AccruedInterestAmt (tag 159)

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Imported from previous forum

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[ original email was from Vinay Gaur - vinay.gaur@ubsw.com ]
Should the AccruedInterestAmt (tag 159) field on Execution Reports for CBs and Fixed Income securities be the accrued interest amount for that particular fill, or should it be the cumulative accrued interest amount for all fills reported so far?

Thanks in advance
Vinay Gaur
UBS Warburg

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[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Vinay,

Partial-fills are rare in Fixed Income, so the spec fails to consider them in describing Execution AccruedInterest. Let’s stake a position and say that AccruedInterest in Executions is cumulative. In FI at least the interest calculation will be the same from one partial to the next so there should be no loss of precision other than from rounding.

Thanks for catching this - we’ll update the 4.4 spec.

Dean Kauffman

> Should the AccruedInterestAmt (tag 159) field on Execution Reports for CBs and Fixed Income securities be the accrued interest amount for that particular fill, or should it be the cumulative accrued interest amount for all fills reported so far?
>
> Thanks in advance
> Vinay Gaur
> UBS Warburg
>
>