<Instrument> Component Block

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.

Indicates the type of product the security is associated with (high-level category)

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.

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.

Uniquely identifies the product of a security using ISO 4914 standard, Unique Product Identifier (UPI). The DSB (Derivative Service Bureau Ltd) is acting as designated service provider for UPI System.

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

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.

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(200) and/or this field.

When using MaturityMonthYear(200), it is recommended that markets and sell sides report the MaturityDate(541) on all outbound messages as a means of data enrichment.

For NDFs this represents the fixing date of the contract.

For NDFs this represents the fixing time of the contract. It is optional to specify the fixing time.

Conditionally required when MaturityFrequencyPeriod(2983) is specified.

Conditionally required when MaturityFrequencyUnit(2982) is specified and the value is not EOM (End of Month) or F (Flexible).

Indicator to determine if Instrument is Settle on Open.

Method under which assignment was conducted

Gives the current state of the instrument

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

A category of CDS credit event 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.

The payment priority is this: Senior Secured (SD), Senior (SR), Senior Non-Preferred (SN), Subordinated (SB), Mezzanine (MZ), Junior (JR).

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.

Type of reference obligation for credit derivatives contracts.

Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).

Required if AssetSubClass(1939) is specified.

Required if AssetType(1940) is specified.

Required if AssetSubType(2735) is specified.

Used to provide a more specific description of the asset specified in AssetType(1940).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.

The classification or type of swap. Additional values may be used by mutual agreement of the counterparties.

The sub-classification or notional schedule type of the swap.

Conditionally required when MthToDefault(1943) is specified.

The Mth reference obligation to default in a CDS reference basket. When NthToDefault(1942) and MthToDefault(1943) are represented then the CDS payout occurs between the Nth and Mth obligations to default.

Relevant settled entity matrix source.

The publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Coupon type of the bond.

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued securities.

Conditionally required when CouponFrequencyUnit(1949) is specified.

Conditionally required when CouponFrequencyPeriod(1948) is specified.

The day count convention used in interest calculations for a bond or an interest bearing security. Absence of this field for a bond or an interest bearing security transaction implies a "flat" trade, i.e. no accrued interest determined at time of the transaction.

The industry name of the day count convention not listed in CouponDayCount(1950).

Identifies the equity in which a convertible bond can be converted to.

Conditionally required when ConvertibleBondEquityID(1951) is specified.

Reference month if there is no applicable MaturityMonthYear(200) value for the contract or security.

Indicates the seniority level of the lien in a loan.

Specifies the type of loan when the credit default swap's reference obligation is a loan.

Specifies the type of reference entity for first-to-default CDS basket contracts.

The series identifier of a credit default swap index.

The version of a credit default swap index annex.

The date of a credit default swap index series annex.

The source of a credit default swap series annex.

In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.

This is an optional qualifying attribute of SettlRateIndex(1577) such as the delivery zone for an electricity contract.

Description of the option expiration.

Must be set if EncodedOptionExpirationDesc(1697) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the OptionExpirationDesc(1581) field in the encoded format specified via the MessageEncoding(347) field.

Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.

Identifies the collateral used in the transaction.

Valid values: see SecurityType (167) field (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Number of business days before repurchase of a repo. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

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

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.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

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.

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.

A two-character state or province abbreviation.

The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).

Return of investor's principal in a security. Bond redemption can occur before maturity date.(Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)

Used for derivatives, such as options and covered warrants

Original exercise price, e.g. after corporate action requiring changes.

Specifies the number of decimal places for exercise price.

Used for derivatives

Identifies class or source of the StrikeCurrency(947) 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 to express the unit of measure (UOM) of the price if different from the contract.

Specifies the index used to calculate the strike price.

The point on the floating rate index curve. Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Specifies the strike price offset from the named index.

The quote side from which the index price is to be determined.

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.

When specified, PutOrCall(201), StrikePrice(202), and StrikePriceBoundaryPrecision(1480) must also be specified.

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, 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.

For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

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.

Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.

As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.

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

Minimum price increment for the instrument. Could also be used to represent tick value.

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

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 Ccy with a UnitOfMeasureCurrency(1716) of USD and 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.

Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure(996) = Ccy

Identifies class or source of the UnitOfMeasureCurrency(1716) value.

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.

Indicates the currency of the price unit of measure. Conditionally required when PriceUnitOfMeasure(1191) = Ccy

Identifies class or source of the PriceUnitOfMeasureCurrency(1717) value.

Conditionally required if SettlSubMethod(2579) is specified.

Specifies a suitable settlement sub-method for a given settlement method.

Type of exercise of a derivatives security

Indicates the type of valuation method or payout trigger for an in-the-money option.

Conditionally required if OptPayoutType(1482) = 3 (Binary).

Indicates the type of return or payout trigger for the swap or forward.

Method for price quotation

Indicates type of valuation method used.

Specifies the source of trade valuation data.

Specifies the methodology and/or assumptions used to generate the trade value.

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

Identifies class or source of the PriceQuoteCurrency(1524) value.

Indicates whether the 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 floor price of a capped put

Used to express option right

Used to express in-the-moneyness behavior in general terms for the option without the use of StrikePrice(202) and PutOrCall(201).

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of InTheMoneyCondition(2681). When not specified, the eligibility is undefined or not applicable.

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 if a product or group of product supports the creation of flexible securities

Indicates if a given instrument is eligible for block trading.

Indicates if a given option instrument permits low exercise prices (LEPO).

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

For Fixed Income.

Can be used to identify the security.

Position Limit for the instrument.

Near-term Position Limit for the instrument.

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

see also Volume 7: "PRODUCT: FIXED INCOME - Euro Issuer Values"

Short name of the financial instrument. Uses ISO 18774 (FINS) values.

In the context of MiFID II this maps to ESMA RTS 23 Annex I Table 3 Field 7 and may be used in other RTS that requires a similar field.

The full normative name of the financial instrument.

In the context of ESMA reference data, this is used to provide the full name of the instrument as defined by the Derivatives Service Bureau (DSB).

Must be set if EncodedFinancialInstrumentFullName(2716) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the FinancialInstrumentFullName(2714) field in the encoded format specified via the MessageEncoding(347) field.

Can be used by the venue or one of the trading parties to provide a non-normative textual description for the financial instrument.

Identifies MBS / ABS pool

Must be present for MBS/TBA

The program under which a commercial paper is issued

The registration type of a commercial paper issuance

If different from IssueDate

If different from IssueDate and DatedDate

Indicates whether a restriction applies to short selling a security.

Spread table code referred by the security or symbol.

Specifies the type of trade strategy.

When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.

Specifies the consequences of bullion settlement disruption events.

Specific delivery route or time charter average. Applicable to commodity freight contracts.

Specifies the rounding direction if not overridden elsewhere.

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Specifies the number of decimal places for instrument prices.

May be used to generically assist in disambiguating an instrument where the security identifier and core reference data attributes are not sufficient to uniquely identify the instrument. The values used are bilaterally agreed.

The data used for disambiguation can be of synthetic nature (e.g. 1, 2, 3,... or A, B, C,...) or based on other characteristic of the instrument. An example of the latter is an energy futures or options contract which may have the same expiration date with different delivery dates that fall on a non-business day; in such a use case the first day of delivery date may be used to disambiguate such contract (date expression used should be bilaterally agreed).

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.

This designation has significance for how share adjustments (arising from corporate actions) will be determined for the instrument. For an 'exchange look-alike' instrument the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term)), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).