cftc – FIX Trading Community

EP187 CFTC Parts 43/45 Phase 3 – Foreign Exchange

FIXTrading Community — Tue, 20 Jun 2017 16:25:12 +0000

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.

EP177 CFTC Parts 43-45 Addendum

FIXTrading Community — Tue, 20 Jun 2017 16:07:30 +0000

This Extension Pack extends the support for CFTC Part 43 and 45 extensions to include support for the CFTC regulatory requirements regarding reporting of swaps to Swap Data Repositories in the United States.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161, EP169 and EP170.

[Updated 2014-05-13] The final Extension Pack proposal file, FIXML Schema and FIX Repository files have been updated and posted.

EP171 CFTC Rule 1.73 Pre-trade Credit Check

FIXTrading Community — Tue, 20 Jun 2017 15:55:29 +0000

This Extension Pack enhances the pre-trade credit limit check workflows between customers, dealers, clearing members, execution venues (such as swaps execution facilities or SEFs), and the clearinghouse. This work is a response to a regulatory requirement detailed in the CFTC’s Rule 1.73 for Dodd-Frank Act and was developed by the Messaging Sub-Group of the FIA/ISDA Joint Working Group.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161, EP169 and EP170.

[Updated 2014-05-13] The final Extension Pack proposal file, FIXML Schema and FIX Repository files have been updated and posted.

EP169 CFTC Parts 43/45 Phase 2 – Commodity Swaps

FIXTrading Community — Tue, 20 Jun 2017 15:52:28 +0000

Update History

[Updated 2015-08-17] Revised FIXML Schema and FIX Repository to reflect changes to EP161. Revised the ASBUILT, FIX Repository and FIXML Schema as per details listed in the file EP169_Revisions_20015_08_17.pdf.

[Updated 2014-06-13] Revised abbreviated name for LegProtectionTermEventQualifier(41634) and thus FIXML name.

[Updated 2014-05-12] Release of all file artifacts for this Extension Pack 169.

EP162 CFTC Part 39 Reporting Extensions

FIXTrading Community — Tue, 20 Jun 2017 15:41:44 +0000

This Extension Pack provides enhancements to the AccountSummaryReport and Position management messages to meet CFTC Part 39 end of day reporting requirements.

On November 8, 2011, the Commodity Futures Trading Commission (“Commission” or “CFTC”) published “Derivatives Clearing Organization (“DCO”) General Provisions and Core Principles,” amending 17 CFR Parts 1, 21, 39, and 140. This final rulemaking includes DCO reporting rules that become effective on November 8, 2012 and are set forth in Part 39, Section 39.19 of the Commission’s regulations. The rules cover daily, quarterly, annual, and event-specific reporting. This gap analyisis pertain to submission of daily reports under:

Section 39.19(c)(1), which requires reports from DCOs for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement;
Section 39.19(c)(1)(i)(A), addresses initial margin;
Section 39.19(c)(1)(i)(B) addresses variation margin;
Section 39.19(c)(1)(i)(C) addresses other cash flows collected from or paid to each CM;
Section 39.19(c)(1)(D) addresses end-of-day positions. Division of Clearing and Risk (“Division” or “DCR”) will accept existing Part 16 reporting for Futures and Options and Commodity Swaps (Clearport and ICE Europe).

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161.

[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 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-09-26] Revised the FIXML Schema and FIX Repository to reflect changes in EP161.

EP161 CFTC Parts 43/45 Phase 1 – Credit Default and Interest Rate Swaps

FIXTrading Community — Tue, 20 Jun 2017 15:40:14 +0000

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://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2011-33173a.pdf

17 CFR Part 45: http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2011-33199a.pdf

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

[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).

EP147 CFTC Large Trader Reporting Extensions II

FIXTrading Community — Tue, 20 Jun 2017 15:15:57 +0000

Add-on to EP140. Although CFTC documentation and feedback called for separate units of measure for all prices and quantities, the working group perceived that the unit of measure for strike price and settlement price for reportable options would always be the same. On January 20, 2012, CFTC concurred that there was no known business case but asked us to separate them anticipating that products reportable under the Part 20 rule will become increasingly complex and exotic.

Update History

[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 2012-12-03] FIXML Schema and FIX Repository updated to resolve schema validation errors reported.

[Updated 2012-06-25] Update of repository and FIXML Schema due to correction of EP131.

EP140 CFTC Large Trader Reporting Extensions

FIXTrading Community — Tue, 20 Jun 2017 15:02:21 +0000

Extensions of the standard FIX PositionReport message to support large trader reporting rules for physical commodity swaps and swaptions published by the Commodity Futures Trading Commission on July 22, 2011 (76 FR 43851).

The reporting rules became effective on September 20, 2011 and are codified in new Part 20 of the Commission’s regulations. The reporting rules require daily reports from clearing organizations, clearing members and swap dealers.

Submitted open interest data must be reported on a futures equivalent basis in terms of contracts listed in the reporting rules. Open interest attributable to uncleared swaps must also be reported separately by the counterparty to such swaps.

Update History

[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 2012-12-03] FIXML Schema and FIX Repository updated to resolve schema validation errors reported.

[Updated 2012-06-25] Update of repository and FIXML Schema due to correction of EP131.

[Updated 2012-03-24] Updated ASBUILT document, FIXML Schema and FIX Repository to correct two issues reported by users related to incorrect data type for a new field and incorrect new enumeration values description.

CFTC – Parts 43-45 Phase III FIX Gap Analysis

FIXTrading Community — Thu, 16 Feb 2017 03:48:10 +0000

CFTC – Parts 43-45 Phase III FIX Gap Analysis

CFTC – FIX Response to Technical Specifications for Swap Data Reporting

FIXTrading Community — Mon, 07 Mar 2016 02:53:07 +0000

Swap Data Reporting