Allocation Report <AS> message – FIX 4.4 – FIX Dictionary

FIX 4.4 : Allocation Report <AS> message

Description

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report <AS> (aka Allocation 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 <J> message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report <AS> (Claim) 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 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 <NestedParties> 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 structure below 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.

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 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 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> 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 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, Spread, Discount or any other price type (see PriceType <423>)
=>	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
Component Block - <InstrumentExtension>				N	Insert here the set of "<InstrumentExtension>" fields
Component Block - <FinancingDetails>				N	Insert here the set of "<FinancingDetails>" fields
711			NoUnderlyings	N
=>	Component Block - <UnderlyingInstrument>			N	Insert here the set of "<UnderlyingInstrument>" fields Required when NoUnderlyings <711> > 0
555			NoLegs	N
=>	Component Block - <InstrumentLeg>			N	Insert here the set of "<InstrumentLeg>" fields 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
15			Currency	N	Currency 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
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 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	Y**	Indicates number of allocation groups to follow. Not required for AllocTransType <71>='Cancel' Not required for AllocReportType <794>= "Warehouse recap".
=>	79		AllocAccount	Y**	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	Y**	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 Used for NestedPartyRole <538>=BrokerOfCredit, ClientID, 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 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
=>	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 Used to communicate settlement instructions for this AllocAccount <79> detail. Required if AllocSettlInstType <780> = 2 or 3.
<MessageTrailer>				Y