[This message was posted by John Harris of BondMart Technologies, Inc. <[email protected]> to the "Fixed Income" discussion forum at http://fixprotocol.org/discuss/6. You can reply to it on-line at http://fixprotocol.org/discuss/read/0e4a1f50 - PLEASE DO NOT REPLY BY MAIL.]
The term "Par Value" means the dollar (or other currency) value of one unit of the subject security. For marketable U.S. Treasury securities, Par Value is currently one-hundred dollars ($100.00). The term "Par Amount" means the product of Par Value and the quantity of units of the subject security. One-thousand units of marketable U.S. Treasury securities would today equate to a Par Amount of one-hundred-thousand dollars ($100,000). The term "Face Amount" means the same thing as Par Amount, i.e., Par Amount and Face Amount are perfect synonyms. The term "Dollar Price" means the price of the subject security expressed as a percentage of Par Value. It may be expressed with or without a dollar sign. The term "Dollar Value" means the product of Dollar Price and Par (or Face) Amount. The Dollar Value of one-thousand units of marketable U.S. Treasury securities having a Dollar Price of $98.375 would be $98,375.00. Unfortunately, while the above definitions are useful, in the design of a fixed-income-order-routing or -matching system you will still have to work out rules of engagement on your own, with your counterparts. First, only recently did the Par Value of marketable U.S. Treasury securities become one-hundred dollars. For years, the Par Value of such securities was one-thousand dollars. All U.S. Treasury trading systems with which I am familiar still assume that the Par Value for U.S. Treasury securities is one-thousand dollars. Second, two notions of lot size prevail in the market. The dealer-to-customer market assumes a lot size of $1,000 Par Amount. Typically, in the dealer-to-customer market, a quoted size of "1" would mean $1,000 Par Amount; a quoted size of "100" would mean $100,000 Par Amount; a quoted size of "1,000" would mean $1 million Par Amount; and so forth. The inter-dealer market assumes a lot size of $1 million Par Amount. Typically, in the inter-dealer market, a quoted size of "1" would mean $1 million Par Amount; a quoted size of "25" would mean $25 million Par Amount. Going back to your original question, "convention" is a fuzzy concept in the fixed-income market. If you publish a FIX implementation specification for a system you are developing or are parsing one for a system with which you intend to connect, you will have no choice but to confirm these details on a case-by-case basis with your counterparts, either by telling them what you mean or asking them what they mean. > > > Hi All! > > > > > > Is there a convention for expressing order quantity in fixed income? > > > > > > Thanks in advance, > > > > Quantity is the principal value of the trade, i.e. if you are buying > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty > > (tag 38) would be 10000000 (10 million) > Thanks Rob. But wouldn't it be more simple to specify quantity in terms > of face value, if a treasury with a $1000 face value is trading at > 98.750% of par and I want to bid for 1000 of those bonds I would specify > the price as percent of par (98.750) and quantity as 1,000,000 - NOT > 987,500. Why wouldn't that work better? > > Thanks in advance, [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en -~----------~----~----~----~------~----~------~--~---
