Unique identifier for collateral request Collateral Request Identifier

Reason collateral assignment is being requested Reason for Collateral Assignment

Timestamp when the business transaction represented by the message occurred.

Time until when Respondent has to assign collateral Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT"). The meaning of expiration is specific to the context where the field is used.

• For orders, this is the expiration time of a Good Til Date TimeInForce.
• For Quotes - this is the expiration of the quote.
• Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process.
• For collateral requests, this is the time by which collateral must be assigned.
• For collateral assignments, this is the time by which a response to the assignment is expected.

Repeating group below should contain unique combinations of PartyID, PartyIDSource, and PartyRole Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries

Used to identify source of PartyID. Required if PartyIDSource is specified. Required if NoPartyIDs > 0. Party identifier/code. See PartyIDSource (447) and PartyRole (452).

Used to identify class source of PartyID value (e.g. BIC). Required if PartyID is specified. Required if NoPartyIDs > 0. Identifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified.

Identifies the type of PartyID (e.g. Executing Broker). Required if NoPartyIDs > 0. Identifies the type or role of the PartyID specified.

Number of PartySubID (523)and PartySubIDType (803) entries

Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.

Type of PartySubID (523) value. 4000+ = Reserved and available for bi-laterally agreed upon user defined values

Customer Account Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.

Type of account associated with the order (Origin) Type of account associated with an order

Identifier of order for which collateral is required Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

Identifier of order for which collateral is required Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.

Identifier of order for which collateral is required Assigned by the party which accepts the order. Can be used to provide the OrderID (37) used by an exchange or executing system.

Identifier of order for which collateral is required Assigned by the party which originates the order. Can be used to provide the ClOrdID (11) used by an exchange or executing system.

Executions for which collateral is required No of execution repeating group entries to follow.

Required if NoExecs > 0 Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (50) =I (Order Status)). Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days. (Prior to FIX 4.1 this field was of type int)

Trades for which collateral is required Number of trades in repeating group.

Required if NoTrades > 0 Unique identifier of trade capture report

Secondary trade report identifier - can be used to associate an additional identifier with a trade.

Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles) Use "[N/A]" for products which do not have a symbol. Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles). Use "[N/A]" for products which do not have a symbol.

Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price. Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType (67). Valid values defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory.
Fixed Income use:

• WI = "When Issued" for a security to be reissued under an old CUSIP or ISIN
• CD = a EUCP with lump-sum interest rather than discount price

Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified. Security identifier value of SecurityIDSource (22) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityIDSource.

Required if SecurityID is specified. Identifies class or source of the SecurityID (48) value. Required if SecurityID is specified. Values 100+ are reserved for private security identifications

Number of SecurityAltID (455) entries.

Alternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.

Identifies class or source of the SecurityAltID value. Required if SecurityAltID is specified. Same valid values as the SecurityIDSource (22) field

Indicates the type of product the security is associated with (high-level category) Indicates the type of product the security is associated with. See also the CFICode (461) and SecurityType (167) fields.

Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc.

An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions. An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. See the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments.

It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Required for Fixed Income. Refer to Volume 7 - Fixed Income Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.) Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.

Sub-type qualification/identification of the SecurityType (e.g. for SecurityType="MLEG"). If specified, SecurityType is required. Sub-type qualification/identification of the SecurityType for example:

• For SecurityType="REPO", then General = General Collateral
• For SecurityType="MLEG", markets can provide the name of the option or futures strategy, such as Calendar, Vertical, Butterfly, etc.

NOTE: Additional values may be used by mutual agreement of the counterparties

Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified. Can be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options). Format options:

• YYYYMM (eg. 199903)
• YYYYMMDD (eg. 20030323)
• YYYYMMwN (200303w) for week

A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).

Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&P futures).may use MaturityMonthYear and/or this field. When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment. For NDFs this represents the fixing date of the contract. Date of maturity.

For NDFs this represents the fixing time of the contract. It is optional to specify the fixing time. Time of security's maturity expressed in local time with offset to UTC specified

Indicator to determine if Instrument is Settle on Open. Indicator to determine if instrument is settle on open

Method under which assignment was conducted

Gives the current state of the instrument Used for derivatives. Denotes the current state of the Instrument.

A category of CDS credit even in which the underlying bond experiences a restructuring. Used to define a CDS instrument.

Specifies which issue (underlying bond) will receive payment priority in the event of a default. Used to define a CDS instrument.

Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index. Used to calculate the true value of a CDS trade or position.

Used to reflect the Original value prior to the application of a credit event. See NotionalPercentageOutstanding(1451).

Lower bound percentage of the loss that the tranche can endure.

Upper bound percentage of the loss the tranche can endure.

Date interest is to be paid. Used in identifying Corporate Bond issues. Date interest is to be paid. Used in identifying Corporate Bond issues.

Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date. The date on which a bond or stock offering is issued. It may or may not be the same as the effective date ("Dated Date") or the date on which interest begins to accrue ("Interest Accrual Date")

Identifies the collateral used in the transaction. Valid values: see SecurityType (167) field

Number of business days before repurchase of a repo.

Percent of par at which a Repo will be repaid. Represented as a percent, e.g. .9525 represents 95-/4 percent of par. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

For Fixed Income: Amortization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than 1. In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value

• For Fixed Income: Amorization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than . In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount
• For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value

An evaluation of a company's ability to repay obligations or its likelihood of not defaulting. These evaluation are provided by Credit Rating Agencies, i.e. S&P, Moody's.

The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues. Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value "ZZ" to specify physical ownership of the security (e.g. stock certificate).

ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness. ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (48) (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.

A two-character state or province abbreviation. A two-character state or province abbreviation.

The three-character IATA code for a locale (e.g. airport code for Municipal Bonds). Identifies the locale. For Municipal Security Issuers other than state or province refer to www.atmos.albany.edu or IATA (International Air Tranfor sport Association) city codes at www.iata.org.

Return of investor's principal in a security. Bond redemption can occur before maturity date.

Used for derivatives, such as options and covered warrants Strike Price for an Option.

Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying. Conditionally, required if value is other than "fixed".

Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.

Used in combination with StrikePriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

Used for derivatives Currency in which the StrikePrice is denominated.

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Used for derivatives. The number of shares/units for the financial instrument involved in the option trade. Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.

Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose. Can be used for SecurityType (67) =OPT to identify a particular security. Valid values vary by SecurityExchange:
For Exchange: MONEP (Paris)

• L = Long (a.k.a. "American")
• S = Short (a.k.a. "European")

For Exchanges: DTB (Frankfurt), HKSE (Hong Kong), and SOFFEX (Zurich)
• 0-9 = single digit "version" number assigned by exchange following capital adjustments (0=current, =prior, 2=prior to , etc).

Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit ContractMultiplier(tag 231) is expressed in.

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Indicates the type of payout that will result from an in-the-money option.

For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount. Specifies the ratio or multiply factor to convert from "nominal" units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc). Applicable For Fixed Income, Convertible Bonds, Derivatives, etc. In general quantities for all calsses should be expressed in the basic unit of the instrument, e.g. shares for equities, norminal or par amount for bonds, currency for foreign exchange. When quantity is expressed in contracts, e.g. financing transactions and bond trade reporting, ContractMutliplier should contain the number of units in one contract and can be omitted if the multiplier is the default amount for the instrument, i.e. 1,000 par of bonds, 1,000,000 par for financing transactions.

Minimum price increment for the instrument. Could also be used to represent tick value. Minimum price increase for a given exchange-traded Instrument

Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231] Minimum price increment amount associated with the MinPriceIncrement ( tag 969). For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor(231).

0 The unit of measure of the underlying commodity upon which the contract is based. Two groups of units of measure enumerations are supported.

• Fixed Magnitude UOMs are primarily used in energy derivatives and specify a magnitude (such as, MM, Kilo, M, etc.) and the dimension (such as, watt hours, BTU's) to produce standard fixed measures (such as MWh - Megawatt-hours, MMBtu - One million BTUs).
• The second group, Variable Quantity UOMs, specifies the dimension as a single unit without a magnitude (or more accurately a magnitude of one) and uses the UnitOfMeasureQty(1147) field to define the quantity of units per contract. Variable Quantity UOMs are used for both commodities (such as lbs of lean cattle, bushels of corn, ounces of gold) and financial futures.

Examples:

• For lean cattle futures contracts, a UnitOfMeasure of 'lbs' with a UnitOfMeasureQty(1147) of 40,000, means each lean cattle futures contract represents 40,000 lbs of lean cattle.
• For Eurodollars futures contracts, a UnitOfMeasure of USD with a UnitOfMeasureQty(1147) of 1,000,000, means a Eurodollar futures contract represents 1,000,000 USD.
• For gold futures contracts, a UnitOfMeasure is oz_tr (Troy ounce) with a UnitOfMeasureQty(1147) of 1,000, means each gold futures contract represents 1,000 troy ounces of gold.

Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.

Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract

Used to express the UOM Quantity of the price if different from the contract. In futures, this can be different for physically delivered products in which price is quoted in a unit size different from the contract, i.e. a Cattle Future contract has a UOMQty of 40,000 and a PriceUOMQty of 100.

Settlement method for a contract. Can be used as an alternative to CFI Code value Settlement method for a contract. Can be used as an alternative to CFI Code value

Type of exercise of a derivatives security Type of exercise of a derivatives security

Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount. Conditionally required if OptPayoutType(1482) is set to binary.

Method for price quotation Method for price quotation

Indicates type of valuation method used. Specifies the type of valuation method applied.

Indicates whether the instruments are pre-listed only or can also be defined via user request Indicates whether instruments are pre-listed only or can also be defined via user request

Used to express the ceiling price of a capped call Used to express the ceiling price of a capped call

Used to express the floor price of a capped put Used to express the floor price of a capped put

Used to express option right Indicates whether an option contract is a put or call

Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative CFICode(461) Standard/Non-standard attribute.

Used to indicate if a product or group of product supports the creation of flexible securities Used to indicate if a product or group of product supports the creation of flexible securities

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.) Unit of time associated with the contract. Additional values may be used by mutual agreement of the counterparties

For Fixed Income. The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment. The coupon is always cited, along with maturity, in any quotation of a bond's price.

Can be used to identify the security. Market used to help identify a security.

Position Limit for the instrument. Position Limit for a given exchange-traded product.

Near-term Position Limit for the instrument. Position Limit in the near-term contract for a given exchange-traded product.

Name of security issuer (e.g. International Business Machines, GNMA).

Must be set if EncodedIssuer field is specified and must immediately precede it. Byte length of encoded (non-ASCII characters) EncodedIssuer (349) field.

Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field. Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Issuer field.

Can be used to provide an optional textual description for a financial instrument.

Must be set if EncodedSecurityDesc field is specified and must immediately precede it. Byte length of encoded (non-ASCII characters) EncodedSecurityDesc (351) field.

Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field. Encoded (non-ASCII characters) representation of the SecurityDesc (107) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the SecurityDesc field.

Must be set if SecurityXML field is specified and must immediately precede it. Lenght of the SecurityXML data block.

XML payload or content describing the Security information. Actual XML data stream describing a security, normally FpML.

XML Schema used to validate the XML used to describe the Security. The schema used to validate the contents of SecurityXML

Identifies MBS / ABS pool For Fixed Income, identifies MBS / ABS pool.

Must be present for MBS/TBA Specifies when the contract (i.e. MBS/TBA) will settle.

The program under which a commercial paper is issued The program under which a commercial paper is issued

The registration type of a commercial paper issuance The registration type of a commercial paper issuance

Number of repeating EventType entries.

Code to represent the type of event

Date of event

Specific time of event. To be used in combination with EventDate [866] Specific time of event. To be used in combination with EventDate [866]

Predetermined price of issue at event, if applicable

Comments related to the event.

If different from IssueDate The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date

If different from IssueDate and DatedDate The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date

Repeating group below should contain unique combinations of InstrumentPartyID, InstrumentPartyIDSource, and InstrumentPartyRole Identifies the number of parties identified with an instrument

Used to identify party id related to instrument PartyID value within an instrument party repeating group. Same values as PartyID (448)

Used to identify source of instrument party id PartyIDSource value within an instrument partyrepeating group. Same values as PartyIDSource (447)

Used to identify the role of instrument party id PartyRole value within an instrument partyepeating group. Same values as PartyRole (452)

Number of InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries

PartySubID value within an instrument party repeating group. Same values as PartySubID (523)

Type of InstrumentPartySubID (1053) value. Same values as PartySubIDType (803)

Number of complex events Number of complex event occurrences.

Identifies the type of complex event. Required if NoComplexEvents > 0. Identifies the type of complex event.

Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.

Specifies the price at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).

Specifies the boundary condition to be used for the event price relative to the underlying price at the point the complex event outcome takes effect as determined by the ComplexEventPriceTimeType.

Used in combination with ComplexEventPriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the ComplexEventType.

ComplexEventCondition is conditionally required when there are more than one ComplexEvent occurrences. A chain of ComplexEvents must be linked together through use of the ComplexEventCondition in which the relationship between any two events is described. For any two ComplexEvents the first occurrence will specify the ComplexEventCondition which links it with the second event. Specifies the condition between complex events when more than one event is specified. Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.

Number of complex event date occurrences for a given complex event. Number of complex event date occurrences for a given complex event.

Required if NoComplexEventDates(1491) > 0. Specifies the start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options. ComplexEventStartDate must always be less than or equal to ComplexEventEndDate.

Required if NoComplexEventDates(1491) > 0. Specifies the end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options. ComplexEventEndDate must always be greater than or equal to ComplexEventStartDate.

Number of complex event time occurrences for a given complex event date. The default in case of an absence of time fields is 00:00:00-23:59:59.

Required if NoComplexEventTimes(1494) > 0. Specifies the start time of the time range on which a complex event date is effective. ComplexEventStartTime must always be less than or equal to ComplexEventEndTime.

Required if NoComplexEventTimes(1494) > 0. Specifies the end time of the time range on which a complex event date is effective. ComplexEventEndTime must always be greater than or equal to ComplexEventStartTime.

The full name of the base standard agreement, annexes and amendments in place between the principals and applicable to this deal The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction.

A common reference to the applicable standing agreement between the principals A common reference to the applicable standing agreement between the counterparties to a financing transaction.

A reference to the date the underlying agreement was executed. A reference to the date the underlying agreement specified by AgreementID and AgreementDesc was executed.

Currency of the underlying agreement. Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.

For Repos the timing or method for terminating the agreement. Type of financing termination.

Settlement date of the beginning of the deal Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

Repayment / repurchase date End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

Delivery or custody arrangement for the underlying securities Identifies type of settlement

Percentage of cash value that underlying security collateral must meet. The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 02% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.

Specific date of trade settlement (SettlementDate) in YYYYMMDD format. If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued). (expressed in local time at place of settlement)

Overall/total quantity (e.g. number of shares)

Type of quantity specified in a quantity field:

Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.

Number of legs Number of InstrumentLeg repeating group instances.

Multileg instrument's individual security’s Symbol. See Symbol (55) field for description

Multileg instrument's individual security’s SymbolSfx. See SymbolSfx (65) field for description

Multileg instrument's individual security’s SecurityID. See SecurityID (48) field for description

Multileg instrument's individual security’s SecurityIDSource. See SecurityIDSource (22) field for description

Multileg instrument's individual security’s NoSecurityAltID. See NoSecurityAltID (454) field for description

Multileg instrument's individual security’s SecurityAltID. See SecurityAltID (455) field for description

Multileg instrument's individual security’s SecurityAltIDSource. See SecurityAltIDSource (456) field for description

Multileg instrument's individual security’s Product. See Product (460) field for description

Multileg instrument's individual security’s CFICode. See CFICode (461) field for description

Multileg instrument's individual security’s SecurityType. See SecurityType (167) field for description

SecuritySubType of the leg instrument. See SecuritySubType (762) field for description

Multileg instrument's individual security’s MaturityMonthYear. See MaturityMonthYear (200) field for description

Multileg instrument's individual security’s MaturityDate. See MaturityDate (541) field for description

Time of security's maturity expressed in local time with offset to UTC specified

Multileg instrument's individual leg security’s CouponPaymentDate. See CouponPaymentDate (224) field for description

Multileg instrument's individual leg security’s IssueDate. See IssueDate (225) field for description

Multileg instrument's individual leg security’s RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description

Multileg instrument's individual leg security's RepurchaseTerm. See RepurchaseTerm (226) field for description

Multileg instrument's individual leg security’s RepurchaseRate. See RepurchaseRate (227) field for description

Multileg instrument's individual leg security’s Factor. See Factor (228) field for description

Multileg instrument's individual leg security’s CreditRating. See CreditRating (255) field for description

Multileg instrument's individual leg security’s InstrRegistry. See InstrRegistry (543) field for description

Multileg instrument's individual leg security’s CountryOfIssue. See CountryOfIssue (470) field for description

Multileg instrument's individual leg security’s StateOrProvinceOfIssue. See StateOrProvinceOfIssue (471) field for description

Multileg instrument's individual leg security’s LocaleOfIssue. See LocaleOfIssue (472) field for description

Multileg instrument's individual leg security’s RedemptionDate. See RedemptionDate (240) field for description

Multileg instrument's individual security’s StrikePrice. See StrikePrice (202) field for description

Currency in which the strike price of a instrument leg of a multileg instrument is denominated

Multileg instrument's individual security’s OptAttribute. See OptAttribute (206) field for description

Multileg instrument's individual security’s ContractMultiplier. See ContractMultiplier (231) field for description

Refer to defintion of UnitOfMeasure(996)

Refer to definition of UnitOfMeasureQty(1147)

Refer to definition for PriceUnitOfMeasure(1191)

Refer to definition of PriceUnitOfMeasureQty(1192)

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.) Same as TimeUnit.

Type of exercise of a derivatives security

"Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(tag 614) is expressed in.

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Multileg instrument's individual security’s CouponRate. See CouponRate (223) field for description

Multileg instrument's individual security’s SecurityExchange. See SecurityExchange (207) field for description

Multileg instrument's individual security’s Issuer. See Issuer (106) field for description

Multileg instrument's individual security’s EncodedIssuerLen. See EncodedIssuerLen (348) field for description

Multileg instrument's individual security’s EncodedIssuer. See EncodedIssuer (349) field for description

Multileg instrument's individual security’s SecurityDesc. See SecurityDesc (107) field for description

Multileg instrument's individual security’s EncodedSecurityDescLen. See EncodedSecurityDescLen (350) field for description

Multileg instrument's individual security’s EncodedSecurityDesc. See EncodedSecurityDesc (351) field for description

Specific to the (not in ) The ratio of quantity for this individual leg relative to the entire multileg security.

Specific to the (not in ) The side of this individual leg (multileg security). See Side (54) field for description and values

Specific to the (not in ) Currency associated with a particular Leg's quantity

Identifies MBS / ABS pool For Fixed Income, identifies MBS / ABS pool for a specific leg of a multi-leg instrument. See Pool (69) for description and valid values.

The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date

Specifies when the contract (i.e. MBS/TBA) will settle.

The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date

Used to express option right Refer to definition of PutOrCall(201)

LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity. Expresses the risk of an option leg. Value must be between -1 and 1.

• A Call Option will require a ratio value between 0 and 1
• A Put Option will require a ratio value between -1 and 0

Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price. Price for leg of a multileg. See Price (44) field for description

Number of legs that make up the Security Number of underlying legs that make up the security.

Underlying security’s Symbol. See Symbol (55) field for description

Underlying security’s SymbolSfx. See SymbolSfx (65) field for description

Underlying security’s SecurityID. See SecurityID (48) field for description

Underlying security’s SecurityIDSource. Valid values: see SecurityIDSource (22) field

Number of UnderlyingSecurityAltID (458) entries.

Alternate Security identifier value for this underlying security of UnderlyingSecurityAltIDSource (459) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires UnderlyingSecurityAltIDSource.

Identifies class or source of the UnderlyingSecurityAltID value. Required if UnderlyingSecurityAltID is specified. Same valid values as the SecurityIDSource (22) field

Underlying security’s Product. Valid values: see Product(460) field

Underlying security’s CFICode. Valid values: see CFICode (461)field

Underlying security’s SecurityType. Valid values: see SecurityType (167) field

Underlying security’s SecuritySubType. See SecuritySubType (762) field for description

Underlying security’s MaturityMonthYear. Can be used with standardized derivatives vs. the UnderlyingMaturityDate field. See MaturityMonthYear (200) field for description

Underlying security’s maturity date. See MaturityDate (541) field for description

Time of security's maturity expressed in local time with offset to UTC specified

Underlying security’s CouponPaymentDate. See CouponPaymentDate (224) field for description

See RestructuringType(1449)

See Seniority(1450)

See NotionalPercentageOutstanding(1451)

See OriginalNotionalPercentageOutstanding(1452)

See AttachmentPoint(1457).

See DetachmentPoint(1458).

Underlying security’s CouponPaymentDate. See CouponPaymentDate (224) field for description

Underlying security’s RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description

Underlying security’s RepurchaseTerm. See RepurchaseTerm (226) field for description

Underlying security’s RepurchaseRate. See RepurchaseRate (227) field for description

Underlying security’s Factor. See Factor (228) field for description

Underlying security’s CreditRating. See CreditRating (255) field for description

Underlying security’s InstrRegistry. See InstrRegistry (543) field for description

Underlying security’s CountryOfIssue. See CountryOfIssue (470) field for description

Underlying security’s StateOrProvinceOfIssue. See StateOrProvinceOfIssue (471) field for description

Underlying security’s LocaleOfIssue. See LocaleOfIssue (472) field for description

Underlying security’s RedemptionDate. See RedemptionDate (240) field for description

Underlying security’s StrikePrice. See StrikePrice (202) field for description

Currency in which the strike price of an underlying instrument is denominated

Underlying security’s OptAttribute. See OptAttribute (206) field for description

Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit UndlyContractMultiplier(tag 436) is expressed in.

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Underlying security’s ContractMultiplier. See ContractMultiplier (231) field for description

Refer to defintion of UnitOfMeasure(996)

Refer to definition of UnitOfMeasureQty(1147)

Refer to definition for PriceUnitOfMeasure(1191)

Refer to definition of PriceUnitOfMeasureQty(1192)

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.) Same as TimeUnit.

Type of exercise of a derivatives security

Underlying security’s CouponRate. See CouponRate (223) field for description

Underlying security’s SecurityExchange. Can be used to identify the underlying security. Valid values: see SecurityExchange (207)

Underlying security’s Issuer. See Issuer (106) field for description

Byte length of encoded (non-ASCII characters) EncodedUnderlyingIssuer (363) field.

Encoded (non-ASCII characters) representation of the UnderlyingIssuer (306) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingIssuer field.

Underlying security’s SecurityDesc. See SecurityDesc (107) field for description

Byte length of encoded (non-ASCII characters) EncodedUnderlyingSecurityDesc (365) field.

Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc (307) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingSecurityeDesc field.

The program under which the underlying commercial paper is issued

The registration type of the underlying commercial paper issuance

Specific to the < UnderlyingInstrument > Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument. Percent of the Strike Price that this underlying represents.

Specific to the (not in ) Underlying security’s Currency. See Currency (5) field for description and valid values

Specific to the (not in ) Unit amount of the underlying security (par, shares, currency, etc.) Unit amount of the underlying security (par, shares, currency, etc.)

Specific to the < UnderlyingInstrument > Indicates order settlement period for the underlying deliverable component. Indicates order settlement period for the underlying instrument.

Specific to the < UnderlyingInstrument > Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlying's is a fixed cash value. Cash amount associated with the underlying component.

Specific to the < UnderlyingInstrument > Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed or difference value (difference between strike and current underlying price) Used for derivatives that deliver into cash underlying.

Specific to the (not in ) In a financing deal clean price (percent-of-par or per unit) of the underlying security or basket. Underlying price associate with a derivative instrument.

Specific to the (not in ) In a financing deal price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest

Specific to the (not in ) In a financing deal price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement. Price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.

Specific to the (not in ) Currency value attributed to this collateral at the start of the agreement Currency value attributed to this collateral at the start of the agreement

Specific to the (not in ) Currency value currently attributed to this collateral Currency value currently attributed to this collateral

Specific to the (not in ) Currency value attributed to this collateral at the end of the agreement Currency value attributed to this collateral at the end of the agreement

Number of underlying stipulation entries

Required if NoUnderlyingStips >0 Type of stipulation. Same values as StipulationType (233)

Value of stipulation. Same values as StipulationValue (234)

Specific to the (not in ). For listed derivatives margin management, this is the number of shares adjusted for upcoming corporate action. Used only for securities which are optionable and are between ex-date and settlement date (4 days). Unit amount of the underlying security (shares) adjusted for pending corporate action not yet allocated.

Specific to the (not in ). Foreign exchange rate used to compute UnderlyingCurrentValue (885) (or market value) from UnderlyingCurrency (318) to Currency (15). Foreign exchange rate used to compute UnderlyingCurrentValue(885) (or market value) from UnderlyingCurrency(318) to Currency(15).

Specific to the (not in ). Specified whether UnderlyingFxRate (1045) should be multiplied or divided to derive UnderlyingCurrentValue (885). Specifies whether the UnderlyingFxRate(1045) should be multiplied or divided.

Maximum notional value for a capped financial instrument

Repeating group below should contain unique combinations of InstrumentPartyID, InstrumentPartyIDSource, and InstrumentPartyRole Identifies the number of parties identified with an underlying instrument

Used to identify party id related to instrument PartyID value within an underlying instrument party repeating group. Same values as PartyID (448)

Used to identify source of instrument party id PartyIDSource value within an underlying instrument party repeating group. Same values as PartyIDSource (447)

Used to identify the role of instrument party id PartyRole value within an underlying instrument party repeating group. Same values as PartyRole (452)

Number of Underlying InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries

PartySubID value within an underlying instrument party repeating group. Same values as PartySubID (523)

Type of underlying InstrumentPartySubID (1053) value. Same values as PartySubIDType (803)

(No description)

Used to express option right Underlying security’s PutOrCall. See PutOrCall (201) field for description

Required if NoUnderlyings > 0 Action proposed for an Underlying Instrument instance.

Excess margin amount (deficit if value is negative)

TotalNetValue is determined as follows:

• At the initial collateral assignment TotalNetValue is the sum of (UnderlyingStartValue * (1-haircut)).
• In a collateral substitution TotalNetValue is the sum of (UnderlyingCurrentValue * (1-haircut)).
• For listed derivatives clearing margin management, this is the collateral value which equals (Market value * haircut)

Starting consideration less repayments

Number of TrdRegTimestamp (769) entries

Required if NoTrdRegTimestamps > 1 Traded / Regulatory timestamp value. Use to store time information required by government regulators or self regulatory organizations (such as an exchange or clearing house).

Required if NoTrdRegTimestamps > 1 Traded / Regulatory timestamp type. Values are required in US futures markets by the CFTC to support computerized trade reconstruction.

Text which identifies the "origin" (i.e. system which was used to generate the time stamp) for the Traded / Regulatory timestamp value.

Type of Trading desk Type of trading desk. Valid values are grouped by DeskTypeSource(1034).

Identifies the class or source of DeskType(1033) values. Required if DeskType(1033) is specified.

Codes that apply special information that the Broker / Dealer needs to report.
NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting only.
Valid values are grouped by OrderHandlingInstSource(1032).

Side of order (see Volume : "Glossary" for value definitions)

Required if any miscellaneous fees are reported. Indicates number of repeating entries. Number of repeating groups of miscellaneous fees

Required if NoMiscFees > 0 Miscellaneous fee value

Currency of miscellaneous fee

Required if NoMiscFees > 0 Indicates type of miscellaneous fee.

Defines the unit for a miscellaneous fee.