Specifying Yield in Quote message (35=S)


#1

Hi, I’d like to know the of use tags 632 and 634 in S message.

As per FIX, either of tags 132 and 134 is mandatory in S message.
So if 423=9 (Yield) then should the yield be specified in tags 132/134 or 632/634?

If 132/134 to be used then what’s the use case for tags 632/634?


#2

There are often more than one price in trading, particularly fixed income. But only one of those prices is the negotiated price and that one price always goes in BidPx(132), OfferPx(133), Price(44) or LastPx(31) with its denomination specified in PriceType(423). The other prices, which are derived from the negotiated price, go in other tags with specific denomination, e.g. BidYield(632), OfferYield(634), Yield(236), Spread(218) or LastParPx(669).
So to answer your specific question: In Quote(S) if PriceType(423)=9 (Yield) then the quoted yield goes in BidPx(132) or OfferPx(133).


#3

… for example if the Quote(s) had PriceType(423)=1 (Percent of par) then that price would go in BidPx(132) or OfferPx(133) and the dealer might provide the calculated yield in BidYield(632) or OfferYield(634) but that is not the price being negotiated.


#4

This makes sense, thanks for your reply.