date, Stock Symbol, Quantity, Price, TradeType, and Special Trade Indicator plus execution time (within two-minute window)
ACT M6 Match
Compared records resulting from stamped advisories or specialist accepts/pair-offs
Summarized match using A1 exact match criteria except quantity is summaried
Summarized match using A2 exact match criteria except quantity is summarized
Summarized match using A3 exact match criteria except quantity is summarized
Summarized match using A4 exact match criteria except quantity is summarized
Summarized match using A5 exact match criteria except quantity is summarized
Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator minus badges And times: ACT M1 match
Summarized match minus badges and times: ACT M2 Match
OCS Locked In: Non-ACT
One-Party Trade Report (privately negotiated trade)
Two-Party Trade Report (privately negotiated trade)
Confirmed Trade Report (reporting from recognized markets)
Auto-match
Cross Auction
Counter-Order Selection
Call Auction
Issuing/Buy Back Auction
Systematic Internaliser (SI)
Auto-match with last look
Cross auction with last look
This trade is to be treated as an odd lot
If this field is not specified, the default will be "N"
Treat as round lot (default)
Treat as odd lot
Eligibility of this trade for clearing and central counterparty processing.
Process normally
Exclude from all netting
Bilateral netting only
Ex clearing
Special trade
Multilateral netting
Clear against central counterparty
Exclude from central counterparty
Manual mode (pre-posting and/or pre-giveup)
Automatic posting mode (trade posting to the position account number specified)
Automatic give-up mode (trade give-up to the give-up destination number specified)
Qualified Service Representative QSR
Customer trade
Self clearing
Buy-in
Type of input device or system from which the trade was entered.
Specific device number, terminal number or station where trade was entered
Type of account associated with an order
Account is carried on customer side of the books
Account is carried on non-customer side of books
House Trader
Floor Trader
Account is carried on non-customer side of books and is cross margined
Account is house trader and is cross margined
Joint back office account (JBO)
Equities specialist
Options market maker
Options firm account
Capacity of customer placing the order.
Member trading for their own account
Clearing firm trading for its proprietary account
Member trading for another member
All other
Retail customer
Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade.
Value assigned by issuer of Mass Status Request to uniquely identify the request
Mass Status Request Type
Status for orders for a Security
Status for orders for an Underlying Security
Status for orders for a Product
Status for orders for a CFICode
Status for orders for a SecurityType
Status for orders for a trading session
Status for all orders
Status for orders for a PartyID
Status for Security Issuer
Status for Issuer of Underlying Security
The most recent (or current) modification TransactTime (tag 60) reported on an Execution Report for the order. The OrigOrdModTime is provided as an optional field on Order Cancel Request and Order Cancel Replace Requests to identify that the state of the order has not changed since the request was issued. The use of this approach is not recommended.
Indicates order settlement period. If present, LegSettlDate (588) overrides this field. If both LegSettlType (587) and LegSettDate (588) are omitted, the default for LegSettlType (587) is 0 (Regular)
Regular is defined as the default settlement period for the particular security on the exchange of execution.
In Fixed Income the contents of this field may influence the instrument definition if the LegSecurityID (602) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.
Additionally the following patterns may be uses as well as enum values
Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0
Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0
Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0
Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0.
Note that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.
Regular / FX Spot settlement (T+1 or T+2 depending on currency)
Cash (TOD / T+0)
Next Day (TOM / T+1)
T+2
T+3
T+4
Future
When And If Issued
Sellers Option
T+5
Broken date
FX Spot Next settlement (Spot+1, aka next day)
Refer to description for SettlDate[64]
Indicates whether or not automatic booking can occur.
Can trigger booking without reference to the order initiator ("auto")
Speak with order initiator before booking ("speak first")
Accumulate
Indicates what constitutes a bookable unit.
Each partial execution is a bookable unit
Aggregate partial executions on this order, and book one trade per order
Aggregate executions for this symbol, side, and settlement date
Indicates the method of preallocation.
Pro rata
Do not pro-rata - discuss first
Underlying security's CountryOfIssue.
See CountryOfIssue (470) field for description
Underlying security's StateOrProvinceOfIssue.
See StateOrProvinceOfIssue (471) field for description
Underlying security's LocaleOfIssue.
See LocaleOfIssue (472) field for description
Underlying security's InstrRegistry.
See InstrRegistry (543) field for description
Multileg instrument's individual leg security's CountryOfIssue.
See CountryOfIssue (470) field for description
Multileg instrument's individual leg security's StateOrProvinceOfIssue.
See StateOrProvinceOfIssue (471) field for description
Multileg instrument's individual leg security's LocaleOfIssue.
See LocaleOfIssue (472) field for description
Multileg instrument's individual leg security's InstrRegistry.
See InstrRegistry (543) field for description
Multileg instrument's individual security's Symbol.
See Symbol (55) field for description
Multileg instrument's individual security's SymbolSfx.
See SymbolSfx (65) field for description
EUCP with lump-sum interest rather than discount price
"When Issued" for a security to be reissued under an old CUSIP or ISIN
Multileg instrument's individual security's SecurityID.
See SecurityID (48) field for description
Multileg instrument's individual security's SecurityIDSource.
See SecurityIDSource (22) field for description
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Multileg instrument's individual security's SecurityAltID.
See SecurityAltID (455) field for description
Multileg instrument's individual security's SecurityAltIDSource.
See SecurityAltIDSource (456) field for description
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Multileg instrument's individual security's Product.
See Product (460) field for description
AGENCY
COMMODITY
CORPORATE
CURRENCY
EQUITY
GOVERNMENT
INDEX
LOAN
MONEYMARKET
MORTGAGE
MUNICIPAL
OTHER
FINANCING
Multileg instrument's individual security's CFICode.
See CFICode (461) field for description
Refer to definition of SecurityType(167)
Euro Supranational Coupons *
Corporate Bond
Foreign Exchange Contract
Common Stock
Repurchase
Brady Bond
Term Loan
Bankers Acceptance
Asset-backed Securities
Other Anticipation Notes (BAN, GAN, etc.)
Mutual Fund
Federal Agency Coupon
Corporate Private Placement
Preferred Stock
Forward
Canadian Treasury Notes
Revolver Loan
Bank Depository Note
Canadian Mortgage Bonds
Certificate Of Obligation
Multileg Instrument
Non-deliverable forward
Cap
Federal Agency Discount Note
Convertible Bond
Credit Default Swap
Buy Sellback
Canadian Treasury Bills
Revolver/Term Loan
Bank Notes
Corp. Mortgage-backed Securities
Certificate Of Participation
No Security Type
FX Spot
US Treasury Note (Deprecated Value Use TNOTE)
Private Export Funding *
Dual Currency
Securities Loan
Euro Sovereigns *
Bridge Loan
Bill Of Exchanges
Collateralized Mortgage Obligation
General Obligation Bonds
FX Forward
Collar
US Treasury Bill (Deprecated Value Use TBILL)
USD Supranational Coupons *
Euro Corporate Bond
Securities Pledge
Canadian Provincial Bonds
Letter Of Credit
Canadian Money Markets
IOETTE Mortgage
Mandatory Tender
FX Swap
Commodity swap
Euro Corporate Floating Rate Notes
Treasury Bill - non US
Swing Line Facility
Certificate Of Deposit
Mortgage-backed Securities
Revenue Anticipation Note
Wildcard entry for use on Security Definition Request
Delivery versus pledge
Exotic
US Corporate Floating Rate Notes
Options on Combo
US Treasury Bond
Debtor In Possession
Call Loans
Mortgage Interest Only
Revenue Bonds
Cash
Floor
Collateral basket
Indexed Linked
Interest Strip From Any Bond Or Note
Defaulted
Commercial Paper
Mortgage Principal Only
Special Assessment
Forward Rate Agreement
Structured Notes
Future
US Treasury Bill
Treasury Inflation Protected Securities
Withdrawn
Deposit Notes
Mortgage Private Placement
Special Obligation
Yankee Corporate Bond
Principal Strip Of A Callable Bond Or Note
Replaced
Euro Certificate Of Deposit
Miscellaneous Pass-through
Special Tax
Derivative forward
Interest Rate Swap
Principal Strip From A Non-Callable Bond Or Note
Matured
Euro Commercial Paper
Pfandbriefe *
Tax Anticipation Note
Total return swap
US Treasury Note
Amended & Restated
Liquidity Note
To Be Announced
Tax Allocation
Loan/lease
Retired
Medium Term Notes
Tax Exempt Commercial Paper
Options on Futures
Overnight
Taxable Municipal CP
Options on Physical - use not recommended
Promissory Note
Short Term Loan Note
Tax Revenue Anticipation Note
Option
Plazos Fijos
Variable Rate Demand Note
Secured Liquidity Note
Warrant
Spot forward
Time Deposit
Swap option
Transmission
Term Liquidity Note
General type for a contract based on an established index
Extended Comm Note
Bond basket
Yankee Certificate Of Deposit
Contract for difference
Correlation swap
Dividend swap
Equity basket
Equity forward
Return swap
Variance swap
Multileg instrument's individual security's MaturityMonthYear.
See MaturityMonthYear (200) field for description
Multileg instrument's individual security's MaturityDate.
See MaturityDate (54) field for description
Multileg instrument's individual security's StrikePrice.
See StrikePrice (202) field for description
Multileg instrument's individual security's OptAttribute.
See OptAttribute (206) field for description
Multileg instrument's individual security's ContractMultiplier.
See ContractMultiplier (23) field for description
Multileg instrument's individual security's CouponRate.
See CouponRate (223) field for description
Multileg instrument's individual security's SecurityExchange.
See SecurityExchange (207) field for description
Multileg instrument's individual security's Issuer.
See Issuer (106) field for description
Multileg instrument's individual security's EncodedIssuerLen.
See EncodedIssuerLen (348) field for description
Multileg instrument's individual security's EncodedIssuer.
See EncodedIssuer (349) field for description
Description of a leg of a multileg instrument.
See SecurityDesc(107).
Multileg instrument's individual security's EncodedSecurityDescLen.
See EncodedSecurityDescLen (350) field for description
Multileg instrument's individual security's EncodedSecurityDesc.
See EncodedSecurityDesc (35) field for description
The ratio of quantity for this individual leg relative to the entire multileg security.
The side of this individual leg (multileg security).
See Side (54) field for description and values
Buy
Sell
Buy minus
Sell plus
Sell short
Sell short exempt
Undisclosed
Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
Cross short
Cross short exempt
"As Defined" (for use with multileg instruments)
"Opposite" (for use with multileg instruments)
Subscribe (e.g. CIV)
Redeem (e.g. CIV)
Lend (FINANCING - identifies direction of collateral)
Borrow (FINANCING - identifies direction of collateral)
Sell undisclosed
Optional market assigned sub identifier for a trading phase within a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility
Pre-Trading
Opening or opening auction
(Continuous) Trading
Closing or closing auction
Post-Trading
Scheduled intraday auction
Quiescent
Any auction
Unscheduled intraday auction
Out of main session trading
Private auction
Public auction
Group auction
Describes the specific type or purpose of an Allocation message (i.e. "Buyside Calculated")
(see Volume : "Glossary" for value definitions)
*** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***
Calculated (includes MiscFees and NetMoney)
Preliminary (without MiscFees and NetMoney)
Sellside calculated using preliminary (includes MiscFees and NetMoney) (Replaced)
Sellside calculatedd without preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney) (Replaced)
Ready-To-Book single order
Buyside Ready-To-Book - combined set of orders (replaced)
Warehouse instruction
Request to intermediary
Accept
Reject
Accept Pending
Incomplete group
Complete group
Reversal Pending
Reopen group
Cancel group
Give-up
Take-up
Refuse take-up
Initiate reversal
Reverse
Refuse reversal
Sub-allocation give-up
Approve give-up
Approve take-up
Assigned value used to identify the third party firm which delivered a specific message either from the firm which originated the message or from another third party (if multiple "hops" are performed). It is recommended that this value be the SenderCompID (49) of the third party.
Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.
Time that HopCompID (628) sent the message. It is recommended that this value be the SendingTime (52) of the message sent by the third party.
Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.
Reference identifier assigned by HopCompID (628) associated with the message sent. It is recommended that this value be the MsgSeqNum (34) of the message sent by the third party.
Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.
Mid price/rate.
For OTC swaps this is the mid-market mark (for example, as defined by CFTC).
For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.
Bid yield
Mid yield
Offer yield
Indicates type of fee being assessed of the customer for trade executions at an exchange. Applicable for futures markets only at this time.
(Values source CBOT, CME, NYBOT, and NYMEX):
1st year delegate trading for own account
2nd year delegate trading for own account
3rd year delegate trading for own account
4th year delegate trading for own account
5th year delegate trading for own account
6th year delegate trading for own account
CBOE Member
Non-member and Customer
Equity Member and Clearing Member
Full and Associate Member trading for own account and as floor brokers
106.H and 106.J firms
GIM, IDEM and COM Membership Interest Holders
Lessee 106.F Employees
All other ownership types
Indicates if the order is currently being worked. Applicable only for OrdStatus = "New". For open outcry markets this indicates that the order is being worked in the crowd. For electronic markets it indicates that the order has transitioned from a contingent order to a market order.
Order has been accepted but not yet in a working state
Order is currently being worked
Execution price assigned to a leg of a multileg instrument.
See LastPx (31) field for description and values
Indicates if a Cancel/Replace has caused an order to lose book priority.
Priority unchanged
Lost Priority as result of order change
Amount of price improvement.
Price of the future part of a F/X swap order.
See Price (44) for description.
F/X forward points of the future part of a F/X swap order added to LastSpotRate (94). May be a negative value.
Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value.
Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value.
RFQ Request ID - used to identify an RFQ Request.
Used to indicate the best bid in a market
Used to indicate the best offer in a market
Used to indicate a minimum quantity for a bid.
Used to indicate a minimum quantity for an offer. If this field is used the OfferSize (135) field is interpreted as the maximum offer size.
Unique identifier for Quote Status Request.
Indicates that this message is to serve as the final and legal confirmation.
Does not consitute a Legal Confirm
Legal Confirm
The calculated or traded price for the underlying instrument that corresponds to a derivative. Used for transactions that include the cash instrument and the derivative.
The calculated or traded quantity for the underlying instrument that corresponds to a derivative. Used for transactions that include the cash instrument and the derivative.
Unique identifier for a specific leg (uniqueness not defined as part of the FIX specification). LegRefID(654) be used to reference the value from LegID(1788).
Unique indicator for a specific leg for the ContraBroker (375).
Foreign exchange rate used to compute the bid "SettlCurrAmt" (119) from Currency (15) to SettlCurrency (120)
Foreign exchange rate used to compute the offer "SettlCurrAmt" (119) from Currency (15) to SettlCurrency (120)
Reason Quote was rejected:
Unknown Symbol (Security)
Exchange (Security) Closed
Quote Request Exceeds Limit
Too Late to enter
Invalid Price
Not Authorized To Request Quote
No Match For Inquiry
No Market For Instrument
No Inventory
Pass
Insufficient credit
Exceeded clip size limit
Exceeded maximum notional order amount
Exceeded DV01/PV01 limit
Exceeded CS01 limit
Other
ID within repeating group of sides which is used to represent this transaction for compliance purposes (e.g. OATS reporting).
Used to identify the source of the Account (1) code. This is especially useful if the account is a new account that the Respondent may not have setup yet in their system.
BIC
SID Code
TFM (GSPTA)
OMGEO (Alert ID)
DTCC Code
Other (custom or proprietary)
Used to identify the source of the AllocAccount (79) code.
See AcctIDSource (660) for valid values.
BIC
SID Code
TFM (GSPTA)
OMGEO (Alert ID)
DTCC Code
Other (custom or proprietary)
Specifies the price of the benchmark.
Identifies type of BenchmarkPrice (662).
See PriceType (423) for valid values.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
Message reference for Confirmation
Identifies the status of the Confirmation.
Received
Mismatched Account
Missing Settlement Instructions
Confirmed
Request Rejected
Identifies the Confirmation transaction type.
New
Replace
Cancel
Specifies when the contract (i.e. MBS/TBA) will settle.
Identifies the form of delivery.
Book Entry (default)
Bearer
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx (31) is expressed in Yield, Spread, Discount or any other type.
Usage: Execution Report and Allocation Report repeating executions block (from sellside).
Allocation Account for the leg
See AllocAccount (79) for description and valid values.
Reference for the individual allocation ticket
See IndividualAllocID (467) for description and valid values.
Leg allocation quantity.
See AllocQty (80) for description and valid values.
The source of the LegAllocAccount (671)
See AllocAcctIDSource (661) for description and valid values.
Identifies settlement currency for the Leg.
See SettlCurrency (20) for description and valid values
LegBenchmarkPrice (679) currency
See BenchmarkCurveCurrency (220) for description and valid values.
Name of the Leg Benchmark Curve.
See BenchmarkCurveName (22) for description and valid values.
EONIA
EUREPO
EURIBOR (deprecated use enum EURIBOR instead)
FutureSWAP
LIBID
LIBOR (London Inter-Bank Offer)
MuniAAA
OTHER
Pfandbriefe
SONIA
SWAP
Treasury
US Federal Reserve fed funds effective rate
US fed funds target rate
Euro interbank offer rate
Identifies the point on the Leg Benchmark Curve.
See BenchmarkCurvePoint (222) for description and valid values.
Used to identify the price of the benchmark security.
See BenchmarkPrice (662) for description and valid values.
The price type of the LegBenchmarkPrice(679).
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
Bid price of this leg.
See BidPx (32) for description and valid values.
Leg-specific IOI quantity.
See IOIQty (27) for description and valid values
Small
Medium
Large
Undisclosed Quantity
Offer price of this leg.
See OfferPx (133) for description and valid values
Quantity ordered of this leg.
See OrderQty (38) for description and valid values
The price type of the LegBidPx (681) and/or LegOfferPx (684).
See PriceType (423) for description and valid values
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
This field is deprecated and has been replaced by LegOrderQty(865). This field will likely be removed from the FIX standard in a future version.
For Fixed Income, type of Stipulation for this leg.
See StipulationType (233) for description and valid values
Alternative Minimum Tax (Y/N)
Absolute Prepayment Speed
Incurred recovery (Y/N)
Auto Reinvestment at <rate> or better
Constant Prepayment Penalty
Additional term
Bank qualified (Y/N)
Constant Prepayment Rate
Modified equity delivery
Bargain conditions (see StipulationValue (234) for values)
Constant Prepayment Yield
No reference obligation (Y/N)
Coupon range
final CPR of Home Equity Prepayment Curve
Unknown reference obligation (Y/N)
ISO Currency Code
Percent of Manufactured Housing Prepayment Curve
All guarantees (Y/N)
Custom start/end date
Monthly Prepayment Rate
Reference price (Y/N)
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])
Percent of Prospectus Prepayment Curve
Reference policy (Y/N)
Valuation Discount
Percent of BMA Prepayment Curve
Secured list (Y/N)
Insured (Y/N)
Single Monthly Mortality
Year Or Year/Month of Issue (ex. 234=2002/09)
Issuer's ticker
issue size range
Lookback Days
Explicit lot identifier
Lot Variance (value in percent maximum over- or under-allocation allowed)
Maturity Year And Month
Maturity range
Maximum substitutions (Repo)
Minimum denomination
Minimum increment
Minimum quantity
Payment frequency, calendar
Number Of Pieces
Pools Maximum
Pools per Lot
Pools per Million
Pools per Trade
Price Range
Pricing frequency
Production Year
Call protection
Purpose
Benchmark price source
Rating source and range
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible
Restricted (Y/N)
Market Sector
Security Type included or excluded
Structure
Substitutions frequency (Repo)
Substitutions left (Repo)
Freeform Text
Trade Variance (value in percent maximum over- or under-allocation allowed)
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])
Weighted Average Life Coupon - value in percent (exact or range)
Weighted Average Loan Age - value in months (exact or range)
Weighted Average Maturity - value in months (exact or range)
Whole Pool (Y/N)
Yield Range
Average FICO Score
Original amount
Average Loan Size
Pool effective date
Maximum Loan Balance
Pool initial factor
Pool Identifier
Tranche identifier
Type of Roll trade
Substitution (Y/N)
reference to rolling or closing trade
Multiple exchange fallback (Y/N)
principal of rolling or closing trade
Component security fallback (Y/N)
interest of rolling or closing trade
Local jurisdiction (Y/N)
Available offer quantity to be shown to the street
Relevant jurisdiction (Y/N)
Broker's sales credit
Offer price to be shown to internal brokers
Offer quantity to be shown to internal brokers
The minimum residual offer quantity
Maximum order size
Order quantity increment
Primary or Secondary market indicator
Broker sales credit override
Trader's credit
Discount Rate (when price is denominated in percent of par)
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)
For Fixed Income, value of stipulation.
See StipulationValue (234) for description and valid values
For Fixed Income, used instead of LegOrderQty(685) to requests the respondent to calculate the quantity based on the quantity on the opposite side of the swap.
Par For Par
Modified Duration
Risk
Proceeds
For Fixed Income, identifies MBS / ABS pool.
Code to represent price type requested in Quote.
If the Quote Request is for a Swap, values 1-8 apply to all legs.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed Amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points relative to benchmark)
TED Price
TED Yield
Yield Spread (swaps)
Yield
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
Message reference for Quote Response
Identifies the type of Quote Response.
Hit/Lift
Counter
Expired
Cover
Done away
Pass
End trade
Timed out
Tied
Tied cover
Code to qualify Quote use and other aspects of price negotiation.
All or None (AON)
Market On Close (MOC) (held to close)
At the close (around/not held to close)
VWAP (Volume Weighted Average Price)
Axe
Axe on bid
Axe on offer
Client natural working
In touch with
Position wanted
Market making
Limit
More Behind
Client natural block
At the Open
Taking a Position
At the Market (previously called Current Quote)
Ready to Trade
Inventory or Portfolio Shown
Through the Day
Unwind
Versus
Indication - Working Away
Crossing Opportunity
At the Midpoint
Pre-open
Quantity is negotiable
Allow late bids
Immediate or counter
Auto trade
Automatic spot
Platform calculated spot
Outside spread
Deferred spot
Negotiated spot
Date to which the yield has been calculated (i.e. maturity, par call or current call, pre-refunded date).
Price to which the yield has been calculated.
The price type of the YieldRedemptionPrice (697)
See PriceType (423) for description and valid values.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
The identifier of the benchmark security, e.g. Treasury against Corporate bond.
See SecurityID (tag 48) for description and valid values.
Indicates a trade that reverses a previous trade.
Include as needed to clarify yield irregularities associated with date, e.g. when it falls on a non-business day.
Used to identify the type of quantity that is being returned.
Allocation Trade Qty
Option Assignment
As-of Trade Qty
Delivery Qty
Electronic Trade Qty
Option Exercise Qty
End-of-Day Qty
Intra-spread Qty
Inter-spread Qty
Adjustment Qty
Pit Trade Qty
Start-of-Day Qty
Integral Split
Transaction from Assignment
Total Transaction Qty
Transaction Quantity
Transfer Trade Qty
Transaction from Exercise
Cross Margin Qty
Receive Quantity
Corporate Action Adjustment
Delivery Notice Qty
Exchange for Physical Qty
Privately negotiated Trade Qty (Non-regulated)
Net Delta Qty
Credit Event Adjustment
Succession Event Adjustment
Net Qty
Gross Qty
Intraday Qty
Gross non-delta-adjusted swaption position
Delta-adjusted paired swaption position
Expiring quantity
Quantity not exercised
Requested exercise quantity
Cash futures equivalent quantity
Long quantity.
Short quantity.
Status of this position.
Submitted
Accepted
Rejected
Type of Position amount
Cash amount (corporate event)
Cash residual amount
Final mark-to-market amount
Incremental mark-to-market
Premium amount
Start of day mark-to-market
Trade variation amount
Value adjusted amount
Settlement value
Initial trade coupon amount
Accrued coupon amount
Coupon amount
Incremental accrued coupon
Collateralized mark-to-market
Incremental collateralized mark-to-market
Compensation amount
Total banked amount
Total collateralized amount
Long paired swap or swaption notional value
Short paired swap or swaption notional value
Start-of-day accrued coupon
Net present value
Start-of-day net present value
Net cash flow
Present value of all fees
Present value of one basis points
The five year equivalent notional amount
Undiscounted mark-to-market
Mark-to-model
Mark-to-market variance
Mark-to-model variance
Upfront payment
Position amount
Identifies the type of position transaction.
Exercise
Do not exercise
Position adjustment
Position change submission / margin disposition
Pledge
Large trader submission
Large positions reporting submission
Long holdings
Internal transfer
Transfer of firm
External transfer
Corporate action
Notification
Position creation
Close out
Reopen
Unique identifier for the position maintenance request as assigned by the submitter
Maintenance Action to be performed.
New
Replace
Cancel
Reverse
Reference to the PosReqID (710) of a previous maintenance request that is being replaced or canceled.
Reference to a PosMaintRptID (721) from a previous Position Maintenance Report that is being replaced or canceled.
The business date for which the trade is expected to be cleared.
Identifies a specific settlement session
Intraday
Regular Trading Hours
Electronic Trading Hours
End Of Day
SubID value associated with SettlSessID(716)
Type of adjustment to be applied. Used for Position Change Submission (PCS), Position Adjustment (PAJ), and Customer Gross Margin (CGM).
Process request as margin disposition
Delta plus
Delta minus
Final
Customer specific position
Used to indicate when a contrary instruction for exercise or abandonment is being submitted
Indicates if requesting a rollover of prior day's spread submissions.
Unique identifier for this position report
Status of Position Maintenance Request
Accepted
Accepted With Warnings
Rejected
Completed
Completed With Warnings
Result of Position Maintenance Request.
Successful Completion - no warnings or errors
Rejected
Other
Used to specify the type of position request being made.
Positions
Trades
Exercises
Assignments
Settlement Activity
Backout Message
Delta Positions
Net Position
Large Positions Reporting
Exercise Position Reporting Submission
Position Limit Reporting Submission
Identifies how the response to the request should be transmitted.
Details specified via ResponseDestination (726).
In-band (default)
Out of band
URI (Uniform Resource Identifier) for details) or other pre-arranged value. Used in conjunction with ResponseTransportType (725) value of Out-of-Band to identify the out-of-band destination.
See "Appendix 6-B FIX Fields Based Upon Other Standards"
Total number of Position Reports being returned.
Result of Request for Positions.
Valid request
Invalid or unsupported request
No positions found that match criteria
Not authorized to request positions
Request for position not supported
Other (use Text (58) in conjunction with this code for an explaination)
Status of Request for Positions
Completed
Completed With Warnings
Rejected
Settlement price
Type of settlement price
Final
Theoretical
Underlying security's SettlPrice.
See SettlPrice (730) field for description
Underlying security's SettlPriceType.
See SettlPriceType (731) field for description
Final
Theoretical
Previous settlement price
Currency code of settlement denomination for a specific AllocAccount (79).
Total amount due expressed in settlement currency (includes the effect of the forex transaction) for a specific AllocAccount (79).
Amount of interest (i.e. lump-sum) at maturity.
The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date
For Fixed Income, identifies MBS / ABS pool for a specific leg of a multi-leg instrument.
See Pool (691) for description and valid values.
Amount of interest (i.e. lump-sum) at maturity at the account-level.
Amount of Accrued Interest for convertible bonds and fixed income at the allocation-level.
Date of delivery.
Method by which short positions are assigned to an exercise notice during exercise and assignment processing
Pro rata
Random
Quantity Increment used in performing assignment.
Open interest that was eligible for assignment.
Exercise Method used to in performing assignment.
Automatic
Manual
Total number of trade reports returned.
Result of Trade Request
Successful (default)
Invalid or unknown instrument
Invalid type of trade requested
Invalid parties
Invalid transport type requested
Invalid destination requested
TradeRequestType not supported
Not authorized
Other
Status of Trade Request.
Accepted
Completed
Rejected
Reason Trade Capture Request was rejected.
100+ Reserved and available for bi-laterally agreed upon user-defined values.
Successful (default)
Invalid party information
Unknown instrument
Unauthorized to report trades
Invalid trade type
Price exceeds current price band
Reference price not available
Notional value exceeds threshold
Other
Used to indicate if the side being reported on Trade Capture Report represents a leg of a multileg instrument or a single security.
Single Security (default if not specified)
Individual leg of a multileg security
Multileg Security
Identifies whether or not an allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House.
Unique identifier for Allocation Report message.
PartyID value within a "second instance" Nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a "second instance" Nested repeating group.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within a "second instance" Nested repeating group.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within a "second instance" Nested repeating group.
Same values as PartySubID (523)
Identifies class or source of the BenchmarkSecurityID (699) value. Required if BenchmarkSecurityID is specified.
Same values as the SecurityIDSource (22) field
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Sub-type qualification/identification of the SecurityType. As an example for SecurityType(167)="REPO", the SecuritySubType="General Collateral" can be used to further specify the type of REPO.
If SecuritySubType is used, then SecurityType is required.
For SecurityType="MLEG" a name of the option or futures strategy name can be specified, such as "Calendar", "Vertical", "Butterfly".
For SecurityType(167)="OPT" the subclassification can be specified, such as "Asian".
For SecurityType(167)="SWAPTION" a value of "Straddle" is used to identify a straddle swaption.
Underlying security's SecuritySubType.
See SecuritySubType (762) field for description
SecuritySubType of the leg instrument.
See SecuritySubType (762) field for description
The maximum percentage that execution of one side of a program trade can exceed execution of the other.
The maximum amount that execution of one side of a program trade can exceed execution of the other.
The currency that AllowableOneSidednessValue (766) is expressed in if AllowableOneSidednessValue is used.
Traded / Regulatory timestamp value. Use to store time information required by government regulators or self regulatory organizations (such as an exchange or clearing house).
Trading / Regulatory timestamp type.
Note of Applicability: values are required in US futures markets by the CFTC to support computerized trade reconstruction.
(see Volume : "Glossary" for value definitions)
Execution time
Time in
Time out
Broker receipt
Broker execution
Desk receipt
Submission to clearing
Time priority
Orderbook entry time
Order submission time
Publicly reported
Public report updated
Non-publicly reported
Non-public report updated
Submitted for confirmation
Updated for confirmation
Confirmed
Updated for clearing
Cleared
Allocations submitted
Allocations updated
Application completed
Submitted to repository
Post-trade continuation event
Post-trade valuation
Previous time priority
Text which identifies the "origin" (i.e. system which was used to generate the time stamp) for the Traded / Regulatory timestamp value.
Reference identifier to be used with ConfirmTransType (666) = Replace or Cancel
Identifies the type of Confirmation message being sent.
Status
Confirmation
Confirmation Request Rejected (reason can be stated in Text (58) field)
Identifies the reason for rejecting a Confirmation.
Incorrect or missing account
Incorrect or missing settlement instructions
Unknown or missing IndividualAllocId(467)
Transaction not recognized
Duplicate transaction
Incorrect or missing instrument
Incorrect or missing price
Incorrect or missing commission
Incorrect or missing settlement date
Incorrect or missing fund ID or fund name
Incorrect or missing quantity
Incorrect or missing fees
Incorrect or missing tax
Incorrect or missing party
Incorrect or missing side
Incorrect or missing net-money
Incorrect or missing trade date
Incorrect or missing settlement currency instructions
Incorrect or missing capacity
Other
Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar).
Regular booking
CFD (Contract for difference)
Total Return Swap
Identified reason for rejecting an individual AllocAccount (79) detail.
Same values as AllocRejCode (88)
Unknown or missing account(s)
Incorrect or missing block quantity
Incorrect or missing average price
Unknown executing broker mnemonic
Incorrect or missing commission
Unknown OrderID (37)
Unknown ListID (66)
Other (further in Text (58))
Incorrect or missing allocated quantity
Calculation difference
Unknown or stale ExecID
Mismatched data
Unknown ClOrdID
Warehouse request rejected
Duplicate or missing IndividualAllocId(467)
Trade not recognized
Trade previously allocated
Incorrect or missing instrument
Incorrect or missing settlement date
Incorrect or missing fund ID or fund name
Incorrect or missing settlement instructions
Incorrect or missing fees
Incorrect or missing tax
Unknown or missing party
Incorrect or missing side
Incorrect or missing net-money
Incorrect or missing trade date
Incorrect or missing settlement currency instructions
Incorrrect or missing ProcessCode(81)
Other
Unique identifier for Settlement Instruction message.
Timestamp of last update to data item (or creation if no updates made since creation).
Used to indicate whether settlement instructions are provided on an allocation instruction message, and if not, how they are to be derived.
Use default instructions
Derive from parameters provided
Full details provided
SSI DB IDs provided
Phone for instructions
PartyID value within a settlement parties component. Nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a settlement parties component.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within a settlement parties component.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within a settlement parties component.
Same values as PartySubID (523)
Type of SettlPartySubID (785) value.
Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Used to indicate whether a delivery instruction is used for securities or cash settlement.
Cash
Securities
Type of financing termination.
Overnight
Term
Flexible
Open
Can be used to uniquely identify a specific Order Status Request message.
Unique ID of settlement instruction request message
Identifies reason for rejection (of a settlement instruction request message).
Unable to process request
Unknown account
No matching settlement instructions found
Other
Secondary allocation identifier. Unlike the AllocID (70), this can be shared across a number of allocation instruction or allocation report messages, thereby making it possible to pass an identifier for an original allocation message on multiple messages (e.g. from one party to a second to a third, across cancel and replace messages etc.).
Describes the specific type or purpose of an Allocation Report message
Preliminary request to intermediary
Sellside calculated using preliminary (includes MiscFees and NetMoney)
Sellside calculated without preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney)
Warehouse recap
Request to intermediary
Accept
Reject
Accept Pending
Complete
Reverse Pending
Give-up
Take-up
Reversal
Alleged reversal
Sub-allocation give-up
Reference identifier to be used with AllocTransType (7) = Replace or Cancel
Reason for cancelling or replacing an Allocation Instruction or Allocation Report message
Original details incomplete/incorrect
Change in underlying order details
Cancelled by give-up firm
Other
Indicates whether or not this message is a drop copy of another message.
Type of account associated with a confirmation or other trade-level message
Account is carried pn customer side of books
Account is carried on non-customer side of books
House trader
Floor trader
Account is carried on non-customer side of books and is cross margined
Account is house trader and is cross margined
Joint back office account (JBO)
Average price for a specific order
Quantity of the order that is being booked out as part of an Allocation Instruction or Allocation Report message
Type of PartySubID(523) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Type of NestedPartySubID (545) value.
Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Type of Nested2PartySubID (760) value. Second instance of <NestedParties>.
Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Response to allocation to be communicated to a counterparty through an intermediary, i.e. clearing house. Used in conjunction with AllocType = "Request to Intermediary" and AllocReportType = "Request to Intermediary"
Pending Accept
Pending Release
Pending Reversal
Accept
Block Level Reject
Account Level Reject
Underlying price associate with a derivative instrument.
The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.
This value is normally between -1.0 and 1.0.
Used to specify the maximum number of application messages that can be queued bedore a corrective action needs to take place to resolve the queuing issue.
Current number of application messages that were queued at the time that the message was created by the counterparty.
Resolution taken when ApplQueueDepth (813) exceeds ApplQueueMax (812) or system specified maximum queue size.
No Action Taken
Queue Flushed
Overlay Last
End Session
Action to take to resolve an application message queue (backlog).
No Action Taken
Queue Flushed
Overlay Last
End Session
Session layer source for market data
(For the standard FIX session layer, this would be the TargetCompID (56) where market data can be obtained).
Secondary trade report identifier - can be used to associate an additional identifier with a trade.
Average Pricing Indicator
No average pricing
Trade is part of an average price group identified by the AvgPxGroupID(1731)
Last trade is the average price group identified by the AvgPxGroupID(1731)
Used to link a group of trades together.
Specific device number, terminal number or station where order was entered
Trading Session in which the underlying instrument trades
Trading Session sub identifier in which the underlying instrument trades
Reference to the leg of a multileg instrument to which this trade refers
Used to report any exchange rules that apply to this trade.
Primarily intended for US futures markets. Certain trading practices are permitted by the CFTC, such as large lot trading, block trading, all or none trades. If the rules are used, the exchanges are required to indicate these rules on the trade.
Identifies if, and how, the trade is to be allocated or split.
Allocation not required
Allocation required (give-up trade) allocation information not provided (incomplete)
Use allocation provided with the trade
Allocation give-up executor
Allocation from executor
Allocation to claim account
Trade split
Part of trading cycle when an instrument expires. Field is applicable for derivatives.
Expire on trading session close (default)
Expire on trading session open
Trading eligibility expiration specified in the date and time fields [EventDate(866) and EventTime(1145)] associated with EventType(865)=7(Last Eligible Trade Date)
Type of trade.
Regular trade
Block trade
Exchange for physical (EFP)
Transfer
Late trade
T trade
Weighted average price trade
Bunched trade
Late bunched trade
Prior reference price trade
After hours trade
Exchange for risk (EFR)
Exchange for swap (EFS)
Exchange of futures for in market futures (EFM)
Exchange of options for options (EOO)
Trading at settlement
All or none
Futures large order execution
Exchange of futures for external market futures (EFF)
Option interim trade
Option cabinet trade
Privately negotiated trade
Substitution of futures for forwards
Error trade
Special cum dividend (CD)
Special ex dividend (XD)
Special cum coupon (CC)
Special ex coupon (XC)
Cash settlement (CS)
Special price (SP)
Guaranteed delivery (GD)
Special cum rights (CR)
Special ex rights (XR)
Special cum capital repayments (CP)
Special ex capital repayments (XP)
Special cum bonus (CB)
Special ex bonus (XB)
Block trade
Worked principal trade
Block trades
Name change
Portfolio transfer
Prorogation buy
Prorogation sell
Option exercise
Delta neutral transaction
Financing transaction
Non-standard settlement
Derivative related transaction
Portfolio trade
Volume weighted average trade
Exchange granted trade
Repurchase agreement
OTC
Exchange basis facility (EBF)
Opening trade
Netted trade
Block swap trade
Credit event trade
Succession event trade
Give-up Give-in trade
Dark trade
Technical trade
Benchmark
Package trade
Further qualification to the trade type
CMTA
Internal transfer or adjustment
External transfer or transfer of account
Reject for submitting side
Advisory for contra side
Offset due to an allocation
Onset due to an allocation
Differential spread
Implied spread leg executed against an outright
Transaction from exercise
Transaction from assignment
ACATS
AI (Automated input facility disabled in response to an exchange request.)
B (Transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.)
K (Transaction using block trade facility.)
LC (Correction submitted more than three days after publication of the original trade report.)
M (Transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.)
N (Non-protected portfolio transaction or a fully disclosed portfolio transaction)
NM ( i) transaction where Exchange has granted permission for non-publication
ii)IDB is reporting as seller
iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.)
NR (Non-risk transaction in a SEATS security other than an AIM security)
P (Protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities)
PA (Protected transaction notification)
PC (Contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system)
PN (Worked principal notification for a portfolio transaction which includes order book securities)
R ( (i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction)
(ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)or
(iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).)
RO (Transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant)
RT (Risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security)
SW (Transactions resulting from stock swap or a stock switch (one report is required for each line of stock))
T (If reporting a single protected transaction)
WN (Worked principal notification for a single order book security)
WT (Worked principal transaction (other than a portfolio transaction))
Off Hours Trade
On Hours Trade
OTC Quote
Converted SWAP
Crossed Trade (X)
Interim Protected Trade (I)
Large in Scale (L)
Wash Trade
Trade at Settlement (TAS)
Auction Trade
Trade at Marker (TAM)
Default (Credit Event)
Restructuring (credit event)
Merger (succession event)
Spin-off (succession event)
Multilateral compression
Balancing
Basis Trade index Close (BTIC)
Reason trade is being transferred
Total Number of Assignment Reports being returned to a firm
Unique identifier for the Assignment Report
Amount that a position has to be in the money before it is exercised.
Describes whether peg is static or floats
Floating (default)
Fixed
Type of Peg Offset value
Price (default)
Basis Points
Ticks
Price Tier / Level
Percentage
Type of Peg Limit
Or better (default) - price improvement allowed
Strict - limit is a strict limit
Or worse - for a buy the peg limit is a minimum and for a sell the peg limit is a maximum (for use for orders which have a price range)
If the calculated peg price is not a valid tick price, specifies whether to round the price to be more or less aggressive
More aggressive - on a buy order round the price up to the nearest tick; on a sell order round down to the nearest tick
More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick
The price the order is currently pegged at
The scope of the peg
Local (Exchange, ECN, ATS)
National
Global
National excluding local
Describes whether discretionay price is static or floats
Floating (default)
Fixed
Type of Discretion Offset value
Price (default)
Basis Points
Ticks
Price Tier / Level
Type of Discretion Limit
Or better (default) - price improvement allowed
Strict - limit is a strict limit
Or worse - for a buy the discretion price is a minimum and for a sell the discretion price is a maximum (for use for orders which have a price range)
If the calculated discretionary price is not a valid tick price, specifies whether to round the price to be more or less aggressive
More aggressive - on a buy order round the price up to the nearest tick; on a sell round down to the nearest tick
More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick
The current discretionary price of the order
The scope of the discretion
Local (Exchange, ECN, ATS)
National
Global
National excluding local
The target strategy of the order
1000+ = Reserved and available for bi-laterally agreed upon user defined values
VWAP
Participate (i.e. aim to be x percent of the market volume)
Mininize market impact
Field to allow further specification of the TargetStrategy - usage to be agreed between counterparties
For a TargetStrategy=Participate order specifies the target particpation rate. For other order types this is a volume limit (i.e. do not be more than this percent of the market volume)
For communication of the performance of the order versus the target strategy
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity.
Added Liquidity
Removed Liquidity
Liquidity Routed Out
Auction
Triggered stop order
Triggered contingency order
Triggered market order
Indicates if a trade should be reported via a market reporting service.
Do Not Report Trade
Report Trade
Reason for short sale.
Dealer Sold Short
Dealer Sold Short Exempt
Selling Customer Sold Short
Selling Customer Sold Short Exempt
Qualified Service Representative (QSR) or Automatic Give-up (AGU) Contra Side Sold Short
QSR or AGU Contra Side Sold Short Exempt
Type of quantity specified in quantity field. ContractMultiplier (tag 231) is required when QtyType = 1 (Contracts). UnitOfMeasure (tag 996) and TimeUnit (tag 997) are required when QtyType = 2 (Units of Measure per Time Unit).
Units (shares, par, currency)
Contracts
Unit of Measure per Time Unit
Additional TrdType(828) assigned to a trade by trade match system.
Regular trade
Block trade
Exchange for physical (EFP)
Transfer
Late trade
T trade
Weighted average price trade
Bunched trade
Late bunched trade
Prior reference price trade
After hours trade
Exchange for risk (EFR)
Exchange for swap (EFS)
Exchange of futures for in market futures (EFM)
Exchange of options for options (EOO)
Trading at settlement
All or none
Futures large order execution
Exchange of futures for external market futures (EFF)
Option interim trade
Option cabinet trade
Privately negotiated trade
Substitution of futures for forwards
Error trade
Special cum dividend (CD)
Special ex dividend (XD)
Special cum coupon (CC)
Special ex coupon (XC)
Cash settlement (CS)
Special price (SP)
Guaranteed delivery (GD)
Special cum rights (CR)
Special ex rights (XR)
Special cum capital repayments (CP)
Special ex capital repayments (XP)
Special cum bonus (CB)
Special ex bonus (XB)
Block trade
Worked principal trade
Block trades
Name change
Portfolio transfer
Prorogation buy
Prorogation sell
Option exercise
Delta neutral transaction
Financing transaction
Non-standard settlement
Derivative related transaction
Portfolio trade
Volume weighted average trade
Exchange granted trade
Repurchase agreement
OTC
Exchange basis facility (EBF)
Opening trade
Netted trade
Block swap trade
Credit event trade
Succession event trade
Give-up Give-in trade
Dark trade
Technical trade
Benchmark
Package trade
Type of Trade Report
Submit
Alleged
Accept
Decline
Addendum
No/Was
Trade Report Cancel
(Locked-In) Trade Break
Defaulted
Invalid CMTA
Pended
Alleged New
Alleged Addendum
Alleged No/Was
Alleged Trade Report Cancel
Alleged (Locked-In) Trade Break
Verify
Dispute
Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
Not specified
Explicit list provided
Commission to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.
Unique identifier for a Confirmation Request message
Used to express average price as percent of par (used where AvgPx field is expressed in some other way)
Reported price (used to differentiate from AvgPx on a confirmation of a marked-up or marked-down principal trade)
Quantity executed under a specific OrderCapacity (e.g. quantity executed as agent, quantity executed as principal)
Code to represent the type of event
Put
Call
Tender
Sinking fund call
Activation
Inactivation
Last eligible trade date
Swap start date
Swap end date
Swap roll date
Swap next start date
Swap next roll date
First delivery date
Last delivery date
Initial inventory due date
Final inventory due date
First intent date
Last intent date
Position removal date
Minimum notice
Delivery start time
Delivery end time
First notice date
Last notice date
First exercise date
Redemption date
Trade continuation effective date
Other
Date of event
Predetermined price of issue at event, if applicable
Comments related to the event.
Percent at risk due to lowest possible call.
Code to represent the type of instrument attribute
Flat (securities pay interest on a current basis but are traded without interest)
Zero coupon
Interest bearing (for Euro commercial paper when not issued at discount)
No periodic payments
Variable rate
Less fee for put
Stepped coupon
Coupon period (if not semi-annual)
When [and if] issued
Original issue discount
Callable, puttable
Escrowed to Maturity
Escrowed to redemption date - callable
Pre-refunded
In default
Unrated
Taxable
Indexed
Subject To Alternative Minimum Tax
Original issue discount price
Callable below maturity value
Callable without notice by mail to holder unless registered
Price tick rules for security
Trade type eligibility details for security
Instrument denominator
Instrument numerator
Instrument price precision
Instrument strike price
Tradeable indicator
Instrument is eligible to accept anonymous orders
Minimum guaranteed fill volume
Minimum guaranteed fill status
Trade at settlement (TAS) eligibility
Test instrument
Dummy instrument
Negative settlement price eligibility
Negative strike price eligibility
US standard contract indicator
Text
Attribute value appropriate to the InstrAttribType (87) field.
The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date
The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date
The program under which a commercial paper offering is exempt from SEC registration identified by the paragraph number(s) within the US Securities Act of 1933 or as identified below.
3(a)(3)
4(2)
3(a)(2)
3(a)(3) & 3(c)(7)
3(a)(4)
3(a)(5)
3(a)(7)
3(c)(7)
Other
The description of commercial paper registration or rule under which exempt commercial paper is offered. For example "144a", "Tax Exempt" or "REG. S".
The program under which the underlying commercial paper is issued
3(a)(3)
4(2)
3(a)(2)
3(a)(3) & 3(c)(7)
3(a)(4)
3(a)(5)
3(a)(7)
3(c)(7)
Other
The registration type of the underlying commercial paper issuance
Unit amount of the underlying security (par, shares, currency, etc.)
Identifier assigned to a trade by a matching system.
Used to refer to a previous SecondaryTradeReportRefID when amending the transaction (cancel, replace, release, or reversal).
Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest
Price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.
Currency value attributed to this collateral at the start of the agreement
Currency value currently attributed to this collateral
Currency value attributed to this collateral at the end of the agreement
Type of stipulation.
Same values as StipulationType (233)
Alternative Minimum Tax (Y/N)
Absolute Prepayment Speed
Incurred recovery (Y/N)
Auto Reinvestment at <rate> or better
Constant Prepayment Penalty
Additional term
Bank qualified (Y/N)
Constant Prepayment Rate
Modified equity delivery
Bargain conditions (see StipulationValue (234) for values)
Constant Prepayment Yield
No reference obligation (Y/N)
Coupon range
final CPR of Home Equity Prepayment Curve
Unknown reference obligation (Y/N)
ISO Currency Code
Percent of Manufactured Housing Prepayment Curve
All guarantees (Y/N)
Custom start/end date
Monthly Prepayment Rate
Reference price (Y/N)
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])
Percent of Prospectus Prepayment Curve
Reference policy (Y/N)
Valuation Discount
Percent of BMA Prepayment Curve
Secured list (Y/N)
Insured (Y/N)
Single Monthly Mortality
Year Or Year/Month of Issue (ex. 234=2002/09)
Issuer's ticker
issue size range
Lookback Days
Explicit lot identifier
Lot Variance (value in percent maximum over- or under-allocation allowed)
Maturity Year And Month
Maturity range
Maximum substitutions (Repo)
Minimum denomination
Minimum increment
Minimum quantity
Payment frequency, calendar
Number Of Pieces
Pools Maximum
Pools per Lot
Pools per Million
Pools per Trade
Price Range
Pricing frequency
Production Year
Call protection
Purpose
Benchmark price source
Rating source and range
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible
Restricted (Y/N)
Market Sector
Security Type included or excluded
Structure
Substitutions frequency (Repo)
Substitutions left (Repo)
Freeform Text
Trade Variance (value in percent maximum over- or under-allocation allowed)
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])
Weighted Average Life Coupon - value in percent (exact or range)
Weighted Average Loan Age - value in months (exact or range)
Weighted Average Maturity - value in months (exact or range)
Whole Pool (Y/N)
Yield Range
Average FICO Score
Original amount
Average Loan Size
Pool effective date
Maximum Loan Balance
Pool initial factor
Pool Identifier
Tranche identifier
Type of Roll trade
Substitution (Y/N)
reference to rolling or closing trade
Multiple exchange fallback (Y/N)
principal of rolling or closing trade
Component security fallback (Y/N)
interest of rolling or closing trade
Local jurisdiction (Y/N)
Available offer quantity to be shown to the street
Relevant jurisdiction (Y/N)
Broker's sales credit
Offer price to be shown to internal brokers
Offer quantity to be shown to internal brokers
The minimum residual offer quantity
Maximum order size
Order quantity increment
Primary or Secondary market indicator
Broker sales credit override
Trader's credit
Discount Rate (when price is denominated in percent of par)
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)
Value of stipulation.
Same values as StipulationValue (234)
Net Money at maturity if Zero Coupon and maturity value is different from par value
Defines the unit for a miscellaneous fee.
Absolute
Per Unit
Percentage
Total number of NoAlloc entries across all messages. Should be the sum of all NoAllocs in each message that has repeating NoAlloc entries related to the same AllocID or AllocReportID. Used to support fragmentation.
Indicates whether this message is the last in a sequence of messages for those messages that support fragmentation, such as Allocation Instruction, Mass Quote, Security List, Derivative Security List
Not Last Message
Last Message
Collateral Request Identifier
Reason for Collateral Assignment
Initial
Scheduled
Time Warning
Margin Deficiency
Margin Excess
Forward Collateral Demand
Event of default
Adverse tax event
Transfer deposit
Transfer withdrawal
Pledge
Collateral inquiry qualifiers:
Trade Date
GC Instrument
Collateral Instrument
Substitution Eligible
Not Assigned
Partially Assigned
Fully Assigned
Outstanding Trades (Today < end date)
The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 02% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.
Excess margin amount (deficit if value is negative)
TotalNetValue is determined as follows:
At the initial collateral assignment TotalNetValue is the sum of (UnderlyingStartValue * (1-haircut)).
In a collateral substitution TotalNetValue is the sum of (UnderlyingCurrentValue * (1-haircut)).
For listed derivatives clearing margin management, this is the collateral value which equals (Market value * haircut)
Starting consideration less repayments
Collateral Assignment Identifier
Collateral Assignment Transaction Type
New
Replace
Cancel
Release
Reverse
Collateral Response Identifier
Type of collateral assignment response.
Received
Accepted
Declined
Rejected
Transaction pending
Transaction completed with warning - see Text(58) for further information.
Collateral Assignment Reject Reason
Unknown deal (order / trade)
Unknown or invalid instrument
Unauthorized transaction
Insufficient collateral
Invalid type of collateral
Excessive substitution
Other
Collateral Assignment Identifier to which a transaction refers
Collateral Report Identifier
Collateral Inquiry Identifier
Collateral Status
Unassigned
Partially Assigned
Assignment Proposed
Assigned (Accepted)
Challenged
Total number of reports returned in response to a request.
Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF), TradeCaptureReportRequest(35=AD).
Not last message
Last message
The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction. See http://www.fpml.org/coding-scheme/master-agreement-type for derivative values.
A common reference to the applicable standing agreement between the counterparties to a financing transaction.
A reference to the date the underlying agreement specified by AgreementID and AgreementDesc was executed.
Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral
End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral
Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.
Identifies type of settlement
"Versus Payment": Deliver (if sell) or Receive (if buy) vs. (against) Payment
"Free": Deliver (if sell) or Receive (if buy) Free
Tri-Party
Hold In Custody
Accrued Interest Amount applicable to a financing transaction on the End Date.
Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.
Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.
Unique identifier for a User Request.
Indicates the action required by a User Request Message
Log On User
Log Off User
Change Password For User
Request Individual User Status
Request Throttle Limit
New Password or passphrase
Indicates the status of a user
Logged In
Not Logged In
User Not Recognised
Password Incorrect
Password Changed
Other
Forced user logout by Exchange
Session shutdown warning
Throttle parameters changed
A text description associated with a user status.
Indicates the status of a network connection
Connected
Not Connected - down expected up
Not Connected - down expected down
In Process
A text description associated with a network status.
Assigned value used to identify a firm.
Assigned value used to identify specific elements within a firm.
Unique identifier for a network response.
Unique identifier for a network resquest.
Identifier of the previous Network Response message sent to a counterparty, used to allow incremental updates.
Indicates the type and level of details required for a Network Status Request Message
Boolean logic applies EG If you want to subscribe for changes to certain id's then UserRequestType =0 (8+2), Snapshot for certain ID's = 9 (8+1)
Snapshot
Subscribe
Stop Subscribing
Level of Detail, then NoCompID's becomes required
Indicates the type of Network Response Message.
Full
Incremental Update
Trade Report Status
Accepted
Rejected
Cancelled
Accepted with errors
Pending New
Pending Cancel
Pending Replace
Terminated
Pending verification
Deemed verified
Verified
Disputed
Specifies the affirmation status of the confirmation.
Received
Confirm rejected, i.e. not affirmed
Affirmed
Currency in which the strike price of an underlying instrument is denominated
Currency in which the strike price of a instrument leg of a multileg instrument is denominated
A code that represents a time interval in which a fill or trade occurred.
Required for US futures markets.
Action proposed for an Underlying Instrument instance.
Retain
Add
Remove
Status of Collateral Inquiry
Accepted
Accepted With Warnings
Completed
Completed With Warnings
Rejected
Result returned in response to Collateral Inquiry
4000+ Reserved and available for bi-laterally agreed upon user-defined values
Successful (default)
Invalid or unknown instrument
Invalid or unknown collateral type
Invalid Parties
Invalid Transport Type requested
Invalid Destination requested
No collateral found for the trade specified
No collateral found for the order specified
Collateral inquiry type not supported
Unauthorized for collateral inquiry
Other (further information in Text (58) field)
Currency in which the StrikePrice is denominated.
PartyID value within a "third instance" Nested repeating group.
Same values as PartyID (448)
PartyIDSource value within a "third instance" Nested repeating group.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within a "third instance" Nested repeating group.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within a "third instance" Nested repeating group.
Same values as PartySubID (523)
PartySubIDType value within a "third instance" Nested repeating group.
Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Specifies when the contract (i.e. MBS/TBA) will settle.
The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date
Name of parameter
Datatype of the parameter
Int
Length
NumInGroup
SeqNum
TagNum
float
Qty
Price
PriceOffset
Amt
Percentage
Char
Boolean
String
MultipleCharValue
Currency
Exchange
MonthYear
UTCTimestamp
UTCTimeOnly
LocalMktDate
UTCDateOnly
data
MultipleStringValue
Country
Language
TZTimeOnly
TZTimestamp
Tenor
Value of the parameter
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs. Used as the primary key with which to refer to the Cross Order for cancellation and replace. The HostCrossID will also be used to link together components of the Cross Order. For example, each individual Execution Report associated with the order will carry HostCrossID in order to tie back to the original cross order.
Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side. Absence of this field indicates that TimeInForce should be referenced. SideTimeInForce will override TimeInForce if both are provided.
Unique identifier for the Market Data Report.
Identifies a Security List message.
Used for derivatives. Denotes the current state of the Instrument.
Active
Inactive
Active, closing orders only
Expired
Delisted
Knocked-out
Knock-out revoked
Pending Expiry
Suspended
Published
Pending Deletion
Indicator to determine if instrument is settle on open
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
Minimum price increase for a given exchange-traded Instrument
Position Limit for a given exchange-traded product.
Position Limit in the near-term contract for a given exchange-traded product.
Percent of the Strike Price that this underlying represents.
Cash amount associated with the underlying component.
Used for derivatives that deliver into cash underlying.
FIXED
DIFF
Indicates order settlement period for the underlying instrument.
T+1
T+3
T+4
Date associated to the quantity that is being reported for the position.
Unique identifier for the Contrary Intention report
Indicates if the contrary intention was received after the exchange imposed cutoff time
Originating source of the request.
Add
Delete
Modify
Expiration Quantity type
Auto Exercise
Non Auto Exercise
Final Will Be Exercised
Contrary Intention
Difference
Expiration Quantity associated with the Expiration Type
Amount to pay in order to receive the underlying instrument
Amount to collect in order to deliver the underlying instrument
Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.
Will allow the intermediary to specify an allocation ID generated by their system.
Additional attribute to store the Trade ID of the Leg.
Specifies average price rounded to quoted precision.
Identifies whether the allocation is to be sub-allocated or allocated to a third party
Sub Allocate
Third Party Allocation
Capacity of customer in the allocation block.
The Tier the trade was matched by the clearing system.
The unit of measure of the underlying commodity upon which the contract is based. Two groups of units of measure enumerations are supported.
Fixed Magnitude UOMs are primarily used in energy derivatives and specify a magnitude (such as, MM, Kilo, M, etc.) and the dimension (such as, watt hours, BTU's) to produce standard fixed measures (such as MWh - Megawatt-hours, MMBtu - One million BTUs).
The second group, Variable Quantity UOMs, specifies the dimension as a single unit without a magnitude (or more accurately a magnitude of one) and uses the UnitOfMeasureQty(1147) field to define the quantity of units per contract. Variable Quantity UOMs are used for both commodities (such as lbs of lean cattle, bushels of corn, ounces of gold) and financial futures.
Examples:
For lean cattle futures contracts, a UnitOfMeasure of 'lbs' with a UnitOfMeasureQty(1147) of 40,000, means each lean cattle futures contract represents 40,000 lbs of lean cattle.
For Eurodollars futures contracts, a UnitOfMeasure of Ccy with a UnitOfMeasureCurrency(1716) of USD and a UnitOfMeasureQty(1147) of 1,000,000, means a Eurodollar futures contract represents 1,000,000 USD.
For gold futures contracts, a UnitOfMeasure is oz_tr (Troy ounce) with a UnitOfMeasureQty(1147) of 1,000, means each gold futures contract represents 1,000 troy ounces of gold.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Unit of time associated with the contract.
NOTE: Additional values may be used by mutual agreement of the counterparties
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Refer to defintion of UnitOfMeasure(996)
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Refer to defintion of UnitOfMeasure(996)
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Same as TimeUnit.
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Same as TimeUnit.
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Specifies the method under which a trade quantity was allocated.
Automatic
Guarantor
Manual
Broker assigned
The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.
Used on a multi-sided trade to designate the ReportID
Used on a multi-sided trade to convey order routing information
Used on a multi-sided trade to convey reason for execution
Used on a multi-sided trade to specify the type of trade for a given side. Same values as TrdSubType (829).
CMTA
Internal transfer or adjustment
External transfer or transfer of account
Reject for submitting side
Advisory for contra side
Offset due to an allocation
Onset due to an allocation
Differential spread
Implied spread leg executed against an outright
Transaction from exercise
Transaction from assignment
ACATS
AI (Automated input facility disabled in response to an exchange request.)
B (Transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.)
K (Transaction using block trade facility.)
LC (Correction submitted more than three days after publication of the original trade report.)
M (Transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.)
N (Non-protected portfolio transaction or a fully disclosed portfolio transaction)
NM ( i) transaction where Exchange has granted permission for non-publication
ii)IDB is reporting as seller
iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.)
NR (Non-risk transaction in a SEATS security other than an AIM security)
P (Protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities)
PA (Protected transaction notification)
PC (Contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system)
PN (Worked principal notification for a portfolio transaction which includes order book securities)
R ( (i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction)
(ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)or
(iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).)
RO (Transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant)
RT (Risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security)
SW (Transactions resulting from stock swap or a stock switch (one report is required for each line of stock))
T (If reporting a single protected transaction)
WN (Worked principal notification for a single order book security)
WT (Worked principal transaction (other than a portfolio transaction))
Off Hours Trade
On Hours Trade
OTC Quote
Converted SWAP
Crossed Trade (X)
Interim Protected Trade (I)
Large in Scale (L)
Wash Trade
Trade at Settlement (TAS)
Auction Trade
Trade at Marker (TAM)
Default (Credit Event)
Restructuring (credit event)
Merger (succession event)
Spin-off (succession event)
Multilateral compression
Balancing
Basis Trade index Close (BTIC)
Used to indicate the quantity on one side of a multi-sided trade.
Used to identify the event or source which gave rise to a message.
Valid values will be based on an exchange's implementation.
Example values are:
"MQM" (originated at Firm Back Office)
"Clear" (originated in Clearing System)
"Reg" (static data generated via Register request)
Will be used in a multi-sided message.
Traded Regulatory timestamp value Use to store time information required by government regulators or self regulatory organizations such as an exchange or clearing house
Same as TrdRegTimeStampType
Execution time
Time in
Time out
Broker receipt
Broker execution
Desk receipt
Submission to clearing
Time priority
Orderbook entry time
Order submission time
Publicly reported
Public report updated
Non-publicly reported
Non-public report updated
Submitted for confirmation
Updated for confirmation
Confirmed
Updated for clearing
Cleared
Allocations submitted
Allocations updated
Application completed
Submitted to repository
Post-trade continuation event
Post-trade valuation
Previous time priority
Same as TrdRegTimestampOrigin
Text which identifies the origin i.e. system which was used to generate the time stamp for the Traded Regulatory timestamp value
A trade that is being submitted for a trade date prior to the current trade or clearing date, e.g. in an open outcry market an out trade being submitted for the previous trading session or trading day.
false - trade is not an AsOf trade
true - trade is an AsOf trade
Expresses the risk of an option leg
Value must be between -1 and 1.
A Call Option will require a ratio value between 0 and 1
A Put Option will require a ratio value between -1 and 0
PartyID value within an instrument party repeating group. Same values as PartyID (448)
Used to report volume with a trade
Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection
Top of Book
Price Depth
Order Depth
Describes a class of service for a given data feed, ie Regular and Market Maker, Bandwidth Intensive or Bandwidth Conservative
Integer to convey the level of a bid or offer at a given price level. This is in contrast to MDEntryPositionNo which is used to convey the position of an order within a Price level
Used to describe the origin of the market data entry.
Book
Off-Book
Cross
Quote driven market
Dark order book
Auction driven market
Quote negotiation
Voice negotiation
Hybrid market
Indicates the first trade price of the day/session
The spot rate for an FX entry
Used for an F/X entry. The forward points to be added to or subtracted from the spot rate to get the "all-in" rate in MDEntryPx. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Indicates if the order was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).
Indicates if the customer directed this order to a specific execution venue "Y" or not "N".
A default of "N" customer did not direct this order should be used in the case where the information is both missing and essential.
Identifies the broker-dealer department that first took the order.
Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.
NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting and/or billing purposes only.
For OrderHandlingInstSrc(1032) = 1 (FINRA OATS), valid values are (as of OATS Phase 3 as provided by FINRA. See also http://www.finra.org/Industry/Compliance/MarketTransparency/OATS/PhaseIII/index.htm for a complete list.
For OrderHandlingInstSrc(1032) = 2 (FIA Execution Source Code), only one enumeration value may be specified.
Phone simple
G Order(FINRA OATS), FCM API or FIX(FIA Execution Source)
Add-on order
Phone complex
All or none
FCM provided screen
Other provided screen
Conditional order
Cash not held
Client provided platform controlled by FCM
Client provided platform direct to exchange
Delivery instructions - cash
Directed order
Algo engine
Discretionary limit order
Exchange for physical transaction
Price at execution (price added at initial order entry, trading, middle office or time of give-up)
Fill or kill
Desk - electronic
Desk - pit
Client - electronic
Intraday cross
Imbalance only
Client - pit
Immediate or cancel
Intermarket sweep order
Limit on open
Limit on Close
Market at Open
Market at close
Market on open
Market on close
Merger related transfer position
Minimum quantity
Market to limit
Delivery instructions - next day
Not held
Options related transaction
Over the day
Pegged
Reserve size order
Stop stock transaction
Scale
Delivery instructions - sellers option
Time order
Trailing stop
Work
Stay on offerside
Go along
Participate do not initiate
Strict scale
Try to scale
Stay on bidside
No cross
OK to cross
Call first
Percent of volume
Reinstate on system failure
Institution only
Reinstate on trading halt
Cancel on trading half
Last peg
Mid-price peg
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Primary peg
Suspend
Fixed peg to local best bid or offer at time of order
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Strict limit
Ignore price validity checks
Peg to Limit Price
Work to target strategy
Identifies the class or source of the order handling instruction values. Scope of this will apply to both CustOrderHandlingInst(1031) and DeskOrderHandlingInst(1035).
Conditionally required when CustOrderHandlingInst(1031) or DeskOrderHandlingInst(1035) is specified.
FINRA OATS
FIA Execution Source Code
Identifies the type of Trading Desk.
Conditionally required when InformationBarrierID(1727) is specified for OATS.
Agency
Arbitrage
Block trading
Convertible desk
Central risk books
Derivatives
Equity capital markets
International
Institutional
Other
Preferred trading
Proprietary
Program trading
Sales
Swaps
Trading desk or system non-market maker
Treasury
Identifies the class or source of DeskType(1033) values. Conditionally required when DeskType(1033) is specified.
FINRA OATS
Codes that apply special information that the broker-dealer needs to report.
Phone simple
G Order(FINRA OATS), FCM API or FIX(FIA Execution Source)
Add-on order
Phone complex
All or none
FCM provided screen
Other provided screen
Conditional order
Cash not held
Client provided platform controlled by FCM
Client provided platform direct to exchange
Delivery instructions - cash
Directed order
Algo engine
Discretionary limit order
Exchange for physical transaction
Price at execution (price added at initial order entry, trading, middle office or time of give-up)
Fill or kill
Desk - electronic
Desk - pit
Client - electronic
Intraday cross
Imbalance only
Client - pit
Immediate or cancel
Intermarket sweep order
Limit on open
Limit on Close
Market at Open
Market at close
Market on open
Market on close
Merger related transfer position
Minimum quantity
Market to limit
Delivery instructions - next day
Not held
Options related transaction
Over the day
Pegged
Reserve size order
Stop stock transaction
Scale
Delivery instructions - sellers option
Time order
Trailing stop
Work
Stay on offerside
Go along
Participate do not initiate
Strict scale
Try to scale
Stay on bidside
No cross
OK to cross
Call first
Percent of volume
Reinstate on system failure
Institution only
Reinstate on trading halt
Cancel on trading half
Last peg
Mid-price peg
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Primary peg
Suspend
Fixed peg to local best bid or offer at time of order
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Strict limit
Ignore price validity checks
Peg to Limit Price
Work to target strategy
The status of this execution acknowledgement message.
Received, not yet processed
Accepted
Don't know / Rejected
Indicates the underlying position amount to be delivered
Maximum notional value for a capped financial instrument
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Cash settlement required
Physical settlement required
Election at exercise
Used to carry an internal trade entity ID which may or may not be reported to the firm
The ID assigned to a trade by the Firm to track a trade within the Firm system. This ID can be assigned either before or after submission to the exchange or central counterpary
Used to carry an internal firm assigned ID which may or may not be reported to the exchange or central counterpary
conveys how the collateral should be/has been applied
Specific Deposit
General
Unit amount of the underlying security (shares) adjusted for pending corporate action not yet allocated.
Foreign exchange rate used to compute UnderlyingCurrentValue(885) (or market value) from UnderlyingCurrency(318) to Currency(15).
Specifies whether the UnderlyingFxRate(1045) should be multiplied or divided.
Divide
Multiply
Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.
Open
Close
Rolled
FIFO
Identifies role of dealer; Agent, Principal, RisklessPrincipal
Agent
Principal
Riskless Principal
Method under which assignment was conducted
Pro rata
Random
PartyIDSource value within an instrument partyrepeating group.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within an instrument partyepeating group.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within an instrument party repeating group.
Same values as PartySubID (523)
Type of InstrumentPartySubID (1053) value.
Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
The Currency in which the position Amount is denominated
Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.
Used to identify whether the order initiator is an aggressor or not in the trade.
Order initiator is aggressor
Order initiator is passive
PartyID value within an underlying instrument party repeating group.
Same values as PartyID (448)
PartyIDSource value within an underlying instrument partyrepeating group.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within an underlying instrument partyepeating group.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within an underlying instrument party repeating group.
Same values as PartySubID (523)
Type of underlying InstrumentPartySubID (1053) value.
Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
The bid FX Swap points for an FX Swap. It is the "far bid forward points - near offer forward point". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The offer FX Swap points for an FX Swap. It is the "far offer forward points - near bid forward points". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The bid FX forward points for the leg of an FX Swap. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The offer FX forward points for the leg of an FX Swap. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
For FX Swap, this is used to express the differential between the far leg's bid/offer and the near leg's bid/offer. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Identifies market data quote type.
Indicative
Tradeable
Restricted Tradeable
Counter
Indicative and Tradeable
For FX Swap, this is used to express the last market event for the differential between the far leg's bid/offer and the near leg's bid/offer in a fill or partial fill. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
The gross trade amount for this side of the trade. See also GrossTradeAmt (381) for additional definition.
The forward points for this leg's fill event. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199
Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx.
The gross trade amount of the leg. For FX Futures this is used to express the notional value of a fill when LegLastQty and other quantity fields are express in terms of contract size.
Time of security's maturity expressed in local time with offset to UTC specified
The ID reference to the order being hit or taken.
For pre-trade credit/risk limit check process, this is the reference to the placed order, quote request or quote for the credit/risk limit check.
Used to specify what identifier, provided in order depth market data, to use when hitting (taking) a specific order or to identify what type of order or quote reference is being provided when seeking credit limit check.
SecondaryOrderID(198)
OrderID(37)
MDEntryID(278)
QuoteEntryID(299)
Original order ID
QuoteID(117)
QuoteReqID(131)
Used for reserve orders when DisplayQty applies to the primary execution market (e.g.an ECN) and another quantity is to be shown at other markets (e.g. the exchange). On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Instructs when to refresh DisplayQty (1138).
Immediate (after each fill)
Exhaust (when DisplayQty = 0)
Defines what value to use in DisplayQty (1138). If not specified the default DisplayMethod is "1"
Initial (use original DisplayQty)
New (use RefreshQty)
Random (randomize value)
Undisclosed (invisible order)
Defines the lower quantity limit to a randomized refresh of DisplayQty.
Defines the upper quantity limit to a randomized refresh of DisplayQty.
Defines the minimum increment to be used when calculating a random refresh of DisplayQty. A user specifies this when he wants a larger increment than the standard provided by the market (e.g. the round lot size).
Defines the quantity used to refresh DisplayQty.
Allows orders to specify a minimum quantity that applies to every execution (one execution could be for multiple counter-orders). The order may still fill against smaller orders, but the cumulative quantity of the execution must be in multiples of the MatchIncrement.
Allows an order to specify a maximum number of price levels to trade through. Only valid for aggressive orders and during continuous (autoexecution) trading sessions. Property lost when order is put on book. A partially filled order is assigned last trade price as limit price. Non-filled order behaves as ordinary Market or Limit.
Allows trader to explicitly request anonymity or disclosure in pre-trade market data feeds. Anonymity is relevant in markets where counterparties are regularly disclosed in order depth feeds. Disclosure is relevant when counterparties are not normally visible.
Defines the type of price protection the customer requires on their order.
None
Local (Exchange, ECN, ATS)
National (Across all national markets)
Global (Across all markets)
Defines the lot type assigned to the order.
Odd Lot
Round Lot
Block Lot
Round lot based upon UnitOfMeasure(996)
Defines the type of peg.
Last peg (last sale)
Mid-price peg (midprice of inside quote)
Opening peg
Market peg
Primary peg (primary market - buy at bid or sell at offer)
Peg to VWAP
Trailing Stop Peg
Peg to Limit Price
Short sale minimum price Peg
The value of the reference price that the order is pegged to. PeggedRefPrice + PegOffsetValue (211) = PeggedPrice (839) unless the limit price (44, Price) is breached. The values may not be exact due to rounding.
Defines the identity of the security off whose prices the order will peg. Same values as SecurityIDSource (22)
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Defines the identity of the security off whose prices the order will peg.
Defines the common, 'human understood' representation of the security off whose prices the order will Peg.
Security description of the security off whose prices the order will Peg.
Defines when the trigger will hit, i.e. the action specified by the trigger instructions will come into effect.
Partial Execution
Specified Trading Session
Next Auction
Price Movement
On Order Entry or order modification entry
Defines the type of action to take when the trigger hits.
Activate
Modify
Cancel
The price at which the trigger should hit.
Defines the common, 'human understood' representation of the security whose prices will be tracked by the trigger logic.
Defines the identity of the security whose prices will be tracked by the trigger logic.
Defines the identity of the security whose prices will be tracked by the trigger logic. Same values as SecurityIDSource (22).
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Defines the security description of the security whose prices will be tracked by the trigger logic.
The type of price that the trigger is compared to.
Best Offer
Last Trade
Best Bid
Best Bid or Last Trade
Best Offer or Last Trade
Best Mid
Defines the type of price protection the customer requires on their order.
None
Local (Exchange, ECN, ATS)
National (Across all national markets)
Global (Across all markets)
The side from which the trigger price is reached.
Trigger if the price of the specified type goes UP to or through the specified Trigger Price.
Trigger if the price of the specified type goes DOWN to or through the specified Trigger Price.
The Price that the order should have after the trigger has hit. Could be applicable for any trigger type, but must be specified for Trigger Type 1.
The OrdType the order should have after the trigger has hit. Required to express orders that change from Limit to Market. Other values from OrdType (40) may be used if appropriate and bilaterally agreed upon.
Market
Limit
The Quantity the order should have after the trigger has hit.
Defines the trading session at which the order will be activated.
Defines the subordinate trading session at which the order will be activated.
Defines the type of interest behind a trade (fill or partial fill).
Order
Quote
Privately Negotiated Trade
Multileg order
Linked order
Quote Request
Implied Order
Cross Order
Streaming price (quote)
Internal Cross Order
PartyID value within a root parties component. Same values as PartyID (448)
PartyIDSource value within a root parties component. Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within a root parties component. Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within a root parties component. Same values as PartySubID (523)
Type of RootPartySubID (1121) value. Same values as PartySubIDType (803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Specified how the TradeCaptureReport(35=AE) should be handled by the respondent.
Trade confirmation
Two-party report
One-party report for matching
One-party report for pass through
Automated floor order routing
Two-party report for claim
One-party report
Third-party report for pass through
One-party report for auto-match
Optionally used with TradeHandlingInstr = 0 to relay the trade handling instruction used when reporting the trade to the marketplace. Same values as TradeHandlingInstr (1123)
Trade confirmation
Two-party report
One-party report for matching
One-party report for pass through
Automated floor order routing
Two-party report for claim
One-party report
Third-party report for pass through
One-party report for auto-match
Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer
Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer
Specifies the service pack release being applied at message level. Enumerated field with values assigned at time of service pack release
FIX27
FIX30
FIX40
FIX41
FIX42
FIX43
FIX44
FIX50
FIX50SP1
FIX50SP2
Specifies the service pack release being applied to a message at the session level. Enumerated field with values assigned at time of service pack release. Uses same values as ApplVerID
FIX27
FIX30
FIX40
FIX41
FIX42
FIX43
FIX44
FIX50
FIX50SP1
FIX50SP2
Specifies a custom extension to a message being applied at the session level.
Transact time in the local date-time stamp with a TZ offset to UTC identified
The ID source of ExDestination
BIC (Bank Identification Code) (ISO 9362)
Generally accepted market participant identifier (e.g. NASD mnemonic)
Proprietary / Custom code
ISO Country Code
MIC (ISO 10383 - Market Identifier Code)
Indicates that the reported price that is different from the market price. The price difference should be stated by using field 828 TrdType and, if required, field 829 TrdSubType
Indicates the system or medium on which the report has been published
ClearingFeeIndicator(635) for Allocation, see ClearingFeeIndicator(635) for permitted values.
Specifies the service pack release being applied, by default, to message at the session level. Enumerated field with values assigned at time of service pack release. Uses same values as ApplVerID
FIX27
FIX30
FIX40
FIX41
FIX42
FIX43
FIX44
FIX50
FIX50SP1
FIX50SP2
The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Free format text string related to exchange.
The maximum order quantity (as expressed by TradeVolType(1786)) that can be submitted for a security.
The types of algorithm used to match orders in a specific security. Possilbe value types are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calender.
The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.
Indicates that an implied market should be created for either the legs of a multi-leg instrument (Implied-in) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multi-leg instrument. Commonly used in listed derivatives.
Not implied
Implied-in - The existence of a multi-leg instrument is implied by the legs of that instrument
Implied-out - The existence of the underlying legs are implied by the multi-leg instrument
Both Implied-in and Implied-out
Specific time of event. To be used in combination with EventDate [866]
Minimum price increment amount associated with the MinPriceIncrement ( tag 969). For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor(231).
Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.
Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Allow sequencing of Legs for a Strategy to be captured
Settlement cycle in which the settlement obligation was generated
Used to identify the trading currency on the Trade Capture Report Side
Used to identify the settlement currency on the Trade Capture Report Side
Net flow of Currency 1
Used to identify the reporting mode of the settlement obligation which is either preliminary or final
Preliminary
Final
Message identifier for Settlement Obligation Report
Unique ID for this settlement instruction.
Transaction Type - required except where SettlInstMode is 5=Reject SSI request
Cancel
New
Replace
Restate
Required where SettlInstTransType is Cancel or Replace
Used to identify whether these delivery instructions are for the buyside or the sellside.
Instructions of Broker
Instructions for Institution
Investor
Buyer's settlement instructions
Seller's settlement instructions
Unique identifier for a quote message.
Identifies the status of an individual quote. See also QuoteStatus(297) which is used for single Quotes.
Accepted
Rejected
Removed from Market
Expired
Locked Market Warning
Cross Market Warning
Canceled due to Lock Market
Canceled due to Cross Market
Active
Specifies the number of canceled quotes
Specifies the number of accepted quotes
Specifies the number of rejected quotes
Specifies whether a quote is public, i.e. available to the market, or private, i.e. available to a specified counterparty only.
Private Quote
Public Quote
Specifies the type of respondents requested.
All market participants
Specified market participants
All Market Makers
Primary Market Maker(s)
Describes a class of sub book, e.g. for the separation of various lot types. The Sub Book Type indicates that the following Market Data Entries belong to a non-integrated Sub Book. Whenever provided the Sub Book must be used together with MDPriceLevel and MDEntryPositionNo in order to sort the order properly.
Values are bilaterally agreed.
Identifies an event related to a SecurityTradingStatus(326). An event occurs and is gone, it is not a state that applies for a period of time.
Order imbalance, auction is extended
Trading resumes (after Halt)
Price Volatility Interruption
Change of Trading Session
Change of Trading Subsession
Change of Security Trading Status
Change of Book Type
Change of Market Depth
Corporate action
Type of statistics
Exchange Last
High / Low Price
Average Price (VWAP, TWAP ... )
Turnover (Price * Qty)
Specifies the type of secondary size.
Customer
Customer professional
Do not trade through
A part of the MDEntrySize(271) that represents secondary interest as specified by MDSecSizeType(1178).
Identifies the application with which a message is associated. Used only if application sequencing is in effect.
Data sequence number to be used when FIX session is not in effect
Beginning range of application sequence numbers
Ending range of application sequence numbers
The schema used to validate the contents of SecurityXML(1185).
Set by the sender to tell the receiver to perform an immediate refresh of the book due to disruptions in the accompanying real-time feed
'Y' - Mandatory refresh by all participants
'N' - Process as required
Annualized volatility for option model calculations
Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.
Interest rate. Usually some form of short term rate.
Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Used to express the UOM Quantity of the price if different from the contract. In futures, this can be different for physically delivered products in which price is quoted in a unit size different from the contract, i.e. a Cattle Future contract has a UOMQty of 40,000 and a PriceUOMQty of 100.
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Cash settlement required
Physical settlement required
Election at exercise
Type of exercise of a derivatives security
European
American
Bermuda
Other
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.
Method for price quotation
Standard, money per unit of a physical
Index
Interest rate Index
Percent of Par
Specifies the type of valuation method applied.
premium style
futures style mark-to-market
futures style with an attached cash adjustment
CDS style collateralization of market to market and coupon
CDS in delivery - use recovery rate to calculate obligation
Indicates whether instruments are pre-listed only or can also be defined via user request
pre-listed only
user requested
Used to express the ceiling price of a capped call
Used to express the floor price of a capped put
Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying
Value by which strike price should be incremented within the specified price range.
Starting price range for specified tick increment
Ending price range for the specified tick increment
Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded
Specifies the type of tick rule which is being described
Regular trading
Variable cabinet
Fixed cabinet
Traded as a spread leg
Settled as a spread leg
Traded as spread
Code to represent the type of instrument attribute
Flat (securities pay interest on a current basis but are traded without interest)
Zero coupon
Interest bearing (for Euro commercial paper when not issued at discount)
No periodic payments
Variable rate
Less fee for put
Stepped coupon
Coupon period (if not semi-annual)
When [and if] issued
Original issue discount
Callable, puttable
Escrowed to Maturity
Escrowed to redemption date - callable
Pre-refunded
In default
Unrated
Taxable
Indexed
Subject To Alternative Minimum Tax
Original issue discount price
Callable below maturity value
Callable without notice by mail to holder unless registered
Price tick rules for security
Trade type eligibility details for security
Instrument denominator
Instrument numerator
Instrument price precision
Instrument strike price
Tradeable indicator
Instrument is eligible to accept anonymous orders
Minimum guaranteed fill volume
Minimum guaranteed fill status
Trade at settlement (TAS) eligibility
Test instrument
Dummy instrument
Negative settlement price eligibility
Negative strike price eligibility
US standard contract indicator
Text
Attribute value appropriate to the NestedInstrAttribType field
Time of security's maturity expressed in local time with offset to UTC specified
Time of security's maturity expressed in local time with offset to UTC specified
Refer to definition for Symbol(55)
Refer to definition for SymbolSfx(65)
EUCP with lump-sum interest rather than discount price
"When Issued" for a security to be reissued under an old CUSIP or ISIN
Refer to definition for SecurityID(48)
Refer to definition for SecurityIDSoruce(22)
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Refer to definition for SecurityAltID(455)
Refer to definition for SecurityAltIDSource(456)
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Refer to definition of LowLimitPrice(1148)
Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
Refer to definition of UnitOfMeasureQty(1147)
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount
Ending maturity month year for an option class
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc.
Refer to ProductComplex(1227)
Increment between successive maturities for an option class
Refer to definition of HighLimitPrice(1149)
Minimum lot size allowed based on lot type specified in LotType(1093)
The commission rate when Commission(12) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.
The commission rate unit of measure.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Refer to definition for TradingReferencePrice(1150)
Starting maturity month year for an option class
Used to indicate if a product or group of product supports the creation of flexible securities
Refer to FlexProductEligibilityIndicator(1242)
Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative CFICode(461) Standard/Non-standard attribute.
Used when the trading currency can differ from the price currency
AGENCY
COMMODITY
CORPORATE
CURRENCY
EQUITY
GOVERNMENT
INDEX
LOAN
MONEYMARKET
MORTGAGE
MUNICIPAL
OTHER
FINANCING
Euro Supranational Coupons *
Corporate Bond
Foreign Exchange Contract
Common Stock
Repurchase
Brady Bond
Term Loan
Bankers Acceptance
Asset-backed Securities
Other Anticipation Notes (BAN, GAN, etc.)
Mutual Fund
Federal Agency Coupon
Corporate Private Placement
Preferred Stock
Forward
Canadian Treasury Notes
Revolver Loan
Bank Depository Note
Canadian Mortgage Bonds
Certificate Of Obligation
Multileg Instrument
Non-deliverable forward
Cap
Federal Agency Discount Note
Convertible Bond
Credit Default Swap
Buy Sellback
Canadian Treasury Bills
Revolver/Term Loan
Bank Notes
Corp. Mortgage-backed Securities
Certificate Of Participation
No Security Type
FX Spot
US Treasury Note (Deprecated Value Use TNOTE)
Private Export Funding *
Dual Currency
Securities Loan
Euro Sovereigns *
Bridge Loan
Bill Of Exchanges
Collateralized Mortgage Obligation
General Obligation Bonds
FX Forward
Collar
US Treasury Bill (Deprecated Value Use TBILL)
USD Supranational Coupons *
Euro Corporate Bond
Securities Pledge
Canadian Provincial Bonds
Letter Of Credit
Canadian Money Markets
IOETTE Mortgage
Mandatory Tender
FX Swap
Commodity swap
Euro Corporate Floating Rate Notes
Treasury Bill - non US
Swing Line Facility
Certificate Of Deposit
Mortgage-backed Securities
Revenue Anticipation Note
Wildcard entry for use on Security Definition Request
Delivery versus pledge
Exotic
US Corporate Floating Rate Notes
Options on Combo
US Treasury Bond
Debtor In Possession
Call Loans
Mortgage Interest Only
Revenue Bonds
Cash
Floor
Collateral basket
Indexed Linked
Interest Strip From Any Bond Or Note
Defaulted
Commercial Paper
Mortgage Principal Only
Special Assessment
Forward Rate Agreement
Structured Notes
Future
US Treasury Bill
Treasury Inflation Protected Securities
Withdrawn
Deposit Notes
Mortgage Private Placement
Special Obligation
Yankee Corporate Bond
Principal Strip Of A Callable Bond Or Note
Replaced
Euro Certificate Of Deposit
Miscellaneous Pass-through
Special Tax
Derivative forward
Interest Rate Swap
Principal Strip From A Non-Callable Bond Or Note
Matured
Euro Commercial Paper
Pfandbriefe *
Tax Anticipation Note
Total return swap
US Treasury Note
Amended & Restated
Liquidity Note
To Be Announced
Tax Allocation
Loan/lease
Retired
Medium Term Notes
Tax Exempt Commercial Paper
Options on Futures
Overnight
Taxable Municipal CP
Options on Physical - use not recommended
Promissory Note
Short Term Loan Note
Tax Revenue Anticipation Note
Option
Plazos Fijos
Variable Rate Demand Note
Secured Liquidity Note
Warrant
Spot forward
Time Deposit
Swap option
Transmission
Term Liquidity Note
General type for a contract based on an established index
Extended Comm Note
Bond basket
Yankee Certificate Of Deposit
Contract for difference
Correlation swap
Dividend swap
Equity basket
Equity forward
Return swap
Variance swap
Pro rata
Random
Active
Inactive
Active, closing orders only
Expired
Delisted
Knocked-out
Knock-out revoked
Pending Expiry
Suspended
Published
Pending Deletion
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Refer to definition of SecurityXMLSchema(1186)
Put
Call
Tender
Sinking fund call
Activation
Inactivation
Last eligible trade date
Swap start date
Swap end date
Swap roll date
Swap next start date
Swap next roll date
First delivery date
Last delivery date
Initial inventory due date
Final inventory due date
First intent date
Last intent date
Position removal date
Minimum notice
Delivery start time
Delivery end time
First notice date
Last notice date
First exercise date
Redemption date
Trade continuation effective date
Other
Refer to definition of PartyID(448)
Refer to definition of PartyIDSource(447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
REfer to definition of PartyRole(452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Refer to definition for PartySubID(523)
Refer to definition for PartySubIDType(803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Type of exercise of a derivatives security
European
American
Bermuda
Other
Identifies the market segment
Identifies the market
Unit of measure for the Maturity Month Year Increment
Months
Days
Weeks
Years
Format used to generate the MaturityMonthYear for each option
YearMonth Only (default)
YearMonthDay
YearMonthWeek
Expiration Style for an option class:
European
American
Bermuda
Other
Describes the how the price limits are expressed
Price (default)
Ticks
Percentage
Describes the how the price limits are expressed.
Price (default)
Ticks
Percentage
Indicates execution instructions that are valid for the specified market segment
Stay on offer side
Not held
Work
Go along
Over the day
Held
Participate don't initiate
Strict scale
Try to scale
Stay on bid side
No cross
OK to cross
Call first
Percent of volume
Do not increase - DNI
Do not reduce - DNR
All or none - AON
Reinstate on system failure
Institutions only
Reinstate on trading halt
Cancel on trading halt
Last peg (last sale)
Mid-price peg (midprice of inside quote)
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Primary peg
Suspend
Fixed peg to local best bid or offer at time of order
Customer display instruction
Netting (for Forex)
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Trailing stop peg
Strict limit
Ignore price validity checks
Peg to limit price
Work to target strategy
Intermarket sweep
External routing allowed
External routing not allowed
Imbalance only
Single execution requested for block trade
Best execution
Suspend on system failure
Suspend on trading halt
Reinstate on connection loss
Cancel on connection loss
Suspend on connection loss
Release
Execute as delta neutral using volatility provided
Execute as duration neutral
Execute as FX neutral
Minimum guaranteed fill eligible
Bypass non-displayed liquidity
Lock
Ignore notional value checks
Trade at reference price
Refer to definition of InstrAttribType(871)
Flat (securities pay interest on a current basis but are traded without interest)
Zero coupon
Interest bearing (for Euro commercial paper when not issued at discount)
No periodic payments
Variable rate
Less fee for put
Stepped coupon
Coupon period (if not semi-annual)
When [and if] issued
Original issue discount
Callable, puttable
Escrowed to Maturity
Escrowed to redemption date - callable
Pre-refunded
In default
Unrated
Taxable
Indexed
Subject To Alternative Minimum Tax
Original issue discount price
Callable below maturity value
Callable without notice by mail to holder unless registered
Price tick rules for security
Trade type eligibility details for security
Instrument denominator
Instrument numerator
Instrument price precision
Instrument strike price
Tradeable indicator
Instrument is eligible to accept anonymous orders
Minimum guaranteed fill volume
Minimum guaranteed fill status
Trade at settlement (TAS) eligibility
Test instrument
Dummy instrument
Negative settlement price eligibility
Negative strike price eligibility
US standard contract indicator
Text
Refer to definition of InstrAttribValue(872)
Refer to definition for PriceUnitOfMeasure(1191)
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Refer to definition of PriceUnitOfMeasureQty(1192)
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Cash settlement required
Physical settlement required
Election at exercise
Refer to definition of PriceQuoteMethod(1196)
Standard, money per unit of a physical
Index
Interest rate Index
Percent of Par
Refer to definition of ValuationMethod(1197).
premium style
futures style mark-to-market
futures style with an attached cash adjustment
CDS style collateralization of market to market and coupon
CDS in delivery - use recovery rate to calculate obligation
Indicates whether instruments are pre-listed only or can also be defined via user request
pre-listed only
user requested
Refer to definition of CapPrice(1199)
Refer to definition of FloorPrice(1200)
Indicates whether an Option is for a put or call
Put
Call
If provided, then Instrument occurrence has explicitly changed
Add
Delete
Modify
Snapshot
Reference to a parent Market Segment. See MarketSegmentID(1300)
Trading Session description
Specifies the action taken for the specified trading sessions.
Add
Delete
Modify
Identifies the reason for rejection.
This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
Refer to definition for Symbol(55)
Refer to definition for SymbolSfx(65)
Refer to definition for SecurityID(48)
Refer to definition for SecurityIDSource(22)
Refer to definition for SecurityAltID(455)
Refer to definition for SecurityAltIDSource(456)
Refer to definition for SecurityType(167)
Refer to definition for SecuritySubType(762)
Refer to definition for MaturityMonthYear(200)
Refer to definition for StrikePrice(202)
Refer to definition for SecurityExchange(207)
Refer to definition for PutOrCall(201)
Refer to definition for CFICode(461)
Date of maturity.
Unique identifier for request
Type of Application Message Request being made.
Retransmission of application messages for the specified Applications
Subscription to the specified Applications
Request for the last ApplLastSeqNum published for the specified Applications
Request valid set of Applications
Unsubscribe to the specified Applications
Cancel retransmission
Cancel retransmission and unsubscribe to the specified applications
Used to indicate the type of acknowledgement being sent.
Request successfully processed
Application does not exist
Messages not available
Total number of messages included in transmission.
Application sequence number of last message in transmission
Used to indicate that a message is being sent in response to an Application Message Request. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request
Identifier for the Applicaton Message Request Ack
Used to return an error code or text associated with a response to an Application Request.
Application does not exist
Messages requested are not available
User not authorized for application
Reference to the unique application identifier which corresponds to ApplID(1180) from the Application Sequence Group component
Identifier for the Application Sequence Reset
Application sequence number of last message in transmission.
Put or call indicator of the leg security.
See PutOrCall(201).
Put
Call
Total number of fill entries across all messages. Should be the sum of all NoFills(1362) in each message that has repeating list of fill entries related to the same ExecID(17). Used to support fragmentation.
Refer to ExecID(17). Used when multiple partial fills are reported in single Execution Report. ExecID and FillExecID should not overlap,
Price of Fill. Refer to LastPx(31).
Quantity of Fill. Refer to LastQty(32).
The AllocID(70) of an individual leg of a multileg order.
Identifies settlement currency for the leg level allocation.
Identifies an event related to a TradSesStatus(340). An event occurs and is gone, it is not a state that applies for a period of time.
Trading resumes (after Halt)
Change of Trading Session
Change of Trading Subsession
Change of Trading Status
Unique identifier of Order Mass Cancel Report or Order Mass Action Report message as assigned by sell-side (broker, exchange, ECN)
OrderID(37) of an order not affected by a mass cancel or mass action request.
ClOrdID(11) of an order not affected by a mass cancel or mass action request.
Specifies the type of action requested
Suspend orders
Release orders from suspension
Cancel orders
Specifies scope of Order Mass Action Request.
All orders for a security
All orders for an underlying security
All orders for a Product
All orders for a CFICode
All orders for a SecurityType
All orders for a trading session
All orders
All orders for a Market
All orders for a market segment (or multiple segments)
All orders for a Security Group
Cancel for Security Issuer
Cancel for Issuer of Underlying Security
Specifies the action taken by counterparty order handling system as a result of the action type indicated in MassActionType of the Order Mass Action Request.
Rejected - See MassActionRejectReason(1376)
Accepted
Completed
Reason Order Mass Action Request was rejected
Mass Action Not Supported
Invalid or unknown security
Invalid or unknown underlying security
Invalid or unknown Product
Invalid or unknown CFICode
Invalid or unknown SecurityType
Invalid or unknown trading session
Invalid or unknown Market
Invalid or unknown Market Segment
Invalid or unknown Security Group
Invalid or unknown Security Issuer
Invalid or unknown Issuer of Underlying Security
Other
Specifies the type of multileg order. Defines whether the security is pre-defined or user-defined. Note that MultilegModel(1377)=2(User-defined, Non-Securitized, Multileg) does not apply for Securities.
Predefined Multileg Security
User-defined Multileg Security
User-defined, Non-Securitized, Multileg
Code to represent how the multileg price is to be interpreted when applied to the legs.
(See Volume : "Glossary" for further value definitions)
Net Price
Reversed Net Price
Yield Difference
Individual
Contract Weighted Average Price
Multiplied Price
Specifies the volatility of an instrument leg.
The continuously-compounded annualized dividend yield of the underlying(s) of an option. Used as a parameter to theoretical option pricing models.
Refer to definition for DividendYield(1380).
Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then CurrencyRatio = 0.7
Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then LegCurrencyRatio = 0.7
Refer to ExecInst(18)
Same values as ExecInst(18)
Stay on offer side
Not held
Work
Go along
Over the day
Held
Participate don't initiate
Strict scale
Try to scale
Stay on bid side
No cross
OK to cross
Call first
Percent of volume
Do not increase - DNI
Do not reduce - DNR
All or none - AON
Reinstate on system failure
Institutions only
Reinstate on trading halt
Cancel on trading halt
Last peg (last sale)
Mid-price peg (midprice of inside quote)
Non-negotiable
Opening peg
Market peg
Cancel on system failure
Primary peg
Suspend
Fixed peg to local best bid or offer at time of order
Customer display instruction
Netting (for Forex)
Peg to VWAP
Trade along
Try to stop
Cancel if not best
Trailing stop peg
Strict limit
Ignore price validity checks
Peg to limit price
Work to target strategy
Intermarket sweep
External routing allowed
External routing not allowed
Imbalance only
Single execution requested for block trade
Best execution
Suspend on system failure
Suspend on trading halt
Reinstate on connection loss
Cancel on connection loss
Suspend on connection loss
Release
Execute as delta neutral using volatility provided
Execute as duration neutral
Execute as FX neutral
Minimum guaranteed fill eligible
Bypass non-displayed liquidity
Lock
Ignore notional value checks
Trade at reference price
Defines the type of contingency.
One Cancels the Other (OCO)
One Triggers the Other (OTO)
One Updates the Other (OUO) - Absolute Quantity Reduction
One Updates the Other (OUO) - Proportional Quantity Reduction
Bid and Offer
Bid and Offer OCO
Identifies the reason for rejection of a New Order List message. Note that OrdRejReason(103) is used if the rejection is based on properties of an individual order part of the List.
Broker / Exchange option
Exchange closed
Too late to enter
Unknown order
Duplicate Order (e.g. dupe ClOrdID)
Unsupported order characteristic
Other
Identifies the type of party for trade reporting. Same values as PartyRole(452).
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Specifies whether the trade should be reported (or not) to parties of the provided TrdRepPartyRole(1388). Used to override standard reporting behavior by the receiver of the trade report and thereby complements the PublTrdIndicator( tag1390).
Indicates if a trade should be reported via a market reporting service. The indicator governs all reporting services of the recipient. Replaces PublishTrdIndicator(852).
Do Not Publish Trade
Publish Trade
Deferred Publication
Refer to definition of OptAttribute(206)
Refer to definition of SecurityDesc(107)
Unique ID of a Market Definition Request message.
Market Definition message identifier.
Specifies the action taken for the specified MarketID(1301) + MarketSegmentID(1300).
Add
Delete
Modify
Description or name of Market Segment
Byte length of encoded (non-ASCII characters) EncodedMktSegmDesc(1324) field.
Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the MarketSegmDesc field.
Used to specify a new application sequence number.
Enumeration defining the encryption method used to encrypt password fields.
At this time there are no encryption methods defined by FPL.
Length of the EncryptedPassword(1402) field
Encrypted password - encrypted via the method specified in the field EncryptedPasswordMethod(1400)
Length of the EncryptedNewPassword(1404) field
Encrypted new password - encrypted via the method specified in the field EncryptedPasswordMethod(1400)
Time of security's maturity expressed in local time with offset to UTC specified
The extension pack number associated with an application message.
The extension pack number that is the default for a FIX session.
Status of a FIX session
Session active
Session password changed
Session password due to expire
New session password does not comply with policy
Session logout complete
Invalid username or password
Account locked
Logons are not allowed at this time
Password expired
Received MsgSeqNum(34) is too low.
Received NextExpectedMsgSeqNum(789) is too high.
Refer to definition of PartySubIDType(803)
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Refer to definition of PartySubID(523)
Refer to definition of PartyID(448)
Refer to definition of PartyIDSource(447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Refer to definition of PartyRole(452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Fill quantity for the leg instrument
Type of exercise of a derivatives security
European
American
Bermuda
Other
Type of exercise of a derivatives security
European
American
Bermuda
Other
Refer to definition for PriceUnitOfMeasure(1191)
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Refer to definition of PriceUnitOfMeasureQty(1192)
Refer to definition of UnitOfMeasureQty(1147)
Refer to definition for PriceUnitOfMeasure(1191)
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Refer to definition of PriceUnitOfMeasureQty(1192)
Type of report
Reset ApplSeqNum to new value specified in ApplNewSeqNum(1399)
Reports that the last message has been sent for the ApplIDs Refer to RefApplLastSeqNum(1357) for the application sequence number of the last message.
Heartbeat message indicating that Application identified by RefApplID(1355) is still alive. Refer to RefApplLastSeqNum(1357) for the application sequence number of the previous message.
Application message re-send completed.
When reporting trades, used to reference the identifier of the execution (ExecID) being reported if different ExecIDs were assigned to each side of the trade.
Time lapsed from order entry until match, based on the unit of time specified in OrderDelayUnit. Default is seconds if OrderDelayUnit is not specified. Value = 0, indicates the aggressor (the initiating side of the trade).
Time unit in which the OrderDelay(1428) is expressed
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Identifies the type of venue where a trade was executed
Electronic exchange
Pit
Ex-pit
Clearinghouse
Registered market
Off-market
Central limit order book
Quote driven market
Dark order book
Auction driven market
Quote negotiation
Voice neotiation
Hybrid market
The reason for updating the RefOrdID
GTC from previous day
Partial Fill Remaining
Order Changed
The customer capacity for this trade at the time of the order/execution.
Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).
Member trading for their own account
Clearing Firm trading for its proprietary account
Member trading for another member
All other
Used to reference a previously submitted ApplReqID (1346) from within a subsequent ApplicationMessageRequest(MsgType=BW)
Type of pricing model used
Utility provided standard model
Proprietary (user supplied) model
Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit ContractMultiplier(tag 231) is expressed in.
Shares
Hours
Days
"Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(tag 614) is expressed in.
Shares
Hours
Days
Indicates the type of multiplier being applied to the contract.
Shares
Hours
Days
Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit DerivativeContractMultiplier(tag 1266)is expressed in.
Shares
Hours
Days
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
NERC Eastern Off-Peak
NERC Western Off-Peak
NERC Calendar-All Days in month
NERC Eastern Peak
NERC Western Peak
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
NERC Eastern Off-Peak
NERC Western Off-Peak
NERC Calendar-All Days in month
NERC Eastern Peak
NERC Western Peak
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
NERC Eastern Off-Peak
NERC Western Off-Peak
NERC Calendar-All Days in month
NERC Eastern Peak
NERC Western Peak
The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".
NERC Eastern Off-Peak
NERC Western Off-Peak
NERC Calendar-All Days in month
NERC Eastern Peak
NERC Western Peak
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled
Added Liquidity
Removed Liquidity
Liquidity Routed Out
Auction
Triggered stop order
Triggered contingency order
Triggered market order
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled.
Added Liquidity
Removed Liquidity
Liquidity Routed Out
Auction
Triggered stop order
Triggered contingency order
Triggered market order
Identifies the source of rate information.
For FX, the reference source to be used for the FX spot rate.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether the rate source specified is a primary or secondary source.
Primary
Secondary
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
A category of CDS credit event in which the underlying bond experiences a restructuring.
Used to define a CDS instrument.
Full Restructuring
Modified Restructuring
Modified Mod Restructuring
No Restructuring specified
Specifies which issue (underlying bond) will receive payment priority in the event of a default.
Used to define a CDS instrument.
Senior Secured
Senior
Subordinated
Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.
Used to calculate the true value of a CDS trade or position.
Used to reflect the Original value prior to the application of a credit event. See NotionalPercentageOutstanding(1451).
See RestructuringType(1449)
Full Restructuring
Modified Restructuring
Modified Mod Restructuring
No Restructuring specified
See Seniority(1450)
Senior Secured
Senior
Subordinated
See NotionalPercentageOutstanding(1451)
See OriginalNotionalPercentageOutstanding(1452)
Lower bound percentage of the loss that the tranche can endure.
Upper bound percentage of the loss the tranche can endure.
See AttachmentPoint(1457).
See DetachmentPoint(1458).
PartyID value within an target party repeating group.
PartyIDSource value within an target party repeating group.
Same values as PartyIDSource (447)
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
PartyRole value within an target party repeating group.
Same values as PartyRole (452)
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Specifies an identifier for a Security List
Specifies a reference from one Security List to another. Used to support a hierarchy of Security Lists.
Specifies a description or name of a Security List.
Specifies a type of Security List.
Industry Classification
Trading List
Market / Market Segment List
Newspaper List
Specifies a specific source for a SecurityListType. Relevant when a certain type can be provided from various sources.
ICB (Industry Classification Benchmark) published by Dow Jones and FTSE - www.icbenchmark.com
NAICS (North American Industry Classification System). Replaced SIC (Standard Industry Classification) www.census.gov/naics or www.naics.com.
GICS (Global Industry Classification Standard) published by Standards & Poor
Unique identifier for a News message
Category of news mesage.
Company News
Marketplace News
Financial Market News
Technical News
Other News
The national language in which the news item is provided.
Reference to another News message identified by NewsID(1474).
Type of reference to another News(35=B) message item.
Replacement
Other language
Complimentary
Withdrawal
Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.
Fixed strike (default if not specified)
Strike set at expiration to underlying or other value (lookback floating)
Strike set to average of underlying settlement price across the life of the option
Strike set to optimal value
Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.
Less than underlying price is in-the-money (ITM)
Less than or equal to the underlying price is in-the-money(ITM)
Equal to the underlying price is in-the-money(ITM)
Greater than or equal to underlying price is in-the-money(ITM)
Greater than underlying is in-the-money(ITM)
Used in combination with StrikePriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").
Regular
Special reference
Optimal value (Lookback)
Average value (Asian option)
Indicates the type of payout that will result from an in-the-money option.
Vanilla
Capped
Binary
Identifies the type of complex event.
Capped
Trigger
Knock-in up
Knock-in down
Knock-out up
Knock-out down
Underlying
Reset Barrier
Rolling Barrier
One-touch
No-touch
Double one-touch
Double no-touch
Foreign exchange composite
Foreign exchange Quanto
Foreign exchange cross currency
Strike spread
Calendar spread
Price observation (Asian or Lookback)
Pass-through
Strike schedule
Equity valuation
Dividend valuation
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.
Specifies the price at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).
Specifies the boundary condition to be used for the event price relative to the underlying price at the point the complex event outcome takes effect as determined by the ComplexEventPriceTimeType.
Less than ComplexEventPrice(1486)
Less than or equal to ComplexEventPrice(1486)
Equal to ComplexEventPrice(1486)
Greater than or equal to ComplexEventPrice(1486)
Greater than ComplexEventPrice(1486)
Used in combination with ComplexEventPriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the ComplexEventType(1484).
Expiration
Immediate (At Any Time)
Specified Date/Time
Close
Open
Official settlement price
Derivatives close
As specified in Master Confirmation
Specifies the condition between complex events when more than one event is specified.
Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.
And
Or
Specifies the start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options
ComplexEventStartDate must always be less than or equal to ComplexEventEndDate.
Specifies the end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options
ComplexEventEndDate must always be greater than or equal to ComplexEventStartDate.
Specifies the start time of the time range on which a complex event date is effective.
ComplexEventStartTime must always be less than or equal to ComplexEventEndTime.
Specifies the end time of the time range on which a complex event date is effective.
ComplexEventEndTime must always be greater than or equal to ComplexEventStartTime.
Unique identifier for the stream assignment request provided by the requester.
Type of stream assignment request.
Stream assignment for new customer(s)
Stream assignment for existing customer(s)
The identifier or name of the price stream.
Unique identifier of the stream assignment report provided by the respondent.
Reason code for stream assignment request reject.
Unknown client
Exceeds maximum size
Unknown or Invalid currency pair
No available stream
Other
Type of acknowledgement.
Assignment Accepted
Assignment Rejected
See TransactTime(60)
Unique identifier for PartyDetailsListRequest.
Used to represent the trade ID for each side of the trade assigned by an intermediary.
Used to capture the original trade id for each side of a trade undergoing novation to a standardized model.
Identifies the type or role of party that has been requested.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Identifier for the PartyDetailsListReport and the PartyDetailsListUpdateReport.
Result of a request as identified by the appropriate request ID field
Valid request
Invalid or unsupported request
No data found that match selection criteria
Not authorized to retrieve data
Data temporarily unavailable
Request for data not supported
Other (further information in RejectText (1328) field)
Total number of PartyListGrp returned.
A sentence or phrase pertenant to the trade, not a reference to an external document. E.g. "To be registered with the U.S. Environmental Protection Agency, Acid Rain Division, SO2 Allowance Tracking System"
Used to specify the type of the party relationship.
Is also
Clears for
Clears through
Trades for
Trades through
Sponsors
Sponsored through
Provides guarantee for
Is guaranteed by
Member of
Has members
Provides marketplace for
Participant of marketplace
Carries positions for
Posts trades to
Enters trades for
Enters trades through
Provides quotes to
Requests quotes from
Invests for
Invests through
Brokers trades for
Brokers trades through
Provides trading services for
Uses trading services of
Approves of
Approved by
Parent firm for
Subsidiary of
Regulatory owner of
Owned by (regulatory)
Controls
Is controlled by
Legal / titled owner of
Owned by (legal / title)
Beneficial owner of
Owned by (beneficial)
Settles for
Settles through
An alternate party identifier for the party specified in PartyDetailID(1691)
Identifies the source of the PartyDetailAltID(1517) value.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Sub-identifier for the party specified in PartyDetailAltID(1517).
Type of PartyDetailAltSubID(1520) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Used to specify the differential price when reporting the individual leg of a spread trade. Both leg price and differential price may be provided on such a report. Note that MultiLegReportingType(442) will be set to 2 (Individual leg of a multi-leg security) in this case.
Also used in pricing Trade at Settlement (TAS) and Trade At Marker (TAM) contracts for which the value is the negotiated currency offset either at settlement (TAS) or at time specified in the product definition (TAM). The final contract price is specified in LastPx(31).
Used to indicate the status of the trade submission (not the trade report)
Accepted
Rejected
Received
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Byte length of encoded (non-ASCII characters) EncodedDocumentationText(1527) field.
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Encoded (non-ASCII characters) representation of the DocumentationText(1513) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DocumentationText(1513) field.
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts.
Credit limit
Gross limit
Net limit
Exposure
Long limit
Short limit
Cash margin
Additional margin
Total margin
Limit consumed
Clip size/notional limit per time period
Maximum notional order size
DV01/PV01 limit
CS01 limit
Volume limit per time period
Volume filled as percent of ordered volume per time period
Notional filled as percent of notional per time period
Transaction/execution limit per time period
Specifies the risk limit amount.
Used to specify the currency of the risk limit amount.
The area to which risk limit is applicable. This can be a trading platform or an offering.
Operator to perform on the instrument(s) specified
Include
Exclude
Used to limit instrument scope to specified symbol.
See Symbol(55) field for description.
Used to limit instrument scope to specified symbol suffix.
See SymbolSfx(65) field for description.
Used to limit instrument scope to specified security identifier.
See SecurityID(48) field for description.
Used to limit instrument scope to specified security identifier source.
See SecurityIDSource(22) field for description.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Used to limit instrument scope to specified security alternate identifier.
See SecurityAltID(455) field for description.
Used to limit instrument scope to specified security alternate identifier source.
See SecurityAltIDSource(456) field for description.
Used to limit instrument scope to specified instrument product category.
See Product (460) field for description.
AGENCY
COMMODITY
CORPORATE
CURRENCY
EQUITY
GOVERNMENT
INDEX
LOAN
MONEYMARKET
MORTGAGE
MUNICIPAL
OTHER
FINANCING
Used to limit instrument scope to specified product complex.
See ProductComplex(1227) field for description.
Used to limit instrument scope to specified security group.
See SecurityGroup(1151) field for description.
Used to limit instrument scope to specified CFICode.
See CFICode(461) field for description.
Used to limit instrument scope to specified security type.
See SecurityType(167) field for description).
Euro Supranational Coupons *
Corporate Bond
Foreign Exchange Contract
Common Stock
Repurchase
Brady Bond
Term Loan
Bankers Acceptance
Asset-backed Securities
Other Anticipation Notes (BAN, GAN, etc.)
Mutual Fund
Federal Agency Coupon
Corporate Private Placement
Preferred Stock
Forward
Canadian Treasury Notes
Revolver Loan
Bank Depository Note
Canadian Mortgage Bonds
Certificate Of Obligation
Multileg Instrument
Non-deliverable forward
Cap
Federal Agency Discount Note
Convertible Bond
Credit Default Swap
Buy Sellback
Canadian Treasury Bills
Revolver/Term Loan
Bank Notes
Corp. Mortgage-backed Securities
Certificate Of Participation
No Security Type
FX Spot
US Treasury Note (Deprecated Value Use TNOTE)
Private Export Funding *
Dual Currency
Securities Loan
Euro Sovereigns *
Bridge Loan
Bill Of Exchanges
Collateralized Mortgage Obligation
General Obligation Bonds
FX Forward
Collar
US Treasury Bill (Deprecated Value Use TBILL)
USD Supranational Coupons *
Euro Corporate Bond
Securities Pledge
Canadian Provincial Bonds
Letter Of Credit
Canadian Money Markets
IOETTE Mortgage
Mandatory Tender
FX Swap
Commodity swap
Euro Corporate Floating Rate Notes
Treasury Bill - non US
Swing Line Facility
Certificate Of Deposit
Mortgage-backed Securities
Revenue Anticipation Note
Wildcard entry for use on Security Definition Request
Delivery versus pledge
Exotic
US Corporate Floating Rate Notes
Options on Combo
US Treasury Bond
Debtor In Possession
Call Loans
Mortgage Interest Only
Revenue Bonds
Cash
Floor
Collateral basket
Indexed Linked
Interest Strip From Any Bond Or Note
Defaulted
Commercial Paper
Mortgage Principal Only
Special Assessment
Forward Rate Agreement
Structured Notes
Future
US Treasury Bill
Treasury Inflation Protected Securities
Withdrawn
Deposit Notes
Mortgage Private Placement
Special Obligation
Yankee Corporate Bond
Principal Strip Of A Callable Bond Or Note
Replaced
Euro Certificate Of Deposit
Miscellaneous Pass-through
Special Tax
Derivative forward
Interest Rate Swap
Principal Strip From A Non-Callable Bond Or Note
Matured
Euro Commercial Paper
Pfandbriefe *
Tax Anticipation Note
Total return swap
US Treasury Note
Amended & Restated
Liquidity Note
To Be Announced
Tax Allocation
Loan/lease
Retired
Medium Term Notes
Tax Exempt Commercial Paper
Options on Futures
Overnight
Taxable Municipal CP
Options on Physical - use not recommended
Promissory Note
Short Term Loan Note
Tax Revenue Anticipation Note
Option
Plazos Fijos
Variable Rate Demand Note
Secured Liquidity Note
Warrant
Spot forward
Time Deposit
Swap option
Transmission
Term Liquidity Note
General type for a contract based on an established index
Extended Comm Note
Bond basket
Yankee Certificate Of Deposit
Contract for difference
Correlation swap
Dividend swap
Equity basket
Equity forward
Return swap
Variance swap
Used to limit instrument scope to specified security sub-type.
See SecuritySubType(762) field for description.
Used to limit instrument scope to specified maturity month and year.
See MaturityMonthYear(200) field for description.
Used to limit instrument scope to specified maturity time.
See MaturityTime(1079) field for description.
Used to limit instrument scope to specified restructuring type.
See RestructuringType(1449) field for description.
Used to limit instrument scope to specified seniority type.
See Seniority(1450) field for description.
Used to limit instrument scope to puts or calls.
See PutOrCall(201) field for description.
Put
Call
Used to limit instrument scope to securities that can be defined using flexible terms or not.
See FlexibleIndicator(1244) field for description.
Used to limit instrument scope to specified coupon rate.
See CouponRate(223) field for description.
Used to limit instrument scope to specified security description.
See SecurityDesc(107) field for description.
Used to limit instrument scope to specified settlement type.
See SettlType(63) field for description.
Regular / FX Spot settlement (T+1 or T+2 depending on currency)
Cash (TOD / T+0)
Next Day (TOM / T+1)
T+2
T+3
T+4
Future
When And If Issued
Sellers Option
T+5
Broken date
FX Spot Next settlement (Spot+1, aka next day)
Multiplier applied to the transaction amount for comparison with risk limits. Default if not specified is 1.0.
Percent of risk limit at which a warning is issued.
Name or error message associated with the risk warning level.
Party identifier for the party related to the party specified in PartyDetailID(1691).
Identifies the source of the RelatedPartyDetailID(1563).
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the type or role of the RelatedPartyDetailID(1563) specified.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Sub-identifier for the party specified in RelatedPartyID(1563).
Type of RelatedPartyDetailSubID(1567) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
An alternate party identifier for the party specified in RelatedPartyID(1563).
Identifies the source of the RelatedPartyDetailAltID(1570) value.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Sub-identifier for the party specified in RelatedPartyDetailAltID(1570).
Type of RelatedPartyDetailAltSubID(1573) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
The subclassification or subtype of swap.
Amortizing
Compounding
Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.
In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.
Byte length of encoded (non-ASCII characters) EncodedEventText(868) fied.
Encoded (non-ASCII characters) representation of the EventText(868) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the EventText(868) field.
This is an optional qualifying attribute of SettlRateIndex(1577) such as the delivery zone for an electricity contract.
Description of the option expiration.
Allows classification of instruments according to a set of high level reasons. Classification reasons describe the classes in which the instrument participates.
Fee
Credit Controls
Margin
Entitlement / Eligibility
Market Data
Account Selection
Delivery Process
Sector
Specifies the product classification value which further details the manner in which the instrument participates in the class.
Specifies the reason for an amount type when reported on a position. Useful when multiple instances of the same amount type are reported.
Options settlement
Pending erosion adjustment
Final erosion adjustment
Tear-up coupon amount
Price alignment interest
Delivery invoice charges
Delivery storage charges
Leg position amount.
Type of leg position amount.
Cash amount (corporate event)
Cash residual amount
Final mark-to-market amount
Incremental mark-to-market
Premium amount
Start of day mark-to-market
Trade variation amount
Value adjusted amount
Settlement value
Initial trade coupon amount
Accrued coupon amount
Coupon amount
Incremental accrued coupon
Collateralized mark-to-market
Incremental collateralized mark-to-market
Compensation amount
Total banked amount
Total collateralized amount
Long paired swap or swaption notional value
Short paired swap or swaption notional value
Start-of-day accrued coupon
Net present value
Start-of-day net present value
Net cash flow
Present value of all fees
Present value of one basis points
The five year equivalent notional amount
Undiscounted mark-to-market
Mark-to-model
Mark-to-market variance
Mark-to-model variance
Upfront payment
Leg position currency.
Specifies the reason for an amount type when reported on a position. Useful when multiple instances of the same amount type are reported.
Options settlement
Pending erosion adjustment
Final erosion adjustment
Tear-up coupon amount
Price alignment interest
Delivery invoice charges
Delivery storage charges
Type of quantity specified in LegQty field. LegContractMultiplier (614) is required when LegQtyType = 1 (Contracts). LegUnitOfMeasure (tag 999) and LegTimeUnit (tag 1001) are required when LegQtyType = 2 (Units of Measure per Time Unit). LegQtyType can be different for each leg.
Units (shares, par, currency)
Contracts
Unit of Measure per Time Unit
Used to calculate the present value of an amount to be paid in the future.
Contains the IndividualAllocId (tag 467) value of the allocation that is being offset as a result of a new allocation. This would be an optional field that would only be populated in the case of an allocation of an allocation (as well as any subsequent allocations). This wouldn’t be populated for an initial allocation since an allocation id is not supplied on default (initial) allocations.
Represents the product group of a leg.This is useful in conveying multi-leg instruments where the legs may participate in separate security groups.
Risk adjusted price used to calculate variation margin on a position.
Alternate clearing price
Alternate clearing price for the side being reported.
Indicates to recipient whether trade is clearing at execution prices LastPx(tag 31) or alternate clearing prices SideClearingTradePrice(tag 1597).
Trade Clearing at Execution Price
Trade Clearing at Alternate Clearing Price
Price Differential between the front and back leg of a spread or complex instrument.
Represents the total number of simple instruments that make up a multi-legged security. Complex spread instruments may be constructed of legs which themselves are multi-leg instruments.
Identifies the reason a security definition request is being rejected.
Invalid instrument requested
Instrument already exists
Request type not supported
System unavailable for instrument creation
Ineligible instrument group
Instrument ID unavailable
Invalid or missing data on option leg
Invalid or missing data on future leg
Invalid or missing data on FX leg
Invalid leg price specified
Invalid instrument structure specified
Used to convey the initially requested display quantity specified in DisplayQty(1138) on order entry and modification messages in ExecutionReport message. Applicable only in ExecutionReport message where DisplayQty(1138) is the currently displayed quantity and the requested display quantity of the order also needs to be conveyed. The values of the two fields are different as soon as the order is partially filled and also after a refresh of the order whenever DisplayMethod(1084) is not 1=Initial.
Indicates whether a message was queued as a result of throttling.
Throttle limit not exceeded, not queued
Queued due to throttle limit exceeded
Action to take should throttle limit be exceeded.
Queue inbound
Queue outbound
Reject
Disconnect
Warning
Type of throttle.
Inbound Rate
Outstanding Requests
Maximum number of messages allowed by the throttle. May be a rate limit or a limit on the number of outstanding requests.
Value of the time interval in which the rate throttle is applied.
Units in which ThrottleTimeInterval is expressed. Uses same enumerations as OrderDelayUnit(1429).
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Used to limit instrument scope to specified security exchange.
See SecurityExchange(207) field for description.
The type of assignment being affected in the Stream Assignment Report.
Assignment
Rejected
Terminate/Unassign
The MsgType (35) of the FIX message being referenced.
Heartbeat
TestRequest
ResendRequest
Reject
SequenceReset
Logout
IOI
Advertisement
ExecutionReport
OrderCancelReject
Logon
News
Email
NewOrderSingle
NewOrderList
OrderCancelRequest
OrderCancelReplaceRequest
OrderStatusRequest
AllocationInstruction
ListCancelRequest
ListExecute
ListStatusRequest
ListStatus
AllocationInstructionAck
DontKnowTrade
QuoteRequest
Quote
SettlementInstructions
MarketDataRequest
MarketDataSnapshotFullRefresh
MarketDataIncrementalRefresh
MarketDataRequestReject
QuoteCancel
QuoteStatusRequest
MassQuoteAck
SecurityDefinitionRequest
SecurityDefinition
SecurityStatusRequest
SecurityStatus
TradingSessionStatusRequest
TradingSessionStatus
MassQuote
BusinessMessageReject
BidRequest
BidResponse
ListStrikePrice
XMLnonFIX
RegistrationInstructions
RegistrationInstructionsResponse
OrderMassCancelRequest
OrderMassCancelReport
NewOrderCross
CrossOrderCancelReplaceRequest
CrossOrderCancelRequest
SecurityTypeRequest
SecurityTypes
SecurityListRequest
SecurityList
DerivativeSecurityListRequest
DerivativeSecurityList
NewOrderMultileg
MultilegOrderCancelReplace
TradeCaptureReportRequest
TradeCaptureReport
OrderMassStatusRequest
QuoteRequestReject
RFQRequest
QuoteStatusReport
QuoteResponse
Confirmation
PositionMaintenanceRequest
PositionMaintenanceReport
RequestForPositions
RequestForPositionsAck
PositionReport
TradeCaptureReportRequestAck
TradeCaptureReportAck
AllocationReport
AllocationReportAck
ConfirmationAck
SettlementInstructionRequest
AssignmentReport
CollateralRequest
CollateralAssignment
CollateralResponse
CollateralReport
CollateralInquiry
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusResponse
UserRequest
UserResponse
CollateralInquiryAck
ConfirmationRequest
ContraryIntentionReport
SecurityDefinitionUpdateReport
SecurityListUpdateReport
AdjustedPositionReport
AllocationInstructionAlert
ExecutionAck
TradingSessionList
TradingSessionListRequest
SettlementObligationReport
DerivativeSecurityListUpdateReport
TradingSessionListUpdateReport
MarketDefinitionRequest
MarketDefinition
MarketDefinitionUpdateReport
ApplicationMessageRequest
ApplicationMessageRequestAck
ApplicationMessageReport
OrderMassActionReport
OrderMassActionRequest
UserNotification
StreamAssignmentRequest
StreamAssignmentReport
StreamAssignmentReportACK
PartyDetailsListRequest
PartyDetailsListReport
MarginRequirementInquiry
MarginRequirementInquiryAck
MarginRequirementReport
PartyDetailsListUpdateReport
PartyRiskLimitsRequest
PartyRiskLimitsReport
SecurityMassStatusRequest
SecurityMassStatus
AccountSummaryReport
PartyRiskLimitsUpdateReport
PartyRiskLimitsDefinitionRequest
PartyRiskLimitsDefinitionRequestAck
PartyEntitlementsRequest
PartyEntitlementsReport
QuoteAck
PartyDetailsDefinitionRequest
PartyDetailsDefinitionRequestAck
PartyEntitlementsUpdateReport
PartyEntitlementsDefinitionRequest
PartyEntitlementsDefinitionRequestAck
TradeMatchReport
TradeMatchReportAck
PartyRiskLimitsReportAck
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequestAck
PartyActionRequest
PartyActionReport
MassOrder
MassOrderAck
PositionTransferInstruction
PositionTransferInstructionAck
PositionTransferReport
MarketDataStatisticsRequest
MarketDataStatisticsReport
CollateralReportAck
MarketDataReport
CrossRequest
CrossRequestAck
Yield Type, using same values as YieldType (235)
Yield Percentage, using same values as Yield (236)
Matching Instruction for the order.
Match
Do Not Match
Existing FIX field to be applied as a matching criteria to the instruction, bilaterally agreed between parties.
Value of MatchAttribTagID(1626) on which to apply the matching instruction.
Defines the scope of TriggerAction(1101) when it is set to "cancel" (3).
This order (default)
Other order (use RefID)
All other orders for the given security
All other orders for the given security and price
All other orders for the given security and side
All other orders for the given security, price and side
This is the time in seconds of a "Good for Time" (GFT) TimeInForce.
Positive integer value which represents the time is seconds in which the new order remains active in the market before it is automatically cancelled (e.g. expired).
Bi-lateral agreements will dictate the maximum value of this field. It is assumed that most systems will impose a max limit of 86,400 seconds (i.e. 24 hours).
For Quotes: The period of time a quoted price is tradable(i.e. on-the-wire) before it becomes indicative (i.e. off-the-wire).
Identifies the type of limit amount expressed in LastLimitAmt(1632) and LimitAmtRemaining(1633).
Credit limit
Gross position limit
Net position limit
Risk exposure limit
Long position limit
Short position limit
The amount that has been drawn down against the counterparty for a given trade. The type of limit is specified in LimitAmtType(1631).
Bilateral agreements dictate the units and maximum value of this field.
The remaining limit amount available between the counterparties. The type of limit is specified in LimitAmtType(1631).
Bilateral agreements dictate the units and maximum value of this field.
Indicates the currency that the limit amount is specified in. See Currency(15) for additional description and valid values.
Unique identifier of the MarginRequirementInquiry.
Qualifier for MarginRequirementInquiry to identify a specific report.
Summary
Detail
Excess/Deficit
Net Position
Type of MarginRequirementReport.
Summary
Detail
Excess/Deficit
Identifier for group of instruments with similar risk profile.
Status of MarginRequirementInquiry.
Accepted
Accepted With Warnings
Completed
Completed With Warnings
Rejected
Result returned in response to MarginRequirementInquiry.
Successful (default)
Invalid or unknown instrument
Invalid or unknown margin class
Invalid Parties
Invalid Transport Type requested
Invalid Destination requested
No margin requirement found
Margin requirement inquiry qualifier not supported
Unauthorized for margin requirement inquiry
Other (further information in Text (58) field)
Identifier for the MarginRequirementReport message.
Type of margin requirement amount being specified.
Additional Margin
Adjusted Margin
Unadjusted Margin
Binary Add-On Amount
Cash Balance Amount
Concentration Margin
Core Margin
Delivery Margin
Discretionary Margin
Futures Spread Margin
Initial Margin
Liquidating Margin
Margin Call Amount
Margin Deficit Amount (Shortfall)
Margin Excess Amount (Surplus)
Option Premium Amount
Premium Margin
Reserve Margin
Security Collateral Amount
Stress Test Add-On Amount
Super Margin
Total Margin
Variation Margin
Secondary Variation Margin
Rolled up margin deficit
Spread response margin
Systemic risk margin
Curve risk margin
Index spread risk margin
Sector risk margin
Jump-to-default risk margin
Basis risk margin
Interest rate risk margin
Jump-to-health risk margin
Other risk margin
Amount of margin requirement.
Currency of the MarginAmt(1645).
The type of instrument relationship
"hedges for" instrument
Underlier
Equity equivalent
Nearest exchange traded contract
Retail equivalent of wholesale instrument
Leg
Ticker symbol of the related security. Common "human understood" representation of the security.
Related security identifier value of RelatedSecurityIDSource(1651) type.
Identifies class or source of the RelatedSecurityID (1650) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Security type of the related instrument.
Expiration date for the related instrument contract.
Used to specify the portion of the short contract quantity that is considered covered (e.g. used for short option position).
Indicates market maker participation in security.
No participation
Buy participation
Sell participation
Both buy and sell participation
Party identifier for the requesting party.
Identifies the source of the RequestingPartyID(1658) value.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the type or role of the RequestingPartyID(1658) specified.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Sub-identifier for the party specified in RequestingPartyID(1658).
Type of RequestingPartySubID(1662) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Byte length of encoded (non-ASCII characters) EncodedRejectText(1665) field.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the RejectText(1328) field.
Unique identifier for the PartyRiskLimitsRequest
Identifier for the PartyRiskLimitsReport
Unique reference identifier for a specific risk limit defined for the specified party.
Indicates the status of the party identified with PartyDetailID(1691).
Active (default if not specified)
Suspended
Halted
Identifies the market to which the matching instruction applies.
Qualifies the value of PartyDetailRole(1693).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Qualifies the value of RelatedPartyRole(1565)
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Byte length of encoded (non-ASCII characters) EncodedOptionExpirationDesc(1697) field.
Identifies the trading status applicable to a group of instruments.
Opening delay
Trading halt
Resume
No Open / No Resume
Price indication
Trading Range Indication
Market Imbalance Buy
Market Imbalance Sell
Market on Close Imbalance Buy
Market on Close Imbalance Sell
No Market Imbalance
No Market on Close Imbalance
ITS Pre-opening
New Price Indication
Trade Dissemination Time
Ready to trade (start of session)
Not available for trading (end of session)
Not traded on this market
Unknown or Invalid
Pre-open
Opening Rotation
Fast Market
Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
Post-close
No-cancel
Identifies an event related to the mass trading status.
Order imbalance, auction is extended
Trading resumes (after Halt)
Price Volatility Interruption
Change of Trading Session
Change of Trading Subsession
Change of Security Trading Status
Change of Book Type
Change of Market Depth
Corporate action
Denotes the reason for the Opening Delay or Trading halt of a group of securities.
News Dissemination
Order Influx
Order Imbalance
Additional Information
News Pending
Equipment Changeover
Identifies the trading status applicable to the instrument in the market data message.
Opening delay
Trading halt
Resume
No Open / No Resume
Price indication
Trading Range Indication
Market Imbalance Buy
Market Imbalance Sell
Market on Close Imbalance Buy
Market on Close Imbalance Sell
No Market Imbalance
No Market on Close Imbalance
ITS Pre-opening
New Price Indication
Trade Dissemination Time
Ready to trade (start of session)
Not available for trading (end of session)
Not traded on this market
Unknown or Invalid
Pre-open
Opening Rotation
Fast Market
Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
Post-close
No-cancel
Describes a sub-class for a given class of service defined by MDFeedType (1022)
Denotes the reason for the Opening Delay or Trading Halt.
News Dissemination
Order Influx
Order Imbalance
Additional Information
News Pending
Equipment Changeover
Describes action recipient should take if a throttle limit were exceeded.
Reject if throttle limit exceeded
Queue if throttle limit exceeded
Indicates whether a message decrements the number of outstanding requests, e.g. one where ThrottleType = Outstanding Requests.
Outstanding requests unchanged
Outstanding requests decreased
Indicates whether a restriction applies to short selling a security.
No restrictions
Security is not shortable
Security not shortable at or below the best bid
Security is not shortable without pre-borrow
Indicates the reason a short sale order is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.).
Exemption reason unknown
Income sell short exempt
Above national best bid (broker/dealer provision)
Delayed delivery
Odd lot
Domestic arbitrage
International arbitrage
Underwriter or syndicate distribution
Riskless principal
VWAP
Indicates the reason a short sale is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.)
Exemption reason unknown
Income sell short exempt
Above national best bid (broker/dealer provision)
Delayed delivery
Odd lot
Domestic arbitrage
International arbitrage
Underwriter or syndicate distribution
Riskless principal
VWAP
Indicates the reason a short sale is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.)
Exemption reason unknown
Income sell short exempt
Above national best bid (broker/dealer provision)
Delayed delivery
Odd lot
Domestic arbitrage
International arbitrage
Underwriter or syndicate distribution
Riskless principal
VWAP
Party identifier within Parties Reference Data messages.
Source of the identifier of the PartyDetailID(1691) specified.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the type or role of PartyDetailID(1691) specified.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Sub-identifier for the party specified in PartyDetailID(1691).
Type of PartyDetailSubID(1695) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Encoded (non-ASCII characters) representation of the OptionExpirationDesc(1581) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the OptionExpirationDesc(1581).
Used to express the unit of measure (UOM) of the price if different from the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Unique identifier for the AccountSummaryReport(35=CQ).
The amount of settlement.
The currency of the reported settlement amount.
Currency value currently attributed to the collateral.
Currency of the collateral; optional, defaults to the Settlement Currency if not specified.
Type of collateral on deposit being reported.
Category describing the reason for funds paid to, or the funds collected from the clearing firm.
Currency denomination of value in PayAmount(1710) and CollectAmount(1711). If not specified, default to currency specified in SettlementAmountCurrency(1702).
Amount to be paid by the clearinghouse to the clearing firm.
Amount to be collected by the clearinghouse from the clearing firm.
Market segment associated with the pay collect amount.
Market associated with the pay collect amount.
Market segment associated with the margin amount.
Market associated with the margin amount
Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure(996) = Ccy
Indicates the currency of the price unit of measure. Conditionally required when PriceUnitOfMeasure(1191) = Ccy
Indicates the currency of the underlying unit of measure. Conditionally required when UnderlyingUnitOfMeasure(998) = Ccy
Indicates the currency of the underlying price unit of measure. Conditionally required when UnderlyingPriceUnitOfMeasure(1424) = Ccy
Indicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure(999) = Ccy
Indicates the currency of the price unit of measure. Conditionally required when LegPriceUnitOfMeasure(1421) = Ccy
Indicates the currency of the unit of measure. Conditionally required when DerivativeUnitOfMeasure(1269) = Ccy
Indicates the currency of the price unit of measure. Conditionally required when DerivativePriceUnitOfMeasure(1315) = Ccy
Identifies the origin of the order.
Order received from a customer
Order received from within the firm
Order received from another broker-dealer
Order received from a customer or originated with the firm
Order received from a direct access or sponsored access customer
An identifier representing the department or desk within the firm that originated the order.
An identifier representing the department or desk within the firm that received the order.
The identifier of the information barrier in place for a trading unit that will meet the criteria of the "no-knowledge" exception in FINRA Rule 5320.02.
Firm assigned group allocation entity identifier.
Allocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).
Intended to be used by a central counterparty to assign an identifier to allocations of trades for the same instrument traded at the same price.
Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group.
Firm reference information, usually internal information, that is part of the initial message. The information would not be carried forward (e.g to Take-up Firm) and preserved with the transaction.
An indicator to override the normal procedure to roll up allocations for the same take-up firm.
Roll up
Do not roll up
Indicates the total quantity of an allocation group. Includes any allocated quantity.
Indicates the remaining quantity of an allocation group that has not yet been allocated.
Identifies the status of a reversal transaction.
Completed
Refused
Cancelled
Type of reference obligation for credit derivatives contracts.
Bond
Convertible bond
Mortgage
Loan
Method used for negotiation of contract price.
Percent of par
Deal spread
Upfront points
Upfront amount
Percent of par and upfront amount
Deal spread and upfront amount
Upfront points and upfront amount
Type of price used to determine upfront payment for swaps contracts.
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Fixed amount (absolute value)
Price used to determine upfront payment for swaps contracts.
Price used to determine upfront payment for swaps contracts reported for a deal (trade).
The market data entry identifier of the bid side of a quote
The market data entry identifier of the offer side of a quote.
Marketplace assigned quote identifier for the bid side. Can be used to indicate priority.
Marketplace assigned quote identifier for the offer side. Can be used to indicate priority.
Specifies the total bid size.
Specifies the total offer size.
Assigned by the party which accepts the quote. Can be used to provide the quote identifier assigned by an exchange, marketplace or executing system.
An opaque identifier used to communicate the custodian’s identifier for the lot. It is expected that this information would be provided by the custodian as part of a reconciliation process that occurs before trading.
The effective acquisition date of the lot that would be used for gain-loss trade lot reporting. The versus purchase date used to identify the lot in situations where a custodial lot identifier is not available.
The versus purchase price used to identify the lot in situations where a custodial lot identifier is not available. The value should be calculated based on current cost basis / quantity held.
The amount that the current shares are worth. If this lot was liquidated, the total gain/loss for a trade is equal to the trade amount minus the current cost basis.
An opaque identifier used to communicate the custodian’s identifier for the lot. It is expected that this information would be provided by the custodian as part of a reconciliation process that occurs before trading.
The effective acquisition date of the lot that would be used for gain-loss trade lot reporting. The versus purchase date used to identify the lot in situations where a custodial lot identifier is not available.
The versus purchase price used to identify the lot in situations where a custodial lot identifier is not available.The value should be calculated based on current cost basis / quantity held.
The amount that the current shares are worth. If this lot was liquidated, the total gain/loss for a trade is equal to the trade amount minus the current cost basis.
Type of risk limit information.
Definitions(Default)
Utilization
Definitions and utilization
Result of risk limit definition request.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid risk limit type(s)
Invalid risk limit ID(s)
Invalid risk limit amount(s)
Invalid risk/warning level action(s)
Invalid risk instrument scope(s)
Risk limit actions not supported
Warning levels not supported
Warning level actions not supported
Risk instrument scope not supported
Risk limit not approved for party(-ies)
Risk limit already defined for party(-ies)
Instrument not approved for party(-ies)
Not authorized
Other
Status of risk limit definition request.
Accepted
Accepted with changes
Rejected
Acceptance pending
Status of risk limit definition for one party.
Accepted
Accepted with changes
Rejected
Result of risk limit definition for one party.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid risk limit type(s)
Invalid risk limit ID(s)
Invalid risk limit amount(s)
Invalid risk/warning level action(s)
Invalid risk instrument scope(s)
Risk limit actions not supported
Warning levels not supported
Warning level actions not supported
Risk instrument scope not supported
Risk limit not approved for party(-ies)
Risk limit already defined for party(-ies)
Instrument not approved for party(-ies)
Not authorized
Other
Percentage of utilization of a party's set risk limit.
Absolute amount of utilization of a party's set risk limit.
Identifies the action to take or risk model to assume should risk limit be exceeded or breached for the specified party.
Queue inbound
Queue outbound
Reject
Disconnect
Warning
Ping credit check model with revalidation
Ping credit check model without revalidation
Push credit check model with revalidation
Push credit check model without revalidation
Suspend
Halt trading
Amount at which a warning is issued.
Action to take should warning level be exceeded.
Queue inbound
Queue outbound
Reject
Disconnect
Warning
Ping credit check model with revalidation
Ping credit check model without revalidation
Push credit check model with revalidation
Push credit check model without revalidation
Suspend
Halt trading
Unique identifier for PartyEntitlementsRequest(35=CU).
Identifier for the PartyEntitlementsReport(35=CV).
Used to indicate if a party is entitled to an entitlement type specified in the EntitlementType(1775) field.
Type of entitlement.
Trade
Make markets
Hold positions
Perform give-ups
Submit Indications of Interest (IOIs)
Subscribe to market data
Short with pre-borrow
Submit quote requests
Respond to quote requests
Unique identifier for a specific NoEntitlements(1773) repeating group instance.
Number of entitlement attributes.
Name of the entitlement attribute type. A code list of allowed values will be maintained on the FIX Protocol website.
Values "4000" and above are reserved for bilaterally agreed upon user defined enumerations.
Datatype of the entitlement attribute.
int
Length
NumInGroup
SeqNum
TagNum
float
Qty
Price
PriceOffset
Amt
Percentage
char
Boolean
String
MultipleCharValue
Currency
Exchange
MonthYear
UTCTimestamp
UTCTimeOnly
LocalMktDate
UTCDateOnly
data
MultipleStringValue
Country
Language
TZTimeOnly
TZTimestamp
Tenor
DayOfMonth
XMLData
Pattern
Reserved100Plus
Reserved1000Plus
Reserved4000Plus
Value of the entitlement attribute.
Currency for EntitlementAttribValue(1780). Can be used if these fields represent a price, price offset, or amount.
Indicates the starting date of the entitlement.
Indicates the ending date of the entitlement.
The area to which the entitlement is applicable. This can be a trading platform or an offering.
Indicates how control of trading session and subsession transitions are performed.
Automatic (Default)
Manual
Define the type of trade volume applicable for the MinTradeVol(562) and MaxTradeVol(1140)
Number of units (e.g. share, par, currency, contracts) (default)
Number of round lots
Spread table code referred by the security or symbol.
Unique identifier for the leg within the context of a message (the scope of uniqueness to be defined by counterparty agreement). The LegID(1788) can be referenced using LegRefID(654).
Market segment within a target market segment repeating group.
Market segment within an affected market repeating segment group.
Market segment within an unaffected market repeating segment group.
The type of event affecting an order. The last event type within the OrderEventGrp component indicates the ExecType(150) value resulting from the series of events (ExecType(150) values are shown in brackets).
Added (0=New)
Modified (5=Replaced)
Deleted (4=Canceled)
Partially Filled (F=Trade)
Filled (F=Trade)
Suspended (9=Suspended)
Released (N=Released)
Restated (D=Restated)
Locked (M=Locked)
Triggered (L=Triggered or Activated by System)
Activated (L=Triggered or Activated by System)
Refer to ExecID(17). Used when multiple different events are reported in single Execution Report. ExecID(17) and OrderEventExecID(1797) values should not overlap.
Action that caused the event to occur.
Add order request
Modify order request
Delete order request
Order entered out-of-band
Order modified out-of-band
Order deleted out-of-band
Order activated or triggered
Order expired
Reserve order refreshed
Away market better
Corporate action
Start of day
End of day
Price associated with the event.
Quantity associated with the event.
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrderEventType(1796) values of 4(Partially Filled) or 5(Filled).
Added Liquidity
Removed Liquidity
Liquidity Routed Out
Auction
Triggered stop order
Triggered contingency order
Triggered market order
Additional information about the event.
Type of auction order.
None
Block order auction
Directed order auction
Exposure order auction
Flash order auction
Facilitation order auction
Solicitation order auction
Price improvement mechanism (PIM)
Directed Order price improvement mechanism (PIM)
Percentage of matched quantity to be allocated to the submitter of the response to an auction order.
Instruction related to system generated auctions, e.g. flash order auctions.
Automatic auction permitted (default)
Automatic auction not permitted
Used to reference an order via ClOrdID(11).
Indicates whether an order is locked and for what reason.
Not locked
Away market better
Three tick locked
Locked by market maker
Directed order lock
Multileg lock
Market order lock
Pre-assignment lock
Locked order quantity.
Locked order quantity in addition to LockedQty (1808), e.g. to distinguish total locked quantity from currently locked quantity.
Instruction to define conditions under which to release a locked order or parts of it.
Intermarket Sweep Order (ISO)
No Away Market Better check
Quantity to be made available, i.e. released from a lock.
Information subject to disclosure.
Volume
Price
Side
AON
General
Clearing account
CMTA account
Instruction to disclose information or to use default value of the receiver.
No
Yes
Use default setting
Designates the capacity in which the order is submitted for trading by the market participant.
Customer
Customer professional
Broker-dealer
Customer broker-dealer
Principal
Market maker
Away market maker
Systematic internaliser
Designates the account type to be used for the order when submitted to clearing.
Customer
Firm
Market maker
Designates the capacity in which the order will be submitted to clearing.
Customer
Firm
Market maker
Qualifies the value of TargetPartyRole (1464).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Upper boundary for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order.
Lower boundary for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order.
Source for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order. Can be used together with RelatedHighPrice (1819) and/or RelatedLowPrice (1820).
NBB (National Best Bid)
NBO (National Best Offer)
Indicates how the minimum quantity should be applied when executing the order.
Once (applies only to first execution)
Multiple (applies to every execution)
Indicates whether order has been triggered during its lifetime. Applies to cases where original information, e.g. OrdType(40), is modified when the order is triggered.
Not triggered (default)
Triggered
Stop order triggered
One Cancels the Other (OCO) order triggered
One Triggers the Other (OTO) order triggered
One Updates the Other (OUO) order triggered
OrigClOrdID(41) of an order affected by a mass cancel or mass action request.
SecondaryOrderID (198) of an order not affected by a mass cancel or mass action request.
Time unit multiplier for the event.
Time unit associated with the event.
Hour
Minute
Second
Day
Week
Month
Year
When LastQty is an estimated value, e.g. for a Repo “circled” trade, LastQtyVariance specifies the absolute amount that the size may vary up or down when finalized. Omitted when LastQty(32) is already final.
Settlement price increment for stated price range.
Secondary settlement price increment for stated price range. The meaning of secondary is left to bilateral agreement, e.g. it may refer to final settlement for a contract.
Indicates whether the trade or position being reported was cleared through a clearing organization.
Not cleared
Cleared
Submitted
Rejected
Additional information related to the pricing of a commodity swaps position, specifically an indicator referring to the position type.
Two component intercommodity spread
Index or basket
Two component locational basis
Other
Used to describe the ownership of the position.
Principal
Agent
Customer
Counterparty
Indicates the currency of the unit of measure if position quantity is expressed in valuation rather than contracts. Conditionally required when PosQtyUnitOfMeasure(1836)=Ccy.
Indicates the unit of measure of the position quantity when not expressed in contracts.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Reference month if there is no applicable UnderlyingMaturityMonth(313) value for the contract or security.
Price conditions in effect at the time of the trade. Multiple price conditions can be in effect at the same time. Price conditions are usually required to be reported in markets that have regulations on price execution at a market or national best bid or offer, and the trade price differs from the best bid or offer.
Special cum dividend (CD)
Special cum rights (CR)
Special ex dividend (XD)
Special ex rights (XR)
Special cum coupon (CC)
Special cum capital repayments (CP)
Special ex coupon (XC)
Special ex capital repayments (XP)
Cash settlement (CS)
Special cum bonus (CB)
Special price (SP)
Special ex bonus (XB)
Guaranteed delivery (GD)
Special dividend
Price improvement
Non-price forming trade
Trade exempted from trading obligation
Price is pending
Price is not applicable
Identifies the status of an allocation when using a pre-clear workflow.
Pending clear
Claimed
Cleared
Rejected
Indicates the type of trade quantity in TradeQty(1843).
Cleared quantity
Long side claimed quantity
Short side claimed quantity
Long side rejected quantity
Short side rejected quantity
Pending quantity
Transaction quantity
Remaining trade quantity
Previous remaining trade quantity
Trade quantity.
Type of the amount associated with a trade allocation.
Cash amount (corporate event)
Cash residual amount
Final mark-to-market amount
Incremental mark-to-market
Premium amount
Start of day mark-to-market
Trade variation amount
Value adjusted amount
Settlement value
Initial trade coupon amount
Accrued coupon amount
Coupon amount
Incremental accrued coupon
Collateralized mark-to-market
Incremental collateralized mark-to-market
Compensation amount
Total banked amount
Total collateralized amount
Long paired swap or swaption notional value
Short paired swap or swaption notional value
Start-of-day accrued coupon
Net present value
Start-of-day net present value
Net cash flow
Present value of all fees
Present value of one basis points
The five year equivalent notional amount
Undiscounted mark-to-market
Mark-to-model
Mark-to-market variance
Mark-to-model variance
Upfront payment
The amount associated with a trade allocation.
Currency denomination of the trade allocation amount.
Instruction on how to add a trade to an allocation group when it is being given-up.
Add to an existing allocation group if one exists.
Do not add the trade to an allocation group.
Indicates the trade is a result of an offset or onset.
Offset
Onset
Specifies the reason for an amount type when reported on an allocation. Useful when multiple instances of the same amount type are reported.
Options settlement
Pending erosion adjustment
Final erosion adjustment
Tear-up coupon amount
Price alignment interest
Delivery invoice charges
Delivery storage charges
Identifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.
Calculated average price for this side of the trade.
Used to indicate whether a trade or a sub-allocation should be allocated at the trade price (e.g. no average pricing), or whether it should be grouped with other trades/sub-allocations and allocated at the average price of the group.
No average pricing
Trade is part of the average price group identified by the SideAvgPxGroupID(1854)
Last trade is the average price group identified by the SideAvgPxGroupID(1854)
The identifier for the average price group for the trade side. See also AvgPxGroupID(1731).
Identifier of a related trade.
Describes the source of the identifier that RelatedTradeID(1856) represents.
Non-FIX source
Trade ID
Secondary trade ID
Trade report ID
Firm trade ID
Secondary firm Trade ID
Regulatory trade ID
Date of a related trade.
Market of execution of related trade.
Quantity of the related trade which can be less than or equal to the actual quantity of the related trade. For example, when one trade offsets another across asset classes.
Identifier of a related position.
Describes the source of the identifier that RelatedPositionID(1862) represents.
Position maintenance report ID - PosMaintRptID(721)
Position transfer ID - TransferID(2437)
Position entity ID - PositionID(2618)
Used to help identify the position when RelatedPositionID(1862) is not unique across multiple days. This date is generally the creation date of the identifier.
Acknowledgement status of a Quote(35=S) or QuoteCancel(35=Z) message submission.
Received, not yet processed
Accepted
Rejected
Specifies the index used to calculate the strike price.
Unique identifier for the ask side of the quote assigned by the quote issuer.
Type of value to be checked.
Price check
Notional value check
Action to be taken for the ValueCheckType(1869).
Do not check
Check
Best effort
The schema used to validate the contents of LegSecurityXML(1872).
The schema used to validate the contents of UnderlyingSecurityXML(1875).
Result party detail definition request.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid party status(es)
Not authorized
Other
Status of party details definition request.
Accepted
Accepted with changes
Rejected
Acceptance pending
Status of party detail definition for one party.
Accepted
Accepted with changes
Rejected
Result of party detail definition for one party.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid party status(es)
Not authorized
Other
Result of risk limit definition request.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid entitlement type(s)
Invalid entitlement ID(s) / ref ID(s)
Invalid entitlement attribute(s)
Invalid instrument scope(s)
Invalid market segment scope(s)
Invalid start date
Invalid end date
Instrument scope not supported
Market segment scope not supported
Entitlement not approved for party(-ies)
Entitlement already defined for party(-ies)
Instrument not approved for party(-ies)
Not authorized
Other
Status of party entitlements definition request.
Accepted
Accepted with changes
Rejected
Acceptance pending
Status of entitlement definition for one party.
Accepted
Accepted with changes
Rejected
Pending
Requested
Deferred
Result of entitlement definition for one party.
Successful (default)
Invalid party(-ies)
Invalid related party(-ies)
Invalid entitlement type(s)
Invalid entitlement ID(s) / ref ID(s)
Invalid entitlement attribute(s)
Invalid instrument scope(s)
Invalid market segment scope(s)
Invalid start date
Invalid end date
Instrument scope not supported
Market segment scope not supported
Entitlement not approved for party(-ies)
Entitlement already defined for party(-ies)
Instrument not approved for party(-ies)
Not authorized
Other
Reference to an EntitlementID(1776). Used for modification or deletion of an entitlement.
Used to express the unit of measure of the settlement price if different from the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Indicates the currency of the settlement price unit of measure if expressed in another currency than the base currency.
Conditionally required when SettlPriceUnitOfMeasure(1886)=Ccy.
Timestamp of the match event. For off-exchange trades the time at which the deal was matched by the exchange.
This timestamp will be the same on all the trades and will not change when a trade is modified.
Used to identify each price level, step or clip within a match event.
The ExecID(17) value corresponding to a trade leg.
The TradeID(1003) value corresponding to a trade leg.
The TradeReportID(571) value corresponding to a trade leg.
Used to indicate the status of the trade match report submission.
Received, not yet processed
Accepted
Rejected
Reason the trade match report submission was rejected.
Successful
Invalid party information
Unknown instrument
Not authorized to report trades
Invalid trade type
Other
Identifies the market segment of the side.
Identifies the type of venue where the trade was executed for the side.
Electronic exchange
Pit
Ex-pit
Clearinghouse
Registered market
Off-market
Central limit order book
Quote driven market
Dark order book
Auction driven market
Quote negotiation
Voice neotiation
Hybrid market
Used to reference the value from SideExecID(1427).
Used to reference the value from LegExecID(1893).
Indicates, if "Y", that a stated valuation includes a haircut, e.g. that the stated value reflects the subtraction of the haircut. Note that a value of "N" does not imply a haircut is not applicable, only that the haircut (if any) is not reflected in the stated valuation.
Trade identifier required by government regulators or other regulatory organizations for regulatory reporting purposes. For example, unique swap identifer (USI) as required by the U.S. Commodity Futures Trading Commission.
Identifies the event which caused origination of the identifier in RegulatoryTradeID(1903). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2 (Clearing).
Initial block trade
Allocation
Clearing
Compression
Novation
Termination
Post-trade valuation
Identifies the reporting entity that originated the value in RegulatoryTradeID(1903). The reporting entitiy identifier may be assigned by a regulator.
Specifies the type of trade identifier provided in RegulatoryTradeID(1903).
Contextual hierarchy of events for the same trade or transaction maybe captured through use of the different RegulatoryTradeIDType(1906) values using multiple instances of the repeating group as needed for regulatory reporting.
Current
Previous
Block
Related
Cleared block trade
Trading venue transaction identifier
Trade identifier required by government regulators or other regulatory organizations for regulatory reporting purposes. For example, unique swap identifer (USI) as required by the U.S. Commodity Futures Trading Commission.
Identifies the reporting entity that originated the value in AllocRegulatoryTradeID(1909). The reporting entity identifier may be assigned by a regulator.
Identifies the event which caused the origination of the identifier in AllocRegulatoryTradeID(1909). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2(Clearing).
Initial block trade
Allocation
Clearing
Compression
Novation
Termination
Post-trade valuation
Specifies the type of trade identifier provided in AllocRegulatoryTradeID(1909), within the context of the hierarchy of trade events.
Current
Previous
Block
Related
Cleared block trade
Trading venue transaction identifier
The number of competing Respondents (e.g. dealers) to receive a quote request (either via the QuoteRequest(35=R) or via other means).
The time by which a meaningful response should arrive back (always expressed in UTC (Universal Time Coordinated, also known as "GMT").
Time by which the quote will be displayed.
Time unit in which the ExposureDuration(1629) is expressed.
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
The best quoted price received among those not traded.
Value at specific price movement point.
Price movement point up (positive integer) or down (negative integer) relative to the underlying price of the instrument.
Describes the format of the PriceMovementValue(1921).
Amount
Percentage
Specifies the party's or parties' intention to clear the trade.
Do not intend to clear
Intend to clear
Specifies the eligibility of this trade for clearing and central counterparty processing.
Process normally
Exclude from all netting
Bilateral netting only
Ex clearing
Special trade
Multilateral netting
Clear against central counterparty
Exclude from central counterparty
Manual mode (pre-posting and/or pre-giveup)
Automatic posting mode (trade posting to the position account number specified)
Automatic give-up mode (trade give-up to the give-up destination number specified)
Qualified Service Representative QSR
Customer trade
Self clearing
Buy-in
Indicates that the trade being reported occurred in the past and is still in effect or active.
Specifies how a trade was confirmed.
Non-electronic
Electronic
Unconfirmed
An indication that the trade is flagged for mandatory clearing.
An indication that the trade is a mixed swap.
An indication that the price is off-market.
Indication of how a trade was verified.
Non-electronic
Electronic
Specifies whether a party to a swap is using an exception to a clearing requirement. In the US, one such clearing requirement is CFTC's rule pursuant to CEA Section 2(h)(1).
No exception
Exception
End-user exception
Inter-affiliate exception
Treasury affiliate exception
Cooperative exception
Used to specify whether the principal is paying or receiving the fixed rate in an interest rate swap.
Principal is paying fixed rate
Principal is receiving fixed rate
Swap is float/float or fixed/fixed
Type of regulatory report.
Real-time (RT)
Primary economic terms (PET)
Snapshot
Confirmation
Combination of RT and PET
Combination of PET and confirmation
Combination of RT, PET and confirmation
Post-trade valuation
Verification
Post-trade event
Post trade event RT reportable
Limited Details Trade
Daily Aggregated Trade
Volume Omission Trade
Four Weeks Aggregation Trade
Indefinite Aggregation Trade
Volume Omission Trade Eligible for Subsequent Aggregated Enrichment
Full Details Trade of "Limited Details Trade"
Full Details of "Daily Aggregated Trade"
Full Details of "Volume Omission Trade"
Full Details of "Four Weeks Aggregation Trade"
Full Details in Aggregated Form of "Volume Omission Trade Eligible for Subsequent Aggregated Enrichment"
Used in conjunction with RegulatoryReportType(1934) to indicate whether the trade report is a voluntary regulatory report. If not specified, the default for a regulatory report is "N".
When VoluntaryRegulatoryReport(1935)=Y it is recommended that one of the parties to the trade be identified as the voluntary reporting party through PartySubIDType(803) = 63 (Voluntary reporting entity).
Specifies how the trade is collateralized.
Uncollateralized
Partially collateralized
One-way collaterallization
Fully collateralized
Specifies the post-execution trade continuation or lifecycle event. Additional values may be used by mutual agreement of the counterparties.
Novation
Partial novation
Trade unwind
Partial trade unwind
Exercise
Compression/Netting
Full netting
Partial netting
Amendment
Increase
Credit event
Strategic restructuring
Succession event reorganization
Succession event renaming
Porting
Withdrawal
Void
Account transfer
Give up
TakeUp
Average pricing
Reversal
Allocation/Trade posting
Cascade
Delivery
Option assignment
Expiration
Maturity
Equal position adjustment
Unequal position adjustment
Correction
Other price-forming continuation data
The broad asset category for assessing risk exposure.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Loan facility
The subcategory description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Exotic
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
Specialized account program
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
The classification or type of swap. Additional values may be used by mutual agreement of the counterparties.
Basis swap
Index swap
Broad-based security swap
Basket swap
The Nth reference obligation to default in a CDS reference basket. If specified without MthToDefault(1943) the default will trigger a CDS payout. If MthToDefault(1943) is also present then payout occurs between the Nth and Mth obligations to default.
The Mth reference obligation to default in a CDS reference basket. When NthToDefault(1942) and MthToDefault(1943) are represented then the CDS payout occurs between the Nth and Mth obligations to default.
Relevant settled entity matrix source.
The publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.
Coupon type of the bond.
Zero
Fixed rate
Floating rate
Structured
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued securities.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security. Absence of this field for a bond or an interest bearing security transaction implies a "flat" trade, i.e. no accrued interest determined at time of the transaction.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Identifies the equity in which a convertible bond can be converted to.
Identifies class or source of the ConvertibleBondEquityID(1951) value.
100+ are reserved for private security.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Reference month if there is no applicable MaturityMonthYear(200) value for the contract or security.
Indicates the seniority level of the lien in a loan.
Unknown
First lien
Second lien
Third lien
Specifies the type of loan when the credit default swap's reference obligation is a loan.
Bridge loan
Letter of credit
Revolving loan
Swingline funding
Term loan
Trade claim
Specifies the type of reference entity for first-to-default CDS basket contracts.
Asian
Australian and New Zealand
European emerging markets
Japanese
North American high yield
North American insurance
North American investment grade
Singaporean
Western European
Western European insurance
The series identifier of a credit default swap index.
The version of a credit default swap index annex.
The date of a credit default swap index series annex.
The source of a credit default swap series annex.
The version of the master agreement
The type of master confirmation executed between the parties.
See http://www.fpml.org/coding-scheme/master-confirmation-type for values.
Alternative to broker confirmation. The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.
The type of master confirmation annex executed between the parties.
See http://www.fpml.org/coding-scheme/master-confirmation-annex-type for values.
The date that an annex to the master confirmation was executed between the parties.
Describes the type of broker confirmation executed between the parites. Can be used as an alterative to MasterConfirmationDesc(1962). See http://www.fpml.org/coding-scheme/broker-confirmation-type for values.
The type of ISDA Credit Support Agreement. See http://www.fpml.org/coding-scheme/credit-support-agreement-type for values.
The date of the ISDA Credit Support Agreement executed between the parties and intended to govern collateral arrangements for all OTC derivatives transactions between those parties.
A common reference or unique identifier to identify the ISDA Credit Support Agreement executed between the parties.
Identification of the law governing the transaction. See http://www.fpml.org/coding-scheme/governing-law for values.
Trade identifier required by government regulators or other regulatory organziations for regulatory reporting purposes. For example, unique swap identifier (USI) as required by the U.S. Commodity Futures Trading Commission.
Identifies the reporting entity that originated the value in SideRegulatoryTradeID(1972). The reporting entity identifier may be assigned by a regulator.
Identifies the event which caused origination of the identifier in SideRegulatoryTradeID(1972). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2 (Clearing).
Initial block trade
Allocation
Clearing
Compression
Novation
Termination
Post-trade valuation
Specifies the type of trade identifier provided in SideRegulatoryTradeID(1972), within the context of the hierarchy of trade events.
Current
Previous
Block
Related
Cleared block trade
Trading venue transaction identifier
The broad asset category for assessing risk exposure for a multi-asset trade.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Loan facility
An indication of the general description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Exotic
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
Specialized account program
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
Indication that a block trade will be allocated.
Block to be allocated
Block not to be allocated
Allocated trade
Code to represent the type of event.
Put
Call
Tender
Sinking fund call
Activation
Inactivation
Last eligible trade date
Swap start date
Swap end date
Swap roll date
Swap next start date
Swap next roll date
First delivery date
Last delivery date
Initial inventory due date
Final inventory due date
First intent date
Last intent date
Position removal date
Minimum notice
Delivery start time
Delivery end time
First notice date
Last notice date
First exercise date
Redemption date
Trade continuation effective date
Other
The date of the event.
The time of the event. To be used in combination with UnderlyingEventDate(1983).
Time unit associated with the event.
Time unit multiplier for the event.
Predetermined price of issue at event, if applicable.
For a basket, or pool, describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.
Specifies the coupon type of the underlying bond.
Zero
Fixed rate
Floating rate
Structured
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
For a CDS basket or pool identifies the reference obligation.
Identifies the source scheme of the UnderlyingObligationID(1994).
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Specifies the equity in which a convertible bond can be converted.
Identifies the source of the UnderlyingEquityID(1996).
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Indicates the seniority level of the lien in a loan.
Unknown
First lien
Second lien
Third lien
Specifies the type of loan when the credit default swap's reference obligation is a loan.
Bridge loan
Letter of credit
Revolving loan
Swingline funding
Term loan
Trade claim
Specifies the type of reference entity for first-to-default CDS basket contracts.
Asian
Australian and New Zealand
European emerging markets
Japanese
North American high yield
North American insurance
North American investment grade
Singaporean
Western European
Western European insurance
Specifies the strike price offset from the named index.
Specifies the source of trade valuation data.
The series identifier of a credit default swap index.
The version identifier of a credit default swap index annex.
The date of a credit default swap index series annex.
The source of a credit default swap index series annex.
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Indicator to determine if Instrument is Settle on Open.
Method under which assignment was conducted
Pro rata
Random
Gives the current state of the instrument
Active
Inactive
Active, closing orders only
Expired
Delisted
Knocked-out
Knock-out revoked
Pending Expiry
Suspended
Published
Pending Deletion
Type of reference obligation for credit derivatives contracts.
Bond
Convertible bond
Mortgage
Loan
The broad asset category for assessing risk exposure.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Loan facility
An indication of the general description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Exotic
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
Specialized account program
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
The type or classification of swap. Additional values may be used by mutual agreement of the counterparties.
Basis swap
Index swap
Broad-based security swap
Basket swap
The Nth reference obligation to default in a CDS reference basket. If specified without UnderlyingMthToDefault(2018) the default will trigger a CDS payout. If UnderlyingMthToDefault(2018) is also present then payout occurs between the Nth and Mth obligations to default.
The Mth reference obligation to default in a CDS reference basket. When UnderlyingNthToDefault(2017) and UnderlyingMthToDefault(2018) are represented then the CDS payout occurs between the Nth and Mth obligations to default.
Relevant settled entity matrix source.
Specifies the publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.
Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.
Fixed strike (default if not specified)
Strike set at expiration to underlying or other value (lookback floating)
Strike set to average of underlying settlement price across the life of the option
Strike set to optimal value
Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.
Less than underlying price is in-the-money (ITM)
Less than or equal to the underlying price is in-the-money(ITM)
Equal to the underlying price is in-the-money(ITM)
Greater than or equal to underlying price is in-the-money(ITM)
Greater than underlying is in-the-money(ITM)
Used in combination with StrikePriceBoundaryMethod(1479) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Minimum price increment for the instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the UnderlyingMinPriceIncrement(2026). For listed derivatives, the value can be calculated by multiplying UnderlyingMinPriceIncrement(2026) by UnderlyingContractMultiplier(436).
Indicates the type of payout that will result from an in-the-money option.
Vanilla
Capped
Binary
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.
Method for price quotation.
Standard, money per unit of a physical
Index
Interest rate Index
Percent of Par
Indicates type of valuation method used.
premium style
futures style mark-to-market
futures style with an attached cash adjustment
CDS style collateralization of market to market and coupon
CDS in delivery - use recovery rate to calculate obligation
Indicates whether the instruments are pre-listed only or can also be defined via user request.
pre-listed only
user requested
Used to express the ceiling price of a capped call.
Used to express the floor price of a capped put.
Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator.
Used to indicate if a product or group of product supports the creation of flexible securities.
Position limit for the instrument.
Position Limit in the near-term contract for a given exchange-traded product.
Identifies the mortgage backed security (MBS) / asset backed security (ABS) pool.
Specifies when the contract (i.e. MBS/TBA) will settle. Must be present for MBS/TBA.
If different from IssueDate()
If different from IssueDate and DatedDate
Indicates whether a restriction applies to short selling a security.
No restrictions
Security is not shortable
Security not shortable at or below the best bid
Security is not shortable without pre-borrow
Spread table code referred by the security or symbol.
Identifies the type of complex event.
Capped
Trigger
Knock-in up
Knock-in down
Knock-out up
Knock-out down
Underlying
Reset Barrier
Rolling Barrier
One-touch
No-touch
Double one-touch
Double no-touch
Foreign exchange composite
Foreign exchange Quanto
Foreign exchange cross currency
Strike spread
Calendar spread
Price observation (Asian or Lookback)
Pass-through
Strike schedule
Equity valuation
Dividend valuation
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.
Specifies the price at which the complex event takes effect. Impact of the event price is determined by the UnderlyingComplexEventType(2046).
Specifies the boundary condition to be used for the event price relative to the UnderlyingComplexEventPrice(2048) at the point the complex event outcome takes effect as determined by the UnderlyingComplexEventPriceTimeType(2051).
Less than ComplexEventPrice(1486)
Less than or equal to ComplexEventPrice(1486)
Equal to ComplexEventPrice(1486)
Greater than or equal to ComplexEventPrice(1486)
Greater than ComplexEventPrice(1486)
Used in combination with UnderlyingComplexEventPriceBoundaryMethod(2049) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the UnderlyingComplexEventType(2046).
Expiration
Immediate (At Any Time)
Specified Date/Time
Close
Open
Official settlement price
Derivatives close
As specified in Master Confirmation
Specifies the condition between complex events when more than one event is specified.
Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.
And
Or
The start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
The start date must always be less than or equal to end date.
The end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
UnderlyingComplexEventEndDate(2056) must always be greater than or equal to UnderlyingComplexEventStartDate(2055).
The start time of the time range on which a complex event date is effective.
UnderlyingComplexEventStartTime(2057) must always be less than or equal to UndelryingComplexEventEndTime(2058).
The end time of the time range on which a complex event date is effective.
UnderlyingComplexEventEndTime(2058) must always be greater than or equal to UnderlyingComplexEventStartTime(2057).
Code to represent the type of event.
Put
Call
Tender
Sinking fund call
Activation
Inactivation
Last eligible trade date
Swap start date
Swap end date
Swap roll date
Swap next start date
Swap next roll date
First delivery date
Last delivery date
Initial inventory due date
Final inventory due date
First intent date
Last intent date
Position removal date
Minimum notice
Delivery start time
Delivery end time
First notice date
Last notice date
First exercise date
Redemption date
Trade continuation effective date
Other
The date of the event.
Specific time of event. To be used in combination with LegEventDate(2061).
Time unit associated with the event.
Hour
Minute
Second
Day
Week
Month
Year
Time unit multiplier for the event.
Predetermined price of issue at event, if applicable.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The broad asset category for assessing risk exposure.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Loan facility
The general subcategory description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Exotic
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
Specialized account program
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
Swap type.
Basis swap
Index swap
Broad-based security swap
Basket swap
Free form text to specify comments related to the event.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingEventText(2073) field.
Encoded (non-ASCII characters) representation of the UnderlyingEventText(2071) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingEventText(2071) field.
Byte length of encoded (non-ASCII characters) EncodedLegEventText(2075) field.
Encoded (non-ASCII characters) representation of the LegEventText(2066) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegEventText(2066) field.
The broad asset category for assessing risk exposure for a multi-asset trade.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Loan facility
An indication of the general description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Exotic
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
Specialized account program
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
The broad asset category for assessing risk exposure for a multi-asset trade.
Interest rate
Currency
Credit
Equity
Commodity
Other
Cash
Debt
Fund
Loan facility
An indication of the general description of the asset class.
Single currency
Cross currency
Basket [for multi-currency]
Single name
Credit index
Index tranche
Credit basket
Exotic
Common
Preferred
Equity index
Equity basket
Metals
Bullion
Energy
Commodity index
Agricultural
Environmental
Freight
Government
Agency
Corporate
Financing
Money market
Mortgage
Municipal
Mutual fund
Collective investment vehicle
Investment program
Specialized account program
Term loan
Bridge loan
Letter of credit
Within the asset subclass this can be used to provide more specific description of the asset.
Recommended values include:
Interest Rate:
LIBOR or other floating rate index if appropriate
For multi-currency IRS there are two currencies - specify the riskier ISO 4217 Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields.
Currency:
ISO 4217 Currency Code
G7, G20, etc. for standard "grouping" of currencies
For cross-currency swaps there are two currencies, so specify the riskier Currency Code in primary fields and the less risky Currency Code or home Currency Code in secondary fields. If settlement is to be in "any G7" currency, specify "G7" in secondary field.
Credit:
Corporate, Sovereign, CDX, CDX Structured, iTraxx, iTraxx Structured
Equity:
S&P500 or other index
Commodity:
Non-precious, Precious, Oil, Natural Gas, Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, Emissions, Warehouse receipts
Debt:
Bill, Bond, Note, Floating rate, Strip, Index linked, Discount note, Mortgage backed, Benchmark note.
Other values may be used by mutual agreement of the counterparties.
The date of the previous clearing business day.
The valuation date of the trade.
The valuation time of the trade.
Identifies the business center whose calendar is used for valuation, e.g. "GLOB". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Foreign exchange rate used to compute the MarginAmt(1645) from the MarginAmtCcy(1646) and the Currency(15).
Specifies whether or not MarginAmtFXRate(2088) should be multipled or divided.
Divide
Multiply
Foreign exchange rate used to compute the CurrentCollateralAmount(1704) from the CollateralCurrency(1646) and the Currency(15).
Specifies whether or not CollateralFXRate(2090) should be multipled or divided.
Divide
Multiply
Market segment associated with the collateral amount.
Market associated with the collateral amount.
Foreign exchange rate used to compute the PayAmount(1710) or CollectAmount(1711) from the PayCollectCurrency(1709) and the Currency(15).
Specifies whether or not PayCollectFXRate(2094) should be multipled or divided.
Divide
Multiply
Corresponds to the value in StreamDesc(40051) in the StreamGrp component.
Foreign exchange rate used to compute the PosAmt(708) from the PositionCurrency(1055) and the Currency (15).
Specifies whether or not PositionFXRate(2097) should be multipled or divided.
Divide
Multiply
Market segment associated with the position amount.
Market associated with the position amount.
Indicates if the position has been terminated.
Indicates whether the originating account is exempt (Y) from marking orders as short or not (N). This designation may be used on both buy and sell orders.
Specifies the identifier of the reporting entity as assigned by regulatory agency.
Specifies the file name of the attachment.
The MIME media type (and optional subtype) of the attachment. The values used are those assigned, listed and maintained by IANA (www.iana.org) [RFC2046]. See http://www.iana.org/assignments/media-types/index.html for available types.
Examples values (RFC number provided for reference here only):
"application/pdf" (see [RFC3778])
"application/msword" (for .doc files)
"multipart/signed" (see [RFC1847])
"application/vnd.openxmlformats-officedocument.wordprocessingml.document" (for .docx files)
Specifies semantically the type of the attached document from a business perspective. The default classification scheme reuses the FIX standard classification scheme of a high level section (pretrade, trade, posttrade, etc.) and a category, then a specific application or document type. The expression follows {"section/category/application type"}.
The goal here is to map the attachment into the sections and categories of the FIX business messages if possible. The classification scheme can be expanded or replaced by counterparty agreement. This approach permits the introduction and reference to other business ontologies.
Example:
posttrade/confirmation/confirm
pretrade//termsheet
Used to specify an external URL where the attachment can be obtained.
The encoding type of the content provided in EncodedAttachment(2112).
Base64 encoding
Unencoded binary content
Unencoded content length in bytes. Can be used to validate successful unencoding.
Byte length of encoded the EncodedAttachment(2112) field.
The content of the attachment in the encoding format specified in the AttachmentEncodingType(2109) field.
Can be used to provide data or keyword tagging of the content of the attachment.
Specifies the negotiation method to be used.
Auto spot
Negotiated spot
The spot price for the reference or benchmark security is to be negotiated via phone or voice.
The time of the next auction.
Trade side of payout payer.
Buy
Sell
Trade side of payout receiver.
Buy
Sell
Reference to the underlier whose payments are being passed through.
Percentage of observed price for calculating the payout associated with the event.
Specifies when the payout is to occur.
Close
Open
Official settlement
Valuation time
Exchange settlement time
Derivatives close
As specified in master confirmation
Specifies the currency of the payout amount. Uses ISO 4217 currency codes.
Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).
Specifies the first or only reference currency of the trade. Uses ISO 4217 currency codes.
Specifies the second reference currencyof the trade. Uses ISO 4217 currency codes.
For foreign exchange Quanto option feature.
Currency 1 per currency 2
Currency 2 per currency 1
Specifies the fixed FX rate alternative for FX Quantro options.
Specifies the method according to which an amount or a date is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Used to identify the calculation agent.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
Upper strike price for Asian option feature. Strike percentage for a Strike Spread.
Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.
Upper string number of options for a Strike Spread.
Reference to credit event table elsewhere in the message.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
Seller notifies
Buyer notifies
Seller or buyer notifies
The local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
Identifier of this complex event for cross referencing elsewhere in the message.
Reference to a complex event elsewhere in the message.
Specifies the methodology and/or assumptions used to generate the trade value.
Specifies the type of trade strategy.
Straddle
Strangle
Butterfly
Condor
Callable inversible snowball
Other
When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.
Specifies the consequences of bullion settlement disruption events.
Negotiation
Cancellation and payment
Specifies the rounding direction if not overridden elsewhere.
Round to nearest
Round down
Round up
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Indicator to determine if the instrument is to settle on open.
Specifies the method under which assignment was conducted.
Pro rata
Random
Used for derivatives. Denotes the current state of the InstrumentLeg.
Active
Inactive
Active, closing orders only
Expired
Delisted
Knocked-out
Knock-out revoked
Pending Expiry
Suspended
Published
Pending Deletion
A category of CDS credit event in which the underlying bond experiences a restructuring.
Used to define a CDS instrument.
Full Restructuring
Modified Restructuring
Modified Mod Restructuring
No Restructuring specified
Specifies which issue (underlying bond) will receive payment priority in the event of a default.
Used to define a CDS instrument.
Senior Secured
Senior
Subordinated
Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.
Used to calculate the true value of a CDS trade or position.
Used to reflect the Original value prior to the application of a credit event. See LegNotionalPercentageOutstanding(2151).
Lower bound percentage of the loss that the tranche can endure.
Upper bound percentage of the loss the tranche can endure.
Type of reference obligation for credit derivatives contracts.
Bond
Convertible bond
Mortgage
Loan
The subclassification or subtype of swap.
Amortizing
Compounding
The Nth reference obligation in a CDS reference basket. If specified without LegMthToDefault(2158) the default will trigger a CDS payout. If LegMthToDefault(2158) is also present then payout occurs between the Nth and Mth obligations to default.
The Mth reference obligation to default in a CDS reference basket. When an NthToDefault(2157) to MthToDefault(2158) are represented then the CDS payout occurs between the Nth and Mth obligations to default.
Relevant settled entity matrix source.
The publication date of the applicable version of the matrix. When this element is omitted, the Standard Terms Supplement defines rules for which version of the matrix is applicable.
Specifies the coupon type of the bond.
Zero
Fixed rate
Floating rate
Structured
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Identifies the equity in which a convertible bond can be converted to.
Identifies class or source of the LegConvertibleBondEquitySecurityID(2166) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Reference month if there is no applicable LegMaturityMonthYear(610) value for the contract or security.
Indicates the seniority level of the lien in a loan.
Unknown
First lien
Second lien
Third lien
Specifies the type of loan when the credit default swap's reference obligation is a loan.
Bridge loan
Letter of credit
Revolving loan
Swingline funding
Term loan
Trade claim
Specifies the type of reference entity for first-to-default CDS basket contracts.
Asian
Australian and New Zealand
European emerging markets
Japanese
North American high yield
North American insurance
North American investment grade
Singaporean
Western European
Western European insurance
The series identifier of a credit default swap index.
The version of a credit default swap index annex.
The date of a credit default swap index series annex.
The source of a credit default swap series annex.
In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.
This is an optional qualifying attribute of LegSettlementRateIndex(2176) such as the delivery zone for an electricity contract.
Description of the option expiration.
Byte length of encoded (non-ASCII characters) EncodedLegOptionExpirationDesc(2180) field.
Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc(2178) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegOptionExpirationDesc(2178).
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
The number of shares/units for the financial instrument involved in the option trade. Used for derivatives.
Used to express the unit of measure (UOM) of the price if different from the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the index used to calculate the strike price.
Specifies the strike price offset from the named index.
Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.
Fixed strike (default if not specified)
Strike set at expiration to underlying or other value (lookback floating)
Strike set to average of underlying settlement price across the life of the option
Strike set to optimal value
Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.
Less than underlying price is in-the-money (ITM)
Less than or equal to the underlying price is in-the-money(ITM)
Equal to the underlying price is in-the-money(ITM)
Greater than or equal to underlying price is in-the-money(ITM)
Greater than underlying is in-the-money(ITM)
Used in combination with StrikePriceBoundaryMethod(2187) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").
Regular
Special reference
Optimal value (Lookback)
Average value (Asian option)
Minimum price increment for a given exchange-traded instrument. Could also be used to represent tick value.
Minimum price increment amount associated with the LegMinPriceIncrement(2190). For listed derivatives, the value can be calculated by multiplying LegMinPriceIncrement(2190) by LegContractMultiplier(614).
Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
Cash settlement required
Physical settlement required
Election at exercise
Indicates the type of payout that will result from an in-the-money option.
Vanilla
Capped
Binary
Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.
Specifies the method for price quotation.
Standard, money per unit of a physical
Index
Interest rate Index
Percent of Par
Specifies the type of valuation method applied.
premium style
futures style mark-to-market
futures style with an attached cash adjustment
CDS style collateralization of market to market and coupon
CDS in delivery - use recovery rate to calculate obligation
Specifies the source of trade valuation data.
Specifies the methodology and/or assumptions used to generate the trade value.
Indicates whether instruments are pre-listed only or can also be defined via user request.
pre-listed only
user requested
Used to express the ceiling price of a capped call.
Used to express the floor price of a capped put.
Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative to LegCFICode(608) Standard/Non-standard attribute.
Used to indicate if a product or group of product supports the creation of flexible securities.
The start time of the time range on which a complex event date is effective.
The start time must always be less than or equal to the end time.
Position Limit for a given exchange-traded product.
Position limit in the near-term contract for a given exchange-traded product.
The program under which a commercial paper is issued.
3(a)(3)
4(2)
3(a)(2)
3(a)(3) & 3(c)(7)
3(a)(4)
3(a)(5)
3(a)(7)
3(c)(7)
Other
The registration type of a commercial paper issuance.
Indicates whether a restriction applies to short selling a security.
No restrictions
Security is not shortable
Security not shortable at or below the best bid
Security is not shortable without pre-borrow
Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).
Financials
Commodities
Alternative investments
Specifies the type of trade strategy.
Straddle
Strangle
Butterfly
Condor
Callable inversible snowball
Other
When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.
Specifies the consequences of bullion settlement disruption events.
Negotiation
Cancellation and payment
Specifies the rounding direction if not overridden elsewhere.
Round to nearest
Round down
Round up
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
The fee rate when MiscFeeAmt(137) is a percentage of trade quantity.
The fee amount due if different from MiscFeeAmt(137).
Identifies the type of complex event.
Capped
Trigger
Knock-in up
Knock-in down
Knock-out up
Knock-out down
Underlying
Reset Barrier
Rolling Barrier
One-touch
No-touch
Double one-touch
Double no-touch
Foreign exchange composite
Foreign exchange Quanto
Foreign exchange cross currency
Strike spread
Calendar spread
Price observation (Asian or Lookback)
Pass-through
Strike schedule
Equity valuation
Dividend valuation
Trade side of payout payer.
Buy
Sell
Trade side of payout receiver.
Buy
Sell
Reference to the underlier whose payments are being passed through.
Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.
Percentage of observed price for calculating the payout associated with the event.
Specifies when the payout is to occur.
Close
Open
Official settlement
Valuation time
Exchange settlement time
Derivatives close
As specified in master confirmation
Specifies the currency of the payout amount. Uses ISO 4217 currency codes.
Specifies the price at which the complex event takes effect. Impact of the event price is determined by the LegComplexEventType(2219).
Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the LegComplexEventType(2219).
Specifies the boundary condition to be used for the event price relative to the complex event price at the point the complex event outcome takes effect as determined by the LegComplexEventPriceTimeType(2231).
Less than ComplexEventPrice(1486)
Less than or equal to ComplexEventPrice(1486)
Equal to ComplexEventPrice(1486)
Greater than or equal to ComplexEventPrice(1486)
Greater than ComplexEventPrice(1486)
Used in combination with LegComplexEventPriceBoundaryMethod(2229) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.
Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the LegComplexEventType(2219).
Expiration
Immediate (At Any Time)
Specified Date/Time
Close
Open
Official settlement price
Derivatives close
As specified in Master Confirmation
Specifies the condition between complex events when more than one event is specified.
Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.
And
Or
Specifies the first or only reference currency of the trade. Uses ISO 4217 currency codes.
Specifies the second reference currency of the trade. Uses ISO 4217 currency codes.
For foreign exchange Quanto option feature.
Currency 1 per currency 2
Currency 2 per currency 1
Specifies the fixed FX rate alternative for FX Quantro options.
Specifies the method according to which an amount or a date is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Used to identify the calculation agent.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
Upper strike price for Asian option feature. Strike percentage for a Strike Spread.
Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.
Upper string number of options for a Strike Spread.
Reference to credit event table elsewhere in the message.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
Seller notifies
Buyer notifies
Seller or buyer notifies
Specifies the local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
The end time of the time range on which a complex event date is effective.
The end time must always be greater than or equal to the start time.
Identifier of this complex event for cross referencing elsewhere in the message.
Reference to a complex event elsewhere in the message.
The start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
The start date must always be less than or equal to end date.
The end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.
The end date must always be greater than or equal to start date.
Used to identify party id related to instrument.
Used to identify source of instrument party id.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Used to identify the role of instrument party id.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
PartySubID value within an instrument party repeating group.
Type of LegInstrumentPartySubID (2259) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Trade side of payout payer.
Buy
Sell
Trade side of payout receiver.
Buy
Sell
Reference to the underlier whose payments are being passed through.
Percentage of observed price for calculating the payout associated with the event.
The time when the payout is to occur.
Close
Open
Official settlement
Valuation time
Exchange settlement time
Derivatives close
As specified in master confirmation
Specifies the currency of the payout amount. Uses ISO 4217 currency codes.
Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the UnderlyingComplexEventType(2046).
Specifies the first or only reference currency of the trade. Uses ISO 4217 currency codes.
Specifies the second reference currency of the trade. Uses ISO 4217 currency codes.
Specifies the currency pairing for the quote.
Currency 1 per currency 2
Currency 2 per currency 1
Specifies the fixed FX rate alternative for FX Quantro options.
Specifies the method according to which an amount or a date is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Used to identify the calculation agent.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
Upper strike price for Asian option feature. Strike percentage for a Strike Spread.
Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.
Upper string number of options for a Strike Spread.
Reference to credit event table elsewhere in the message.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
Seller notifies
Buyer notifies
Seller or buyer notifies
Specifies the local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
Identifier of this complex event for cross referencing elsewhere in the message.
Reference to a complex event elsewhere in the message.
In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.
This is an optional qualifying attribute of UnderlyingSettlementRateIndex(2284) such as the delivery zone for an electricity contract.
Description of the option expiration.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingOptionExpirationDesc(2288) field.
Encoded (non-ASCII characters) representation of the UnderlyingOptionExpirationDesc(2286) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingOptionExpirationDesc(2286).
The subclassification or subtype of swap.
Amortizing
Compounding
Used to express the unit of measure (UOM) of the price if different from the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the index used to calculate the strike price.
Specifies the strike price offset from the named index.
Specifies the source of trade valuation data.
Specifies the methodology and/or assumptions used to generate the trade value.
Specifies the type of trade strategy.
Straddle
Strangle
Butterfly
Condor
Callable inversible snowball
Other
When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.
Specifies the consequences of settlement disruption events.
Negotiation
Cancellation and payment
Specifies the rounding direction if not overridden elsewhere.
Round to nearest
Round down
Round up
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Total amount traded for this account (i.e. quantity * price) expressed in units of currency.
The positive or negative change in quantity when this report is a trade correction or continuation.
Specifies the version of a trade or contract. This is used by systems or trading platforms in conjunction with TradeID(1003) to uniquely identify the version of a trade or contract. If used the conditions for a change of version are subject to bilateral agreement. It is recommended to change the version only for significant updates to the business entity rather than for minor changes to trade details or systematic distribution of reports. Examples where the version would change are trade quantity modification, customer account assignment or trade novation.
Indicates that the trade or event being reported occurred in the past and the trade is terminated or no longer active.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the asset attribute.
Limit or lower acceptable value of the attribute.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
Status of risk limit report.
Accepted
Rejected
The reason for rejecting the PartyRiskLimitsReport(35=CM) or PartyRiskLimitsUpdateReport(35=CR).
Unknown RiskLimitReportID(1667)
Unknown party
Other
The unique identifier of the PartyRiskLimitCheckRequest(35=DF) message.
The unique and static identifier, at the business entity level, of a risk limit check request.
Specifies the transaction type of the risk limit check request.
New
Cancel
Replace
Specifies the type of limit check message.
Submit
Limit consumed
Specifies the message reference identifier of the risk limit check request message.
Specifies the type of limit amount check being requested.
All or none (default if not specified).
Partial
Specifies the amount being requested for approval.
Indicates the status of the risk limit check request.
Approved
Partially approved
Rejected
Approval pending
Cancelled
Result of the credit limit check request.
Successful (default)
Invalid party
Requested amount exceeds credit limit
Requested amount exceeds clip size limit
Request exceeds maximum notional order amount
Other
The credit/risk limit amount approved.
The unique identifier of the PartyActionRequest(35=DH) message.
Specifies the type of action to take or was taken for a given party.
Suspend
Halt trading
Reinstate
Used to indicate whether the message being sent is to test the receiving application's availability to process the message. When set to "Y" the message is a test message. If not specified, the message is by default not a test message.
The unique identifier of the PartyActionReport(35=DI) message as assigned by the message sender.
Specifies the action taken as a result of the PartyActionType(2239) of the PartyActionRequest(35=DH) message.
Accepted
Completed
Rejected
Specifies the reason the PartyActionRequest(35=DH) was rejected.
Invalid party or parties
Unknown requesting party
Not authorized
Other
The reference identifier of the PartyRiskLimitCheckRequest(35=DF) message, or a similar out of band message, that contained the approval for the risk/credit limit check request.
Specifies which type of identifier is specified in RefRiskLimitCheckID(2334) field.
RiskLimitRequestID(1666)
RiskLimitCheckID(2319)
Out of band identifier
The time interval for which the clip size limit applies. The velocity time unit is expressed in RiskLimitVelocityUnit(2337).
Unit of time in which RiskLimitVelocityPeriod(2336) is expressed.
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Qualifies the value of RequestingPartyRole(1660).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Specifies the type of credit limit check model workflow to apply for the specified party
None (default if not specified)
PlusOne model
Ping model
Push model
Used with derivatives when an event is express as a month-year with optional day or month or week of month.
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w2) for week
A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.
Used with derivatives when an event is express as a month-year with optional day or month or week of month.
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w2) for week
A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.
Used with derivatives when an event is express as a month-year with optional day or month or week of month.
Format:
YYYYMM (e.g. 199903)
YYYYMMDD (e.g. 20030323)
YYYYMMwN (e.g. 200303w2) for week
A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.
Indicates the status of the risk limit check performed on a trade.
Accepted
Rejected
Claim required
Pre-defined limit check succeeded
Pre-defined limit check failed
Pre-defined auto-accept rule invoked
Pre-defined auto-reject rule invoked
Accepted by clearing firm
Rejected by clearing firm
Pending
Accepted by credit hub
Rejected by credit hub
Pending credit hub check
Accepted by execution venue
Rejected by execution venue
Indicates the status of the risk limit check performed on the side of a trade.
Accepted
Rejected
Claim required
Pre-defined limit check succeeded
Pre-defined limit check failed
Pre-defined auto-accept rule invoked
Pre-defined auto-reject rule invoked
Accepted by clearing firm
Rejected by clearing firm
Pending
Accepted by credit hub
Rejected by credit hub
Pending credit hub check
Accepted by execution venue
Rejected by execution venue
Leg Mid price/rate.
For OTC swaps, this is the mid-market mark (for example, as defined by CFTC).
For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.
Specifies the regulatory mandate or rule that the transaction complies with.
None (default if not specified)
Swap Execution Facility (SEF) required transaction
Swap Execution Facility (SEF) permitted transaction
Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).
Financials
Commodities
Alternative investments
Specifies the price decimal precision of the instrument.
Identifier of the collateral portfolio when reporting on a portfolio basis.
Byte length of encoded (non-ASCII characters) EncodedComplianceText(2352) field.
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ComplianceText(2404) field.
Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.
Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.
The status of risk limits for a party.
Disabled
Enabled
Indicates whether the trade price was adjusted for compensation (i.e. includes a mark-up, mark-down or commission) in the price paid.
No remuneration paid
Remuneration paid
Expresses the total quantity traded over the life of the contract when LegLastQty(1418) is to be repeated periodically over the term of the contract. The value is the product of LegLastQty(1418) and LegTradingUnitPeriodMultiplier(2353).
Expresses the quantity bought/sold when LastQty is expressed in contracts. Used in addition to LegLastQty(1418), it is the product of LegLastQty(1418) and LegContractMultiplier(614).
Expresses the full total monetary value of the traded contract. The value is the product of LegLastPx(637) and LegTotalTradeQty(2357) or LegTotalTradeMultipliedQty(2360), if priced in units instead of contracts.
Expresses the total trade quantity in units where LegContractMultiplier(614) is not 1. The value is the product of LegTotalTradeQty(2357) and LegContractMultiplier(614).
Use to identify a netting or compression group where trades in the group were netted or compressed. This includes both terminating trades and any remnant trades that result from the operation.
Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same SelfMatchPreventionID(2362) and submitted by the same firm.
Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.
Indicates action that triggered the Position Report.
New
Replace
Cancel
Reverse
FX forward points added to SettlPrice(730). The value is expressed in decimal form and may be a negative.
Specifies whether LastPx(31) [TradeCaptureReport] or SettlPrice(730) [PositionReport] should be multiplied or divided.
Multiply
Divide
Expresses the total quantity traded over the life of the contract when LastQty(32) is repeated periodically over the term of the contract. The value is the product of LastQty(32) and TradingUnitPeriodMultiplier(2353).
Expresses the quantity bought or sold when LastQty(32) is expressed in number of contracts. Used in addition to LastQty(32). It is the product of LastQty(32) and ContractMultiplier(231).
Expresses the full total monetary value of the traded contract. The value is the product of LastPx(31) and TotalTradeQty(2367) or TotalTradeMultipliedQty(2370), if priced in units instead of contracts.
Expresses the total trade quantity in units where ContractMultiplier(231) is not 1. The value is the product of TotalTradeQty(2367) and ContractMultiplier(231).
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the TradeContinuationText(2374) field.
Byte length of encoded (non-ASCII characters) EncodedTradeContinuationText(2371) field.
Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.
Elaboration of the purpose or action of the regulatory report when TradeContinuation(1937)=99 (Other).
The type of identification taxonomy used to identify the security.
ISIN or Alternate instrument identifier plus CFI
Interim Taxonomy
Used to further qualify the value of PartyRole(452).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of DerivativeInstrumentPartyRole(1295).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of InstrumentPartyRole(1051).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of LegInstrumentPartyRole(2257).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of LegProvisionPartyRole(40536).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of Nested2PartyRole(759).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of Nested3PartyRole(951).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of Nested4PartyRole(1417).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of NestedPartyRole(538).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of ProvisionPartyRole(40177).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of RequestedPartyRole(1509).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Indicates the contingency attribute for a trade in an asset class that may be contingent on the clearing of a corresponding paired trade (for example Exchange for Physical (EFP), Exchange for Swap (EFS), Exchange for Related (EFR) or Exchange for Option (EFO), collectively called EFRPs). Once the paired trade clears or fails to clear, the related trade (the trade which carries this attribute) ceases to exist.
Does not apply (default if not specified)
Contingent trade
Non-contingent trade
Used to further qualify the value of RootPartyRole(1119).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Used to further qualify the value of SettlPartyRole(784).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
A reference or control identifier or number used as a trade confirmation key.
Used to further qualify the value of UnderlyingInstrumentPartyRole(1061).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
The reference identifier to the PartyRiskLimitCheckRequest(35=DF), or a similar out of band message, message that contained the approval or rejection for risk/credit limit check for this allocation.
Specifies which type of identifier is specified in AllocRefRiskLimitCheckID(2392) field.
RiskLimitRequestID(1666)
RiskLimitCheckID(2319)
Out of band identifier
The total amount of the limit that has been drawn down against the counterparty. This includes the amount for prior trades. It may or may not include the amount for the given trade, specified in LastLimitAmt(1632), depending upon whether the given trade is considered pending.
The limit for the counterparty. This represents the total limit amount, independent of any amount already utilized.
Indicates the scope of the limit by role.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Specifies the scope to which the RegulatoryTradeID(1903) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
Clearing member
Client
Specifies the scope to which the SideRegulatoryTradeID(1972) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
Clearing member
Client
Specifies the scope to which the AllocRegulatoryTradeID(1909) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
Clearing member
Client
Specifies an explicit business date for associated reference data or transaction. Used when an implicit date is not sufficiently specific.
Indicates if the list of orders was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).
Subtype of an entitlement specified in EntitlementType(1775).
Order entry
Hit/Lift
View indicative prices
View executable prices
Single quote
Streaming quotes
Single broker
Multi brokers
Quote model type
Quote entry
Quote modification
Free text for compliance information required for regulatory reporting.
Specifies how the transaction was executed, e.g. via an automated execution platform or other method.
Undefined/unspecified - (default when not specified)
Manual
Automated
Voice brokered
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
FX spot rate.
FX forward points added to spot rate. May be a negative value.
FX spot rate.
FX forward points added to spot rate. May be a negative value.
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Identifies the page heading from the rate source.
The security identifier of the instrument, instrument leg or underlying instrument with which the related instrument has correlation.
Identifies class or source of the RelatedToSecurityID(2413) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
StreamXID(41303), LegStreamXID(41700) or UnderlyingStreamXID(42016) of the stream with which the related instrument has correlation.
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
The DividendPeriodXID(42293) of the stream dividend period with which the related instrument has correlation.
An identifier created by the trading party for the life cycle event associated with this report.
FX spot rate.
FX forward points added to spot rate. May be a negative value.
A reference to either the value of the FillExecID(1363) or an implicit position of a fills instance in the FillsGrp component.
Unique message identifier for an order request as assigned by the submitter of the request.
Unique message identifier for a mass order request as assigned by the submitter of the orders.
Unique message identifier for a mass order request as assigned by the receiver of the orders.
Status of mass order request.
Accepted
Accepted with additional events
Rejected
Request result of mass order request.
Successful
Response level not supported
Invalid market
Invalid market segment
Other
The level of response requested from receiver of mass order messages. A default value should be bilaterally agreed.
No acknowledgement
Minimum acknowledgement
Acknowledge each order
Summary acknowledgement
Specifies the action to be taken for the given order.
Add
Modify
Delete / Cancel
Suspend
Release
Unique identifier for an order within a single MassOrder(35=DJ) message that can be used as a reference in the MassOrderAck(35=DK) message.
The initiating event when an ExecutionReport(35=8) is sent.
Order added upon request
Order replaced upon request
Order cancelled upon request
Unsolicited order cancellation
Non-resting order added upon request
Order replaced with non-resting order upon request
Trigger order replaced upon request
Suspended order replaced upon request
Suspended order canceled upon request
Order cancellation pending
Pending cancellation executed
Resting order triggered
Suspended order activated
Active order suspended
Order expired
Totals number of orders for a mass order or its acknowledgment being fragmented across multiple messages.
Party sub-identifier value within a target party repeating group.
Type of TargetPartySubID(2434) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Unique identifier for the transfer instruction assigned by the submitter.
The unique identifier assigned to the transfer entity once it is received, for example, by the CCP or the party governing the transfer process. Generally this same identifier for the transfer is used by all parties involved.
Unique identifier for the transfer report message.
Indicates the type of transfer transaction.
New
Replace
Cancel
Indicates the type of transfer request.
Request transfer
Accept transfer
Decline transfer
Indicates the type of transfer.
Inter-firm transfer
Intra-firm transfer
Clearing Member Trade Assignment
Status of the transfer.
Received
Rejected by intermediary
Accept pending
Accepted
Declined
Cancelled
Reason the transfer instruction was rejected.
Success
Invalid party
Unknown instrument
Not authorized to submit transfers
Unknown position
Other
Indicates the type of transfer report.
Submit
Alleged
Timestamp of aggressive order or quote resulting in match event.
Side of aggressive order or quote resulting in match event.
Buy
Sell
Buy minus
Sell plus
Sell short
Sell short exempt
Undisclosed
Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
Cross short
Cross short exempt
"As Defined" (for use with multileg instruments)
"Opposite" (for use with multileg instruments)
Subscribe (e.g. CIV)
Redeem (e.g. CIV)
Lend (FINANCING - identifies direction of collateral)
Borrow (FINANCING - identifies direction of collateral)
Sell undisclosed
Indicates if the instrument is in "fast market" state.
Indicate whether linkage handling is in effect for an instrument or not.
Number of buy orders involved in a trade.
Number of sell orders involved in a trade.
Calculation method used to determine settlement price.
Message identifier for a statistics request.
Message identifier for a statistics report.
The short name or acronym for a set of statistic parameters.
Can be used to provide an optional textual description for a statistic.
Type of statistic value.
Count
Average volume
Total volume
Distribution
Ratio
Liquidity
Volume weighted average price (VWAP)
Volatility
Duration
Tick
Average turnover
Total turnover
High
Low
Midpoint
First
Last
Final
Exchange best
Exchange best with volume
Consolidated best
Consolidated best with volume
Time weighted average price (TWAP)
Entities used as basis for the statistics.
Bid prices
Offer prices
Bid depth
Offer depth
Orders
Quotes
Orders and Quotes
Trades
Trade prices
Auction prices
Opening prices
Closing prices
Settlement prices
Underlying prices
Open interest
Index values
Margin rates
Sub-scope of the statistics to further reduce the entities used as basis for the statistics.
Visible
Hidden
Indicative
Tradeable
Passive
Market consensus
Scope details of the statistics to reduce the number of events being used as basis for the statistics.
Entry rate
Modification rate
Cancel rate
Downward move
Upward move
Dissemination frequency of statistics.
Special meaning for a value of zero which represents an event-driven dissemination in real time (e.g. as soon as a new trade occurs).
Time unit for MDStatisticFrequencyPeriod(2460).
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Number of time units between the calculation of the statistic and its dissemination. Can be used to defer or delay publication.
Time unit for MDStatisticDelayPeriod(2462).
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Type of interval over which statistic is calculated.
Sliding window
Sliding window peak
Fixed date range
Fixed time range
Current time unit
Previous time unit
Maximum range
Maximum range up to previous time unit
Time unit for MDStatisticIntervalType(2464).
Hour
Minute
Second
Day
Week
Month
Year
Quarter
Length of time over which the statistic is calculated. Special meaning for a value of zero to express that there is no aggregation over time. Can be used with other interval types expressing relative date and time ranges to combine them with sliding window peaks, e.g. highest volume across 1 minute intervals of the previous day.
Time unit for MDStatisticIntervalPeriod(2466).
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
First day of range for which statistical data is collected.
Last day of range for which statistical data is collected.
Start time of the time range for which statistical data is collected.
End time of the time range for which statistical data is collected.
Ratios between various entities.
Buyers to sellers
Upticks to downticks
Market maker to non-market maker
Automated to non-automated
Orders to trades
Quotes to trades
Orders and quotes to trades
Result returned in response to MarketDataStatisticsRequest (35=DO).
Successful (default)
Invalid or unknown market
Invalid or unknown market segment
Invalid or unknown security list
Invalid or unknown instrument(s)
Invalid parties
Trade date out of supported range
Statistic type not supported
Scope or sub-scope not supported
Scope type not supported
Market depth not supported
Frequency not supported
Statistic interval not supported
Statistic date range not supported
Statistic time range not supported
Ratio type not supported
Invalid or unknown trade input source
Invalid or unknown trading session
Unauthorized for statistic request
Other (further information in Text (58) field)
Unique identifier for a statistic.
Time of calculation of a statistic.
Status for a statistic to indicate its availability.
Active (default)
Inactive (not disseminated)
Statistical value.
Type of statistical value.
Absolute
Percentage
Unit of time for statistical value.
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Byte length of encoded (non-ASCII characters) EncodedMDStatisticDesc(2482) field.
Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MDStatisticDesc(2455) field.
Indicates the status of the risk limit check performed on a trade for this allocation instance.
Accepted
Rejected
Claim required
Pre-defined limit check succeeded
Pre-defined limit check failed
Pre-defined auto-accept rule invoked
Pre-defined auto-reject rule invoked
Accepted by clearing firm
Rejected by clearing firm
Pending
Accepted by credit hub
Rejected by credit hub
Pending credit hub check
Accepted by execution venue
Rejected by execution venue
The unique transaction entity identifier assigned by the firm.
The unique transaction entity identifier.
The reference to a wire transfer associated with the transaction. Wire references done via wire services such as Fedwire Output Message Accountabilitty Data "OMAD" or SWIFT Output Sequence Number "OSN".
Reject reason code for rejecting the collateral report.
Unknown trade or transaction
Unknown or invalid instrument
Unknown or invalid counterparty
Unknown or invalid position
Unacceptable or invalid type of collateral
Other
The status of the collateral report.
Accepted (successfully processed)
Received (not yet processed)
Rejected
Identifier assigned to a collection of trades so that they can be analyzed as one atomic unit for risk assessment and clearing.
Ordinal number of the trade within a series of related trades.
Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).
Financials
Commodities
Alternative investments
Used in pricing a group of individual Trade at Settlement (TAS) and Trade At Marker (TAM) contracts as an atomic unit. The value is the negotiated currency offset either at settlement (TAS) or at the time specified in the product definition (TAM). The final contract price is reported in LegLastPx(637).
Encoded (non-ASCII characters) representation of the LegDocumentationText(2505) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the LegDocumentationText(2505) field.
Byte length of encoded (non-ASCII characters) EncodedLegDocumentationText(2493) field.
Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.
A reference to the date the underlying agreement specified by LegAgreementID(2498) and LegAgreementDesc(2497) was executed.
The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction. See http://www.fpml.org/coding-scheme/master-agreement-type for derivative values.
A common reference to the applicable standing agreement between the counterparties to a financing transaction.
The version of the master agreement.
Describes the type of broker confirmation executed between the parties. Can be used as an alternative to MasterConfirmationDesc(1962). See http://www.fpml.org/coding-scheme/broker-confirmation-type for values.
The date of the ISDA Credit Support Agreement executed between the parties and intended to govern collateral arrangements for all OTC derivatives transactions between those parties.
The type of ISDA Credit Support Agreement. See http://www.fpml.org/coding-scheme/credit-support-agreement-type for values.
A common reference or unique identifier to identify the ISDA Credit Support Agreement executed between the parties.
Identifies type of settlement.
"Versus Payment": Deliver (if sell) or Receive (if buy) vs. (against) Payment
"Free": Deliver (if sell) or Receive (if buy) Free
Tri-Party
Hold In Custody
A sentence or phrase pertinent to the trade, not a reference to an external document. E.g. "To be registered with the U.S. Environmental Protection Agency, Acid Rain Division, SO2 Allowance Tracking System".
End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.
Identification of the law governing the transaction. See http://www.fpml.org/coding-scheme/governing-law for values.
The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 2% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.
The date that an annexation to the master confirmation was executed between the parties.
Alternative to broker confirmation. The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.
The type of master confirmation executed between the parties. See http://www.fpml.org/coding-scheme/master-confirmation-type for values.
The type of master confirmation annexation executed between the parties. See http://www.fpml.org/coding-scheme/master-confirmation-annex-type for values.
Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.
Type of financing termination.
Overnight
Term
Flexible
Open
Used for the calculated quantity of the other side of the currency trade applicable to the allocation instance.
An encoded collateral request processing instruction to the receiver.
A unique identifier to link together a set or group of requests.
Ordinal number of the request within a set or group of requests.
Total number of request messages within a set or group of requests.
Communicates the underlying condition when the request response indicates "warning".
Encoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the WarningText(2520) field.
Byte length of encoded (non-ASCII characters) EncodedWarningtText(2521) field.
Indicates whether the order or quote was crossed with another order or quote having the same context, e.g. having accounts with a common ownership.
No cross
Cross rejected
Cross accepted
Used between parties to convey trade reporting status.
Trade has not (yet) been reported
Trade has been reported by a trading venue as an "on-book" trade
Trade has been reported as a "systematic internaliser" seller trade
Trade has been reported as a "systematic internaliser" buyer trade
Trade has been reported as a "non-systematic internaliser" seller trade
Trade has been reported under a sub-delegation arrangement by an investment firm to a reporting facility (e.g. APA) on behalf of another investment firm
Indicates whether the transaction or position was entered into between two affiliated firms. I.e. one counterparty has an ownership interest in the other counterparty but less than the majority interest.
Identifies the swap trade as an "international" transaction.
Indicates a swap that does not have one easily identifiable primary underlying asset, but instead involves multiple underlying assets within one trade repository's jurisdiction that belong to different asset classes.
Clearing settlement price.
Indicates the type of relative value measurement being specified.
Asset Swap Spread
Overnight Indexed Swap Spread
Zero Volatility Spread
Discount Margin
Interpolated Spread
Option Adjusted Spread
G-Spread
CDS Basis
CDS Interpolated Basis
The valuation of an instrument relative to a base measurement specified in RelativeValueType(2530). This value can be negative.
Specifies the side of the relative value.
Bid
Mid
Offer
Basis points relative to a benchmark curve on the bid side, such as LIBOR, or a known security, such as 10Y US Treasury bond. The benchmark security or curve name is specified in the SpreadOrBenchmarkCurveData component.
Basis points relative to a benchmark curve on the offer side, such as LIBOR, or a known security, such as 10Y US Treasury bond. The benchmark security or curve name is specified in the SpreadOrBenchmarkCurveData component.
Technical event within market data feed.
Start of instrument reference data
End of instrument reference data
Start of off-market trades
End of off-market trades
Start of order book trades
End of order book trades
Start of open interest
End of open interest
Start of settlement prices
End of settlement prices
Start of statistics reference data
End of statistics reference data
Start of statistics
End of statistics
Number of reference and market data messages in-between two MarketDataReport(35=DR) messages.
Total number of reports related to market segments.
Total number of reports related to instruments.
Total number of reports related to party detail information.
Total number of reports related to party entitlement information.
Total number of reports related to party risk limit information.
Status of market segment.
Active
Inactive
Published
Used to classify the type of market segment.
Pool
Retail
Wholesale
Used to further categorize market segments within a MarketSegmentType(2543).
Inter-product spread
Identifies a related market segment.
Type of relationship between two or more market segments.
Market segment pool member
Retail segment
Wholesale segment
Identifies an entire suite of products for which the auction order type rule applies.
Lower boundary for price range.
Upper boundary for price range.
Maximum range expressed as absolute value.
Maximum range expressed as percentage.
Identifies an entire suite of products in the context of trading rules related to price ranges.
Identifier for a price range rule.
The percentage factor to be applied to trading rule parameters (e.g. price ranges, size ranges, etc.) when fast market conditions are applicable.
Indicates whether single sided quotes are allowed.
Single sided quotes are not allowed
Single sided quotes are allowed
Identifies an entire suite of products which are eligible for the creation of flexible securities.
Represents the total number of multileg securities or user defined securities that make up the security.
Specifies the time interval used for netting market data in a price depth feed.
The time unit associated with the time interval of the netting of market data in a price depth feed.
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Specifies the time interval between two repetitions of the same market data for cyclic recovery feeds.
The time unit associated with the time interval between two cycles of the same market data in cyclic data recovery feeds.
Seconds (default if not specified)
Tenths of a second
Hundredths of a second
milliseconds
microseconds
nanoseconds
minutes
hours
days
weeks
months
years
Primary service location identifier.
Secondary or alternate service location identifier.
Identifies an entire suite of products for which the matching rule applies.
Specifies the kind of priority given to customers.
No priority
Unconditional priority
Identifies an entire suite of products for which the price tick rule applies.
Previous day's adjusted open interest.
Previous day's unadjusted open interest.
Indicates if a given option instrument permits low exercise prices (LEPO).
Indicates if a given instrument is eligible for block trading.
Specifies the number of decimal places for instrument prices.
Specifies the number of decimal places for exercise price.
Original exercise price, e.g. after corporate action requiring changes.
Specifies a suitable settlement sub-method for a given settlement method.
Shares
Derivatives
Payment vs payment
Notional
Cascade
Repurchase
Other
Relative identification of a business day.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Constant value required for the calculation of the clearing price, e.g. for variance futures.
Constant value required for the calculation of the clearing quantity, e.g. for variance futures.
Number of trading business days in a year.
Number of trading business days over the lifetime of an instrument.
Number of actual trading business days of an instrument.
Actual or realized variance of an instrument used to calculate settlement prices, e.g. for variance futures.
Standard variance (over the lifetime of an instrument) or initial variance used to calculate settlement prices, e.g. for variance futures.
Closing price of the underlying required to calculate the RealizedVariance(2587).
Overnight interest rate.
The economic cost of the variation margin from one trading day to the next.
Specifies how the calculation will be made.
Automatic (default)
Manual
The type of order attribute.
Aggregated order
Pending allocation
Liquidity provision activity order
Risk reduction order
Algorithmic order
Systemic internaliser order
All executions for the order are to be submitted to an APA
Order execution instructed by client
Large in scale
Hidden
The value associated with the order attribute type specified in OrderAttributeType(2594).
Indicates that the party has taken a position on both a put and a call on the same underlying asset.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.
Specifies the fallback provisions for the hedging party in the determination of the final settlement price.
Close
Hedge election
The point on the floating rate index curve. Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
The quote side from which the index price is to be determined.
Bid
Mid
Offer
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
Calculation agent
Options exchange
For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.
The point on the floating rate index curve. Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
The quote side from which the index price is to be determined.
Bid
Mid
Offer
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
Calculation agent
Options exchange
For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.
Specifies the fallback provisions for the hedging party in the determination of the final settlement price
Close
Hedge election
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.
Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.
Specifies the fallback provisions for the hedging party in the determination of the final settlement price
Close
Hedge election
Notional value for the equity or bond underlier.
Specifies the currency denomination of the notional value. Uses ISO 4217 currency codes.
Specifies the method of determining the notional amount.
See: http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the conditions that govern the adjustment to the number of units of the return swap.
Execution
Portfolio rebalancing
Standrd
Unique identifier for a position entity. Refer to PosMaintRptID(721) for a unique identifier of a position report message.
Cross reference to another notional amount for duplicating its properties.
In the case of an index underlier specifies the unique identifier for the referenced futures contract.
Identifies the source of the UnderlyingFutureID(2620).
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
The point on the floating rate index curve. Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
The quote side from which the index price is to be determined.
Bid
Mid
Offer
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
Calculation agent
Options exchange
For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.
The limit of average percentage of individual securities traded in a day or a number of days.
Specifies the limitation period for average daily trading volume in number of days.
Indicates whether the underlier is a depository receipt.
The number of units (units of the index or number of securities, par amount of a bond) that constitute the underlier. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
Identifier for referencing this UnderlyingInstrument from a parent instrument or a convertible instrument.
The type of value in CurrentCollateralAmount(1704).
Market valuation (the default)
Portfolio value before processing pledge request
Value confirmed as "locked-up" for processing a pledge request
Credit value of collateral at CCP processing a pledge request
Additional collateral value
Used to provide more granular fee types related to a value of MiscFeeType(139).
See http://www.fixtradingcommunity.org/codelists#Misc_Fee_Sub_Types for code list of applicable fees. Other fee sub-types may be used by mutual agreement of the counterparties.
The amount of the specified MiscFeeSubType(2634).
Can be used to provide an optional textual description of the fee sub-type.
Byte length of encoded (non-ASCII characters) EncodedMiscFeeSubTypeDesc(2638) field.
Encoded (non-ASCII characters) representation of the MiscFeeSubTypeDesc(2636) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MiscFeeSubTypeDesc(2636) field.
The commission amount.
Indicates what type of commission is being expressed in CommissionAmount(2640).
Unspecified
Acceptance
Broker
Clearing broker
Retail
Sales commission
Local commission
Specifies the basis or unit used to calculate the commission.
Amount per unit
Percent
Absolute
Percentage waived, cash discount basis
Percentage waived, enhanced units basis
Points per bond or contract
Basis points
Amount per contract
Specifies the currency denomination of the commission amount if different from the trade's currency. Uses ISO 4217 currency codes.
The commission rate unit of measure.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Indicates the currency of the unit of measure. Conditionally required when CommissionUnitOfMeasure(2644) = Ccy (Amount of currency).
The commission rate when CommissionAmount(2640) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage or expressed in basis points, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.
Indicates whether the amount in CommissionAmount(2640) is to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.
Commission amount to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement. If specified, this amount should not exceed the amount in CommissionAmount(2640).
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Description of the commission.
Byte length of the encoded (non-ASCII characters) EncodedCommissionDesc(2652) field.
Encoded (non-ASCII characters) representation of the CommissionDesc(2650) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the CommissionDesc(2650) field.
The commission amount.
Indicates what type of commission is being expressed in AllocCommissionAmount(2654).
Unspecified
Acceptance
Broker
Clearing broker
Retail
Sales commission
Local commission
Specifies the basis or unit used to calculate the commission.
Amount per unit
Percent
Absolute
Percentage waived, cash discount basis
Percentage waived, enhanced units basis
Points per bond or contract
Basis points
Amount per contract
Specifies the currency denomination of the commission amount if different from the trade's currency. Uses ISO 4217 currency codes.
The commission rate unit of measure.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Indicates the currency of the unit of measure. Conditionally required when AllocCommissionUnitOfMeasure(2658) = Ccy (Currency).
The commission rate when AllocCommissionAmount(2654) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage or expressed in basis points, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.
Indicates whether the amount in AllocCommissionAmount(2654) is to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.
Commission amount to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement. If specified, this amount should not exceed the amount in AllocCommissionAmount(2654).
Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).
Description of the commission.
Byte length of the encoded (non-ASCII characters) EncodedAllocCommissionDesc(2666) field.
Encoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the AllocCommissionDesc(2664) field.
Indicates that the order or trade originates from a computer program or algorithm requiring little-to-no human intervention.
Non-algorithmic trade
Algorithmic trade
Specifies the type of regulatory trade publication.
Additional reasons for the publication type may be specified in TrdRegPublicationReason(2670).
Pre-trade transparency waiver
Post-trade deferral
Exempt from publication
Additional reason for trade publication type specified in TrdRegPublicationType(2669).
Reasons may be specific to regulatory trade publication rules.
No preceding order in book as transaction price set within average spread of a liquid instrument
No preceding order in book as transaction price depends on system-set reference price for an illiquid instrument
No preceding order in book as transaction price is for transaction subject to conditions other than current market price
No public price for preceding order as public reference price was used for matching orders
No public price quoted as instrument is illiquid
No public price quoted by Systematic Internaliser as order is above standard market size
Deferral due to "Large in Scale"
Deferral due to "Illiquid Instrument"
Deferral due to "Size Specific"
No public price and/or size quoted as transaction is "large in scale"
No public price and/or size quoted due to order being hidden
Exempted due to securities financing transaction
Exempted due to European System of Central Banks (ESCB) policy transaction
Used between parties to convey trade reporting status.
Trade has not (yet) been reported
Trade has been reported by a trading venue as an "on-book" trade
Trade has been reported as a "systematic internaliser" seller trade
Trade has been reported as a "systematic internaliser" buyer trade
Trade has been reported as a "non-systematic internaliser" seller trade
Trade has been reported under a sub-delegation arrangement by an investment firm to a reporting facility (e.g. APA) on behalf of another investment firm
Unique message identifier for a cross request as assigned by the submitter of the request.
Identifier assigned by a matching system to a match event containing multiple executions.
Identifier assigned by a matching system to a price level (e.g. match step, clip) within a match event containing multiple executions.
Reason for submission of mass action.
No special reason (default)
Trading risk control
Clearing risk control
Market maker protection
Stop trading
Emergency action
Session loss or logout
Duplicate login
Product not traded
Instrument not traded
Complex instrument deleted
Circuit breaker activated
Other
Maximum deviation, in percentage terms, of an execution price from a reference price, e.g. the initial price of a match event.
Reason for order being unaffected by mass action even though it belongs to the orders covered by MassActionScope(1374).
Order suspended
Instrument suspended
Total number of orders unaffected by either the OrderMassActionRequest(35=CA) or OrderMassCancelRequest(35=Q).
Change of ownership of an order to a specific party.
No change of ownership (default)
Change of ownership to executing party
Change of ownership to entering party
Change of ownership to specified party
Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.
Specifies an option instrument's "in the money" condition.
Standard in-the-money
At-the-money is in-the-money
At-the-money call is in-the-money
At-the-money put is in-the-money
Specifies an option instrument's "in the money" condition in general terms.
Standard in-the-money
At-the-money is in-the-money
At-the-money call is in-the-money
At-the-money put is in-the-money
Specifies an option instrument's "in the money" condition in general terms.
Standard in-the-money
At-the-money is in-the-money
At-the-money call is in-the-money
At-the-money put is in-the-money
Specifies an option instrument's "in the money" condition in general terms.
Standard in-the-money
At-the-money is in-the-money
At-the-money call is in-the-money
At-the-money put is in-the-money
Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of InTheMoneyCondition(2681). When not specified, the eligibility is undefined or not applicable.
Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of LegInTheMoneyCondition(2682). When not specified, the eligibility is undefined or not applicable.
Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of UnderlyingInTheMoneyCondition(2683). When not specified, the eligibility is undefined or not applicable.
Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of DerivativeInTheMoneyCondition(2684). When not specified, the eligibility is undefined or not applicable.
Market price of the collateral, either from market sources or pre-agreed by the counterparties.
Percentage of over-collateralization particularly when CollateralAmountType(2632) = 4 (Additional collateral value)
Market associated with the collateral amount.
Market segment associated with the collateral amount.
The type of value in CurrentCollateralAmount(1704).
Market valuation (the default)
Portfolio value before processing pledge request
Value confirmed as "locked-up" for processing a pledge request
Credit value of collateral at CCP processing a pledge request
Additional collateral value
Specifies the currency of the collateral; optional, defaults to the settlement currency if not specified. Uses ISO 4217 Currency Code.
Foreign exchange rate used to compute the SideCurrentCollateralAmount(2702) from the SideCollateralCurrency(2695) and the Currency(15).
Specifies whether or not SideCollateralFXRate(2696) should be multiplied or divided.
Divide
Multiply
Market price of the collateral, either from market sources or pre-agreed by the counterparties.
Percentage of over-collateralization particularly when SideCollateralAmountType(2694) = 4 (Additional collateral value).
Identifier of the collateral portfolio when reporting on a portfolio basis.
Type of collateral on deposit being reported.
Currency value currently attributed to the collateral.
Indicates, if "Y", that a stated valuation includes a haircut, e.g. that the stated value reflects the subtraction of the haircut. Note that a value of "N" does not imply a haircut is not applicable, only that the haircut (if any) is not reflected in the stated valuation.
Identifies the type of execution destination for the order.
No restriction
Can be traded only on a trading venue
Can be traded only on a Systematic Internaliser (SI)
Can be traded on a trading venue or Systematic internaliser (SI)
Security identifier of the bond.
Identifies the source scheme of the AdditionalTermBondSecurityID(40001) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Description of the bond.
Byte length of encoded (non-ASCII characters) EncodedAdditionalTermBondDesc(40005) field.
Encoded (non-ASCII characters) representation of the AdditionalTermBondDesc(40003) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AdditionalTermBondDesc(40003) field.
Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.
Issuer of the bond.
Byte length of encoded (non-ASCII characters) EncodedAdditionalTermBondIssuer(40009) field.
Encoded (non-ASCII characters) representation of the AdditionalTermBondIssuer(40007) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AdditionalTermBondIssuer(40007) field.
Specifies the bond's payment priority in the event of a default.
Senior Secured
Senior
Subordinated
Coupon type of the bond.
Zero
Fixed rate
Floating rate
Structured
Coupon rate of the bond. See also CouponRate(223).
The maturity date of the bond.
The par value of the bond.
Total issued amount of the bond.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.
Indicates whether the discrepancy clause is applicable.
Specifies the currency the CashSettlAmount(40034) is denominated in. Uses ISO 4217 currency codes.
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for the purpose of cash settlement.
The time of valuation.
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The type of quote used to determine the cash settlement price.
Bid
Mid
Offer
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
Specifies the currency the CashSettlQuoteAmount(40028) is denominated in. Uses ISO 4217 Currency Code.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
Specifies the currency the CashSettlMinimumQuoteAmount(40030) is denominated in. Uses ISO 4217 Currency Code.
Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.
The number of business days used in the determination of the cash settlement payment date.
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - CashSettlRecoveryFactor(40035)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
Indicates whether accrued interest is included or not in the value provided in CashSettlAmount(40034). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
Market
Highest
Average market
Average highest
Blended market
Blended highest
Average blended market
Average blended highest
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Specifies which contract definition, such as those published by ISDA, will apply for the terms of the trade. See http://www.fpml.org/coding-scheme/contractual-definitions for values.
Identifies the applicable contract matrix. See http://www.fpml.org/coding-scheme/matrix-type-1-0.xml for values.
The publication date of the applicable version of the contract matrix. If not specified, the ISDA Standard Terms Supplement defines rules for which version of the matrix is applicable.
Specifies the applicable key into the relevent contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the ContractualMatrixTerm(40045) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.
Identifies the applicable contractual supplement. See http://www.fpml.org/coding-scheme/contractual-supplement for values.
The publication date of the applicable version of the contractual supplement.
Type of swap stream.
Payment / cash settlement
Physical delivery
A short descriptive name given to the payment stream. Eg. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as reference.
The side of the party paying the stream.
Buy
Sell
The side of the party receiving the stream.
Buy
Sell
Notional, or initial notional value for the payment stream. Use the PaymentScheduleGrp component to specify the rate steps.
Specifies the currency the StreamNotional(40054) is denominated in. Uses ISO 4217 currency codes.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The unadjusted effective date.
The business day convention used to adjust the underlying instrument's stream's effective, or relative effective, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the underlying instrument's stream's effective, or relative effective, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the effective date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative effective date offset.
Time unit associated with the relative effective date offset.
Day
Week
Month
Year
Specifies the day type of the relative effective date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted effective date.
The unadjusted termination date.
The business day convention used to adjust the instrument's stream's termination, or relative termination, date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's stream's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the termination date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative termination date offset.
Time unit associated with the relative termination date offset.
Day
Week
Month
Year
Specifies the day type of the relative termination date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted termination date.
The business day convention used to adjust calculation periods. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust calculation periods, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted first calculation period start date if before the effective date.
The business day convention used to adjust the instrument's stream's first calculation period start date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's stream's first calculation period start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted first calculation period start date, if it is before the effective date.
The unadjusted first start date of the regular calculation period, if there is an initial stub period.
The unadjusted end date of the initial compounding period.
The unadjusted last regular period end date if there is a final stub period.
Time unit multiplier for the frequency at which calculation period end dates occur.
Time unit associated with the frequency at which calculation period end dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the DateAdjustment component within the Instrument component.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.
Identifies the source of the rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether to request a settlement rate quote from the market.
Used to identify the settlement rate postponement calculation agent.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
Type of provisions.
Mandatory early termination
Optional early termination
Cancelable
Extendible
Mutual early termination
The unadjusted date of the provision.
The business day convention used to adjust the instrument's provision's dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's provision's dates, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted date of the provision.
Time unit multiplier for the provision's tenor period.
Time unit associated with the provision's tenor period.
Day
Week
Month
Year
Used to identify the calculation agent. The calculation agent may be identified in ProvisionCalculationAgent(40098) or in the ProvisionParties component.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.
Buy
Sell
If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.
Buy
Sell
The instrument provision option’s exercise style.
European
American
Bermuda
Other
A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given exercise date.
The maximum notional amount that can be exercised on a given exercise date.
The minimum number of options that can be exercised on a given exercise date.
The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.
Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
Cash price
Cash price alternate
Par yield curve adjusted
Zero coupon yield curve adjusted
Par yield curve unadjusted
Cross currency
Collateralized price
Specifies the currency of settlement. Uses ISO 4217 currency codes.
Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.
Identifies the type of quote to be used.
Bid
Mid
Offer
Exercising party pays
Identifies the source of quote information.
Bloomberg
Reuters
Telerate
Other
Free form text to specify additional information or enumeration description when a standard value does not apply.
A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.
Identifies the business center calendar used with the provision's cash settlement valuation time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The cash settlement valuation date adjustment business day convention. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the provision's cash settlement valuation date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement value date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values
Time unit multiplier for the relative cash settlement value date offset.
Time unit associated with the relative cash settlement value date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative cash settlement value date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted cash settlement value date.
The business day convention used to adjust the instrument's provision's option exercise date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's provision's option exercise date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.
Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.
Day
Week
Month
Year
Time unit multiplier for the frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.
Time unit associated with the frequency of subsequent exercise dates in the exercise period following the earliest exercise date.
Day
Week
Month
Year
Hour
Minute
Second
Term
The unadjusted first day of the exercise period for an American style option.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option exercise start date offset.
Time unit associated with the relative option exercise start date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option exercise start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted first day of the exercise period for an American style option.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.
Identifies the business center calendar used with the provision's earliest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
Identifies the business center calendar used with the provision's latest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A predetermined option exercise date, unadjusted or adjusted depending on ProvisionOptionExerciseFixedDateType(40144).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The business day convention used to adjust the instrument's provision's option expiration date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's provision's option expiration date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the option expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option expiration date offset.
Time unit associated with the relative option expiration date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option expiration date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.
The latest time for exercise on the expiration date.
Identifies the business center calendar used with the provision's latest exercise time on expiration date.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the instrument's provision's option underlying date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's provision's option underlying date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option relevant underlying date offset.
Time unit associated with the relative option relevant underlying date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option relevant underlying date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the provisional cash settlement payment's termination or relative termination date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the provisional cash settlement payment's termination or relative termination date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement payment date offset.
Time unit associated with the relative cash settlement payment date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative cash settlement payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
First date in range when a settlement date range is provided.
The last date in range when a settlement date range is provided.
The cash settlement payment date, unadjusted or adjusted depending on ProvisionCashSettlPaymentDateType(40173).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The party identifier/code for the payment settlement party.
Identifies class or source of the ProvisionPartyID(40175) value.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the type or role of ProvisionPartyID(40175) specified.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Party sub-identifier, if applicable, for ProvisionPartyID(40175).
The type of ProvisionPartySubID(40179).
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
The notional amount of protection coverage.
The currency of ProtectionTermNotional(40182). Uses ISO 4217 currency codes.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
ProtectionTermSellerNotifies(40184)=Y indicates that the seller notifies.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
ProtectionTermBuyerNotifies(40185)=Y indicates that the buyer notifies.
When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether ISDA defined Standard Public Sources are applicable (ProtectionTermStandardSources(40187)=Y) or not.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
Newspaper or electronic news service or source that may publish relevant information used in the determination of whether or not a credit event has occurred.
A named string value referenced by UnderlyingProtectionTermXIDRef(41314).
Specifies the type of credit event applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.
Protection term event value appropriate to ProtectionTermEvenType(40192).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.
Applicable currency if ProtectionTermEventValue(40193) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for protection term events.
Time unit associated with protection term events.
Day
Week
Month
Year
Day type for events that specify a period and unit.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Rate source for events that specify a rate source, e.g. Floating rate interest shortfall.
Protection term event qualifier. Used to further qualify ProtectionTermEventType(40192).
Retructuring - multiple holding obligations
Restructuring - multiple credit event notices
Floating rate interest shortfall
Specifies the type of obligation applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.
Protection term obligation value appropriate to ProtectionTermObligationType(40202).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.
Specifies the currency of physical settlement. Uses ISO 4217 currency codes.
The number of business days used in the determination of physical settlement. Its precise meaning is dependant on the context in which this element is used.
A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Specifies the type of deliverable obligation applicable for physical settlement. See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Physical settlement deliverable obligation value appropriate to PhysicalSettlDeliverableObligationType(40210). See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for applicable obligation type values.
Type of payment.
Brokerage
Upfront fee
Independent amount / collateral
Principal exchange
Novation / termination
Early termination provision
Cancelable provision
Extendible provision
Cap rate provision
Floor rate provision
Option premium
Settlement payment
Cash settlement
Other
The side of the party paying the payment.
Buy
Sell
The side of the party receiving the payment.
Buy
Sell
Specifies the currency in which PaymentAmount(40217) is denominated. Uses ISO 4271 currency codes.
The total payment amount.
The price determining the payment amount expressed in terms specified in PaymentPriceType(40919) and expressed in market format.
The unadjusted payment date.
The business day convention used to adjust the payment date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted payment date.
Applicable value for LegMarketDisruptionEvent(41468).
The value representing the discount factor used to calculate the present value of the cash flow.
The amount representing the present value of the forecast payment.
Specifies the currency the PaymentPresentValueAmount(40225) is denominated in. Uses ISO 4217 currency codes.
Payment settlement style.
Standard
Net
Standard and net
Identifies the reference "page" from the rate source.
When LegPaymentStreamNonDeliverableSettlRateSource(40087) = 3 (ISDA Settlement Rate Option) this contains a value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Free form text to specify additional information or enumeration description when a sdtandard value does not apply. Identifies the payment type when PaymentType(40213) = 99 (Other).
The payment settlement amount.
Specifies the currency the PaymentSettlAmount(40231) is denominated in. Uses ISO 4217 currency codes.
The payment settlement party identifier.
Identifies the class or source of PaymentSettlPartyID(40234) value (e.g. BIC).
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the role of PaymentSettlPartyID(40234) (e.g. the beneficiary's bank or depository institution).
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Qualifies the value of PaymentSettlPartyRole(40236).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Party sub-identifier, if applicable, for PaymentSettlPartyRole(40236).
The type of PaymentSettlPartySubID(40239) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Type of swap stream.
Payment / cash settlement
Physical delivery
A short descriptive name given to the payment stream, e.g. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as a reference.
The side of the party paying the stream.
Buy
Sell
The side of the party receiving the stream.
Buy
Sell
Notional, or initial notional value for the payment stream. The LegPaymentSchedule component should be used for specifying the steps.
Specifies the currency the LegStreamNotional(40246) is denominated in. Uses ISO 4217 currency codes.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The unadjusted effective date.
The business day convention used to adjust the instrument leg's stream's effective date or relative effective date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's stream's effective date or relative effective date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the effective date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values
Time unit multiplier for the relative effective date offset.
Time unit associated with the relative effective date offset.
Day
Week
Month
Year
Specifies the day type of the relative effective date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted effective date.
The unadjusted termination date.
The business day convention used to adjust the instrument leg's stream's termination, or relative termination, date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's stream's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the termination date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative termination date offset.
Time unit associated with the relative termination date offset.
Day
Week
Month
Year
Specifies the day type of the relative termination date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted termination date.
The business day convention used to adjust calculation periods. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust calculation periods, e.g. "GLBO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted first calculation period start date if before the effective date.
The business day convention used to adjust the instrument leg's stream's first calculation period start date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's stream's first calculation period start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted first calculation period start date, if it is before the effective date.
The unadjusted first start date of the regular calculation period, if there is an initial stub period.
The unadjusted end date of the initial compounding period.
The unadjusted last regular period end date if there is a final stub period.
Time unit multiplier for the frequency at which calculation period end dates occur.
Time unit associated with the frequency at which calculation period end dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the LegDateAdjustment component within the InstrumentLeg component.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Identifies the type of payment stream applicable to the swap stream associated with the instrument leg.
Periodic (default)
Initial
Single
Dividend
Interest
Dividend return
Price return
Total return
Variance
Correlation
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
The day count convention used in the payment stream calculations.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
The method of calculating discounted payment amounts.
Standard
Forward Rate Agreement (FRA)
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
The day count convention applied to the LegPaymentStreamDiscountRate(40286).
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Compounding method.
None
Flat
Straight
Spread exclusive
Indicates whether there is an initial exchange of principal on the effective date.
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
Indicates whether there is a final exchange of principal on the termination date.
The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of payments.
Time unit associated with the frequency of payments.
Day
Week
Month
Year
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the LegDateAdjustment component within the InstrumentLeg component.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The unadjusted first payment date.
The unadjusted last regular payment date.
Specifies the anchor date when payment dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit associated with the relative payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Specifies the anchor date when the reset dates are relative to an anchor date.
If the reset frequency is specified as daily this element must not be included.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for frequency of resets.
Time unit associated with frequency of resets.
Day
Week
Month
Year
Hour
Minute
Second
Term
Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the anchor date when the initial fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative initial fixing date offset.
Time unit associated with the relative initial fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative initial fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted initial fixing date.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted fixing date.
Time unit multiplier for the relative rate cut-off date offset.
Time unit associated with the relative rate cut-off date offset.
Day
Week
Month
Year
Specifies the day type of the relative rate cut-off date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The rate applicable to the fixed rate payment stream.
The leg instrument payment stream's fixed payment amount. In a CDS, this can be an alternative to LegPaymentStreamRate(40326).
Specifies the currency in which LegPaymentStreamFixedAmount(40327) or LegPaymentStreamRate(40326) is denominated. Uses ISO 4217 currency codes.
The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.
The adjusted value date of the future value amount.
The payment stream floating rate index.
The source of the payment stream floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit associated with the payment stream's floating rate index curve period.
Day
Week
Month
Year
Time unit multiplier for the payment stream's floating rate index curve period.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in LegPaymentStreamRateIndex(40331).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate on a swap stream is capped at a certain level The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Specifies the rounding direction.
Round to nearest
Round down
Round up
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determineds the reference period for which the inflation index is observed.
Time unit associated with the inflation lag period.
Day
Week
Month
Year
The inflation lag period day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The method used when calculating the inflation index level from multiple points. The most common is linear method.
None
Linear zero yield
The inflation index reference source.
Bloomberg
Reuters
Telerate
Other
The publication source, such as relevant web site, news publication or a government body, where inflation information is obtained.
Initial known index level for the first calculation period.
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
None
International Swaps and Derivatives Association (ISDA)
Australian Financial Markets Association (AFMA)
Non-deliverable settlement reference currency. Uses ISO 4217 currency codes.
The business day convention used to adjust the payment stream's fixing date for the non-deliverable settlement terms. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative non-deliverable fixing date offset.
Time unit associated with the relative non-deliverable fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative non-deliverable fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
The non-deliverable fixing date. Type of date is specified in LegNonDeliverableFixingDateType(40369).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
Identifies the reference "page" from the rate source.
When LegSettlRateFallbackRateSource(40366) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Identifies the reference "page" from the rate source.
When PaymentStreamNonDeliverableSettlRateSource(40371) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Specifies the type of schedule.
Notional
Cash flow
FX linked notional
Fixed rate
Future value notional
Known amount
Floating rate multiplier
Spread
Cap rate
Floor rate
Non-deliverable settlement payment dates
Non-deliverable settlement calculation dates
Non-deliverable fixing dates.
Settlement period notional
Settlement period price
Calculation period
Dividend accrual rate multiplier
Dividend accrual rate spread
Dividend accrual cap rate
Dividend accrual floor rate
Compounding rate multiplier
Compounding rate spread
Compounding cap rate
Compounding floor rate
Indicates to which stub this schedule applies.
Initial
Final
Compounding initial
Compounding final
The unadjusted date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.
The unadjusted end date of a cashflow payment.
The side of the party paying the step schedule.
Buy
Sell
The side of the party receiving the step schedule.
Buy
Sell
The notional value for this step schedule, or amount of a cashflow payment.
The currency for this step schedule. Uses ISO 4217 currency codes.
The rate value for this step schedule.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The spread value for this step schedule.
Identifies whether the rate spread is applied to a long or a short position.
Short
Long
Specifies the yield calculation treatment for the step schedule.
Bond equivalent yield
Money market yield
The explicit payment amount for this step schedule.
The currency of the fixed amount. Uses ISO 4217 currency codes.
Time unit multiplier for the step frequency.
Time unit associated with the step frequency.
Day
Week
Month
Year
Hour
Minute
Second
Term
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in LegPaymentScheduleStepRelativeTo(40395). The percentage can be either positive or negative.
The explicit amount that the rate changes on each step date. This can be a positive or negative value.
Specifies whether the LegPaymentScheduleStepRate(40393) or LegPaymentScheduleStepOffsetValue(40392) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
Initial
Previous
The unadjusted fixing date.
Floating rate observation weight for cashflow payment.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted fixing date.
The fxing time associated with the step schedule.
Business center for determining fixing time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the interim exchange payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative interim exchange date offset.
Time unit associated with the relative interim exchange date offset.
Day
Week
Month
Year
Specifies the day type of the relative interim exchange date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted interim exchange date.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Rate source type.
Primary
Secondary
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Stub type.
Initial
Final
Compounding initial
Compounding final
Optional indication whether stub is shorter or longer than the regular swap period.
Short
Long
The agreed upon fixed rate for this stub.
A fixed payment amount for the stub.
The currency of the fixed payment amount. Uses ISO 4217 currency codes.
The stub floating rate index.
The source for the stub floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit multiplier for the floating rate index.
Time unit associated with the floating rate index.
Day
Week
Month
Year
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or a short position.
Short
Long
Specifies the yield calculation treatment for the stub index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The second stub floating rate index.
The source for the second stub floating rate index.
Bloomberg
Reuters
Telerate
Other
Secondary time unit multiplier for the stub floating rate index curve.
Secondary time unit associated with the stub floating rate index curve.
Day
Week
Month
Year
A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from the second floating rate index.
Identifies whether the rate spread is applied to a long or a short position.
Short
Long
Specifies the yield calculation treatment for the second stub index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Type of provisions.
Mandatory early termination
Optional early termination
Cancelable
Extendible
Mutual early termination
The unadjusted date of the provision.
The business day convention used to adjust the instrument leg's provision's date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's provision's date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted date of the provision.
Time unit multiplier for the leg provision's tenor period.
Time unit associated with the leg provision's tenor period.
Day
Week
Month
Year
Used to identify the calculation agent. The calculation agent may be identified in LegProvisionCalculationAgent(40456) or in the ProvisionParties component.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.
Buy
Sell
If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.
Buy
Sell
The instrument provision option exercise style.
European
American
Bermuda
Other
A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given exercise date.
The maximum notional amount that can be exercised on a given exercise date.
The minimum number of options that can be exercised on a given exercise date.
The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.
Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
Cash price
Cash price alternate
Par yield curve adjusted
Zero coupon yield curve adjusted
Par yield curve unadjusted
Cross currency
Collateralized price
Specifies the currency of settlement. Uses ISO 4217 currency codes.
Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.
Identifies the type of quote to be used.
Bid
Mid
Offer
Exercising party pays
Identifies the source of quote information.
Bloomberg
Reuters
Telerate
Other
A business center whose calendar is used for date adjustment, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The cash settlement payment date, unadjusted or adjusted depending on LegProvisionCashSettlPaymentDateType(40521).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The business day convention used to adjust the instrument leg's provision's option exercise date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's provision's option exercise date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.
Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.
Day
Week
Month
Year
Time unit multiplier for subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.
Time unit associated with subsequent exercise dates in the exercise period following the earliest exercise date.
Day
Week
Month
Year
Hour
Minute
Second
Term
The unadjusted first day of the exercise period for an American style option.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option exercise start date offset.
Time unit associated with the relative option exercise start date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option exercise start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted first day of the exercise period for an American style option.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.
Identifies the business center calendar used with the provision's earliest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
Identifies the business center calendar used with the provision's latest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A predetermined option exercise date unadjusted or adjusted depending on LegProvisionOptionExerciseFixedDateType(40497).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The business day convention used to adjust the instrument leg's provision's option expiration date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's provision's option expiration date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the option expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option expiration date offset.
Time unit associated with the relative option expiration date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option expiration date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.
The latest time for exercise on the expiration date.
Identifies the business center calendar used with the provision's latest exercise time on expiration date.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the instrument leg's provision's option relevant underlying date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument leg's provision's option underlying date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option relevant underlying date offset.
Time unit associated with the relative option relevant underlying date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option relevant underlying date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convention used to adjust the provisional cash settlement payment's termination, or relative termination, date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the provisional cash settlement payment's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement payment date offset.
Time unit associated with the relative cash settlement payment date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative cash settlement payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The first date in range when a settlement date range is provided.
The last date in range when a settlement date range is provided.
A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.
Identifies the business center calendar used with the provision's cash settlement valuation time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the provision's cash settlement valuation date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the provision's cash settlement valuation date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the cash settlement value date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement value date offset.
Time unit associated with the relative cash settlement value date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative cash settlement value date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted cash settlement value date.
The party identifier/code for the payment settlement party.
Identifies the class or source of LegProvisionPartyID(40534).
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the type or role of LegProvisionPartyID(40534) specified.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Party sub-identifier, if applicable, for LegProvisionPartyRole(40536).
The type of LegProvisionPartySubID(40538) value.
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
Type of swap stream.
Payment / cash settlement
Physical delivery
A short descriptive name given to payment stream. Eg. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as a reference.
The side of the party paying the stream.
Buy
Sell
The side of the party receiving the stream.
Buy
Sell
Notional, or initial notional value for the payment stream. Use SwapSchedule for steps.
Specifies the currency the UnderlyingStreamNotional(40545) is denominated in. Uses ISO 4217 currency codes.
Free form text to specify additional information or enumeration description when a standard value does not apply.
The unadjusted termination date.
The business day convention used to adjust the underlying instrument's stream's termination, or relative termination, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the underlying instrument's stream's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the termination date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative termination date offset.
Time unit associated with the relative termination date offset.
Day
Week
Month
Year
Specifies the day type of the relative termination date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted termination date.
The business day convention used to adjust the calculation periods. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the calculation periods, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted first calculation period start date if before the effective date.
The business day convention used to adjust the underlying instrument's stream's first calculation period start date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the underlying instrument's stream's first calculation period start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted first calculation period start date, if it is before the effective date.
The unadjusted first start date of the regular calculation period, if there is an initial stub period.
The unadjusted end date of the initial compounding period.
The unadjusted last regular period end date if there is a final stub period.
Time unit multiplier for the frequency at which calculation period end dates occur.
Time unit associated with the frequency at which calculation period end dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Identifies the type of payment stream applicable to the swap stream associated with the underlying instrument.
Periodic (default)
Initial
Single
Dividend
Interest
Dividend return
Price return
Total return
Variance
Correlation
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
The day count convention used in the payment stream calculations.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
The method of calculating discounted payment amounts
Standard
Forward Rate Agreement (FRA)
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
The day count convention applied to the UnderlyingPaymentStreamDiscountRate(40575).
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Compounding Method.
None
Flat
Straight
Spread exclusive
Indicates whether there is an initial exchange of principal on the effective date.
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
Indicates whether there is a final exchange of principal on the termination date.
The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of payments.
Time unit associated with the frequency of payments.
Day
Week
Month
Year
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The unadjusted first payment date.
The unadjusted last regular payment date.
Specifies the anchor date when payment dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit associated with the relative payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Specifies the anchor date when the reset dates are relative to an anchor date.
If the reset frequency is specified as daily this element must not be included.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for frequency of resets.
Time unit associated with frequency of resets.
Day
Week
Month
Year
Hour
Minute
Second
Term
Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the anchor date when the initial fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative initial fixing date offset.
Time unit associated with the relative initial fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative initial fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted initial fixing date.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted fixing date.
Time unit multiplier for the relative rate cut-off date offset.
Time unit associated with the relative rate cut-off date offset.
Day
Week
Month
Year
Specifies the day type of the relative rate cut-off date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The rate applicable to the fixed rate payment stream.
The underlying payment stream's fixed payment amount. In CDS an alternative to UnderlyingPaymentStreamRate(40615).
Specifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.
The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.
The adjusted value date of the future value amount.
The payment stream's floating rate index.
The source of the payment stream floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit associated with the underlying instrument’s floating rate index.
Day
Week
Month
Year
Time unit multiplier for the underlying instrument’s floating rate index.
A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies a short or long spread value.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
Specifies the rounding direction.
Round to nearest
Round down
Round up
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.
Time unit associated with the inflation lag period.
Day
Week
Month
Year
The inflation lag period day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
None
Linear zero yield
The inflation index reference source.
Bloomberg
Reuters
Telerate
Other
The current main publication source such as relevant web site or a government body.
Initial known index level for the first calculation period.
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
None
International Swaps and Derivatives Association (ISDA)
Australian Financial Markets Association (AFMA)
The non-deliverable settlement reference currency. Uses ISO 4217 currency codes.
The business day convention used to adjust the payment stream's fixing date for the non-deliverable terms. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative non-deliverable fixing date offset.
Time unit associated with the relative non-deliverable fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative non-deliverable fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifies the reference "page" from the rate source.
When SettlRateFallbackRateSource(40373) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
The non-deliverable fixing date unadjusted or adjusted depending on UnderlyingNonDeliverableFixingDateType(40658).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether to request a settlement rate quote from the market.
Used to identify the settlement rate postponement calculation agent.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
Type of schedule.
Notional
Cash flow
FX linked notional
Fixed rate
Future value notional
Known amount
Floating rate multiplier
Spread
Cap rate
Floor rate
Non-deliverable settlement payment dates
Non-deliverable settlement calculation dates
Non-deliverable fixing dates.
Settlement period notional
Settlement period price
Calculation period
Dividend accrual rate multiplier
Dividend accrual rate spread
Dividend accrual cap rate
Dividend accrual floor rate
Compounding rate multiplier
Compounding rate spread
Compounding cap rate
Compounding floor rate
Indicates to which stub this schedule applies.
Initial
Final
Compounding initial
Compounding final
The unadjusted date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.
The unadjusted end date of a cashflow payment.
The side of the party paying the step schedule.
Buy
Sell
The side of the party receiving the step schedule.
Buy
Sell
The notional value for this step, or amount of a cashflow payment.
The currency for this step. Uses ISO 4217 currency codes.
The rate value for this step.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The spread value for this step.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the step schedule.
Bond equivalent yield
Money market yield
The explicit payment amount for this step.
The currency of the fixed amount. Uses ISO 4217 currency codes.
Time unit multiplier for the step frequency.
Time unit associated with the step frequency.
Day
Week
Month
Year
Hour
Minute
Second
Term
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in UnderlyingPaymentScheduleStepRelativeTo(40685). The percentage can be either positive or negative.
The explicit amount that the rate changes on each step date. This can be a positive or negative value.
Specifies whether the UnderlyingPaymentScheduleStepRate(40683) or UnderlyingPaymentScheduleStepOffsetValue(40682) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
Initial
Previous
The unadjusted fixing date.
Floating rate observation weight for cashflow payment.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted fixing date.
The fixing time.
Business center for determining fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the interim exchange payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative interim exchange date offset.
Time unit associated with the relative interim exchange date offset.
Day
Week
Month
Year
Specifies the day type of the relative interim exchange date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted interim exchange date.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Rate source type.
Primary
Secondary
Identifies the reference “page” from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Stub type.
Initial
Final
Compounding initial
Compounding final
Optional indication whether stub is shorter or longer than the regular swap period.
Short
Long
The agreed upon fixed rate for this stub.
A fixed payment amount for the stub.
The currency of the fixed payment amount. Uses ISO 4217 currency codes.
The stub floating rate index.
The source for the underlying payment stub floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit multiplier for the underlying payment stub floating rate index.
Time unit associated with the underlying payment stub floating rate index.
Day
Week
Month
Year
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the stub index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The second stub floating rate index.
The source of the second stub floating rate index.
Bloomberg
Reuters
Telerate
Other
Secondary time unit multiplier for the stub floating rate index curve.
Secondary time unit associated with the stub floating rate index curve.
Day
Week
Month
Year
A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from the second floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the second stub index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Identifies the type of payment stream associated with the swap.
Periodic (default)
Initial
Single
Dividend
Interest
Dividend return
Price return
Total return
Variance
Correlation
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortgage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
The day count convention used in the payment stream calculations.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
The method of calculating discounted payment amounts
Standard
Forward Rate Agreement (FRA)
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
The day count convention applied to the PaymentStreamDiscountRate(40745).
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Compounding method.
None
Flat
Straight
Spread exclusive
Indicates whether there is an initial exchange of principal on the effective date.
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
Indicates whether there is a final exchange of principal on the termination date.
The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of payments.
Time unit associated with the frequency of payments.
Day
Week
Month
Year
Term
The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the DateAdjustment component within the Instrument component.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The unadjusted first payment date.
The unadjusted last regular payment date.
Specifies the anchor date when payment dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit multiplier for the relative initial fixing date offset.
Day
Week
Month
Year
Specifies the anchor date when the reset dates are relative to an anchor date.
If the reset frequency is specified as daily this element must not be included.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the frequency of resets.
Time unit associated with the frequency of resets.
Day
Week
Month
Year
Hour
Minute
Second
Term
Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the anchor date when the initial fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative initial fixing date offset.
Time unit associated with the relative initial fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative initial fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted initial fixing date.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted fixing date.
Time unit multiplier for the relative rate cut-off date offset.
Time unit associated with the relative rate cut-off date offset.
Day
Week
Month
Year
Specifies the day type of the relative rate cut-off date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The rate applicable to the fixed rate payment stream.
The payment stream's fixed payment amount. In CDS an alternative to PaymentStreamRate(40784).
Specifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denominated. Uses ISO 4271 currency codes.
The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.
The adjusted value date of the future value amount.
The payment stream floating rate index.
The source of the payment stream floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit associated with the floating rate index.
Day
Week
Month
Year
Time unit multiplier for the floating rate index.
A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
Specifies the rounding direction.
Round to nearest
Round down
Round up
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.
Time unit associated with the inflation lag period.
Day
Week
Month
Year
The inflation lag period day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
None
Linear zero yield
The inflation index reference source.
Bloomberg
Reuters
Telerate
Other
The current main publication source such as relevant web site or a government body.
Initial known index level for the first calculation period.
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
None
International Swaps and Derivatives Association (ISDA)
Australian Financial Markets Association (AFMA)
The non-deliverable settlement reference currency. Uses ISO 4217 currency codes.
The business day convention used to adjust the payment stream's fixing date for the non-deliverable settlement terms. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative non-deliverable fixing date offset.
Time unit associated with the relative non-deliverable fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative non-deliverable fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifies the reference "page" from the rate source.
When UnderlyingPaymentStreamNonDeliverableSettlRateSource(40661) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Non-deliverable fixing date unadjusted or adjusted depending on NonDeliverableFixingDateType(40827).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
Type of schedule.
Notional
Cash flow
FX linked notional
Fixed rate
Future value notional
Known amount
Floating rate multiplier
Spread
Cap rate
Floor rate
Non-deliverable settlement payment dates
Non-deliverable settlement calculation dates
Non-deliverable fixing dates.
Settlement period notional
Settlement period price
Calculation period
Dividend accrual rate multiplier
Dividend accrual rate spread
Dividend accrual cap rate
Dividend accrual floor rate
Compounding rate multiplier
Compounding rate spread
Compounding cap rate
Compounding floor rate
Indicates to which stub this schedule applies.
Initial
Final
Compounding initial
Compounding final
The date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.
The unadjusted end date of a cash flow payment.
The side of the party paying the step schedule.
Buy
Sell
The side of the party receiving the stepf schedule.
Buy
Sell
The notional value for this step, or amount of a cashflow payment.
The currency for this step. Uses ISO 4217 currency codes.
The rate value for this step schedule.
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The spread value for this step schedule.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the step schedule.
Bond equivalent yield
Money market yield
The explicit payment amount for this step schedule.
The currency of the fixed amount. Uses ISO 4217 currency codes.
Time unit multiplier for the step frequency.
Time unit associated with the step frequency.
Day
Week
Month
Year
Hour
Minute
Second
Term
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in PaymentScheduleStepRelativeTo(40849). The percentage can be either positive or negative.
The explicit amount that the rate changes on each step date. This can be a positive or negative value.
Specifies whether the PaymentScheduleStepRate(40847) or PaymentScheduleStepOffsetValue(40846) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
Initial
Previous
The unadjusted fixing date.
Floating rate observation weight for cashflow payment.
Specifies the anchor date when the fixing date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative fixing date offset.
Time unit associated with the relative fixing date offset.
Day
Week
Month
Year
Specifies the day type of the relative fixing date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted fixing date.
The fixing time associated with the step schedule.
Business center for determining fixing time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the interim exchange payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Time unit multiplier for the relative interim exchange date offset.
Time unit associated with the relative interim exchange date offset.
Day
Week
Month
Year
Specifies the day type of the relative interim exchange date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted interim exchange date.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Rate source type.
Primary
Secondary
Identifies the reference “page” from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
Stub type.
Initial
Final
Compounding initial
Compounding final
Optional indication whether stub is shorter or longer than the regular swap period.
Short
Long
The agreed upon fixed rate for this stub.
A fixed payment amount for the stub.
The currency of the fixed payment amount. Uses ISO 4217 currency codes.
The stub floating rate index.
The source of the stub floating rate index.
Bloomberg
Reuters
Telerate
Other
Time unit multiplier for the stub floating rate index.
Time unit associated with the stub floating rate index.
Day
Week
Month
Year
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the payment stub index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The second stub floating rate index.
The source of the second stub floating rate index.
Bloomberg
Reuters
Telerate
Other
Secondary time unit multiplier for the stub floating rate index curve.
Secondary time unit associated with the stub floating rate index curve.
Day
Week
Month
Year
A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
Spread from the second floating rate index.
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the second stub index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether to request a settlement rate quote from the market.
Used to identify the settlement rate postponement calculation agent.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
The unadjusted effective date.
The business day convention used to adjust the instrument's stream's effective, or relative effective, date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The business center calendar used to adjust the instrument's stream's effective, or relative effective, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the effective date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative effective date offset.
Time unit associated with the relative effective date offset.
Day
Week
Month
Year
Specifies the day type of the relative effective date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted effective date.
Identifies the reference "page" from the rate source.
When UnderlyingSettlRateFallbackRateSource(40904) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
Where multiple valuation dates are specified as being applicable for cash settlement, this specifies the number of applicable valuation dates.
Used to further qualify the value of UnderlyingProvisionPartyRole(42176).
Agency
Principal
Riskless principal
General clearing member
Individual clearing member
Preferred market maker
Directed market maker
Bank
Hub
Primary trade repository
Original trade repository
Additional international trade repository
Additional domestic trade repository
Related exchange
Options exchange
Specified exchange
Constituent exchange
Exempt from trade reporting
Current
New
Designated sponsor
Specialist
Algorithm
Firm or legal entity
Natural person
Regular trader
Head trader
Supervisor
Specifies the type of price for PaymentPrice(40218).
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
Per unit (i.e. per share or contract)
Fixed amount (absolute value)
Discount - percentage points below par
Premium - percentage points over par
Spread (basis points spread)
TED Price
TED Yield
Yield
Fixed cabinet trade price (primarily for listed futures and options)
Variable cabinet trade price (primarily for listed futures and options)
Price spread
Product ticks in halves
Product ticks in fourths
Product ticks in eighths
Product ticks in sixteenths
Product ticks in thirty-seconds
Product ticks in sixty-fourths
Product ticks in one-twenty-eighths
Normal rate representation (e.g. FX rate)
Inverse rate representation (e.g. FX rate)
Basis points
Up front points
Interest rate
Percentage of notional
Specifies the day type of the relative payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument unless specifically overridden.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument unless specifically overridden. Additional values may be used by mutual agreement of the counterparties.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
A business center whose calendar is used for date adjustment, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
A business center whose calendar is used for date adjustment, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Byte length of encoded (non-ASCII characters) EncodedLegStreamText(40979) field.
Encoded (non-ASCII characters) representation of the LegStreamText(40248) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegStreamText(40248) field.
Byte length of encoded (non-ASCII characters) EncodedLegProvisionText(40472) field.
Encoded (non-ASCII characters) representation of the LegProvisionText(40472) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegProvisionText(40472) field.
Byte length of encoded (non-ASCII characters) EncodedStreamText(40983) field.
Encoded (non-ASCII characters) representation of the StreamText(40056) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the StreamText(40056) field.
Byte length of encoded (non-ASCII characters) EncodedPaymentText(40985) field.
Encoded (non-ASCII characters) representation of the PaymentText(40229) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the PaymentText(40229) field.
Byte length of encoded (non-ASCII characters) EncodedProvisionText(40987) field.
Encoded (non-ASCII characters) representation of the ProvisionText(40113) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ProvisionText(40113) field.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingStreamText(40989) field.
Encoded (non-ASCII characters) representation of the UnderlyingStreamText(40547) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingStreamText(40547) field.
Applicable value for LegMarketDisruptionFallbackType(41470).
Applicable value for MarketDisruptionEvent(41093).
Applicable value for MarketDisruptionFallbackType(41095).
Used to further clarify the value of PaymentType(40213).
Initial (principal exchange)
Intermediate (principal exchange)
Final (principal exchange)
Prepaid (premium forward)
Postpaid (premium forward)
Variable (premium forward)
Fixed (premium forward)
Swap (premium)
Conditional (principal exchange on exercise)
Cross reference to the ordinal observation as specified either in the ComplexEventScheduleGrp or ComplexEventPeriodDateGrp components.
The weight factor to be applied to the observation.
Specifies the type of credit event.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.
The credit event value appropriate to ComplexEventCreditEventType(40998).
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.
Specifies the applicable currency when ComplexEventCreditEventValue(40999) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for complex credit events.
Time unit associated with complex credit events.
Day
Week
Month
Year
Specifies the day type for the complex credit events.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifies the source of rate information used for credit events.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.
Specifies a complex event qualifier. Used to further qualify ComplexEventCreditEventType(40998).
Retructuring - multiple holding obligations
Restructuring - multiple credit event notices
Floating rate interest shortfall
The averaging date for an Asian option.
The trigger date for a Barrier or Knock option.
The averaging time for an Asian option.
Specifies the period type.
Asian Out
Asian In
Barrier Cap
Barrier Floor
Knock Out
Knock In
The business center used to determine dates and times in the schedule or date-time group.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether the rate source specified is a primary or secondary source.
Primary
Secondary
Identifies the reference page from the rate source.
For FX, the reference page to the spot rate is to be used for the reference FX spot rate.
When ComplexEventRateSource(41014) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the reference page heading from the rate source.
The business center calendar used to adjust the complex event date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted complex event date.
Specifies the anchor date when the complex event date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative date offset.
Time unit associated with the relative date offset.
Day
Week
Month
Year
Specifies the day type of the relative date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The business day convention used to adjust the complex event date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted complex event date.
The local market fixing time.
The business center calendar used to determine the actual fixing times.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
The start date of the schedule.
The end date of the schedule.
Time unit multiplier for the schedule date frequency.
Time unit associated with the schedule date frequency.
Day
Week
Month
Year
The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the DateAdjustment component in Instrument.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the type of delivery schedule.
Notional
Delivery
Physical settlement period
Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.
Physical delivery quantity.
Specifies the delivery quantity unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The frequency of notional delivery.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryScheduleToleranceType(41046). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryScheduleToleranceType(41046). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the tolerance value type.
Absolute
Percentage
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
The sum of the total hours specified in the DeliveryScheduleSettlTimeGrp component.
The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in DeliveryScheduleSettlTimeType(41057).
The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in DeliveryScheduleSettlTimeType(41057).
Specifies the format of the delivery start and end time values.
Hour of the day
HH:MM time format
Specifies the type of delivery stream.
Periodic (default if not specified)
Initial
Single
The name of the oil delivery pipeline.
The point at which the commodity will enter the delivery mechanism or pipeline.
The point at which the commodity product will be withdrawn prior to delivery.
The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.
For bullion, see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.
Specifies under what conditions the buyer and seller should be excused of their delivery obligations.
Firm
Interruptable or non-firm
Force majeure
System firm
Unit firm
Specifies the electricity delivery contingency.
See http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.
The trade side value of the party responsible for electricity delivery contingency.
Buyer
Seller
When this element is specified and set to 'Y', delivery of the coal product is to be at its source.
Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.
Specifies the title transfer location.
Specifies the condition of title transfer.
Transfers with risk of loss
Does not transfer with risk of loss
A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryStreamToleranceType(41074). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryStreamToleranceType(41074). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the tolerance value type.
Absolute
Percentage
Indicates whether the tolerance is at the seller's or buyer's option.
Buyer
Seller
The positive percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
The negative percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.
The transportation equipment with which the commodity product will be delivered and received.
A reference to the party able to choose whether the gas is delivered for a particular period as found in a swing or interruptible contract.
Buyer
Seller
The delivery cycles during which the oil product will be transported in the pipeline.
Byte length of encoded (non-ASCII characters) EncodedDeliveryStreamCycleDesc(41084) field.
Encoded (non-ASCII characters) representation of the DeliveryStreamCycleDesc(41082) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DeliveryStreamCycleDesc(41082) field.
The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.
See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.
The consequences of market disruption events.
Not applicable
Applicable
As specified in master agreement
As specified in confirmation
Specifies the location of the fallback provision documentation.
As specified in master agreement
As specified in confirmation
Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).
Used when a price materiality percentage applies to the price source disruption event and this event has been specified.
Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.
Specifies the market disruption event.
For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.
For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.
Specifies the type of disruption fallback.
See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.
The type of reference price underlier.
Basket
Bond
Cash
Commodity
Convertible bond
Equity
Exchange traded fund
Future
Index
Loan
Mortgage
Mutual fund
Specifies the identifier value of the security.
Specifies the class or source scheme of the security identifier.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Specifies the description of the underlying security.
Byte length of encoded (non-ASCII characters) EncodedMarketDisruptionFallbackUnderlierSecurityDesc(41102) field.
Encoded (non-ASCII characters) representation of the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field.
If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
A description of the option exercise.
Byte length of encoded (non-ASCII characters) EncodedExerciseDesc(41102) field.
Encoded (non-ASCII characters) representation of the ExerciseDesc(41106) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ExerciseDesc(41106) field.
Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.
The threshold rate for triggering automatic exercise.
Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Not required
Non-electronic
Electronic
Unknown at time of report
Identifies the business center used for adjusting the time for manual exercise notice.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).
Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.
Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.
The business center calendar used to adjust the option exercise dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the day type of the relative earliest option exercise date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Time unit multiplier for the relative earliest exercise date offset.
Time unit associated with the relative earliest exercise date offset.
Day
Week
Month
Year
Time unit multiplier for the frequency of exercise dates.
Time unit associated with the frequency of exercise dates.
Day
Week
Month
Year
The unadjusted start date for calculating periodic exercise dates.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise start date offset.
Time unit associated with the relative exercise start date offset.
Day
Week
Month
Year
Specifies the day type of the relative option exercise start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted start date for calculating periodic exercise dates.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
Last date (adjusted) for establishing the option exercise terms.
The unadjusted first exercise date.
The unadjusted last exercise date.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.
The latest exercise time. See also OptionExerciseEarliestTime(41134).
The business center used to determine the locale for option exercise time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values
The option exercise fixed date, unadjusted or adjusted depending on OptionExerciseDateType(41139).
Specifies the type of date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the option exercise expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise expiration date offset.
Time unit associated with the relative exercise expiration date offset.
Day
Week
Month
Year
Time unit multiplier for the frequency of exercise expiration dates.
Time unit associated with the frequency of exercise expiration dates.
Day
Week
Month
Year
The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the DateAdjustment component in Instrument.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the day type of the relative option exercise expiration date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The option exercise expiration time.
The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
An adjusted or unadjusted fixed option exercise expiration date.
Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
Used to express the unit of measure (UOM) of the payment amount if not in the currency of the trade.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the anchor date when the payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative payment date offset.
Time unit associated with the relative payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Forward start premium type.
Prepaid
Post-paid
Variable
Fixed
The day of the week on which fixing will take place.
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which fixing takes place.
Identifier of this PaymentSchedule for cross referencing elsewhere in the message.
Reference to payment schedule elsewhere in the message.
The currency of the schedule rate. Uses ISO 4217 currency codes.
The schedule rate unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The number to be multiplied by the derived floating rate of the payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The schedule settlement period price.
Specifies the currency of the schedule settlement period price. Uses ISO 4217 currency codes.
The settlement period price unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The schedule step unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The distribution of fixing days.
All
First
Last
Penultimate
The number of days over which fixing should take place.
Time unit multiplier for the fixing lag duration.
Time unit associated with the fixing lag duration.
Day
Week
Month
Year
Time unit multiplier for the relative first observation date offset.
Time unit associated with the relative first observation date offset.
Day
Week
Month
Year
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction “Fixed”. If 'N' it is taken on each Pricing Date “Floating”.
Specifies the actual monetary value of the flat rate when PaymentStreamFlatRateIndicator(41180) = 'Y'.
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
Specifies the limit on the total payment amount.
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
Specifies the limit on the payment amount that goes out in any particular calculation period.
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
Specifies the fixed payment amount unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the total fixed payment amount.
The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.
The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.
Specifies the currency of PaymentStreamContractPrice(41190). Uses ISO 4217 currency codes.
The business center calendar used to adjust the payment stream's pricing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Secondary time unit multiplier for the payment stream's floating rate index curve.
Secondary time unit associated with the payment stream's floating rate index curve.
Day
Week
Month
Year
Specifies the location of the floating rate index.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate index level.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies how weather index units are to be calculated.
Average
Maximum
Minimum
Cumulative
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate reference level.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
When set to 'Y', it indicates the weather reference level equals zero.
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
Species the unit of measure (UOM) of the floating rate spread.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The number to be multiplied by the derived floating rate of the payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Time unit multiplier for the calculation lag duration.
Time unit associated with the calculation lag duration.
Day
Week
Month
Year
Time unit multiplier for the relative first observation date offset.
Time unit associated with the relative first observation date offset.
Day
Week
Month
Year
Specifies the commodity pricing day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The distribution of pricing days.
All
First
Last
Penultimate
The number of days over which pricing should take place.
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
The business day convention used to adjust the payent stream's pricing dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the source or legal framework for the risk apportionment.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.
Specifies the source or legal framework for the risk apportionment.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.
The adjusted or unadjusted fixed stream payment date.
Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.
The adjusted or unadjusted fixed stream pricing date.
Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The day of the week on which pricing takes place.
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which pricing takes place.
The business center calendar used to adjust pricing or fixing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted pricing or fixing date.
The business day convention used to adjust pricing or fixing dates. Used only to override the business day convention defined in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted pricing or fixing date.
Specifies the local market time of the pricing or fixing.
Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
The adjusted or unadjusted fixed calculation period date.
Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
Identifier of this calculation period for cross referencing elsewhere in the message.
Cross reference to another calculation period for duplicating its properties.
When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).
Time unit multiplier for the length of time after the publication of the data when corrections can be made.
Time unit associated with the length of time after the publication of the data when corrections can be made.
Day
Week
Month
Year
The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
Specifies the type of commodity product.
For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.
For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.
For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.
Specifies the market identifier for the commodity.
Identifies the class or source of the StreamCommoditySecurityIDSource(41253) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Description of the commodity asset.
Byte length of encoded (non-ASCII characters) EncodedStreamCommodityDesc(41257) field.
Encoded (non-ASCII characters) representation of the StreamCommodityDesc(41255) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the StreamCommodityDesc(41255) field.
The unit of measure (UOM) of the commodity asset.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.
Identifies the exchange where the commodity is traded.
Identifies the source of rate information used for commodities.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.
Identifies the reference "page" from the rate source.
Identifies the page heading from the rate source.
Specifies the commodity data or information provider.
See http://www.fpml.org/coding-scheme/commodity-information-provider for values.
Specifies how the pricing or rate setting of the trade is to be determined or based upon.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.
Time unit multiplier for the nearby settlement day.
Time unit associated with the nearby settlement day.
Week
Month
The unadjusted commodity delivery date.
The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted commodity delivery date.
Specifies a fixed single month for commodity delivery.
Time unit multiplier for the commodity delivery date roll.
Time unit associated with the commodity delivery date roll.
Day
Specifies the commodity delivery roll day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifier of this stream commodity for cross referencing elsewhere in the message.
Reference to a stream commodity elsewhere in the message.
Alternate security identifier value for the commodity.
Identifies the class or source of the alternate commodity security identifier.
Data source identifier.
Type of data source identifier.
City (4 character business center code)
Airport (IATA standard)
Weather station WBAN (Weather Bureau Army Navy)
Weather index WMO (World Meteorological Organization)
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
Sum of the hours specified in StreamCommoditySettlTimeGrp.
The start time for commodities settlement where delivery occurs over time. The time format is specified by the settlement time type.
The end time for commodities settlement where delivery occurs over time. The time format is specified by the settlement time type.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Specifies the delivery quantity associated with this settlement period.
Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Time unit multiplier for the settlement period frequency.
Time unit associated with the settlement period frequency.
Day
Week
Month
Year
The settlement period price.
Specifies the settlement period price unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The currency of the settlement period price. Uses ISO 4217 currency codes.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Identifier of this settlement period for cross referencing elsewhere in the message.
Cross reference to another settlement period for duplicating its properties.
Identifier of this Stream for cross referencing elsewhere in the message.
Identifies the instrument leg in which this payment applies to by referencing the leg's LegID(1788).
Cross reference to another Stream notional for duplicating its properties.
Time unit multiplier for the swap stream's notional frequency.
Time unit associated with the swap stream's notional frequency.
Hour
Minute
Second
Day
Week
Month
Year
Quarter
The commodity's notional or quantity delivery frequency.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the delivery stream quantity unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Total notional or delivery quantity over the term of the contract.
Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Identifier of the regulatory jurisdiction requiring the trade to be cleared.
Reference to the protection terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the ProtectionTerms repeating group that applies to this Underlying.
Reference to the cash or physical settlement terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the appropriate repeating group that applies to this Underlying.
Security identifier of the bond.
Identifies the source scheme of the LegAdditionalTermBondSecurityID(41317) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Description of the bond.
Byte length of encoded (non-ASCII characters) EncodedLegAdditionalTermBondDesc(41321) field.
Encoded (non-ASCII characters) representation of the LegAdditionalTermBondDesc(41319) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegAdditionalTermBondDesc(41319) field.
Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.
Issuer of the bond.
Byte length of encoded (non-ASCII characters) EncodedLegAdditionalTermBondIssuer(41325) field.
Encoded (non-ASCII characters) representation of the LegAdditionalTermBondIssuer(41323) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegAdditionalTermBondIssuer(41323) field.
Specifies the bond's payment priority in the event of a default.
Senior Secured
Senior
Subordinated
Specifies the coupon type of the bond.
Zero
Fixed rate
Floating rate
Structured
Coupon rate of the bond. See also CouponRate(223).
The maturity date of the bond.
The par value of the bond.
Total issued amount of the bond.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.
Indicates whether the discrepancy clause is applicable.
Applicable value for UnderlyingMarketDisruptionEvent(41865).
Applicable value for UnderlyingMarketDisruptionFallbackType(41867).
Security identifier of the bond.
Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.
Specifies the currency the LegCashSettlAmount(41357) is denominated in. Uses ISO 4217 currency codes.
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.
Time of valuation.
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The type of quote used to determine the cash settlement price.
Bid
Mid
Offer
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
Specifies the currency the LegCashSettlQuoteAmount(41352) is denominated in. Uses ISO 4217 Currency Code.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
Specifies the currency the LegCashSettlQuoteMinimumAmount(41354) is denominated in. Uses ISO 4217 Currency Code.
The number of business days used in the determination of the cash settlement payment date.
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - LegCashSettlRecoveryFactor(41358)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
Indicates whether accrued interest is included or not in the value provided in LegCashSettlAmount(41357).
For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
Market
Highest
Average market
Average highest
Blended market
Blended highest
Average blended market
Average blended highest
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Cross reference to the ordinal observation as specified either in the LegComplexEventScheduleGrp or LegComplexEventPeriodDateGrp components.
The weight factor to be applied to the observation.
Specifies the type of credit event.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.
The credit event value appropriate to LegComplexEventCreditEventType(41367).
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.
Specifies the applicable currency when LegComplexEventCreditEventCurrency(41368) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for complex credit events.
Time unit associated with complex credit events.
Day
Week
Month
Year
Specifies the day type for the complex credit events.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifies the source of rate information used for credit events.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.
Specifies a complex event qualifier. Used to further qualify LegComplexEventCreditEventType(41367).
Retructuring - multiple holding obligations
Restructuring - multiple credit event notices
Floating rate interest shortfall
Averaging date for an Asian option.
Trigger date for a Barrier or Knock option.
Averaging time for an Asian option.
Specifies the period type.
Asian Out
Asian In
Barrier Cap
Barrier Floor
Knock Out
Knock In
The business center for adjusting dates and times in the schedule or date-time group.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the source of rate information.
For FX, the reference source to be used for the FX spot rate.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether the rate source specified is a primary or secondary source.
Primary
Secondary
Identifies the reference page from the rate source.
For FX, the reference page to the spot rate is to be used for the reference FX spot rate.
When LegComplexEventRateSource(41383) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the reference page heading from the rate source.
The business center calendar used to adjust the event date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted complex event date.
Specifies the anchor date when the complex event date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative date offset.
Time unit associated with the relative date offset.
Day
Week
Month
Year
Specifies the day type of the relative date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The business day convention used to adjust the event date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted complex event date.
The local market fixing time.
The business center for determining the actual fixing times.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
The start date of the schedule.
The end date of the schedule.
Time unit multiplier for the schedule date frequency.
Time unit associated with the schedule date frequency.
Day
Week
Month
Year
The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the LegDateAdjustment component in InstrumentLeg.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Identifies the reference "page" from the quote source.
Identifies the reference "page" from the quote source.
Specifies the type of delivery schedule.
Notional
Delivery
Physical settlement period
Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.
Physical delivery quantity.
Specifies the delivery quantity unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The frequency of notional delivery.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryScheduleToleranceType(41417). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryScheduleToleranceType(41417). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the tolerance value type.
Absolute
Percentage
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
The sum of the total hours specified in the LegDeliveryScheduleSettlTimeGrp component.
The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in LegDeliveryScheduleSettlTimeType(41428).
The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in LegDeliveryScheduleSettlTimeType(41428).
Specifies the format of the delivery start and end time values.
Hour of the day
HH:MM time format
Specifies the type of delivery stream.
Periodic (default if not specified)
Initial
Single
The name of the oil delivery pipeline.
The point at which the commodity will enter the delivery mechanism or pipeline.
The point at which the commodity product will be withdrawn prior to delivery.
The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.
For bullion, see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.
Specifies under what conditions the buyer and seller should be excused of their delivery obligations.
Firm
Interruptable or non-firm
Force majeure
System firm
Unit firm
Specifies the electricity delivery contingency. See
http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.
The trade side value of the party responsible for electricity delivery contingency.
Buyer
Seller
When this element is specified and set to 'Y', delivery of the coal product is to be at its source.
Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.
Specifies the title transfer location.
Specifies the condition of title transfer.
Transfers with risk of loss
Does not transfer with risk of loss
A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryStreamToleranceType(41445). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryStreamToleranceType(41445). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the tolerance value type.
Absolute
Percentage
Indicates whether the tolerance is at the seller's or buyer's option.
Buyer
Seller
The positive percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
The negative percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.
The transportation equipment with which the commodity product will be delivered and received.
A reference to the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.
Buyer
Seller
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
Limit or lower acceptable value of the attribute.
The delivery cycles during which the oil product will be transported in the pipeline.
Byte length of encoded (non-ASCII characters) EncodedLegDeliveryStreamCycleDesc(41459) field.
Encoded (non-ASCII characters) representation of the LegDeliveryStreamCycleDesc(41457) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegLeg DeliveryStream(41457) field.
The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.
See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.
The consequences of market disruption events.
Not applicable
Applicable
As specified in master agreement
As specified in confirmation
Specifies the location of the fallback provision documentation.
As specified in master agreement
As specified in confirmation
Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).
Used when a price materiality percentage applies to the price source disruption event and this event has been specified.
Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.
Specifies the market disruption event.
For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.
For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.
Specifies the type of disruption fallback.
See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.
The type of reference price underlier.
Basket
Bond
Cash
Commodity
Convertible bond
Equity
Exchange traded fund
Future
Index
Loan
Mortgage
Mutual fund
Specifies the identifier value of the security.
Specifies the class or source scheme of the security identifier.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Specifies the description of the underlying security.
Byte length of encoded (non-ASCII characters) EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc (41477) field.
Encoded (non-ASCII characters) representation of the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field.
If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
A description of the option exercise.
Byte length of encoded (non-ASCII characters) EncodedLegExerciseDesc(41483) field.
Encoded (non-ASCII characters) representation of the LegExerciseDesc(41481) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegExerciseDesc(41481) field.
Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.
The threshold rate for triggering automatic exercise.
Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Not required
Non-electronic
Electronic
Unknown at time of report
Identifies the business center used for adjusting the time for manual exercise notice.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).
Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.
Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.
The business center calendar used to adjust the option exercise dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the day type of the relative earliest exercise date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Time unit multiplier for the relative earliest exercise date offset.
Time unit associated with the relative earliest exercise date offset.
Day
Week
Month
Year
Time unit multiplier for the frequency of exercise dates.
Time unit associated with the frequency of exercise dates.
Day
Week
Month
Year
The unadjusted start date for calculating periodic exercise dates.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise start date offset.
Time unit associated with the relative exercise start date offset.
Day
Week
Month
Year
Specifies the day type of the relative option exercise start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted start date for calculating periodic exercise dates.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The last date (adjusted) for establishing the option exercise terms.
The unadjusted first exercise date.
The unadjusted last exercise date.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.
The latest exercise time. See also LegOptionExerciseEarliestTime(41509).
The business center used to determine the locale for option exercise time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted or unadjusted option exercise fixed date.
Specifies the type of option exercise date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the option exercise expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise expiration date offset.
Time unit associated with the relative exercise expiration date offset.
Day
Week
Month
Year
Time unit multiplier for the frequency of exercise expiration dates.
Time unit associated with the frequency of exercise expiration dates.
Day
Week
Month
Year
The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the LegDateAdjustment component in InstrumentLeg.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the day type of the relative option exercise expiration date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The option exercise expiration time.
The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted or unadjusted option exercise expiration fixed date.
Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The day of the week on which fixing takes place.
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which fixing takes place.
Identifier of this LegPaymentSchedule for cross referencing elsewhere in the message.
Reference to payment schedule elsewhere in the message.
The currency of the schedule rate. Uses ISO 4217 currency codes.
The schedule rate unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The number multipled by the derived floating rate of the leg's payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The schedule settlement period price.
The currency of the schedule settlement period price. Uses ISO 4217 currency codes.
The settlement period price unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The schedule step unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The distribution of fixing days.
All
First
Last
Penultimate
The number of days over which fixing should take place.
Time unit multiplier for the fixing lag duration.
Time unit associated with the fixing lag duration.
Day
Week
Month
Year
Time unit multiplier for the relative first observation date offset.
Time unit associated with the relative first observation date offset.
Day
Week
Month
Year
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the trade date of the transaction "Fixed". If 'N' it is taken on each pricing date "Floating".
Specifies the actual monetary value of the flat rate when LegPaymentStreamFlatRateIndicator(41549) = 'Y'.
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
Specifies the limit on the total payment amount.
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
Specifies the limit on the payment amount that goes out in any particular calculation period.
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
The fixed payment amount unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the total fixed payment amount.
The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.
The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.
Specifies the currency of LegPaymentStreamContractPrice(41559). Uses ISO 4217 currency codes.
The business center calendar used to adjust the pricing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Secondary time unit associated with the payment stream's floating rate index curve.
Day
Week
Month
Year
Secondary time unit multiplier for the payment stream's floating rate index curve.
Specifies the location of the floating rate index.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate index level.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies how weather index units are to be calculated.
Average
Maximum
Minimum
Cumulative
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate reference level.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
When set to 'Y', it indicates that the weather reference level equals zero.
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
Specifies the unit of measure (UOM) of the floating rate spread.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The number to be multiplied by the derived floating rate of the leg's payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Time unit multiplier for the calculation lag duration.
Time unit associated with the calculation lag duration.
Day
Week
Month
Year
Time unit multiplier for the relative first observation date offset.
Time unit associated with the relative first observation date offset.
Day
Week
Month
Year
Specifies the commodity pricing day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The distribution of pricing days.
All
First
Last
Penultimate
The number of days over which pricing should take place.
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
The business day convention used to adjust the payment stream's pricing dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the source or legal framework for the risk apportionment.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.
Specifies the format of the commodities settlement start and end times.
Hour of the day
HH:MM time format
The adjusted or unadjusted fixed stream payment date.
Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.
The adjusted or unadusted fixed stream pricing date.
Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The day of the week on which pricing takes place..
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which pricing takes place.
A named string value referenced by UnderlyingSettlTermXIDRef(41315).
Specifies the currency of physical settlement. Uses ISO 4217 currency codes.
The number of business days used in the determination of physical settlement. Its precise meaning is dependant on the context in which this is used.
A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
Specifies the type of delivery obligation applicable for physical settlement.
See http://www.fixptradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Physical settlement delivery obligation value appropriate to LegPhysicalSettlDeliverableObligationType(41605).
See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
The business center calendar used to adjust the pricing or fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted pricing or fixing date.
The business day convention used to adjust the pricing or fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted pricing or fixing date.
The local market pricing or fixing time.
Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
A named string value referenced from UnderlyingLegProtectionTermXIDRef(41314).
The notional amount of protection coverage.
The currency of LegProtectionTermNotional(41618). Uses ISO 4217 currency codes.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. LegProtectionTermSellerNotifies(41620)=Y indicates that the seller notifies.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. LegProtectionTermBuyerNotifies(41621)=Y indicates that the buyer notifies.
When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether ISDA defined Standard Public Sources are applicable (LegProtectionTermStandardSources(41623)=Y) or not.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
Specifies the type of credit event applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.
Specifies the protection term event value appropriate to LegProtectionTermEventType(41626). See http:///www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.
Applicable currency if the event value is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for protection term events.
Time unit associated with protection term events.
Day
Week
Month
Year
Specifies the day type for protection term events.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Rate source for events that specify a rate source, e.g. floating rate interest shortfall.
Specifies the protection term event qualifier. Used to further qualify LegProtectionTermEventType(41626).
Retructuring - multiple holding obligations
Restructuring - multiple credit event notices
Floating rate interest shortfall
Specifies the type of obligation applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.
The value associated with the protection term obligation specified in LegProtectionTermObligationType(41636). See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.
The adjusted or unadjusted fixed calculation period date.
Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
Identifier of this calculation period for cross referencing elsewhere in the message.
Cross reference to another calculation period for duplicating its properties.
When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).
Time unit multiplier for the length of time after the publication of the data when corrections can be made.
Time unit associated with the length of time after the publication of the data when corrections can be made.
Day
Week
Month
Year
The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
Specifies the type of commodity product.
For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.
For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.
For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.
Specifies the market identifier for the commodity.
Identifies the class or source of the LegStreamCommoditySecurityIDSource(41650) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Description of the commodity asset.
Byte length of encoded (non-ASCII characters) EncodedLegStreamCommodityDesc(41654) field.
Encoded (non-ASCII characters) representation of the LegStreamCommodityDesc(41652) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegStreamCommodityDesc(41652) field.
The unit of measure (UOM) of the commodity asset.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.
Identifies the exchange where the commodity is traded.
Identifies the source of rate information used for commodities.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.
Identifies the reference "page" from the rate source.
Identifies the page heading from the rate source.
Specifies the commodity data or information provider.
See http://www.fpml.org/coding-scheme/commodity-information-provider for values.
Specifies how the pricing or rate setting of the trade is to be determined or based upon.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.
Time unit multiplier for the nearby settlement day.
Time unit associated with the nearby settlement day.
Week
Month
The unadjusted commodity delivery date.
The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted commodity delivery date.
Specifies a fixed single month for commodity delivery.
Time unit multiplier for the commodity delivery date roll.
Time unit associated with the commodity delivery date roll.
Day
Specifies the commodity delivery roll day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifier of this stream commodity for cross referencing elsewhere in the message.
Reference to a stream commodity elsewhere in the message.
Alternate security identifier value for the commodity.
Identifies the class or source of the alternate commodity security identifier.
Specifies the data source identifier.
Specifies the type of data source identifier.
City (4 character business center code)
Airport (IATA standard)
Weather station WBAN (Weather Bureau Army Navy)
Weather index WMO (World Meteorological Organization)
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
Sum of the hours specified in LegStreamCommoditySettlTimeGrp.
The start time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
The end time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Delivery quantity associated with this settlement period.
Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Time unit multiplier for the settlement period frequency.
Time unit associated with the settlement period frequency.
Day
Week
Month
Year
The settlement period price.
The settlement period price unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The currency of the settlement period price. Uses ISO 4217 currency codes.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Identifier of this settlement period for cross referencing elsewhere in the message.
Cross reference to another settlement period for duplicating its properties.
Identifier of this LegStream for cross referencing elsewhere in the message.
Identifies the source scheme of the UnderlyingAdditionalTermBondSecurityID(41341) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Cross reference to another LegStream notional for duplicating its properties.
Time unit multiplier for the swap stream's notional frequency.
Time unit associated with the swap stream's notional frequency.
Hour
Minute
Second
Day
Week
Month
Year
Quarter
The commodity's notional or quantity delivery frequency.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the delivery quantity unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the total notional or delivery quantity over the term of the contract.
Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Description of the bond.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingAdditionalTermBondDesc(41711) field.
Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondDesc(41709) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingAdditionalTermBondDesc(41709) field.
Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.
Cross reference to the ordinal observation as specified either in the UnderlyingComplexEventScheduleGrp or UnderlyingComplexEventPeriodDateGrp components.
The weight factor to be applied to the observation.
Specifies the type of credit event.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.
The credit event value appropriate to UnderlyingComplexEventCreditEventType(41717).
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.
Specifies the applicable currency when UnderlyingComplexEventCreditEventValue(41718) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for complex credit events.
Time unit associated with complex credit events.
Day
Week
Month
Year
Specifies the day type for the complex credit events.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifies the source of rate information used for credit events.
See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.
Specifies a complex event qualifier. Used to further qualify UnderlyingComplexEventCreditEventType(41717).
Retructuring - multiple holding obligations
Restructuring - multiple credit event notices
Floating rate interest shortfall
The averaging date for an Asian option.
The trigger date for a Barrier or Knock option.
The averaging time for an Asian option.
Specifies the period type.
Asian Out
Asian In
Barrier Cap
Barrier Floor
Knock Out
Knock In
The business center for adjusting dates and times in the schedule or date-time group.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the source of rate information.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Indicates whether the rate source specified is a primary or secondary source.
Primary
Secondary
Identifies the reference page from the rate source.
For FX, the reference page to the spot rate is to be used for the reference FX spot rate.
When UnderlyingComplexEventRateSource(41733) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the reference page heading from the rate source.
The business center calendar is used to adjust the event date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted complex event date.
Specifies the anchor date when the complex event date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative date offset.
Time unit associated with the relative date offset.
Day
Week
Month
Year
Specifies the day type of the relative date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The business day convention used to adjust the event date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted complex event date.
The local market fixing time.
The business center for determining the actual fixing times.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.
The start date of the schedule.
The end date of the schedule.
Time unit multiplier for the schedule date frequency.
Time unit associated with the schedule date frequency.
Day
Week
Month
Year
The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the type of delivery schedule.
Notional
Delivery
Physical settlement period
Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.
Physical delivery quantity.
Specifies the delivery quantity unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The frequency of notional delivery.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryScheduleToleranceType(41765). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryScheduleToleranceType(41765). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the tolerance value type.
Absolute
Percentage
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
The sum of the total hours specified in the UnderlyingDeliveryScheduleSettlTimeGrp component.
The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in UnderlyingDeliveryScheduleSettlTimeType(41776).
The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in UnderlyingDeliveryScheduleSettlTimeType(41776).
Specifies the format of the delivery start and end time values.
Hour of the day
HH:MM time format
Specifies the type of delivery stream.
Periodic (default if not specified)
Initial
Single
The name of the oil delivery pipeline.
The point at which the commodity will enter the delivery mechanism or pipeline.
The point at which the commodity product will be withdrawn prior to delivery.
The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.
For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.
Specifies under what conditions the buyer and seller should be excused of their delivery obligations.
Firm
Interruptable or non-firm
Force majeure
System firm
Unit firm
Specifies the electricity delivery contingency.
See http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.
The trade side value of the party responsible for electricity delivery contingency.
Buyer
Seller
When this element is specified and set to 'Y', delivery of the coal product is to be at its source.
Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.
See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.
Specifies the title transfer location.
Specifies the title transfer condition.
Transfers with risk of loss
Does not transfer with risk of loss
A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.
Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryStreamToleranceType(41793). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryStreamToleranceType(41793). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).
Specifies the tolerance value's unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the tolerance value type.
Absolute
Percentage
Indicates whether the tolerance is at the seller's or buyer's option.
Buyer
Seller
The positive percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
The negative percent tolerance which applies to the total quantity delivered over all shipment periods.
Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).
If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.
The transportation equipment with which the commodity product will be delivered and received.
A reference to the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.
Buyer
Seller
Specifies the name of the attribute.
See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.
Specifies the value of the attribute.
The limit or lower acceptable value of the attribute.
The delivery cycles during which the oil product will be transported in the pipeline.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingDeliveryStreamCycleDesc(41807) field.
Encoded (non-ASCII characters) representation of the UnderlyingDeliveryStreamCycleDesc(41805) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingDeliveryStreamCycleDesc(41805) field.
The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.
See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.
A description of the option exercise.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingExerciseDesc(41812) field.
Encoded (non-ASCII characters) representation of the UnderlyingExerciseDesc(41810) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingExerciseDesc(41810) field.
Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.
The threshold rate for triggering automatic exercise.
Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Not required
Non-electronic
Electronic
Unknown at time of report
Identifies the business center used for adjusting the time for manual exercise notice.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).
Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the Expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.
Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.
The business center calendar used to adjust the option exercise dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the day type of the relative earliest exercise date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Time unit multiplier for the relative earliest exercise date offset.
Time unit associated with the relative earliest exercise date offset.
Day
Week
Month
Year
Time unit multiplier for the frequency of exercise dates.
Time unit associated with the frequency of exercise dates.
Day
Week
Month
Year
The unadjusted start date for calculating periodic exercise dates.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise start date offset.
Time unit associated with the relative exercise start date offset.
Day
Week
Month
Year
Specifies the day type of the relative option exercise start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted start date for calculating periodic exercise dates.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The last date (adjusted) for establishing the option exercise terms.
The unadjusted first exercise date.
The unadjusted last exercise date.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.
Latest exercise time. See also UnderlyingOptionExerciseEarliestTime(41838).
The business center used to determine the locale for option exercise time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values
The adjusted or unadjusted option exercise fixed date.
Specifies the type of option exercise date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the option exercise expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative exercise expiration date offset.
Time unit associated with the relative exercise expiration date offset.
Day
Week
Month
Year
Time unit multiplier for the frequency of exercise expiration dates.
Time unit associated with the frequency of exercise expiration dates.
Day
Week
Month
Year
The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
Specifies the day type of the relative option exercise expiration date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The option exercise expiration time.
The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted or unadjusted option exercise expiration fixed date.
Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The consequences of market disruption events.
Not applicable
Applicable
As specified in master agreement
As specified in confirmation
Specifies the location of the fallback provision documentation.
As specified in master agreement
As specified in confirmation
Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).
Used when a price materiality percentage applies to the price source disruption event and this event has been specified.
Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.
Specifies the market disruption event.
For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.
For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.
Specifies the type of disruption fallback.
See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.
The type of reference price underlier.
Basket
Bond
Cash
Commodity
Convertible bond
Equity
Exchange traded fund
Future
Index
Loan
Mortgage
Mutual fund
Specifies the identifier value of the security.
Specifies the class or source scheme of the security identifier.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Specifies the description of underlying security.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41874) field.
Encoded (non-ASCII characters) representation of the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872).
If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
The day of the week on which fixing takes place.
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which fixing takes place.
Identifier of this UnderlyingPaymentSchedule for cross referencing elsewhere in the message.
Reference to payment schedule elsewhere in the message.
Specifies the currency of the schedule rate. Uses ISO 4217 currency codes.
The schedule rate unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The number to be multiplied by the derived floating rate of the underlying's payment schedule in order to arrive at the payment rate. If ommitted, the schedule rate conversion factor is 1.
Specifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The schedule settlement period price.
The currency of the schedule settlement period price. Uses ISO 4217 currency codes.
The settlement period price unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The schedule step unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The distribution of fixing days.
All
First
Last
Penultimate
The number of days over which fixing should take place.
Time unit multiplier for the fixing lag duration.
Time unit associated with the fixing lag duration.
Day
Week
Month
Year
Time unit multiplier for the relative first observation date offset.
Time unit associated with the relative first observation date offset.
Day
Week
Month
Year
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction "Fixed". If 'N' it is taken on each Pricing Date "Floating".
Specifies the actual monetary value of the flat rate when UnderlyingPaymentStreamFlatRateIndicator(41897) = 'Y'.
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
Specifies the limit on the total payment amount.
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
Specifies the limit on the payment amount that goes out in any particular calculation period.
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
Fixed payment amount unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the total fixed payment amount.
The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.
The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.
Specifies the currency of UnderlyingPaymentStreamContractPrice(41907). Uses ISO 4217 currency codes.
The business center calendar used to adjust the payment stream's pricing dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Secondary time unit associated with the payment stream’s floating rate index curve.
Day
Week
Month
Year
Secondary time unit multiplier for the payment stream’s floating rate index curve.
Specifies the location of the floating rate index.
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate index level.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies how weather index units are to be calculated.
Average
Maximum
Minimum
Cumulative
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
The unit of measure (UOM) of the rate reference level.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
When set to 'Y', it indicates that the weather reference level equals zero.
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
Specifies the unit of measure (UOM) of the floating rate spread.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The number to be multiplied by the derived floating rate of the underlying's payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
Absolute
Percentage
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
Time unit multiplier for the calculation lag duration.
Time unit associated with the calculation lag duration.
Day
Week
Month
Year
Time unit multiplier for the relative first observation date offset.
Time unit associated with the relative first observation date offset.
Day
Week
Month
Year
Specifies the commodity pricing day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The distribution of pricing days.
All
First
Last
Penultimate
The number of days over which pricing should take place.
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
The business day convention used to adjust the payment stream's pricing dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the format of the commodity settlement start and end times.
Hour of the day
HH:MM time format
Specifies the format of the commodity settlement start and end times.
Hour of the day
HH:MM time format
The adjusted or unadjusted fixed stream payment date.
Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.
An adjusted or unadjusted fixed pricing date.
Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
The day of the week on which pricing takes place.
Every day (the default if not specified)
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The occurrence of the day of week on which pricing takes place.
The business center calendar used to adjust the pricing or fixing date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted pricing or fixing date.
The business day convention used to adjust the pricing or fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted pricing or fixing date.
The local market pricing or fixing time.
Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The adjusted or unadjusted fixed calculation period date.
Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.
Unadjusted
Adjusted
Identifier of this calculation period for cross referencing elsewhere in the message.
Cross reference to another calculation period for duplicating its properties.
When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).
Time unit multiplier for the length of time after the publication of the data when corrections can be made.
Time unit associated with the length of time after the publication of the data when corrections can be made.
Day
Week
Month
Year
The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
Specifies the type of commodity product.
For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.
For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.
For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.
Specifies the market identifier for the commodity.
Identifies the class or source of the UnderlyingStreamCommoditySecurityIDSource(41966) value.
CUSIP
SEDOL
QUIK
ISIN number
RIC code
ISO Currency Code
ISO Country Code
Exchange symbol
Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
Bloomberg Symbol
Wertpapier
Dutch
Valoren
Sicovam
Belgian
"Common" (Clearstream and Euroclear)
Clearing house / Clearing organization
ISDA/FpML product specification (XML in SecurityXML(1185))
Option Price Reporting Authority
ISDA/FpML product URL (URL in SecurityID(48))
Letter of credit
Marketplace-assigned Identifier
Markit RED entity CLIP
Markit RED pair CLIP
CFTC commodity code
ISDA Commodity Reference Price
Financial Instrument Global Identifier
Legal entity identifier
Synthetic
Fidessa Instrument Mnemonic (FIM)
Description of the commodity asset.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingStreamCommodityDesc(41970) field.
Encoded (non-ASCII characters) representation of the UnderlyingStreamCommodityDesc(41968) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingStreamCommodityDesc(41968) field.
The unit of measure (UOM) of the commodity asset.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.
Identifies the exchange where the commodity is traded.
Identifies the source of rate information used for commodities.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.
Identifies the reference "page" from the rate source.
Identifies the page heading from the rate source.
Specifies the commodity data or information provider.
See http://www.fpml.org/coding-scheme/commodity-information-provider for values.
Specifies how the pricing or rate setting of the trade is to be determined or based upon.
See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.
Time unit multiplier for the nearby settlement day.
Time unit associated with the nearby settlement day.
Week
Month
The unadjusted commodity delivery date.
The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted commodity delivery date.
Specifies a fixed single month for commodity delivery.
Time unit multiplier for the commodity delivery date roll.
Time unit associated with the commodity delivery date roll.
Day
Specifies the commodity delivery roll day type.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Identifier of this stream commodity for cross referencing elsewhere in the message.
Reference to a stream commodity elsewhere in the message.
Alternate security identifier value for the commodity.
Identifies the class or source of the alternate commodity security identifier.
Data source identifier.
Specifies the type of data source identifier.
City (4 character business center code)
Airport (IATA standard)
Weather station WBAN (Weather Bureau Army Navy)
Weather index WMO (World Meteorological Organization)
Specifies the day or group of days for delivery.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
All weekdays
All days
All weekends
Sum of the hours specified in UnderlyingStreamCommoditySettlTimeGrp.
The start time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
The end time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.
Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.
Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".
See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.
Specifies the commodity delivery flow type.
All times
On peak
Off peak
Base
Block hours
Other
Specifies the delivery quantity associated with this settlement period.
Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Time unit multiplier for the settlement period frequency.
Time unit associated with the settlement period frequency.
Day
Week
Month
Year
The settlement period price.
Specifies the settlement period price unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
The currency of the settlement period price. Uses ISO 4217 currency codes.
Indicates whether holidays are included in the settlement periods. Required for electricity contracts.
Do not include holidays
Include holidays
Identifier of this settlement period for cross referencing elsewhere in the message.
Cross reference to another settlement period for duplicating its properties.
Identifier of this UnderlyingStream for cross referencing elsewhere in the message.
Issuer of the bond.
Cross reference to another UnderlyingStream notional for duplicating its properties.
Time unit multiplier for the swap stream's notional frequency.
Time unit associated with the swap stream's notional frequency.
Hour
Minute
Second
Day
Week
Month
Year
Quarter
The commodity's notional or quantity delivery frequency.
Term
Per business day
Per calculation period
Per settlement period
Per calendar day
Per hour
Per month
Specifies the delivery quantity unit of measure (UOM).
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Specifies the total notional or delivery quantity over the term of the contract.
Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.
Billion cubic feet
Allowances
Barrels
Cubic Meters
Board feet
gigajoules
Bushels
Kilowatt hours
One Million BTU
Amount of currency
Megawatt hours
Cooling degree day
Certified emissions reduction
therms
Critical precipitation day
Climate reserve tonnes
Hundredweight(US)
Days
Dry metric tons
Environmental allowance certificates
Environmental credit
Environmental Offset
Grams
Gallons
Gross tons
Heating degree day
Index point
Kilograms
kiloliters
Kilowatt-Year
Kilowatt-Day
Kilowatt-Hour
Kilowatt-Month
Kilowatt-Minute (electrical capacity)
liters
pounds
Megawatt-Year
Megawatt-Day
Megawatt-Hour
Megawatt-Month
Megawatt-Minute
Troy ounces
Principal with relation to debt instrument
Metric tons
Tons (US)
Million Barrels
US Dollars
Byte length of encoded (non-ASCII characters) EncodedUnderlyingAdditionalTermBondIssuer(42026) field.
Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondIssuer(42017) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingAdditionalTermBondIssuer(42017) field.
Specifies the bond's payment priority in the event of a default.
Senior Secured
Senior
Subordinated
Coupon type of the bond.
Zero
Fixed rate
Floating rate
Structured
Coupon rate of the bond. See also CouponRate(223).
The maturity date of the bond.
The par value of the bond.
Total issued amount of the bond.
Time unit multiplier for the frequency of the bond's coupon payment.
Time unit associated with the frequency of the bond's coupon payment.
Day
Week
Month
Year
Hour
Minute
Second
Term
The day count convention used in interest calculations for a bond or an interest bearing security.
1/1
30/360 (30U/360 or Bond Basis)
30/360 (SIA)
30/360M
30E/360 (Eurobond Basis)
30E/360 (ISDA)
Act/360
Act/365 (FIXED)
Act/Act (AFB)
Act/Act (ICMA)
Act/Act (ICSMA Ultimo)
Act/Act (ISDA)
BUS/252
30E+/360
Act/365L
NL365
NL360
Act/364
Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.
Indicates whether the discrepancy clause is applicable.
Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.
Specifies the currency the UnderlyingCashSettlAmount(42054) is denominated in. Uses ISO 4217 currency codes.
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.
Time of valuation.
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The type of quote used to determine the cash settlement price.
Bid
Mid
Offer
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.
The number of business days used in the determination of the cash settlement payment date.
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount is calculated is (1 - UnderlyingCashSettlRecoveryFactor(42055)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
Indicates whether accrued interest is included or not in the value provided in UnderlyingCashSettlAmount(42054).
For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
Market
Highest
Average market
Average highest
Blended market
Blended highest
Average blended market
Average blended highest
Name referenced from UnderlyingSettlementTermXIDRef(41315).
Currency of physical settlement. Uses ISO 4217 currency codes.
A number of business days. Its precise meaning is dependent on the context in which this element is used.
A maximum number of business days. Its precise meaning is dependent on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
A named string value referenced by UnderlyingSettlementTermXIDRef(41315).
Specifies the type of delivery obligation applicable for physical settlement.
See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.
Physical settlement delivery obligation value appropriate to UnderlyingPhysicalSettlDeliverableObligationType(42066).
See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for applicable obligation type values.
The notional amount of protection coverage for a floating rate.
The currency of UnderlyingProtectionTermNotional(42069). Uses ISO 4217 currency codes.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
UnderlyingProtectionTermSellerNotifies(42071)=Y indicates that the seller notifies.
The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.
UnderlyingProtectionTermBuyerNotifies(42072)=Y indicates that the buyer notifies.
When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether ISDA defined Standard Public Sources are applicable (UnderlyingProtectionTermStandardSources(42074)=Y) or not.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.
A named string value referenced by UnderlyingProtectionTermXIDRef(41314).
Specifies the type of credit event applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.
Protection term event value appropriate to UnderlyingProtectionTermEventType(42078).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.
Applicable currency if UnderlyingProtectionTermEventValue(42079) is an amount. Uses ISO 4217 currency codes.
Time unit multiplier for protection term events.
Time unit associated with protection term events.
Day
Week
Month
Year
Day type for events that specify a period and unit.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
Rate source for events that specify a rate source, e.g. Floating rate interest shortfall.
Protection term event qualifier. Used to further qualify UnderlyingProtectionTermEventType(43078).
Retructuring - multiple holding obligations
Restructuring - multiple credit event notices
Floating rate interest shortfall
Specifies the type of obligation applicable to the protection terms.
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.
Protection term obligation value appropriate to UnderlyingProtectionTermObligationType(42088).
See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.
Newspaper or electronic news service or source that may publish relevant information used in the determination of whether or not a credit event has occurred.
The business day convention used to adjust the provisional cash settlement payment's termination, or relative termination, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the cash settlement payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement payment date offset.
Time unit associated with the relative cash settlement payment date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative cash settlement payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
First date in range when a settlement date range is provided.
Last date in range when a settlement date range is provided.
The cash settlement payment date, unadjusted or adjusted depending on UnderlyingProvisionCashSettlPaymentDateType(42101).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
Identifies the source of quote information.
Bloomberg
Reuters
Telerate
Other
Identifies the reference "page" from the quote source.
A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.
Identifies the business center calendar used with the provision's cash settlement valuation time.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business day convention used to adjust the cash settlement valuation date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the cash settlement value date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement value date offset.
Time unit associated with the relative cash settlement value date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative cash settlement value date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted cash settlement value date.
A predetermined option exercise date, unadjusted or adjusted depending on UnderlyingProvisionOptionExerciseFixedDateType(42114).
Specifies the type of date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The business day convention used to adjust the underlying instrument's provision's option exercise date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.
Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.
Day
Week
Month
Year
Time unit multiplier for the frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise frequency.
Time unit associated with the frequency of subsequent exercise dates in the exercise period following the earliest exercise date.
Day
Week
Month
Year
Hour
Minute
Second
Term
The unadjusted first day of the exercise period for an American style option.
Specifies the anchor date when the option exercise start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option exercise start date offset.
Time unit associated with the relative option exercise start date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option exercise start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted first day of the exercise period for an American style option.
The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.
The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.
The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.
Identifies the business center calendar used with the provision's earliest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
Identifies the business center calendar used with the provision's latest time for notice of exercise.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The business day convention used to adjust the underlying instrument's provision's option expiration date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the option expiration date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option expiration date offset.
Time unit associated with the relative option expiration date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option expiration date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.
The latest time for exercise on the expiration date.
Identifies the business center calendar used with the provision's latest exercise time on expiration date.
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
The business day convnetion used to adjust the underlying instrument provision's option underlying date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative option relevant underlying date offset.
Time unit associated with the relative option relevant underlying date offset.
Day
Week
Month
Year
Specifies the day type of the provision's relative option relevant underlying date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).
Type of provision.
Mandatory early termination
Optional early termination
Cancelable
Extendible
Mutual early termination
The unadjusted date of the provision.
The business day convention used to adjust the underlying instrument's provision's date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted date of the provision.
Time unit multiplier for the provision's tenor period.
Time unit associated with the provision's tenor period.
Day
Week
Month
Year
Used to identify the calculation agent. The calculation agent may be identified in UnderlyingProvisionCalculationAgent(42156) or in the underlying provision parties component.
Exercising party
Non-exercising party
As specified in the master agreement
As specified in the standard terms supplement
If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.
Buy
Sell
If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.
Buy
Sell
The instrument provision's exercise style.
European
American
Bermuda
Other
A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given exercise date.
The maximum notional amount that can be exercised on a given exercise date.
The minimum number of options that can be exercised on a given exercise date.
The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.
Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
Cash price
Cash price alternate
Par yield curve adjusted
Zero coupon yield curve adjusted
Par yield curve unadjusted
Cross currency
Collateralized price
Specifies the currency of settlement. Uses ISO 4217 currency codes.
Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.
Identifies the type of quote to be used.
Bid
Mid
Offer
Exercising party pays
Free form text to specify additional information or enumeration description when a standard value does not apply.
Byte length of encoded (non-ASCII characters) EncodedUnderlyingProvisionText(42712) field.
Encoded (non-ASCII characters) representation of the UnderlyingProvisionText(42170) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingProvisionText(42170) field.
The party identifier for the payment settlement party.
Identifies the class or source of the UnderlyingProvisionPartyID(42174) value.
UK National Insurance or Pension Number
Korean Investor ID
Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
US Social Security Number
Taiwanese Qualified Foreign Investor ID QFII/FID
Generally accepted market participant identifier (e.g. NASD mnemonic)
US Employer or Tax ID Number
Taiwanese Trading Acct
Proprietary / Custom code
Australian Business Number
Malaysian Central Depository (MCD) number
ISO Country Code
Australian Tax File Number
Chinese Investor ID
Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
MIC (ISO 10383 - Market Identificer Code) (See "Appendix 6-C")
Tax ID
CSD participant/member code (e.g.. Euroclear, DTC, CREST or Kassenverein number)
Australian Company Number
Australian Registered Body Number
CFTC reporting firm identifier
Legal Entity Identifier (ISO 17442) LEI
Interim identifier
Short code identifier
National ID of natural person
Identifies the type or role of UnderlyingProvisionPartyID(42174) specified.
Executing Firm (formerly FIX 4.2 ExecBroker)
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)
Client ID (formerly FIX 4.2 ClientID)
Clearing Firm (formerly FIX 4.2 ClearingFirm)
Investor ID
Introducing Firm
Entering Firm
Locate / Lending Firm (for short-sales)
Fund Manager Client ID (for CIV)
Settlement Location (formerly FIX 4.2 SettlLocation)
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)
Executing Trader (associated with Executing Firm - actually executes)
Order Origination Firm (e.g. buy-side firm)
Giveup Clearing Firm (firm to which trade is given up)
Correspondant Clearing Firm
Executing System
Contra Firm
Contra Clearing Firm
Sponsoring Firm
Underlying Contra Firm
Clearing Organization
Exchange
Customer Account
Correspondent Clearing Organization
Correspondent Broker
Buyer/Seller (Receiver/Deliverer)
Custodian
Intermediary
Agent
Sub-custodian
Beneficiary
Interested party
Regulatory body
Liquidity provider
Entering trader
Contra trader
Position account
Contra Investor ID
Transfer to Firm
Contra Position Account
Contra Exchange
Internal Carry Account
Order Entry Operator ID
Secondary Account Number
Foreign Firm
Third Party Allocation Firm
Claiming Account
Asset Manager
Pledgor Account
Pledgee Account
Large Trader Reportable Account
Trader mnemonic
Sender Location
Session ID
Acceptable Counterparty
Unacceptable Counterparty
Entering Unit
Executing Unit
Introducing Broker
Quote originator
Report originator
Systematic internaliser (SI)
Multilateral Trading Facility (MTF)
Regulated Market (RM)
Market Maker
Investment Firm
Host Competent Authority (Host CA)
Home Competent Authority (Home CA)
Competent Authority of the most relevant market in terms of liquidity (CAL)
Competent Authority of the Transaction (Execution) Venue (CATV)
Reporting intermediary (medium/vendor via which report has been published)
Execution Venue
Market data entry originator
Location ID
Desk ID
Market data market
Allocation Entity
Prime Broker providing General Trade Services
Step-Out Firm (Prime Broker)
Broker cient ID
Central Registration Depository (CRD)
Clearing Account
Acceptable Settling Counterparty
Unacceptable Settling Counterparty
CLS Member Bank
In Concert Group
In Concert Controlling Entity
Large Positions Reporting Account
Settlement Firm
Settlement account
Reporting Market Center
Related Reporting Market Center
Away Market
Give-up (trading) firm
Take-up (trading) firm
Give-up clearing firm
Take-up clearing firm
Originating Market
Margin account
Collateral asset account
Data repository
Calculation agent
Sender of exercise notice
Receiver of exercise notice
Rate reference bank
Correspondent
Beneficiary's bank or depository institution
Borrower
Primary obligator
Guarantor
Excluded reference entity
Determining party
Hedging party
Reporting entity
Sales person
Operator
Central Securities Depository (CSD)
International Central Securities Depository (ICSD)
Trading sub-account
Investment decision maker
Underlying provision party sub-identifier, if applicable for UnderlyingProvisionPartyID(42174).
The type of UnderlyingProvisionPartySubID(42178).
Firm
Person
System
Application
Full legal name of firm
Postal address
Phone number
Email address
Contact name
Securities account number (for settlement instructions)
Registration number (for settlement instructions and confirmations)
Registered address (for confirmation purposes)
Regulatory status (for confirmation purposes)
Registration name (for settlement instructions)
Cash account number (for settlement instructions)
BIC
CSD participant member code
Registered address
Fund account name
Telex number
Fax number
Securities account name
Cash account name
Department
Location desk
Position account type
Security locate ID
Market maker
Eligible counterparty
Professional client
Location
Execution venue
Currency delivery identifier
Address City
Address State/Province
Address Postal Code
Address Street
Address Country (ISO country code)
ISO country code
Market segment
Customer account type
Omnibus account
Funds segregation type
Guarantee fund
Swap dealer
Major participant
Financial entity
U.S. person
Reporting entity indicator
Elected clearing requirement exception
Business center
Reference text
Short-marking exempt account
Parent firm identifier
Parent firm name
Deal identifier
System trade identifier
System trade sub-identifier
Futures Commission Merchant (FCM) code
Delivery terminal customer account/code
Voluntary reporting entity
Reporting obligation jurisdiction
Voluntary reporting jurisdiction
Company activities
European Economic Area domiciled
Contract linked to commercial or treasury financing for this counterparty
Contract above clearing threshold for this counterparty
Voluntary reporting party
End user
Location or jurisdiction
Derivatives dealer
Domicile
Exempt from recognition
Payer
Receiver
Systematic Internaliser (SI)
The business center calendar used to adjust the provision's cash settlement payment's termination, or relative termination, date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business center calendar used to adjust the cash settlement valuation date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business center calendar used to adjust the underlying instrument's provision's option exercise date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business center calendar used to adjust the underlying instrument's provision's option expiration date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business center calendar used to adjust the underlying instrument's provision's option underlying date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The business center calendar used to adjust the underlying instrument's provision's date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the class or source of DeliveryStreamDeliveryPoint(41062).
Proprietary
Energy Identification Code (EIC)
Description of the delivery point identified in DeliveryStreamDeliveryPoint(41062).
Identifies the class or source of LegDeliveryStreamDeliveryPoint(41433).
Proprietary
Energy Identification Code (EIC)
Description of the delivery point identified in LegDeliveryStreamDeliveryPoint(41433).
Identifies the class or source of UnderlyingDeliveryStreamDeliveryPoint(41781).
Proprietary
Energy Identification Code (EIC)
Description of the delivery point identified in UnderlyingDeliveryStreamDeliveryPoint(41781).
Specifies which contract definition, such as those published by ISDA, will apply for the terms of the trade. See http://www.fpml.org/coding-scheme/contractual-definitions for values.
Identifies the applicable contractual supplement. See http://www.fpml.org/coding-scheme/contractual-supplement for values.
Specifies the publication date of the applicable version of the contractual supplement.
Identifies the applicable contract matrix. See http://www.fpml.org/coding-scheme/matrix-type-1-0.xml for values.
Specifies the publication date of the applicable version of the contract matrix. If not specified, the ISDA Standard Terms Supplement defines rules for which version of the matrix is applicable.
Specifies the applicable key into the relevent contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the LegContractualMatrixTerm(42206) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.
The unadjusted cash settlement date.
The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the Instrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the cash settlement date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement date offset.
Time unit associated with the relative cash settlement date offset.
Day
Week
Month
Year
Specifies the day type of the relative cash settlement date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted cash settlement date.
The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
The default election for determining settlement price.
Close
Hedge
The dividend accrual floating rate index.
Time unit multiplier for the dividend accrual floating rate index curve.
Time unit associated with the dividend accrual floating rate index curve period.
Day
Week
Month
Year
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.
The basis points spread from the index specified in DividendFloatingRateIndex(42218).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction of the final rate.
Round to nearest
Round down
Round up
Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the anchor date when the accrual payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative accrual payment date offset.
Time unit associated with the relative accrual payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative accrual payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted accrual payment date.
Accrual payment date adjustment business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted accrual payment date.
Indicates whether the dividend will be reinvested.
Defines the contract event which the receiver of the derivative is entitled to the dividend.
Ex-date
Record date
Indicates how the gross cash dividend amount per share is determined.
Record amount
Ex amount
Paid amount
As specified in master confirmation
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.
Buyer of the trade
Seller of the trade
Indicates how the extraordinary gross cash dividend per share is determined.
Record amount
Ex amount
Paid amount
As specified in master confirmation
The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.
Specifies the method in which the excess amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
The dividend accrual fixed rate per annum expressed as a decimal.
A value of 5% would be represented as "0.05".
The compounding method to be used when more than one dividend period contributes to a single payment.
None
Flat
Straight
Spread exclusive
The number of index units applicable to dividends.
Declared cash dividend percentage.
A value of 5% would be represented as "0.05".
Declared cash-equivalent dividend percentage.
A value of 5% would be represented as "0.05".
Defines the treatment of non-cash dividends.
Potential adjustment event
Cash equivalent
Defines how the composition of dividends is to be determined.
Equity amount receiver election
Calculation agent election
Indicates whether special dividends are applicable.
Indicates whether material non-cash dividends are applicable.
Indicates whether option exchange dividends are applicable.
Indicates whether additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.
Specifies the anchor date when the FX trigger date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative FX trigger date offset.
Time unit associated with the relative FX trigger date offset.
Day
Week
Month
Year
Specifies the day type of the relative FX trigger date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted FX trigger date.
The business day convention used for the FX trigger date adjustment.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted FX trigger date.
The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.
The unadjusted date on which the dividend period will begin.
The unadjusted date on which the dividend period will end.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Specifies the fixed strike price of the dividend period.
The dividend period dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The unadjusted dividend period valuation date.
Specifies the anchor date when the dividend period valuation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period valuation date offset.
Time unit associated with the relative dividend period valuation date offset.
Day
Week
Month
Year
Specifies the day type of the relative dividend period valuation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted dividend period valuation date.
The unadjusted dividend period payment date.
Specifies the anchor date when the dividend period payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period payment date offset.
Time unit associated with the relative dividend period payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative dividend period payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted dividend period payment date.
Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.
The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the type of extraordinary or disruptive event applicable to the reference entity.
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The extraordinary or disruptive event value appropriate to ExtraordinaryEventType(42297).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The unadjusted cash settlement date.
The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the InstrumentLeg component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the cash settlement date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement date offset.
Time unit associated with the relative cash settlement date offset.
Day
Week
Month
Year
Specifies the day type of the relative cash settlement date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted cash settlement date.
The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
The default election for determining settlement price.
Close
Hedge
The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The dividend accrual floating rate index.
Time unit multiplier for the dividend accrual floating rate index curve.
Time unit associated with the dividend accrual floating rate index curve period.
Day
Week
Month
Year
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.
The basis points spread from the index specified in LegDividendFloatingRateIndex(42312).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction of the final rate.
Round to nearest
Round down
Round up
Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
Specifies the anchor date when the accrual payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative accrual payment date offset.
Time unit associated with the relative accrual payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative accrual payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted accrual payment date.
Accrual payment date adjustment business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted accrual payment date.
Indicates whether the dividend will be reinvested.
Defines the contract event which the receiver of the derivative is entitled to the dividend.
Ex-date
Record date
Indicates how the gross cash dividend amount per share is determined.
Record amount
Ex amount
Paid amount
As specified in master confirmation
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.
Buyer of the trade
Seller of the trade
Indicates how the extraordinary gross cash dividend per share is determined.
Record amount
Ex amount
Paid amount
As specified in master confirmation
The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.
Specifies the method in which the excess amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
The dividend accrual fixed rate per annum expressed as a decimal.
A value of 5% would be represented as "0.05".
The compounding method to be used when more than one dividend period contributes to a single payment.
None
Flat
Straight
Spread exclusive
The number of index units applicable to dividends.
Declared cash dividend percentage.
A value of 5% would be represented as "0.05".
Declared cash-equivalent dividend percentage.
A value of 5% would be represented as "0.05".
Defines the treatment of non-cash dividends.
Potential adjustment event
Cash equivalent
Defines how the composition of dividends is to be determined.
Equity amount receiver election
Calculation agent election
Indicates whether special dividends are applicable.
Indicates whether material non-cash dividends are applicable.
Indicates whether option exchange dividends are applicable.
Indicates whether additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.
Specifies the anchor date when the FX trigger date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative FX trigger date offset.
Time unit associated with the relative FX trigger date offset.
Day
Week
Month
Year
Specifies the day type of the relative FX trigger date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted FX trigger date.
The business day convention used for the FX trigger date adjustment.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted FX trigger date.
The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.
The unadjusted date on which the dividend period will begin.
The unadjusted date on which the dividend period will end.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Specifies the fixed strike price of the dividend period.
The dividend period dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The unadjusted dividend period valuation date.
Specifies the anchor date when the dividend period valuation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period valuation date offset.
Time unit associated with the relative dividend period valuation date offset.
Day
Week
Month
Year
Specifies the day type of the relative dividend period valuation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted dividend period valuation date.
The unadjusted dividend period payment date.
Specifies the anchor date when the dividend period payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period payment date offset.
Time unit associated with the relative dividend period payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative dividend period payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted dividend period payment date.
Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.
The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the type of extraordinary or disruptive event applicable to the reference entity.
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The extraordinary or disruptive event value appropriate to LegExtraordinaryEventType(42389).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
Side value of the party electing the settlement method.
Buy
Sell
The date through which option cannot be exercised without penalty.
Amount to be paid by the buyer of the option if the option is exercised prior to the LegMakeWholeDate(42392).
Identifies the benchmark floating rate index.
The point on the floating rate index curve.
Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
Spread over the floating rate index.
The quote side of the benchmark to be used for calculating the "make whole" amount.
Bid
Mid
Offer
The method used when calculating the "make whole" amount. The most common is linear method.
None
Linear zero yield
Indicates whether cash settlement is applicable.
Reference to the stream which details the compounding fixed or floating rate.
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
None
Linear zero yield
Defines applicable periods for interpolation.
Initial
Initial and final
Final
Any period
The compounding fixed rate applicable to the payment stream.
The compounding date. Type of date is specified in LegPaymentStreamCompoundingDateType(42407).
Specifies the type of payment compounding date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The compounding dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the compounding dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding date offset.
Time unit associated with the relative compounding date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.
Time unit multiplier for the frequency at which compounding dates occur.
Time unit associated with the frequency at which compounding dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted compounding end date.
Specifies the anchor date when the compounding end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding end date offset.
Time unit associated with the relative compounding end date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted compounding end date.
The payment stream's compounding floating rate index.
Time unit multiplier for the payment stream's compounding floating rate index curve period.
Time unit associated with the payment stream's compounding floating rate index curve period.
Day
Week
Month
Year
A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in LegPaymentStreamCompoundingRateIndex(42427).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the compounding cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the compounding cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the compounding floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction for the compounding floating rate.
Round to nearest
Round down
Round up
Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).
Unweighted
Weighted
Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
The unadjusted compounding start date.
Specifies the anchor date when the compounding start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding start date offset.
Time unit associated with the relative compounding start date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted compounding start date.
Length in bytes of the LegPaymentStreamFormulaImage(42452) field.
Image of the formula image when represented through an encoded clip in base64Binary.
The unadjusted final price payment date.
Specifies the anchor date when the final price payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative final price payment date offset.
Time unit associated with the relative final price payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative final price payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted final price payment date.
The fixing date. Type of date is specified in LegPaymentStreamFixingDateType(42461).
Specifies the type of fixing date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted initial price observation date.
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Specifies the day type of the initial price observation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted initial price observation date.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
Price level at which the correlation or variance swap contract will strike.
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
The expected number of trading days in the variance or correlation swap stream.
The strike price of a correlation or variance swap stream.
For a variance swap specifies how LegPaymentStreamLinkStrikePrice(42472) is expressed.
Volatility
Variance
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
Indicates which price to use to satisfy the boundary condition.
Previous
Last
Both
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realized volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.
Specifies the method according to which the formula amount currency is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.
A description of the math formula in LegPaymentStreamFormula(42486).
The unadjusted stub end date.
The stub end date business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the stub end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub end date offset.
Time unit associated with the relative stub end date offset.
Day
Week
Month
Year
Specifies the day type of the relative stub end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted stub end date.
The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted stub start date.
The stub start date business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the stub start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub start date offset.
Time unit associated with the relative stub start date offset.
Day
Week
Month
Year
Specifies the day type of the relative stub start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted stub start date.
The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Type of fee elected for the break provision.
Flat fee
Amortized fee
Funding fee
Flat fee and funding fee
Amortized fee and funding fee
Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".
Specifies the valuation type applicable to the return rate date.
Price valuation
Dividend valuation
Specifies the anchor date when the return rate valuation dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation date offset.
Time unit associated with the relative return rate valuation date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation start date offset.
Time unit associated with the relative return rate valuation start date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation end date offset.
Time unit associated with the relative return rate valuation end date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Time unit multiplier for the frequency at which return rate valuation dates occur.
Time unit associated with the frequency at which return rate valuation dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The return rate valuation dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.
The rate of exchange between the two currencies specified in LegReturnRateFXCurrencySymbol(42531).
The rate of exchange between the two currencies specified in LegReturnRateFXCurrencySymbol(42531).
Multiply
Divide
Specifies the type of price sequence of the return rate.
Initial
Interim
Final
Specifies the basis or unit used to calculate the commission.
Amount per unit
Percent
Absolute
Percentage waived, cash discount basis
Percentage waived, enhanced units basis
Points per bond or contract
Basis points
Amount per contract
The commission amount.
Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
The total commission per trade.
Specifies the method by which the underlier prices are determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when the return rate amount is relative to another amount in the trade.
See http://www.fixtradingcommunity.org/codelists#Amount_Relative_To for code list of relative amounts.
Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.
See http://www.fpml.org/coding-scheme/asset-measure for values.
Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.
See http://www.fpml.org/coding-scheme/price-quote-units for values.
Specifies the type of quote used to determine the return rate of the swap.
Bid
Mid
Offer
Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.
See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
Specifies how or the timing when the quote is to be obtained.
Open
Official settlement price time
XETRA
Close
Derivatives close
High
Low
As specified in the master confirmation
The time when the quote is to be generated.
The date when the quote is to be generated.
The time when the quote ceases to be valid.
The business center calendar used for adjustments associated with LegReturnRateQuoteTimeType(42547) or LegReturnRateQuoteTime(42548) and LegReturnRateQuoteDate(42549), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
Specifies the pricing model used to evaluate the underlying asset price.
See http://www.fpml.org/coding-scheme/pricing-model for values.
Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.
See http://www.fpml.org/coding-scheme/cashflow-type for values.
Specifies the timing at which the calculation agent values the underlying.
Open
Official settlement price time
XETRA
Close
Derivatives close
High
Low
As specified in the master confirmation
The time at which the calculation agent values the underlying asset.
The business center calendar used for adjustments associated with LegReturnRateValuationTimeType(42555) or LegReturnRateValuationTime(42556), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether an ISDA price option applies, and if applicable which type of price.
None (the default)
Futures price
Options price
Specifies the fallback provision for the hedging party in the determination of the final price.
Close
Hedge election
Identifies the source of rate information. For FX the references source to be used for the FX spot rate.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When LegReturnRateInformationSource(42561) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.
See: http://www.fpml.org/coding-scheme/settlement-rate-option.
Identifies the page heading from the rate source.
The basis of the return price.
Gross
Net
Accrued
Clean net
Specifies the price of the underlying swap asset.
Specifies the currency of the price of the leg swap asset. Uses ISO 4217 currency codes.
Specifies whether the LegReturnRatePrice(42566) is expressed in absolute or relative terms.
Absolute terms
Percentage of notional
The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The return rate valuation date. The type of date is specified in LegReturnRateValuationDateType(42573).
Specifies the type of return rate valuation date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted settlement method election date.
The settlement method election date adjustment business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the settlement method election date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative settlement method election date offset.
Time unit associated with the relative settlement method election date offset.
Day
Week
Month
Year
Specifies the day type of the relative settlement method election date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted settlement method election date.
The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.
The effective date of the LegStreamVersion(42583).
Specifies the method for determining the floating notional value for equity swaps.
See http://www.fpml.org/coding-scheme/determination-method for values.
For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.
Execution
Portfolio rebalancing
Standard
The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.
The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.
The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.
Side value of the party electing the settlement method.
Buy
Sell
The date through which option cannot be exercised without penalty.
Amount to be paid by the buyer of the option if the option is exercised prior to the MakeWholeDate(42591).
Identifies the benchmark floating rate index.
The point on the floating rate index curve.
Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
Spread over the floating rate index.
The quote side of the benchmark to be used for calculating the "make whole" amount.
Bid
Mid
Offer
The method used when calculating the "make whole" amount. The most common is linear method.
None
Linear zero yield
Specifies the reference amount when the payment amount is relative to another amount in the message.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
Specifies the method by which a payment amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Indicates whether cash settlement is applicable.
Reference to the stream which details the compounding fixed or floating rate.
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
None
Linear zero yield
Defines applicable periods for interpolation.
Initial
Initial and final
Final
Any period
The compounding fixed rate applicable to the payment stream.
The compounding date. The type of date is specified in PaymentStreamCompoundingDateType(42608).
Specifies the type of payment compounding date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The compounding dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the compounding dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding date offset.
Time unit associated with the relative compounding date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.
Time unit multiplier for the frequency at which compounding dates occur.
Time unit associated with the frequency at which compounding dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted compounding end date.
Specifies the anchor date when the compounding end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding end date offset.
Time unit associated with the relative compounding end date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted compounding end date.
The payment stream's compounding floating rate index.
Time unit multiplier for the payment stream's compounding floating rate index curve period.
Time unit associated with the payment stream's compounding floating rate index curve period.
Day
Week
Month
Year
A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in PaymentStreamCompoundingRateIndex(42628).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the compounding cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the compounding cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the compounding floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction for the compounding floating rate.
Round to nearest
Round down
Round up
Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).
Unweighted
Weighted
Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
The unadjusted compounding start date.
Specifies the anchor date when the compounding start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding start date offset.
Time unit associated with the relative compounding start date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted compounding start date.
Length in bytes of the PaymentStreamFormulaImage(42563) field.
Image of the formula image when represented through an encoded clip in base64Binary.
The unadjusted final price payment date.
Specifies the anchor date when the final price payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative final price payment date offset.
Time unit associated with the relative final price payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative final price payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted final price payment date.
The fixing date. The type of date is specified in PaymentStreamFixingDateType(42662).
Specifies the type of fixing date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted initial price observation date.
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Specifies the day type of the initial price observation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted initial price observation date.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
Price level at which the correlation or variance swap contract will strike.
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
The expected number of trading days in the variance or correlation swap stream.
The strike price of a correlation or variance swap stream.
For a variance swap specifies how PaymentStreamLinkStrikePrice(42673) is expressed.
Volatility
Variance
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
Indicates which price to use to satisfy the boundary condition.
Previous
Last
Both
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
"Vega Notional" represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
A description of the math formula in PaymentStreamFormula(42684).
The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.
Specifies the method according to which the formula amount currency is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.
The unadjusted stub end date.
The stub end date business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the stub end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub end date offset.
Time unit associated with the relative stub end date offset.
Day
Week
Month
Year
Specifies the day type of the relative stub end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted stub end date.
The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted stub start date.
The stub start date business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the stub start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub start date offset.
Time unit associated with the relative stub start date offset.
Day
Week
Month
Year
Specifies the day type of the relative stub start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted stub start date.
The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Type of fee elected for the break provision.
Flat fee
Amortized fee
Funding fee
Flat fee and funding fee
Amortized fee and funding fee
Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".
Specifies the valuation type applicable to the return rate date.
Price valuation
Dividend valuation
Specifies the anchor date when the return rate valuation dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation date offset.
Time unit associated with the relative return rate valuation date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation start date offset.
Time unit associated with the relative return rate valuation start date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation end date offset.
Time unit associated with the relative return rate valuation end date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Time unit multiplier for the frequency at which return rate valuation dates occur.
Time unit associated with the frequency at which return rate valuation dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The return rate valuation dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.
The rate of exchange between the two currencies specified in ReturnRateFXCurrencySymbol(42732).
Specifies whether ReturnRateFXRate(42733) should be multiplied or divided.
Multiply
Divide
Specifies the type of price sequence of the return rate.
Initial
Interim
Final
Specifies the basis or unit used to calculate the commission.
Amount per unit
Percent
Absolute
Percentage waived, cash discount basis
Percentage waived, enhanced units basis
Points per bond or contract
Basis points
Amount per contract
The commission amount.
Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
The total commission per trade.
Specifies the method by which the underlier prices are determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when the return rate amount is relative to another amount in the trade.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.
See http://www.fpml.org/coding-scheme/asset-measure for values.
Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.
See http://www.fpml.org/coding-scheme/price-quote-units for values.
Specifies the type of quote used to determine the return rate of the swap.
Bid
Mid
Offer
Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.
See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
Specifies how or the timing when the quote is to be obtained.
Open
Official settlement price time
XETRA
Close
Derivatives close
High
Low
As specified in the master confirmation
The time when the quote is to be generated.
The date when the quote is to be generated.
The time when the quote ceases to be valid.
The business center calendar used for adjustments associated with ReturnRateQuoteTimeType(42748) or ReturnRateQuoteTime(42749) and ReturnRateQuoteDate(42750), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
Specifies the pricing model used to evaluate the underlying asset price.
See http://www.fpml.org/coding-scheme/pricing-model for values.
Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.
See http://www.fpml.org/coding-scheme/cashflow-type for values.
Specifies the timing at which the calculation agent values the underlying.
Open
Official settlement price time
XETRA
Close
Derivatives close
High
Low
As specified in the master confirmation
The time at which the calculation agent values the underlying asset.
The business center calendar used for adjustments associated with ReturnRateValuationTimeType(42756) or ReturnRateValuationTime(42757), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether an ISDA price option applies, and if applicable which type of price.
None (the default)
Futures price
Options price
Specifies the fallback provision for the hedging party in the determination of the final price.
Close
Hedge election
Identifies the source of rate information. For FX the references source to be used for the FX spot rate.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When ReturnRateInformationSource(42762) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.
See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the page heading from the rate source.
The basis of the return price.
Gross
Net
Accrued
Clean net
Specifies the price of the underlying swap asset.
Specifies the currency of the price of the underlying swap asset. Uses ISO 4217 currency codes.
Specifies whether the ReturnRatePrice(42767) is expressed in absolute or relative terms.
Absolute terms
Percentage of notional
The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The return rate valuation date. Type of date is specified in ReturnRateValuationDateType(42774).
Specifies the type of return rate valuation date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted settlement method election date.
The settlement method election date adjustment business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the settlement method election date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative settlement method election date offset.
Time unit associated with the relative settlement method election date offset.
Day
Week
Month
Year
Specifies the day type of the relative settlement method election date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted settlement method election date.
The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.
The effective date of the StreamVersion(42784).
Specifies the method for determining the floating notional value for equity swaps.
See http://www.fpml.org/coding-scheme/determination-method for values.
For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.
Execution
Portfolio rebalancing
Standard
The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted cash settlement date.
The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the UnderlyingInstrument component.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the cash settlement date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative cash settlement date offset.
Time unit associated with the relative cash settlement date offset.
Day
Week
Month
Year
Specifies the day type of the relative cash settlement date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted cash settlement date.
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
The default election for determining settlement price.
Close
Hedge
The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The dividend accrual floating rate index.
Time unit multiplier for the dividend accrual floating rate index curve.
Time unit associated with the dividend accrual floating rate index curve period.
Day
Week
Month
Year
A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.
The basis points spread from the index specified in UnderlyingDividendFloatingRateIndex(42801).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction of the final rate.
Round to nearest
Round down
Round up
Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.
Unweighted
Weighted
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
Specifies the anchor date when the accrual payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative accrual payment date offset.
Time unit associated with the relative accrual payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative accrual payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted accrual payment date.
Accrual payment date adjustment business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted accrual payment date.
Indicates whether the dividend will be reinvested.
Defines the contract event which the receiver of the derivative is entitled to the dividend.
Ex-date
Record date
Indicates how the gross cash dividend amount per share is determined.
Record amount
Ex amount
Paid amount
As specified in master confirmation
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in a separate instance of the UnderlyingInstrument component.
Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.
Buyer of the trade
Seller of the trade
Indicates how the extraordinary gross cash dividend per share is determined.
Record amount
Ex amount
Paid amount
As specified in master confirmation
The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.
Specifies the method in which the excess amount is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
The dividend accrual fixed rate per annum expressed as a decimal.
A value of 5% would be represented as "0.05".
The compounding method to be used when more than one dividend period contributes to a single payment.
None
Flat
Straight
Spread exclusive
The number of index units applicable to dividends.
Declared cash dividend percentage.
A value of 5% would be represented as "0.05".
Declared cash-equivalent dividend percentage. A value of 5% would be represented as "0.05".
Defines the treatment of non-cash dividends.
Potential adjustment event
Cash equivalent
Defines how the composition of dividends is to be determined.
Equity amount receiver election
Calculation agent election
Indicates whether special dividends are applicable.
Indicates whether material non-cash dividends are applicable.
Indicates whether option exchange dividends are applicable.
Indicates whether additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.
Specifies the anchor date when the FX trigger date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative FX trigger date offset.
Time unit associated with the relative FX trigger date offset.
Day
Week
Month
Year
Specifies the day type of the relative FX trigger date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted FX trigger date.
The business day convention used for the FX trigger date adjustment.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The adjusted FX trigger date.
The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the date that the dividend or coupon payment is due.
The amount of the dividend or coupon payment.
Specifies the currency the UnderlyingDividendPaymentAmount(42857) is denominated in. Uses ISO 4217 currency codes.
Accrued interest on the dividend or coupon payment.
Specifies the actual dividend payout ratio associated with the equity or bond underlier.
Specifies the dividend payout conditions that will be applied in the case where the actual ratio is not known, typically because of regulatory or legal uncertainties.
Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.
The unadjusted date on which the dividend period will begin.
The unadjusted date on which the dividend period will end.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Specifies the fixed strike price of the dividend period.
The dividend period dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
The unadjusted dividend period valuation date.
Specifies the anchor date when the dividend period valuation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period valuation date offset.
Time unit associated with the relative dividend period valuation date offset.
Day
Week
Month
Year
Specifies the day type of the relative dividend period valuation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted dividend period valuation date.
The unadjusted dividend period payment date.
Specifies the anchor date when the dividend period payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative dividend period payment date offset.
Time unit associated with the relative dividend period payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative dividend period payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted dividend period payment date.
Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.
The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Identifies the type of extraordinary or disruptive event applicable to UnderlyingExtraordinaryEventType(42885).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
The extraordinary or disruptive event value appropriate to UnderlyingExtraordinaryEventType(42885).
See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.
Side value of the party electing the settlement method.
Buy
Sell
The date through which the option cannot be exercised without penalty.
Amount to be paid by the buyer of the option if the option is exercised prior to the UnderlyingMakeWholeDate(42888).
Identifies the benchmark floating rate index.
The point on the floating rate index curve.
Sample values:
M = combination of a number between 1-12 and an "M" for month, e.g. 3M
Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y
10Y-OLD = see above, then add "-OLD" when appropriate
INTERPOLATED = the point is mathematically derived
2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.
Spread over the floating rate index.
The quote side of the benchmark to be used for calculating the "make whole" amount.
Bid
Mid
Offer
The method used when calculating the "make whole" amount. The most common is linear method.
None
Linear zero yield
Indicates whether cash settlement is applicable.
Reference to the stream which details the compounding fixed or floating rate.
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
None
Linear zero yield
Defines applicable periods for interpolation.
Initial
Initial and final
Final
Any period
The compounding fixed rate applicable to the payment stream.
The compounding date. Type of date is specified in UnderlyingPaymentStreamCompoundingDateType(42903).
Specifies the type of payment compounding date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The compounding dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the compounding dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding date offset.
Time unit associated with the relative compounding date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.
Time unit multiplier for the frequency at which compounding dates occur.
Time unit associated with the frequency at which compounding dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.
The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted compounding end date.
Specifies the anchor date when the compounding end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding end date offset.
Time unit associated with the relative compounding end date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted compounding end date.
The payment stream's compounding floating rate index.
Time unit multiplier for the payment stream's compounding floating rate index curve period.
Time unit associated with the payment stream's compounding floating rate index curve period.
Day
Week
Month
Year
A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
The basis points spread from the index specified in UnderlyingPaymentStreamCompoundingRateIndex(42923).
Identifies whether the rate spread is applied to a long or short position.
Short
Long
Specifies the yield calculation treatment for the index.
Bond equivalent yield
Money market yield
The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".
Reference to the buyer of the compounding cap rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the compounding cap rate option through its trade side.
Buyer of the trade
Seller of the trade
The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".
Reference to the buyer of the compounding floor rate option through its trade side.
Buyer of the trade
Seller of the trade
Reference to the seller of the floor rate option through its trade side.
Buyer of the trade
Seller of the trade
The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".
Specifies the rounding direction for the compounding floating rate.
Round to nearest
Round down
Round up
Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).
Unweighted
Weighted
Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Zero interest rate method
Negative interest rate method
The unadjusted compounding start date.
Specifies the anchor date when the compounding start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative compounding start date offset.
Time unit associated with the relative compounding start date offset.
Day
Week
Month
Year
Specifies the day type of the relative compounding start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted compounding start date.
Length in bytes of the UnderlyingPaymentStreamFormulaImage(42948) field.
Image of the formula image when represented through an encoded clip in base64Binary.
The unadjusted final price payment date.
Specifies the anchor date when the final price payment date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative final price payment date offset.
Time unit associated with the relative final price payment date offset.
Day
Week
Month
Year
Specifies the day type of the relative final price payment date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted final price payment date.
The fixing date. Type of date is specified in UnderlyingPaymentStreamFixingDateType(42957).
Specifies the type of fixing date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The unadjusted initial price observation date.
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Specifies the day type of the initial price observation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted initial price observation date.
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
Price level at which the correlation or variance swap contract will strike.
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
The expected number of trading days in the variance or correlation swap stream.
The strike price of a correlation or variance swap stream.
For a variance swap specifies how UnderlyingPaymentStreamLinkStrikePrice(42968) is expressed.
Volatility
Variance
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
Indicates which price to use to satisfy the boundary condition.
Previous
Last
Both
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.
Specifies the method according to which the formula amount currency is determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.
A description of the math formula in UnderlyingPaymentStreamFormula(42982).
The unadjusted stub end date.
The stub end date business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the stub end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub end date offset.
Time unit associated with the relative stub end date offset.
Day
Week
Month
Year
Specifies the day type of the relative stub end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted stub end date.
The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted stub start date.
The stub start date business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the stub start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative stub start date offset.
Time unit associated with the relative stub start date offset.
Day
Week
Month
Year
Specifies the day type of the relative stub start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted stub start date.
The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Type of fee elected for the break provision.
Flat fee
Amortized fee
Funding fee
Flat fee and funding fee
Amortized fee and funding fee
Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".
Specifies the initial rate spread for a basket underlier.
The date that the rate spread step takes affect.
The the value of the new rate spread as of the UnderlyingRateSpreadStepDate(43006).
Specifies the valuation type applicable to the return rate date.
Price valuation
Dividend valuation
Specifies the anchor date when the return rate valuation dates are relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation date offset.
Time unit associated with the relative return rate valuation date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation start date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation start date offset.
Time unit associated with the relative return rate valuation start date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation start date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.
The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Specifies the anchor date when the return rate valuation end date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative return rate valuation end date offset.
Time unit associated with the relative return rate valuation end date offset.
Day
Week
Month
Year
Specifies the day type of the relative return rate valuation end date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.
Time unit multiplier for the frequency at which return rate valuation dates occur.
Time unit associated with the frequency at which return rate valuation dates occur.
Day
Week
Month
Year
Hour
Minute
Second
Term
The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
1st day of the month
2nd day of the month
3rd day of the month
4th day of the month
5th day of the month
6thd day of the month
7th day of the month
8th day of the month
9th day of the month
10th day of the month
11th day of the month
12th day of the month
13th day of the month
14th day of the month
15th day of the month
16th day of the month
17th day of the month
18th day of the month
19th day of the month
20th day of the month
21st day of the month
22nd day of the month
23rd day of the month
24th day of the month
25th day of the month
26th day of the month
27th day of the month
28th day of the month
29th day of the month
30th day of the month
The end of the month.
The floating rate note convention or Eurodollar convention.
The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
The last trading day/expiration day of the Canadian Derivatives Exchange.
The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
No adjustment
The 13-week and 26-week U.S. Treasury Bill auction dates.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The return rate valuation dates business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.
The rate of exchange between the two currencies specified in UnderlyingReturnRateFXCurrencySymbol(43031).
Specifies whether UnderlyingReturnRateFXRate(43032) should be multiplied or divided.
Multiply
Divide
Specifies the type of price sequence of the return rate.
Initial
Interim
Final
Specifies the basis or unit used to calculate the commission.
Amount per unit
Percent
Absolute
Percentage waived, cash discount basis
Percentage waived, enhanced units basis
Points per bond or contract
Basis points
Amount per contract
The commission amount.
Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
The total commission per trade.
Specifies the method by which the underlier prices are determined.
See http://www.fpml.org/coding-scheme/determination-method for values.
Specifies the reference amount when the return rate amount is relative to another amount in the trade.
See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.
See http://www.fpml.org/coding-scheme/asset-measure for values.
Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.
See http://www.fpml.org/coding-scheme/price-quote-units for values.
Specifies the type of quote used to determine the return rate of the swap.
Bid
Mid
Offer
Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.
See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
Specifies how or the timing when the quote is to be obtained.
Open
Official settlement price time
XETRA
Close
Derivatives close
High
Low
As specified in the master confirmation
The time when the quote is to be generated.
The date when the quote is to be generated.
The time when the quote ceases to be valid.
The business center calendar used for adjustments associated with UnderlyingReturnRateQuoteTimeType(43047) or UnderlyingReturnRateQuoteTime(43048) and UnderlyingReturnRateQuoteDate(43049), e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
Specifies the pricing model used to evaluate the underlying asset price.
See http://www.fpml.org/coding-scheme/pricing-model for values.
Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.
See http://www.fpml.org/coding-scheme/cashflow-type for values.
Specifies the timing at which the calculation agent values the underlying.
Open
Official settlement price time
XETRA
Close
Derivatives close
High
Low
As specified in the master confirmation
The time at which the calculation agent values the underlying asset.
The business center calendar used for adjustments associated with UnderlyingReturnRateValuationTimeType(43055) or UnderlyingReturnRateValuationTime(43056) , e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
Indicates whether an ISDA price option applies, and if applicable which type of price.
None (the default)
Futures price
Options price
Specifies the fallback provision for the hedging party in the determination of the final price.
Close
Hedge election
Identifies the source of rate information. For FX the references source to be used for the FX spot rate.
Bloomberg
Reuters
Telerate
ISDA Settlement Rate Option
Other
Identifies the reference "page" from the rate source.
For FX, the reference page to the spot rate to be used for the reference FX spot rate.
When UnderlyingReturnRateInformationSource(43061) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.
See: http://www.fpml.org/coding-scheme/settlement-rate-option
Identifies the page heading from the rate source.
The basis of the return price.
Gross
Net
Accrued
Clean net
Specifies the price of the underlying swap asset.
Specifies the currency of the price of the underlying swap asset. Uses ISO 4217 currency codes.
Specifies whether the UnderlyingReturnRatePrice(43066) is expressed in absolute or relative terms.
Absolute terms
Percentage of notional
The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The return rate valuation date. Type of date is specified in UnderlyingReturnRateValuationDateType(43073).
Specifies the type of return rate valuation date (e.g. adjusted for holidays).
Unadjusted
Adjusted
The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
The unadjusted settlement method election date.
The settlement method election date adjustment business day convention.
Not applicable
None (current day)
Following day
Floating rate note
Modified following day
Preceding day
Modified preceding day
Nearest day
Specifies the anchor date when the settlement method election date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
Time unit multiplier for the relative settlement method election date offset.
Time unit associated with the relative settlement method election date offset.
Day
Week
Month
Year
Specifies the day type of the relative settlement method election date offset.
Business
Calendar
Commodity business
Currency business
Exchange business
Scheduled trading day
The adjusted settlement method election date.
The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.
The effective date of the UnderlyingStreamVersion(43083).
Specifies the method for determining the floating notional value for equity swaps.
See http://www.fpml.org/coding-scheme/determination-method for values.
For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.
Execution
Portfolio rebalancing
Standard
A short descriptive name given to the payment, e.g. Premium, Upfront, etc. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as reference.
Unique Identifier for a batch of messages.
Total # of messages contained within batch.
Indicates the processing mode for a batch of messages.
Update/incremental (default if not specified)
Snapshot
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