This Extension Pack provides very extensive new functionality in FIX to natively support the ability to fully express OTC derivatives for swaps data reporting meeting the requirements of the CFTC Part 43 and Part 45 rules. Phase 1 covers extensions to support Credit Default Swaps and Interest Rate Swaps.
The Dodd-Frank Act’s 17 CFR Part 45 requires clearing houses, swap dealers and major swap participants to report all swap transactions to Swap Data Repositories (SDRs) whether cleared or uncleared. Part 45 data are to be made accessible to the regulators (i.e. CFTC) by the SDRs. 17 CFR Part 43 in turn implements the rules for SDRs to disseminate real-time information on swap transactions to the public. The immediate implementation of data access for both will likely be portals setup by the SDRs.
The Dodd-Frank Act anticipates that regulators and market participants will use data provided by SDRs to analyze the swaps market. Certain swap transaction and pricing data would be used to enhance price discovery and transparency. These data would include asset class, date and time of execution, notional size and price. Other information proposed to be required to be submitted to SDRs would help regulators monitor the market for systemic risk, but would not be made public. This information would include unique legal entity identifiers and “data elements necessary to calculate the market value of a transaction.”
As the FIX Protocol is widely used for electronic trading and has significant industry support in clearing applications. In addition XML representation is the preferred document format among the clearing community. Thus FIXML is a preferred syntax for complying with the new regulations. The current document attempts to map the reporting requirements of Parts 43 and 45 to FIX in order to identify gaps and resulting in extension recommendations.
The requirements for Part 45 identify four distinct asset classes for reporting – Credit & Equity Swaps, Foreign Exchange Transactions, Interest Rate Swaps and Other Commodity Swaps. This Extension Pack only covers CDS and IRS. Subsequent phases will cover FX, commodity swaps and equity swaps.
The published final rules can be found at the following URLs:
17 CFR Part 43: http:/
17 CFR Part 45: http:/
This Extension Pack has significant expanded the number of components and fields in the FIX Protocol standard. Due to the number of component and fields being added, the Global Technical Committee had decided to use tags in the 40000+ range to accommodate this growth. Some fields that may be more commonly applicable will be assigned tag numbers in the lower tag number range.
NOTE: This Extension Pack contains a number of fields that will utilize an externally maintained code list (a code list maintain separately from the normal Extension Pack process). The code lists can be found here.
Update History
[Resolved 2016-05-02] FIXML Schema missing attributes for components coded with an incorrect type [Jira SPEC-2170]. Field reference for UnderlyingPaymentScheduleRateTreatment(40677) is missing from the UnderlyingPaymentScheduleGrp(ID=4067) component9Jira SPEC-2160]. Resolved in EP208.
[Updated 2015-08-17] Revised the ASBUILT, FIX Repository and FIXML Schema as per details listed in the file EP161_Revisions_2015_08_17.pdf.
[Updated 2014-06-13] Corrected the abbreviations and thus FIXML names for LegProvisionOptionExerciseStartDateAdjusted(40487) and CashSettlRecoveryFactor(40035).
[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 2013-09-24] The ASBULT documentation along with FIXML Schema and FIX Repository files have been updated from the time of the Beta release in February 2013 to resolve two specific issues raised by implementors:
Reverted the data type change to EventDate(866) and equivalents in UnderlyingEvntGrp and LegEvntGrp from the proposed MonthYear back to LocalMktDate. Introduced three new fields EventMonthYear(2340), LegEventMOnthYear(2341), and UnderlyingEVentMonthYear(2342) to the EvntGrp, LegEvntGrp and UnderlyingEvntGrp respectively, with data type of MonthYear to accommodate expression of an instrument's event in month-year format.
In the AssetSubClass(1939) removed the enumeration value "8" for "Total Return Swaps" and added "TRS" for "Total Return Swaps" to SecurityType(167).
| Total Files | 4 |
| File Size | 9.07 MB |
| Create Date | June 20, 2017 |