Signifying the On The Run (OTR) issue in SecurityList message

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Imported from previous forum

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Title says it all. I want to denote in the security list message that a particular bond is the current or On-The-Run issue. Is there a best practice for this?

Thanks!

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Robert,

Great question… unfortunately no good way to do this right now. When FIX was enhanced to support fixed income back in FIX 4.4 it was assumed that the information behind the CUSIP would indicate whether the Tsy is on-the-run or not. Of course back then we weren’t considering the conveyance of security master data via FIX for FI.

Although I don’t like it much, but a possible short term solution is to use the SymbolSfx(65) field and use a value such as “OTR” for “on the run”.