| ID |
Name |
Abbr |
Presence |
Description |
| 218 | Spread | Spread |
optional |
SYNOPSIS:
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.
|
| 220 | BenchmarkCurveCurrency | Ccy |
optional |
SYNOPSIS:
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)
|
| 221 | BenchmarkCurveName | Name |
optional |
SYNOPSIS:
Name of benchmark curve.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
|
| 222 | BenchmarkCurvePoint | Point |
optional |
SYNOPSIS:
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)
|
| 662 | BenchmarkPrice | Px |
optional |
SYNOPSIS:
Specifies the price of the benchmark.
|
| 663 | BenchmarkPriceType | PxTyp |
optional |
SYNOPSIS:
Identifies type of BenchmarkPrice (662).
See PriceType (423) for valid values.
|
| 699 | BenchmarkSecurityID | SecID |
optional |
SYNOPSIS:
The identifier of the benchmark security, e.g. Treasury against Corporate bond.
See SecurityID (tag 48) for description and valid values.
|
| 761 | BenchmarkSecurityIDSource | SecIDSrc |
optional |
SYNOPSIS:
Identifies class or source of the BenchmarkSecurityID (699) value. Required if BenchmarkSecurityID is specified.
Same values as the SecurityIDSource (22) field
|