FIX Version FIX.5.0SP2 Extension Pack EP171

Approval Date 2013-06-21T00:00:00

Description FIA Pre-Trade Credit Limit Check Enhancements




Field Changes

Updated Fields

TagNameTypeAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataTypeDescriptionElaborationDeprecated
126Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT") The meaning of expiration is specific to the context where the field is used. For orders, this is the expiration time of a Good Til Date TimeInForce. For Quotes - this is the expiration of the quote. Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process. For collateral requests, this is the time by which collateral must be assigned. For collateral assignments, this is the time by which a response to the assignment is expected. For credit/risk limit checks, this is the time when the reserved credit limit will expire for the requested transaction.
1080The ID reference to the order being hit or taken. For pre-trade credit/risk limit check process, this is the reference to the placed order, quote request or quote for the credit/risk limit check.
631Mid price/rate. For OTC swaps this is the mid-market mark (for example, as defined by CFTC). For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.
1081Used to specify what identifier, provided in order depth market data, to use when hitting (taking) a specific order or to identify what type of order or quote reference is being provided when seeking credit limit check.
1670RiskLmtIDPartiesReferenceDataIDUnique reference identifier for a specific risk limit defined for the specified party.
1767Identifies the action to take or risk model to assume should risk limit be exceeded or breached for the specified party.
17691767



New Fields

TagNameTypeAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataTypeDescriptionElaboration
2316RiskLimitReportStatusintRptStat0Status of risk limit report.
2317RiskLimitReportRejectReasonintRejRsn0The reason for rejecting the PartyRiskLimitsReport(35=CM) or PartyRiskLimitsUpdateReport(35=CR).
2318RiskLimitCheckRequestIDStringChkReqID0The unique identifier of the PartyRiskLimitCheckRequest(35=DF) message.
2319RiskLimitCheckIDStringLmtChkID0The unique and static identifier, at the business entity level, of a risk limit check request.
2320RiskLimitCheckTransTypeintTransTyp0Specifies the transaction type of the risk limit check request.
2321RiskLimitCheckTypeintChkTyp0Specifies the type of limit check message.
2322RiskLimitCheckRequestRefIDintReqRefID0Specifies the message reference identifier of the risk limit check request message.
2323RiskLimitCheckRequestTypeintChkReqTyp0Specifies the type of limit amount check being requested.
2324RiskLimitCheckAmountAmtLmtChkAmt0Specifies the amount being requested for approval.
2325RiskLimitCheckRequestStatusintReqStat0Indicates the status of the risk limit check request.
2326RiskLimitCheckRequestResultintReqRslt0Result of the credit limit check request.
2327RiskLimitApprovedAmountAmtLmtAprvdAmt0The credit/risk limit amount approved.
2328PartyActionRequestIDStringActnReqID0The unique identifier of the PartyActionRequest(35=DH) message.
2329PartyActionTypeintActnTyp0Specifies the type of action to take or was taken for a given party.
2330ApplTestMessageIndicatorBooleanApplTstMsgInd0Used to indicate whether the message being sent is to test the receiving application's availability to process the message. When set to "Y" the message is a test message. If not specified, the message is by default not a test message.
2331PartyActionReportIDStringActnRptID0The unique identifier of the PartyActionReport(35=DI) message as assigned by the message sender.
2332PartyActionResponseintActnRsp0Specifies the action taken as a result of the PartyActionType(2239) of the PartyActionRequest(35=DH) message.
2333PartyActionRejectReasonintRejRsn0Specifies the reason the PartyActionRequest(35=DH) was rejected.
2334RefRiskLimitCheckIDStringRefRiskLmtChkID0The reference identifier to the PartyRiskLimitCheckRequest(35=DF) message that contained the approval or rejection for risk/credit limit check.
2335RefRiskLimitCheckIDTypeintRefRiskLmtChkIDTyp0Specifies which type of identifier is specified in RefRiskLimitCheckID(2334) field.
2336RiskLimitVelocityPeriodintVelcty0The time interval for which the clip size limit applies. The velocity time unit is expressed in RiskLimitVelocityUnit(2337).
2337RiskLimitVelocityUnitStringVelctyUnit0997Unit of time in which RiskLimitVelocityPeriod(2336) is expressed.
2338RequestingPartyRoleQualifierintQual01674Qualifies the value of RequestingPartyRole(1660).
2339RiskLimitCheckModelTypeintChkModelTyp0Specifies the type of credit limit check model workflow to apply for the specified party



Enumerations

Deprecated Enumerations

TagValue
30015

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionElaboration
35DEPartyRiskLimitsReportAck141Party risk limits report ackPartyRiskLimitsReportAck is an optional message used as a response to the the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.
35DFPartyRiskLimitCheckRequest142Party risk limit check requestPartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.
35DGPartyRiskLimitCheckRequestAck143Party risk limit check request acknowledgementPartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Rrespondent may also include the limit amount that was approved.
35DHPartyActionRequest144Party action requestThe PartyActionRequest message is used suspend or "kill" the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.
35DIPartyActionReport145Party action reportUsed to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected.
10325InsufficientCreditLimit25Insufficient credit limit
10326ExceededClipSizeLimit26Exceeded clip size limit
10327ExceededMaxNotionalOrderAmt27Exceeded maximum notional order amount
10328ExceededDV01PV01Limit28Exceeded DV01/PV01 limit
10329ExceededCS01Limit29Exceeded CS01 limit
30017InsufficientCreditLimit17Insufficient credit limit
30018ExceededClipSizeLimit18Exceeded clip size limit
30019ExceededMaxNotionalOrderAmt19Exceeded maximum notional order amount
30020ExceededDV01PV01Limit20Exceeded DV01/PV01 limit
30021ExceededCS01Limit21Exceeded CS01 limit
65812ExceededClipSizeLimit12Exceeded clip size limit
65813ExceededMaxNotionalOrderAmt13Exceeded maximum notional order amount
65814ExceededDV01PV01Limit14Exceeded DV01/PV01 limit
65815ExceededCS01Limit15Exceeded CS01 limit
10815QuoteID5QuoteID(117)
10816QuoteReqID6QuoteReqID(131)
15300CreditLimit0Credit limitThe credit limit provided by one party to another for trading.
15309LimitConsumed9Limit consumedThe limit used in the recent transaction.
153010ClipSize10Clip sizeThe total amount allowed to be traded within a defined period of time, or velocity. The defined period of time is specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).
153011MaxNotionalOrderSize11Maximum notional order size
153012DV01PV01Limit12DV01/PV01 limitThe maximum dollar value change resulting from a move of 1 basis point in the yield curve. This limits the interest rate risk exposure. Also known as "basis point value" or BPV.
153013CS01Limit13CS01 limitCredit spread sensitivity. Represents the change in market value of a CDS for a one basis point change in the credit spread. This limits the credit risk exposure of a CDS. Also known as "risky-DV01".
16722Halted2Halted
17670QueueInbound0Queue inbound
17671QueueOutbound1Queue outbound
17672Reject2Reject
17673Disconnect3Disconnect
17674Warning4Warning
17675PingCreditCheckWithRevalidation5Ping credit check model with revalidationEach subsequent order, quote request or quote submission by the Credit User must obtain pre-approval. Any open orders, quote requests or quotes are to be cancelled.
17676PingCreditCheckNoRevalidation6Ping credit check model without revalidationEach subsequent order, quote request or quote submission by the Credit User must obtain pre-approval. Any open orders, quote requests or quotes will remain active.
17677PushCreditCheckWithRevalidation7Push credit check model with revalidationEach subsequent order, quote request or quote subnmission by the Credit User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes are to be cancelled.
17678PushCreditCheckNoRevalidation8Push credit check model without revalidationEach subsequent order, quote request or quote subnmission by the Credit User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes will remain active.
17679Suspend9SuspendSuspend the Credit User from trading once limit(s) is breached. This is considered a "soft" stop.
176710HaltTrading10Halt tradingHalt or stop the Credit User from trading once limit(s) is breached. This is considered a "hard" stop and may require more involved actions to reinstate the Credit User's ability to trade.
23160Accepted0Accepted
23161Rejected1Rejected
23170UnkRiskLmtRprtID0Unknown RiskLimitReportID(1667)
23171UnkPty1Unknown party
231799Other99Other
23200New0New
23201Cancel1Cancel
23202Replace2Replace
23210Submit0SubmitIndicates a submission for a limit check. The RiskLimitCheckTransType(2320) indicates whether the submission is a new request, a cancel or replace/amend of a prior submission.
23211LimitConsumed1Limit consumedIndicates that the limit reserved by a prior request has been used or consumed by a transaction that occurred.
23230AllOrNone0All or none (default if not specified).The limit check request is for the full amount requested or none at all. Request can only be responded to with a full approval of the amount requested or a rejection of the request.
23231Partial1PartialThe requester will accept a partial approval of the requested credit limit amount.
23250Approved0ApprovedRequest has been accepted and processed. The credit amount requested has been reserved for the transaction.
23251PartiallyApproved1Partially approvedOnly a partial amount of the credit amount requested has been approved and has been reserved for the transaction.
23252Rejected2Rejected
23253ApprovalPending3Approval pending
23254Cancelled4Cancelled
23260Successful0Successful (default)
23261InvalidParty1Invalid party
23262ReqExceedsCreditLimit2Requested amount exceeds credit limit
23263ReqExceedsClipSizeLimit3Requested amount exceeds clip size limit
23264ReqExceedsMaxNotional4Request exceeds maximum notional order amount
232699Other99Other
23290Suspend0Suspend
23291HaltTrading1Halt trading
23292Reinstate2Reinstate
23320Accepted0AcceptedThe action request is accepted for processing.
23321Completed1CompletedThe processing of the requested action has been successfully completed.
23322Rejected2RejectedThe action request was rejected. PartyActionRejectReason(2233) should be used to specify the rejection reason
23330InvalidParty0Invalid party or parties.
23331UnkReqParty1Unknown requesting party
233398NotAuthorized98Not authorized
233399Other99Other
23350RiskLimitRequestID0RiskLimitRequestID(1666)
23351RiskLimitCheckID1RiskLimitCheckID(2319)
23390None0None (default if not specified)No specified limit check model is defined. Limit checks for the party will be based on parameters defined.
23391PlusOneModel1PlusOne modelA pre-trade credit limit check model which allows trades to occur until it is determined by the clearinghouse or other designated limit checker that the party's limit(s) was breached by the most recent trade executed.
23392PingModel2Ping modelA pre-trade credit limit check model which requires the execution venue to obtain limit approval from the Credit Provider for every transaction about to be conducted by the Credit User.
23393PushModel3Push modelA pre-trade credit limit check model in which the Credit Provider "pushes" to the execution venue the credit limit information allocated to each of the Credit Provider's counterparty or customer.
16748HubFor PartyRole(452)=29 (Intermediary), 32 (Beneficiary) and 107 (Correspondent)8HubIndicates that the Intermediary party is a hub system or service provider.

Messages

Messages Added

MsgTypeComponentIDNameCategoryIDSectionIDAbbrNameNotReqXMLDescriptionElaboration
DE141PartyRiskLimitsReportAckPartiesReferenceDataPreTradePtyRiskLmtRptAck0PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.
DF142PartyRiskLimitCheckRequestPartiesActionPreTradePtyRiskLmtChkReq0PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.
DG143PartyRiskLimitCheckRequestAckPartiesActionPreTradePtyRiskLmtChkReqAck0PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.
DH144PartyActionRequestPartiesActionPreTradePtyActReq0The PartyActionRequest message is used suspend or "kill" the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.
DI145PartyActionReportPartiesActionPreTradePtyActRpt0Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected.

Components

Components Changed

ComponentIDComponentTypeCategoryIDNameAbbrNameNotReqXMLVolumeDescriptionElaborationDeprecated
2025Common
2154Common
2166Common
2167Common
2168Common
2169Common
2180Common
2181Common

Message/Component Content

Message/Components Content Changes

ComponentIDTagTextIndentPositionReqdDescription
2161RiskWarningLevelGrp180
2180RequestingPartySubGrp160
21561672190
21941664Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
21941665Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
92334025.050
92335025.060Conditionally required when RefRiskLimitCheckID(2334) is specified.
21612336160Conditionally required when RiskLimitType(1530) = 10 (Clip size)
21612337170
21802338150
21842339150
21932339160
2194233917.50
141StandardHeader011MsgType=DE
1411667031The identifier of the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) message.
1411666040
1412316051
1412317060Conditionally required when RiskLimitReportStatus(2316)=1 (Rejected).
141PartyRiskLimitsUpdateGrp070
14160080
1411328090
14116640100Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
14116650110Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
141580120
1413540130Must be set if EncodedText(355) field is specified and must immediately precede it.
1413550140Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
141StandardTrailer0151
142StandardHeader011MsgType=DE
1422318020Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified. RiskLimitCheckRequestID(2318) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via RiskLimitCheckRequestRefID(2322). The alternative is an entity-based model in which RiskLimitCheckID(2319) is used to statically identify a given request. In this case RiskLimitCheckID(2319) is required and RiskLimitRequestID(1666) can be optionally specified.
1422319030Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified.
1422320041
1422321051
1422322060Conditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace), and message-chaining model is used.
1421080070Used to specify the transaction reference for this limit check request.
1421081080Identifies the type of reference specified in RefOrderID(1080) for this limit check request.
1422323090
14223240100Specifies the amount being requested or consumed, as indicated by RiskLimitCheckType(2321).
142150110
14216700120
142RequestingPartyGrp0130May be used to identify the party making the limit check request and their role.
142Parties0140May be used to specify the trading party on which the limit check request is for. Each request is for a single trading party and the specified transaction reference.
142RelatedPartyDetailGrp0150
142Instrument0160
142LegOrdGrp0170
142UndInstrmtGrp0180
142540190
142600200
142580210
1423540220Must be set if EncodedText(355) field is specified and must immediately precede it.
1423550230Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
142StandardTrailer0241
143StandardHeader011MsgType=DG
1432318020Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message
1432319030Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message.
1432325041
1432326050
1432320061Identifies the RiskLimitCheckTransType(2320) this message is responding to as specified in the request message.
1432321071Identifies the RiskLimitCheckType(2321) this message is responding to as specified in the request message.
1432322080Conditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace)
1431328090
14316640100Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
14316650110Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
14310800120
14310810130
143540140
14323270150Conditionally required when RiskLimitCheckRequestStatus(2325)=1 (Partially approved)
14323240160
14316700170
143150180
1431260190Optionally used to specify when the approved credit limit being reserved will expire.
143RequestingPartyGrp0200
143Parties0210The trading party identified in the limit check request.
143RelatedPartyDetailGrp0220
143Instrument0230
143LegOrdGrp0240
143UndInstrmtGrp0250
143600260
143580270
1433540280Must be set if EncodedText(355) field is specified and must immediately precede it.
1433550290Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
143StandardTrailer0301
144StandardHeader011MsgType=DH
1442328021
1442329031
1442330040
144RequestingPartyGrp050May be used to identify the party making the request and their role.
144Parties060Used to specify the trading party on which the action is applied to.
144RelatedPartyDetailGrp070
14460080
14458090
1443540100Must be set if EncodedText(355) field is specified and must immediately precede it.
1443550110Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
144StandardTrailer0121
145StandardHeader011MsgType=DI
1452328020Conditionally required when responding to a PartyActionRequest(35=DH) message.
1452331031
1452329041
1452332051
1452333060Conditionally required when PartyActionResponse(2332) = 2 (Rejected).
1452330070Conditionally required if present in the PartyActionRequest(35=DH) message.
1451328080
1451664090Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
14516650100Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
145RequestingPartyGrp0110May be used to identify the party making the request and their role.
145Parties0120Used to specify the trading party on which the action is applied to. If in response to PartyActionRequest(35=DH) message, this should echo back the values from the request.
145RelatedPartyDetailGrp0130
145600140
145580150
1453540160Must be set if EncodedText(355) field is specified and must immediately precede it.
1453550170Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1457970180
145StandardTrailer0191