Imported from previous forum
For certain fixed income trades - e.g., mortgage- or asset-backed securities - won’t we want the factor field on the Allocation Instruction and Allocation Report messages? For such trades, are the Quantities assumed to be expressed in original face terms? If so, then the Amt type fields won’t match the implied amt = qty * price formula, but rather qty * price * factor. If we assume that quantities are original face, then you can derive the factor, I guess, from the amount, price, and quantity, but it seems like the factor field should be included explicitly on the messages as an optional field.
Terry,
In FIX 4.4 the Instrument component block does include Factor (228). Since the Instrument component block is part of the Allocation Instruction and Allocation Report messages, Factor is part of these messages as well.
For certain fixed income trades - e.g., mortgage- or asset-backed
securities - won’t we want the factor field on the Allocation
Instruction and Allocation Report messages? For such trades, are the
Quantities assumed to be expressed in original face terms? If so, then
the Amt type fields won’t match the implied amt = qty * price formula,
but rather qty * price * factor. If we assume that quantities are
original face, then you can derive the factor, I guess, from the amount,
price, and quantity, but it seems like the factor field should be
included explicitly on the messages as an optional field.
Terry,
As Lisa described, the Factor field is available in the Instument component block for FIX 4.4.
If you are describing a CMO or similar instrument, I would recommend putting the original face value in the Quantity field, and setting the Factor field with the current factor.
For a mortgage-backed bond, you can just set the Quantity field.
If you are interested in describing the securitized mortgages, you can use the repeating UnderlyingInstrument component block, which has more explicit fields including: UnderlyingFactor, UnderlyingStartValue, UnderlyingCurrentValue, and UnderlyingEndValue.
Dan Norcross
TransactTools, Inc.
www.transacttools.net
Terry,
In FIX 4.4 the Instrument component block does include Factor (228).
Since the Instrument component block is part of the Allocation
Instruction and Allocation Report messages, Factor is part of these
messages as well.For certain fixed income trades - e.g., mortgage- or asset-backed
securities - won’t we want the factor field on the Allocation
Instruction and Allocation Report messages? For such trades, are the
Quantities assumed to be expressed in original face terms? If so, then
the Amt type fields won’t match the implied amt = qty * price formula,
but rather qty * price * factor. If we assume that quantities are
original face, then you can derive the factor, I guess, from the
amount, price, and quantity, but it seems like the factor field should
be included explicitly on the messages as an optional field.
To clarify Dan’s point on original face, for securities such as MBS, ABS, CMO, quantities must be expressed in original face not current face. Current face is derived using Factor, if you need it. Factor must be provided if it is not “1”, but I (with my GFIC Tech Sub-committee co-chair hat on) strongly recommend to also send Factor even if it is “1” for these securities.
Lisa T.
Terry,
As Lisa described, the Factor field is available in the Instument
component block for FIX 4.4.If you are describing a CMO or similar instrument, I would recommend
putting the original face value in the Quantity field, and setting the
Factor field with the current factor.For a mortgage-backed bond, you can just set the Quantity field.
If you are interested in describing the securitized mortgages, you can
use the repeating UnderlyingInstrument component block, which has more
explicit fields including: UnderlyingFactor, UnderlyingStartValue,
UnderlyingCurrentValue, and UnderlyingEndValue.Dan Norcross TransactTools, Inc. www.transacttools.net
Terry,
In FIX 4.4 the Instrument component block does include Factor (228).
Since the Instrument component block is part of the Allocation
Instruction and Allocation Report messages, Factor is part of these
messages as well.For certain fixed income trades - e.g., mortgage- or asset-backed
securities - won’t we want the factor field on the Allocation
Instruction and Allocation Report messages? For such trades, are the
Quantities assumed to be expressed in original face terms? If so,
then the Amt type fields won’t match the implied amt = qty * price
formula, but rather qty * price * factor. If we assume that
quantities are original face, then you can derive the factor, I
guess, from the amount, price, and quantity, but it seems like the
factor field should be included explicitly on the messages as an
optional field.