Section 724(a) of the Dodd-Frank Act inserted a new section 4d(f) to the Commodity Exchange Act (ACE), which requires the segregation of cleared swaps, and associated collateral, pertaining to customers. This is referred to as the Legally Segregated Operationally Commingled (LSOC) Model (also known as the Complete Legal Segregation Model). This extension pack provides the ability for Futures Commission Merchants (FCMs) to report to clearing organizatons the information required to meet LSOC reporting obligations. The AccountSummaryReport message has been enhanced for this purpose.
"The LSOC Model requires that cleared swaps customer collateral be segregated from the FCM’s own property, but permits the cleared swaps collateral of all FCM cleared swaps customers to be kept together pre-bankruptcy in one account. The rules, to the extent applicable, parallel (in updated language) the regulations governing the segregated accounts in which FCMs currently hold futures customer collateral pre-bankruptcy.
Following an FCM's bankruptcy, where there is a shortfall in the cleared swaps customer account due to a cleared swaps customer loss that exceeds both the cleared swaps customer’s collateral and the FCM’s ability to pay, the DCO could only use the collateral attributable to the cleared swaps customers whose portfolios of positions at the DCO suffered losses to meet the loss. Thus, all collateral attributable to cleared swaps customers whose portfolios of positions gained or were “flat” (neither gained nor lost), and the remaining collateral attributable to cleared swaps customers whose portfolios of positions lost, would be immediately available for transfer."
Implementing LSOC requires that the FCM clearing members disclose to the DCO:
1. All cleared swaps positions for each customer account, and
2. The value of collateral posted with the DCO attributable to each customer.
[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.
|FIX Protocol Gap Analysis - LSOC Reporting v0.3_ASBUILT.pdf|
|File Size||1.60 MB|
|Create Date||June 20, 2017|