FIX Version FIX.5.0SP2 Extension Pack EP235

Approval Date 2017-07-01T17:00:00

Description ESMA RTS 2 and RTS 23 Extension

Field Changes

Updated Fields

Tag	Description	Elaboration
1450	Specifies which issue (underlying bond) will receive payment priority in the event of a default. Used to define a CDS instrument.	The payment priority is this: Senior Secured (SD), Senior (SR), Senior Non-Preferred (SN), Subordinated (SB), Mezzanine (MZ), Junior (JR).
1940	Used to provide more specific description of the asset specified in AssetSubClass(1939). See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed. Other values may be used by mutual agreement of the counterparties.	In the context of MiFID II's this may indicate the value needed in ESMA RTS 2 Annex IV Table 2 Field 16, or ESMA RTS 23 Annex I Table 2 'Sub product' field.
1979	Used to provide more specific description of the asset specified in SecondaryAssetSubClass(1978). See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed. Other values may be used by mutual agreement of the counterparties.	In the context of MiFID II's this may indicate the value needed in ESMA RTS 2 Annex IV Table 2 Field 16, or ESMA RTS 23 Annex I Table 2 'Sub product' field.
2015	Used to provide more specific description of the asset specified in UnderlyingAssetSubClass(2082). See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed. Other values may be used by mutual agreement of the counterparties.	In the context of MiFID II's this may indicate the value needed in ESMA RTS 2 Annex IV Table 2 Field 16, or ESMA RTS 23 Annex I Table 2 'Sub product' field.
2069	Used to provide more specific description of the asset specified in LegAssetSubClass(2068). See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed. Other values may be used by mutual agreement of the counterparties.	In the context of MiFID II's this may indicate the value needed in ESMA RTS 2 Annex IV Table 2 Field 16, or ESMA RTS 23 Annex I Table 2 'Sub product' field.
2079	Used to provide more specific description of the asset specified in LegSecondaryAssetSubClass(2078). See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed. Other values may be used by mutual agreement of the counterparties.	In the context of MiFID II's this may indicate the value needed in ESMA RTS 2 Annex IV Table 2 Field 16, or ESMA RTS 23 Annex I Table 2 'Sub product' field.
2083	Used to provide more specific description of the asset specified in UnderlyingSecondaryAssetSubClass(2082). See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed. Other values may be used by mutual agreement of the counterparties.	In the context of MiFID II's this may indicate the value needed in ESMA RTS 2 Annex IV Table 2 Field 16, or ESMA RTS 23 Annex I Table 2 'Sub product' field.

New Fields

Tag	Name	Type	AbbrName	NotReqXML	EnumDatatype	Description	Elaboration
2728	FloatingRateIndexCurvePeriod	int	Period	0		Time unit multiplier for the floating rate index identified in FloatingRateIndexID(2731).
2729	FloatingRateIndexCurveSpread	PriceOffset	Spread	0		Spread from the floating rate index.
2730	FloatingRateIndexCurveUnit	String	Unit	0	40791	Time unit associated with the floating rate index identified in FloatingRateIndexID(2731).
2731	FloatingRateIndexID	String	ID	0		Security identifier of the floating rate index.
2732	FloatingRateIndexIDSource	String	Src	0	22	Source for the floating rate index identified in FloatingRateIndexID(2731).
2733	IndexRollMonth	String	Mo	0		Month identified in the index roll.	Use "1" for January, "2" for February, etc.
2734	NoIndexRollMonths	NumInGroup		1		Number of instances of the index roll month.
2735	AssetSubType	String	AsstSubTyp	0		Used to provide a more specific description of the asset specified in AssetType(1940). See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.	In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.
2736	CommodityFinalPriceType	int	CmdtyFnlPxTyp	0		Final price type of the commodity as specified by the trading venue.
2737	FinancialInstrumentShortName	String	ShrtName	0		Short name of the financial instrument. Uses ISO 18774 (FINS) values.	In the context of MiFID II this maps to ESMA RTS 23 Annex I Table 3 Field 7 and may be used in other RTS that requires a similar field.
2738	NextIndexRollDate	LocalMktDate	NxtNdxRollDt	0		Next index roll date.
2739	LegAssetSubType	String	AsstSubTyp	0		Used to provide a more specific description of the asset specified in LegAssetType(2069). See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.	In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.
2740	LegFinancialInstrumentShortName	String	ShrtName	0		Short name of the financial instrument. Uses ISO 18774 (FISN) values.	In the context of MiFID II this maps to ESMA RTS 23 Annex I Table 3 Field 7 and may be used in other RTS that requires a similar field.
43088	LegPaymentStreamRateIndexID	String	NdxID	0		Security identifier of the floating rate index.
43089	LegPaymentStreamRateIndexIDSource	String	NdxIDSrc	0	22	Source for the floating rate index identified in LegPaymentStreamRateIndexID(43088).
2743	LegSecondaryAssetSubType	String	SubTyp	0		Used to provide a more specific description of the asset specified in LegSecondaryAssetType(2079). See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.	In the context of MiFID II RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.
43090	PaymentStreamRateIndexID	String	NdxID	0		Security identifier of the floating rate index.
43091	PaymentStreamRateIndexIDSource	String	NdxIDSrc	0	22	Source for the floating rate index identified in PaymentStreamRateIndexID(43090).
2746	NoReferenceDataDates	NumInGroup		1		Number of instances of reference data dates.
2747	ReferenceDataDate	UTCTimestamp	Dt	0		Reference data entry's date-time of the type specified in ReferenceDataDateType(2748).
2748	ReferenceDataDateType	int	Typ	0		Reference data entry's date-time type.
2741	SecondaryAssetSubType	String	SubTyp	0		Used to provide a more specific description of the asset specified in SecondaryAssetType(1979). See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.	In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.
2742	UnderlyingFinancialInstrumentShortName	String	ShrtName	0		Short name of the financial instrument. Uses ISO 18774 (FINS) values.	In the context of MiFID II this maps to ESMA RTS 23 Annex I Table 3 Field 7 and may be used in other RTS that requires a similar field.
2744	UnderlyingAssetSubType	String	AsstSubTyp	0		Used to provide a more specific description of the asset specified in UnderlyingAssetType(2015). See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.	In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.
43092	UnderlyingPaymentStreamRateIndexID	String	NdxID	0		Security identifier of the floating rate index.
43093	UnderlyingPaymentStreamRateIndexIDSource	String	NdxIDSrc	0	22	Source for the floating rate index identified in UnderlyingPaymentStreamRateIndexID(43092).
2745	UnderlyingSecondaryAssetSubType	String	SubTyp	0		May be used to provide a more specific description of the asset specified in UnderlyingSecondaryAssetType(2083). See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.	In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.
43094	DeliveryStreamRouteOrCharter	String	RteChrtr	0		Specific delivery route or time charter average. Applicable to commodity freight swaps.
43095	LegDeliveryStreamRouteOrCharter	String	RteChrtr	0		Specific delivery route or time charter average. Applicable to commodity freight swaps.
43096	UnderlyingDeliveryStreamRouteOrCharter	String	RteChrtr	0		Specific delivery route or time charter average. Applicable to commodity freight swaps.

Enumerations

Enumerations Added

Tag	Value	SymbolicName	Group	Sort	Description	Elaboration
2736	0	ArgusMcCloskey		0	Argus McCloskey
2736	1	Baltic		1	Baltic
2736	2	Exchange		2	Exchange
2736	3	GlobalCoal		3	Global Coal
2736	4	IHSMcCloskey		4	IHS McCloskey
2736	5	Platts		5	Platts
2736	99	Other		99	Other
2748	0	AdmitToTradeRequestDate		0	Date of request for admission to trading	In the context of MiFID II ESMA RTS 23 this is defined as "Date and time the issuer has approved admission to trading or trading in its financial instruments on a trading venue." (Reference: Annex I Table 3 Field 9)
2748	1	AdmitToTradeApprovalDate		1	Date of approval of admission to trading	In the context of MiFID II ESMA RTS 23 this is defined as "Date and time of the request for admission to trading on the trading venue." (Reference: Annex I Table 3 Field 10)
2748	2	AdmitToTradeOrFirstTradeDate		2	Date of admission to trading or date of first trade	In the context of MiFID II ESMA RTS 23 this is defined as "Date and time of the admission to trading on the trading venue or the date and time when the instrument was first traded or an order or quote was first received by the trading venue." (Reference: Annex I Table 3 Field 11)
2748	3	TerminationDate		3	Termination date	In the context of MiFID II ESMA RTS 23 this is defined as "Where available, the date and time when the financial instrument ceases to be traded or to be admitted to trading on the trading venue." (Reference: Annex I Table 3 Field 12)
167	FXNDS	NonDeliverableSwap	Currency	5	Non-deliverable Swap
167	PRTFLIOSWAP	PortfolioSwaps	Derivatives	28	Portfolio Swaps
167	FUTSWAP	FuturesOnASwap	Derivatives	29	Futures on a Swap
167	FWDSWAP	ForwardsOnASwap	Derivatives	30	Forwards on a Swap
167	FWDFRTAGMT	ForwardFreightAgreement	Derivatives	31	Forward Freight Agreement
167	SPREADBET	SpreadBetting	Derivatives	32	Spread Betting
167	Other	Other	Other	7	Other
803	84	LegalEntityIdentifier		84	Legal Entity Identifier (ISO 17442) LEI
1450	JR	Junior		3	Junior	In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
1450	MZ	Mezzanine		4	Mezzanine	In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
1450	SN	SeniorNonPreferred		5	Senior Non-Preferred	For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).
1939	34	DividendIndex	Equity	34	Dividend index
1939	35	StockDividend	Equity	35	Stock dividend
1939	36	ExchangeTradedFund	Equity	36	Exchange traded fund
1939	37	VolatilityIndex	Equity	37	Volatility index
1939	38	FXCrossRates	Currency	38	FX cross rates
1939	39	FXEmergingMarkets	Currency	39	FX emerging markets
1939	40	FXMajors	Currency	40	FX Majors
1939	41	Fertilizer	Commodity	41	Fertilizer
1939	42	IndustrialProduct	Commodity	42	Industrial product
1939	43	Inflation	Commodity	43	Inflation
1939	44	Paper	Commodity	44	Paper
1939	45	Polypropylene	Commodity	45	Polypropylene
1939	46	OfficialEconomicStatistics	Commodity	46	Official economic statistics
1939	47	Other	Other	47	Other C10	Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".
1939	48	Other	Other	48	Other	May be used with any AssetClass(1938) values.

Components

Components Added

ComponentID	ComponentType	CategoryID	Name	AbbrName	Description	Elaboration
2262	BlockRepeating	Common	IndexRollMonthGrp	NdxRollMo	Used for specifying multiple roll months in a given year for an index.	For MiFID II RTS 2 Annex IV Table 2 reference data - all months when the roll is expected as established by the CDS index provider for a given year - repeated for each month in the roll.
2263	BlockRepeating	Common	ReferenceDataDateGrp	RefDataDt	Used to carry the different date-time stamps related to the reference data entry.	In the context of MiFID II, ESMA RTS 23 Annex I Table 3 reference data this component is used to convey the UTC date-times tracking the admission and expiration of a security for trading.
2264	Block	Common	FloatingRateIndex	RtNdx	Used to identify the floating rate index.	In the context of MiFID II RTS 23 Annex I Table 3 reference data - statement of the attributes of the index/benchmark of a floating rate security.

Message/Component Content

Message/Components Content Changes

ComponentID	TagText	Description
1003	1938	Required if AssetSubClass(1939) is specified.
1003	1939	Required if AssetType(1940) is specified.
1003	1940	Required if AssetSubType(2735) is specified.
2226	1978	Required if SecondaryAssetType(1979) is specified.
2226	1979	Required if SecondaryAssetSubType(2741) is specified.
1005	2067	Required if LegAssetSubClass(2068) is specified.
1005	2068	Required if LegAssetType(2069) is specified.
1005	2069	Required if LegAssetSubType(2739) is specified.
2232	2078	Required if LegSecondaryAssetType(2079) is specified.
2232	2079	Required if LegSecondaryAssetSubType(2743) is specified.
1021	2013	Required if UnderlyingAssetSubClass(2014) is specified.
1021	2014	Required if UnderlyingAssetType(2015) is specified.
1021	2015	Required if UnderlyingAssetSubType(2744) is specified.
2233	2082	Required if UnderlyingSecondaryAssetType(2083) is specified.
2233	2083	Required if UnderlyingSecondaryAssetSubType(2745) is specified.

Messages/Components Content Added

ComponentID	TagText	Indent	Position	Description
1003	2735	0	14.8158
1003	2737	0	34.25
1004	2736	0	4
1004	IndexRollMonthGrp	0	5
1004	2738	0	6
1004	FloatingRateIndex	0	7
1004	ReferenceDataDateGrp	0	8
2226	2741	1	5
2262	2734	0	1
2262	2733	1	2	Required if NoIndexRollMonths(2734) > 0.
2263	2746	0	1
2263	2747	1	2	Required if NoReferenceDataDates(2746) > 0.
2263	2748	1	3
2264	2731	0	1	Conditionally required when FloatingRateIndexIDSource(2732) is specified.
2264	2732	0	2	Conditionally required when FloatingRateIndexID(2731) is specified.
2264	2730	0	3	Conditionally required when FloatingRateIndexCurvePeriod(2728) is specified.
2264	2728	0	4	Conditionally required when FloatingRateIndexCurveUnit(2730) is specified.
2264	2729	0	5
4074	43090	0	2.3	Conditionally required when PaymentStreamRateIndexIDSource(43091) is specified.
4074	43091	0	2.6	Conditionally required when PaymentStreamRateIndexID(43090) is specified.
4155	43094	0	26
1005	2739	0	14.7
1005	2740	0	34.25
2232	2743	1	5
4039	43088	0	2.3	Conditionally required when LegPaymentStreamRateIndexIDSource(43089) is specified.
4039	43089	0	2.6	Conditionally required when LegPaymentStreamRateIndexID(43088) is specified.
4206	43095	0	26
1021	2744	0	79.25
1021	2742	0	35.25
2233	2745	1	5
4063	43092	0	2.3	Conditionally required when UnderlyingPaymentStreamRateIndexIDSource(43093) is specified.
4063	43093	0	2.6	Conditionally required when UnderlyingPaymentStreamRateIndexID(43092) is specified.
4257	43096	0	26