Extension of Party Risk Limit messages introduced with EP105, mainly to support the definition of risk limits and to be able to convey current risk exposure.

It comprises messages for dynamic data related to the current risk exposure, warning levels in terms of absolute amounts, risk limit types based on margin requirements calculated from positions, actions after a limit or a warning level has been breached and message to set and maintain risk limits.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2012-12-03] FIXML Schema and FIX Repository updated to resolve schema validation errors reported.

[Updated 2012-05-30] Update of repository and FIXML Schema due to correction of EP125.

[Updated 2012-01-24] Added repository and FIXML Schema. ASBUILT document updated.

Files list:
FIX Protocol Gap Analysis - Risk Limit Extensions v0.5_ASBUILT.pdfViewDownload

Total Files3
File Size1.50 MB
Create DateJune 19, 2017