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 3 covers extensions to support Foreign Exchange.

In addition to FX support, this proposal includes:

  • a solution for unlimited nesting of UnderlyingInstrument components needed to report options on OTC derivatives and equity derivatives
  • deprecation of the LegUnderlyingInstrument and associated components, and
  • a small enhancement to the RegulatoryTradeIDGrp components introduced in Phase 1 to support reporting of spread-based multileg trades.

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 FIX Repository and FIXML schema reflect changes in EP161, EP169, and EP170. Revised the ASBUILT, FIX Repository and FIXML Schema as per details listed in the file EP187_Revisions_20015_08_17.pdf.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

Files list:
CFTC Part 43-45 Gap Analysis III Foreign Exchange v1.2_ASBUILT.pdf

Total Files4
File Size4.60 MB
Create DateJune 20, 2017