The SpreadOrBenchmarkCurveData component block is primarily used for Fixed Income to convey spread to a benchmark security or curve.
Added in protocol FIX.4.3
See in: FIX.4.3, FIX.4.4, FIX.5.0SP1, FIX.5.0SP2, FIX.5.0SP2 EP240.
| Field or Component | Name | Description | Is Required | Added | Is Deprecated |
|---|---|---|---|---|---|
| 218 | Spread | For Fixed Income | FIX.4.3 | ||
| 220 | BenchmarkCurveCurrency | FIX.4.3 | |||
| 221 | BenchmarkCurveName | FIX.4.3 | |||
| 222 | BenchmarkCurvePoint | FIX.4.3 | |||
| 662 | BenchmarkPrice | FIX.4.4 | |||
| 663 | BenchmarkPriceType | Must be present if BenchmarkPrice is used. | FIX.4.4 | ||
| 699 | BenchmarkSecurityID | The identifier of the benchmark security, e.g. Treasury against Corporate bond. | FIX.4.4 | ||
| 761 | BenchmarkSecurityIDSource | Source of BenchmarkSecurityID. If not specified, then ID Source is understood to be the same as that in the <Instrument> block. | FIX.4.4 |
Used in messages
- Allocation Instruction (J)
- Allocation Instruction Alert (BM)
- Allocation Report (a.k.a. Allocation Claim) (AS)
- Collateral Assignment (AY)
- Collateral Inquiry (BB)
- Collateral Report (BA)
- Collateral Request (AX)
- Collateral Response (AZ)
- Confirmation (AK)
- Cross Order Cancel/Replace Request (a.k.a. Cross Order Modification Request) (t)
- Execution Report (8)
- Indication of Interest (6)
- New Order – Cross (s)
- New Order – Single (D)
- Order Cancel/Replace Request (a.k.a. Order Modification Request) (G)
- Quote (S)
- Quote Response (AJ)
- Quote Status Report (AI)
- Trade Capture Report (AE)