Definition
SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.
Message structure 2612 distinct fields
Source order, including nested components and groups. Group counts precede the repeated entries. “Required here” is relative to the enclosing component or group, not unconditional in the message. A dash means not marked required; conditional requirements remain in the source notes. This is a reference, not a counterparty-specific validator.
Nested fields load when needed. Open the full static layout (also works without JavaScript).
StandardHeaderComponentRequired
MsgType = EG
StandardHeader definition & usage →
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May be used to identify the group of related instruments provided in SecurityRiskMetricGrp.
Conditionally required when RiskMetricsSecuritySubGroup(2990) is present.
May be used with RiskMetricsSecurityGroup(2989) to provide a more granular group identification.
UnderlyingInstrumentComponent—
UnderlyingPx(810) within the component may be used when valuation calculation uses a single reference price.
UnderlyingInstrument definition & usage →
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May be used to specify the (best) bid of the underlying instrument when valuation calculation uses real-time prices.
May be used to specify the (best) offer of the underlying instrument when valuation calculation uses real-time prices.
May be used to identify the risk free rate used in the pricing model specified.
SecurityRiskMetricGrpRepeating groupCount tag 2995—
SecurityRiskMetricGrp definition & usage →
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StandardTrailerComponentRequired
StandardTrailer definition & usage →
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