Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (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 can be taken over in whole or in part by the Confirmation <AK> message.
Note the response to the Allocation Report message is the Allocation Report Ack message. In versions of FIX prior to version 4.4, the Allocation ACK served this purpose.
An Allocation Report 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"), i.e. 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 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 messages.
- To reject an Allocation Report message, an Allocation Report Ack 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 message.
- A rejected Allocation Report 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 (aka Allocation Claim)
|Component Block - <StandardHeader>||Y||MsgType = AS|
|755||AllocReportID||Y||Unique identifier for this message|
May be used to link to a previously submitted AllocationInstructionAlertRequest <DU>.
|71||AllocTransType||Y||i.e. New, Cancel, Replace|
|795||AllocReportRefID||N||Required for AllocTransType = Replace or Cancel|
Required for AllocTransType = 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)|
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
|794||AllocReportType||Y||Specifies the purpose or type of Allocation Report message|
|88||AllocRejCode||N||Required for AllocStatus = 1 (rejected)|
|72||RefAllocID||N||Required for AllocTransType = Replace or Cancel|
Can be used for reporting on status of reversal transaction when AllocReportType <794> is 18 (Alleged reversal) or 17 (Reversal).
Required if AllocReportType = 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) 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 is specified.|
|715||ClearingBusinessDate||N||Indicates Clearing Business Date for which transaction will be settled.|
|828||TrdType||N||Indicates Trade Type of Allocation.|
|829||TrdSubType||N||Indicates TradeSubType of Allocation. Necessary for defining groups.|
Must be set if EncodedTradeContinuationText <2371> field is specified and must immediately precede it.
|442||MultiLegReportingType||N||Indicates MultiLegReportType of original trade marked for allocation.|
|582||CustOrderCapacity||N||Indicates CTI of original trade marked for allocation.|
|578||TradeInputSource||N||Indicates input source of original trade marked for allocation.|
|991||RndPx||N||Specifies the rounded price to quoted precision.|
|1011||MessageEventSource||N||Used to identify the event or source which gave rise to a message.|
|579||TradeInputDevice||N||Specific device number, terminal number or station where trade was entered|
|819||AvgPxIndicator||N||Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.|
Firm designated group identifier for average pricing
|857||AllocNoOrdersType||N||Indicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.|
|Component Block - <OrdAllocGrp>||N||Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1|
|Component Block - <ExecAllocGrp>||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.|
|Component Block - <Instrument>||Y||
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"|
|Component Block - <UndInstrmtGrp>||N|
|Component Block - <InstrmtLegGrp>||N|
|53||Quantity||Y||Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book|
|30||LastMkt||N||Market of the executions.|
|Component Block - <PriceQualifierGrp>||N|
|6||AvgPx||Y||For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency <15>.|
|Component Block - <SpreadOrBenchmarkCurveData>||N||Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"|
|15||Currency||N||Currency of AvgPx. 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"|
|60||TransactTime||N||Date/time when allocation is generated|
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the "value date".
|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>. (Quantity <53> * AvgPx <6> or AvgParPx <860>) or sum of (AllocQty <80> * AllocAvgPx <153> or AllocPrice <366> ). For Fixed Income, AvgParPx <860> is used when AvgPx <6> is not expressed as "percent of par" price.|
Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX expressed in terms of Currency <15>.
|754||AutoAcceptIndicator||N||Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House|
|354||EncodedTextLen||N||Must be set if EncodedText field is specified and must immediately precede it.|
|355||EncodedText||N||Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding 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 within repeating group.|
|540||TotalAccruedInterestAmt||N||(Deprecated in FIX.4.4)|
|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|
|Component Block - <Stipulations>||N|
|Component Block - <YieldData>||N|
|Component Block - <RegulatoryTradeIDGrp>||N|
|Component Block - <PositionAmountData>||N||Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"|
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs 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.|
|Component Block - <AllocGrp>||N||Conditionally required except when AllocTransType = Cancel, or when AllocType = "Ready-to-book" or "Warehouse instruction"|
|Component Block - <RateSource>||N|
Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
Conditionally required when RefRiskLimitCheckIDType <2335> is specified.
Conditionally required when RefRiskLimitCheckID <2334> is specified.
|Component Block - <StandardTrailer>||Y|