|
Fixed Income
< Previous Next >
Cross Referencing Allocation to Collateral in Repo Trades
Andrew Thompson / Blackrock
7 Nov 2006 3:09PM ETWe are receiving FIX 4.4 execution reports for Repos, and we have a problem. We would like to know to which account (portfolio) each piece of Repo Collateral has been assigned. The deal is completely pre-allocated and pre-assigned. The sell side know which accounts we are trading in, and which collateral they wish to assign to each of our accounts.
Unfortunately there does not appear to be any way to transmit this information in an Execution Report - there's no way to send the assignment.
We note the Collateral Assignment and Report messages in FIX 4.4, but we question whether these are appropriate in a pre-allocation scenario.
Which working group can we contact to discuss these issues?
|
