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FIX 4.4 : Allocation Report <AS> message

Structure | Related Messages

Description

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report <AS> (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report <AS> can be taken over in whole or in part by the Confirmation <AK> message.

Note the response to the Allocation Report <AS> message is the Allocation Report Ack <AT> message. In versions of FIX prior to version 4.4, the Allocation ACK served this purpose.

An Allocation Report <AS> message can be submitted with AllocReportType <794> of

  • Sellside Calculated Using Preliminary (includes Misc Fees, Accrued Interest and Net Money)
  • Sellside Calculated Without Preliminary (includes Misc Fees, Accrued Interest and Net Money). (AllocType <626>=" Sellside Initiated"), e.g. where the allocations have been provided via some other mechanism or agreed earlier in the order process.
  • Warehouse recap - sent unsolicited by sellside, used to communicate confirmation and current status of any warehoused position in a particular stock (see Volume 7 - PRODUCT: EQUITIES for specific usage guidance on this topic)

Settlement instructions are supported on the Allocation Report <AS> message to allow the Respondent (sell-side party or carry firm) to send an override of its own instructions to the Initiator.

General guidelines applicable to this message:

  • AllocReportID <755> should be unique for all Allocation Report <AS> messages.
  • To reject an Allocation Report <AS> message, an Allocation Report Ack <AT> with AllocStatus <87> 'Block level reject' or 'Account <1> level reject' should be used. Use of 'Block level reject' means the entire message has been rejected (e.g. net money mismatch). 'Account <1> level reject' is used when the block level matches successfully but one or more (or all) of the constituent account level details fails validation (e.g. account not found, incorrect MiscFees). In the latter case, the rejecting party can (optionally) notify the instructing party of those allocation details that are being rejected by listing the offending account numbers in the Allocation Instruction Ack <P> message.
  • A rejected Allocation Report <AS> must be resolved out-of-band.
  • Where settling in markets where multiple alternative settlement locations exist, it is recommended that the settlement location (equivalent to ISO15022 'PSET' field) be identified on each allocation detail within the NoAllocs <78> repeating group. A nested <Parties> component block is provided which can be used for this purpose.

The allocation message contains repeating fields for each order, sub-account and individual execution. The repeating fields are shown in the message definition below in typeface Bold-Italic and indented with the ---> symbol. The field's relative position within the repeating group in the message is important. For example, each instance of allocation must be in the order as shown in the message definition below.

  • The number of sub-account instances is indicated in NoAllocs <78>.
  • Multiple orders can be combined for allocation or for AllocType <626>=" Ready-To-Book" or AllocType <626> = "Warehouse instruction". Note that combined orders must refer to the same instrument and have the same trade date, settlement date and side. The identification of the orders to be combined can be achieved in one of two ways:
    • By identifying the number of orders in the NoOrders <73> field and each individual order in the OrderID <37> fields. The AllocNoOrdersType <857> field is used to denote that this is happening and takes value "1=Explicit list provided". If any orders were handled outside FIX, the ClOrdID <11> must be set to 'MANUAL'. Regardless of whether the orders were handled within or outside FIX, the order quantity and average price must also be specified for each order. This is to assist in validating the message and, for manual orders, to help identify the correct orders to book.
    • By stating that an unspecified group of orders is to be combined. The NoOrders <73> field in this case is left blank. The AllocNoOrdersType <857> field is set to "0=Not specified" to specify that this is happening. Note use of this approach is only recommended where either the number of orders being booked is extremely large or some kind of aggregation rule is being used.
  • Multiple executions can be combined for allocation by identifying the number of executions in the NoExecs <124> field and each individual execution in the ExecID <17> fields. Combined executions must refer to the same instrument, trade date, settlement date and side.

Allocation Report <AS> (aka Allocation Claim)

Note: Req'd = "Y*" indicates that the field is not required for AllocTransType <71>=Cancel

Note: Req'd = "Y**" indicates that the field is not required for AllocTransType <71>=Cancel, nor is it required for AllocReportType <794>="Warehouse recap".

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = AS
755 AllocReportID Y

Unique identifier for this message

70 AllocID N
71 AllocTransType Y

i.e. New, Cancel, Replace

795 AllocReportRefID N

Required for AllocTransType <71> = Replace or Cancel

796 AllocCancReplaceReason N

Required for AllocTransType <71> = Replace or Cancel

Gives the reason for replacing or cancelling the allocation report

793 SecondaryAllocID N

Optional second identifier for this allocation instruction (need not be unique)

794 AllocReportType Y

Specifies the purpose or type of Allocation Report <AS> message

87 AllocStatus Y
88 AllocRejCode N

Required for AllocStatus <87> = 1 (rejected)

72 RefAllocID N

Required for AllocTransType <71> = Replace or Cancel

808 AllocIntermedReqType N

Required if AllocReportType <794> = 8 (Request to Intermediary)

Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)

196 AllocLinkID N

Can be used to link two different Allocation messages (each with unique AllocID <70>) together, i.e. for F/X 'Netting' or 'Swaps'

197 AllocLinkType N

Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID <196> is specified.

466 BookingRefID N
857 AllocNoOrdersType Y

Indicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders <73> group or not.

73 NoOrders N

Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType <857> = 1

=> 11 ClOrdID N

Order ID assigned by client if order(s) were electronically delivered and executed. If order(s) were manually delivered this field should contain string 'MANUAL'.Note where an order has undergone one or more cancel/replaces, this should be the ClOrdID <11> of the most recent version of the order

Required when NoOrders <73> > 0 and must be the first repeating field in the group.

=> 37 OrderID N
=> 198 SecondaryOrderID N

Can be used to provide order id used by exchange or executing system.

=> 526 SecondaryClOrdID N
=> 66 ListID N

Required for List Orders.

=> Component Block - <NestedParties2> N

Insert here the set of "<NestedParties2>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

This is used to identify the executing broker for step in/give in trades

=> 38 OrderQty N
=> 799 OrderAvgPx N

Average price for this order

=> 800 OrderBookingQty N

Quantity <53> of this order that is being booked out by this message (will be equal to or less than this order's OrderQty <38>)

Note that the sum of the OrderBookingQty <800> values in this repeating group must equal the total quantity being allocated (in Quantity <53> (53) field)

124 NoExecs N

Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.

=> 32 LastQty N

Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs <124> > 0

=> 17 ExecID N
=> 527 SecondaryExecID N
=> 31 LastPx N

Price <44> of individual execution. Required if NoExecs <124> > 0

=> 669 LastParPx N

Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx <31> is expressed in Yield <236>, Spread <218>, Discount or any other price type

=> 29 LastCapacity N

Used to identify whether the trade was executed on an agency or principal basis.

570 PreviouslyReported N
700 ReversalIndicator N
574 MatchType N
54 Side Y
Component Block - <Instrument> Y

Insert here the set of "<Instrument>" (symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Component Block - <InstrumentExtension> N

Insert here the set of "<InstrumentExtension>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Component Block - <FinancingDetails> N

Insert here the set of "<FinancingDetails>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

711 NoUnderlyings N
=> Component Block - <UnderlyingInstrument> N

Insert here the set of "<UnderlyingInstrument>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES

Required when NoUnderlyings <711> > 0

555 NoLegs N
=> Component Block - <InstrumentLeg> N

Insert here the set of "<InstrumentLeg>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES

Required when NoLegs <555> > 0

53 Quantity Y

Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book

854 QtyType N
30 LastMkt N

Market of the executions.

229 TradeOriginationDate N
336 TradingSessionID N
625 TradingSessionSubID N
423 PriceType N
6 AvgPx Y

For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points).

860 AvgParPx N
Component Block - <SpreadOrBenchmarkCurveData> N

Insert here the set of "<SpreadOrBenchmarkCurveData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

15 Currency N

Currency <15> of AvgPx <6>. Should be the currency of the local market or exchange where the trade was conducted.

74 AvgPxPrecision N

Absence of this field indicates that default precision arranged by the broker/institution is to be used

Component Block - <Parties> N

Insert here the set of "<Parties>" (firm identification) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

75 TradeDate Y
60 TransactTime N

Date/time when allocation is generated

63 SettlType N
64 SettlDate N

Takes precedence over SettlType <63> value and conditionally required/omitted for specific SettlType <63> values.

775 BookingType N

Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.

381 GrossTradeAmt N

Expressed in same currency as AvgPx <6>. Sum of (AllocQty <80> * AllocAvgPx <153> or AllocPrice <366>).

238 Concession N
237 TotalTakedown N
118 NetMoney N

Expressed in same currency as AvgPx <6>. Sum of AllocNetMoney <154>.

77 PositionEffect N
754 AutoAcceptIndicator N

Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House

58 Text N
354 EncodedTextLen N

Must be set if EncodedText <355> field is specified and must immediately precede it.

355 EncodedText N

Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.

157 NumDaysInterest N

Applicable for Convertible Bonds and fixed income

158 AccruedInterestRate N

Applicable for Convertible Bonds and fixed income

159 AccruedInterestAmt N

Sum of AllocAccruedInterestAmt <742> within repeating group.

540 TotalAccruedInterestAmt N

(Deprecated) use AccruedInterestAmt <159> Sum of AccruedInterestAmt <159> within repeating group.

738 InterestAtMaturity N
920 EndAccruedInterestAmt N

For repurchase agreements the accrued interest on termination.

921 StartCash N

For repurchase agreements the start (dirty) cash consideration

922 EndCash N

For repurchase agreements the end (dirty) cash consideration

650 LegalConfirm N
Component Block - <Stipulations> N
Component Block - <YieldData> N
892 TotNoAllocs N

Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs <78> values across all message fragments making up this allocation instruction.

Only required where message has been fragmented.

893 LastFragment N

Indicates whether this is the last fragment in a sequence of message fragments.

Only required where message has been fragmented.

78 NoAllocs N

Indicates number of allocation groups to follow.

Not required for AllocTransType <71>=Cancel

Not required for AllocReportType <794>= "Warehouse recap".

=> 79 AllocAccount N

May be the same value as BrokerOfCredit <92> if ProcessCode <81> is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the ExecBroker <76>. Required if NoAllocs <78> > 0. Must be first field in repeating group.

Not required for AllocTransType <71>=Cancel

Not required for AllocReportType <794>= "Warehouse recap".

=> 661 AllocAcctIDSource N
=> 573 MatchStatus N
=> 366 AllocPrice N

Used when performing 'executed price' vs. 'average price' allocations (e.g. Japan). AllocAccount <79> plus AllocPrice <366> form a unique Allocs entry. Used in lieu of AllocAvgPx <153>.

=> 80 AllocQty N

Not required for AllocTransType <71>=Cancel

Not required for AllocReportType <794>= "Warehouse recap".

=> 467 IndividualAllocID N
=> 81 ProcessCode N
=> Component Block - <NestedParties> N

Insert here the set of "<NestedParties>" (firm identification "nested" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Used for NestedPartyRole <538>=BrokerOfCredit <92>, ClientID <109>, Settlement location (PSET), etc.

Note: this field can be used for settlement location (PSET) information.

=> 208 NotifyBrokerOfCredit N
=> 209 AllocHandlInst N
=> 161 AllocText N

Free format Text <58> field related to this AllocAccount <79>

=> 360 EncodedAllocTextLen N

Must be set if EncodedAllocText <361> field is specified and must immediately precede it.

=> 361 EncodedAllocText N

Encoded (non-ASCII characters) representation of the AllocText <161> field in the encoded format specified via the MessageEncoding <347> field.

=> Component Block - <CommissionData> N

Insert here the set of "<CommissionData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> 153 AllocAvgPx N

AvgPx <6> for this AllocAccount <79>. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points) for this allocation. For Fixed Income always express value as 'percent of par'.

=> 154 AllocNetMoney N

NetMoney <118> for this AllocAccount <79>

((AllocQty <80> * AllocAvgPx <153>) - Commission <12> - sum of MiscFeeAmt <137> + AccruedInterestAmt <159>) if a Sell

((AllocQty <80> * AllocAvgPx <153>) + Commission <12> + sum of MiscFeeAmt <137> + AccruedInterestAmt <159>) if a Buy

=> 119 SettlCurrAmt N

(Deprecated) Replaced by AllocSettlCurrAmt <737>

AllocNetMoney <154> in SettlCurrency <120> for this AllocAccount <79> if SettlCurrency <120> is different from 'overall' Currency <15>

=> 737 AllocSettlCurrAmt N

AllocNetMoney <154> in AllocSettlCurrency <736> for this AllocAccount <79> if AllocSettlCurrency <736> is different from 'overall' Currency <15>

=> 120 SettlCurrency N

(Deprecated) Replaced by AllocSettlCurrency <736>

SettlCurrency <120> for this AllocAccount <79> if different from 'overall' Currency <15>. Required if SettlCurrAmt <119> is specified.

=> 736 AllocSettlCurrency N

AllocSettlCurrency <736> for this AllocAccount <79> if different from 'overall' Currency <15>. Required if AllocSettlCurrAmt <737> is specified.

=> 155 SettlCurrFxRate N

Foreign exchange rate used to compute AllocSettlCurrAmt <737> from Currency <15> to AllocSettlCurrency <736>

=> 156 SettlCurrFxRateCalc N

Specifies whether the SettlCurrFxRate <155> should be multiplied or divided

=> 742 AllocAccruedInterestAmt N

Applicable for Convertible Bonds and fixed income

=> 741 AllocInterestAtMaturity N

Applicable for securities that pay interest in lump-sum at maturity

=> 136 NoMiscFees N

Required if any miscellaneous fees are reported. Indicates number of repeating entries. Repeating group within Alloc repeating group.

** Nested Repeating Group follows **

=> => 137 MiscFeeAmt N

Required if NoMiscFees <136> > 0

=> => 138 MiscFeeCurr N
=> => 139 MiscFeeType N

Required if NoMiscFees <136> > 0

=> => 891 MiscFeeBasis N
=> 576 NoClearingInstructions N

** Nested Repeating Group follows **

=> => 577 ClearingInstruction N

Required if NoClearingInstructions <576> > 0

=> 635 ClearingFeeIndicator N
=> 780 AllocSettlInstType N

Used to indicate whether settlement instructions are provided on this message, and if not, how they are to be derived.

Absence of this field implies use of default instructions.

=> Component Block - <SettlInstructionsData> N

Insert here the set of "<SettlInstructionsData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Used to communicate settlement instructions for this AllocAccount <79> detail. Required if AllocSettlInstType <780> = 2 or 3.

<MessageTrailer> Y  

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