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PriceType <423> field

FIX 5.0 SP2 EP289

Description

Type: int

Code to represent the price type. (For Financing transactions PriceType <423> implies the "repo type" – Fixed or Floating – '9' (Yield) or '6' (Spread) respectively - and Price <44> gives the corresponding "repo rate".

Valid values:

  • 1 = Percentage (i.e. percent of par) (often called " dollar price " for fixed income)
  • 2 = Per unit (i.e. per share or contract)
  • 3 = Fixed amount (absolute value)
  • 4 = Discount - percentage points below par
  • 5 = Premium - percentage points over par
  • 6 = Spread (basis points spread)

    Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

  • 7 = TED Price
  • 8 = TED Yield
  • 9 = Yield
  • 10 = Fixed cabinet trade price (primarily for listed futures and options)
  • 11 = Variable cabinet trade price (primarily for listed futures and options)
  • 12 = Price spread

    Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

  • 13 = Product ticks in halves
  • 14 = Product ticks in fourths
  • 15 = Product ticks in eighths
  • 16 = Product ticks in sixteenths
  • 17 = Product ticks in thirty-seconds
  • 18 = Product ticks in sixty-fourths
  • 19 = Product ticks in one-twenty-eighths
  • 20 = Normal rate representation (e.g. FX rate)
  • 21 = Inverse rate representation (e.g. FX rate)
  • 22 = Basis points

    When the price is not spread based.

  • 23 = Up front points

    Used specifically for CDS pricing.

  • 24 = Interest rate

    When the price is an interest rate. For example, used with benchmark reference rate.

  • 25 = Percentage of notional

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