Extension of instrument attributes to support the industry initiative to accelerate the adoption of FIX for Fixed Income.

The Global Fixed Income Technical subcommittee has produced a set of best practices documents (4 volumes), Best Practices: FIX Message Flows and Usage for Interest Rate Swaps (IRS) and Credit Default Swaps (CDS). This set of best practices document focuses on the use of FIX 5.0 SP2+ for the pre-trade and trade activities for CDS and IRS securities between the banks (dealer) and the Swap Execution Facilities (SEFs). As a result of this effort some gaps have been identified which are being closed with this extension.

The quote/negotiation model between SEFs and banks requires that under certain situations a new instrument definition needs to be sent embedded within the QuoteRequest or QuoteResponse messages. The new component LegSecurityXML (within the InstrumentLeg component) will enable sending a new multi-leg Instrument XML definition embedded within the standard FIX definition of legs. This facilitates the cases where bespoke CDS and IRS securities are used in the negotiation.

The LegSecurityXML component is modeled in the same manner as the existing SecurityXML component found in the Instrument component.

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 2012-06-18] Added ASBUILT document, FIXML Schema and FIX Repository.