Allocation Report (MsgType = AS, FIXML = AllocRpt)

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (Claim) (AS) 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 (J) 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 (P) 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 of FIX Specification 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 level reject' should be used. Use of 'Block level reject' means the entire message has been rejected (e.g. net money mismatch). 'Account 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 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 = "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.

Tag	Field Name	FIXML	Req'd	Comments
<Standard Message Header>			Y	MsgType = AS
755	AllocReportID	@RptID	Y	Unique identifier for this message
70	AllocID	@AllocID	N
71	AllocTransType	@TransTyp	Y	i.e. New, Cancel, Replace
795	AllocReportRefID	@RptRefID	C	Required for AllocTransType (71) = Replace or Cancel
796	AllocCancReplaceReason	@CxlRplcRsn	C	Required for AllocTransType (71) = Replace or Cancel Gives the reason for replacing or cancelling the allocation report
793	SecondaryAllocID	@AllocID2	N	Optional second identifier for this allocation instruction (need not be unique)
794	AllocReportType	@RptTyp	Y	Specifies the purpose or type of Allocation Report message
87	AllocStatus	@Stat	Y
88	AllocRejCode	@RejCode	C	Required for AllocStatus (87) = 1 (rejected)
72	RefAllocID	@RefAllocID	C	Required for AllocTransType (71) = Replace or Cancel
808	AllocIntermedReqType	@IntermedReqTyp	C	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	@LinkID	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	@LinkTyp	C	Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID (196) is specified.
466	BookingRefID	@BkngRefID	N
715	ClearingBusinessDate	@BizDt	N	Indicates Clearing Business Date for which transaction will be settled.
828	TrdType	@TrdTyp	N	Indicates Trade Type of Allocation.
829	TrdSubType	@TrdSubTyp	N	Indicates TradeSubType of Allocation. Necessary for defining groups.
442	MultiLegReportingType	@MLegRptTyp	N	Indicates MultiLegReportType of original trade marked for allocation.
582	CustOrderCapacity	@CustCpcty	N	Indicates CTI of original trade marked for allocation.
578	TradeInputSource	@InptSrc	N	Indicates input source of original trade marked for allocation.
991	RndPx	@RndPx	N	Specifies the rounded price to quoted precision.
1011	MessageEventSource	@MsgEvtSrc	N	Used to identify the event or source which gave rise to a message.
579	TradeInputDevice	@InptDev	N	Specific device number, terminal number or station where trade was entered
819	AvgPxIndicator	@AvgPxInd	N	Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
857	AllocNoOrdersType	@NoOrdsTyp	N	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.
<OrdAllocGrp>			C	Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType (857) = 1
<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.
570	PreviouslyReported	@PrevlyRpted	N
700	ReversalIndicator	@ReversalInd	N
574	MatchType	@MtchTyp	N
54	Side	@Side	Y
<Instrument>			Y	Insert here the set of "Instrument" fields defined in "Common Components of Application Messages". For NDFs, fixing date (specified in MaturityDate(541) (541) ) is required. Fixing time (specified in MaturityTime(1079) (1079) ) is optional.
<InstrumentExtension>			N	Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages".
<FinancingDetails>			N	Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages".
<UndInstrmtGrp>			N
<InstrmtLegGrp>			N
53	Quantity	@Qty	Y	Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854	QtyType	@QtyTyp	N
30	LastMkt	@LastMkt	N	Market of the executions.
229	TradeOriginationDate	@OrignDt	N
336	TradingSessionID	@SesID	N
625	TradingSessionSubID	@SesSub	N
423	PriceType	@PxTyp	N
6	AvgPx	@AvgPx	Y	For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15) (15) .
860	AvgParPx	@AvgParPx	N
<SpreadOrBenchmarkCurveData>			N	Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages".
15	Currency	@Ccy	N	Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
74	AvgPxPrecision	@AvgPxPrcsn	N	Absence of this field indicates that default precision arranged by the broker/institution is to be used
<Parties>			N	Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages".
75	TradeDate	@TrdDt	Y
60	TransactTime	@TxnTm	N	Date/time when allocation is generated
63	SettlType	@SettlTyp	N
64	SettlDate	@SettlDt	C	Takes precedence over SettlType (63) value and conditionally required/omitted for specific SettlType (63) values. Required for NDFs to specify the "value date".
775	BookingType	@BkngTyp	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	@GrossTrdAmt	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.
238	Concession	@Concession	N
237	TotalTakedown	@TotTakedown	N
118	NetMoney	@NetMny	N	Expressed in same currency as AvgPx. Sum of AllocNetMoney.
77	PositionEffect	@PosEfct	N
754	AutoAcceptIndicator	@AutoAcceptInd	N	Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58	Text	@Txt	N
354	EncodedTextLen	@EncTxtLen	C	Must be set if EncodedText (355) field is specified and must immediately precede it.
355	EncodedText	@EncTxt	C	Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.
157	NumDaysInterest	@NumDaysInt	N	Applicable for Convertible Bonds and fixed income
158	AccruedInterestRate	@AcrdIntRt	N	Applicable for Convertible Bonds and fixed income
159	AccruedInterestAmt	@AcrdIntAmt	N	Sum of AllocAccruedInterestAmt (742) within repeating group.
540	TotalAccruedInterestAmt	@TotAcrdIntAmt	N	(Deprecated in FIX.4.4)
738	InterestAtMaturity	@IntAtMat	N
920	EndAccruedInterestAmt	@EndAcrdIntAmt	N	For repurchase agreements the accrued interest on termination.
921	StartCash	@StartCsh	N	For repurchase agreements the start (dirty) cash consideration
922	EndCash	@EndCsh	N	For repurchase agreements the end (dirty) cash consideration
650	LegalConfirm	@LegalCnfm	N
<Stipulations>			N
<YieldData>			N
<PositionAmountData>			N	Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages".
892	TotNoAllocs	@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	@LastFragment	N	Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
<AllocGrp>			C	Conditionally required except when AllocTransType (71) = Cancel, or when AllocType (626) = Ready-to-book or Warehouse instruction
<RateSource>			N
<Standard Message Trailer>			Y

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