Tag: Extension packs

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...

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 1 covers extensions to support Credit Default Swaps and Interest Rate Swaps. The Dodd-Frank Act’s 17 CFR Part...

This Extension Pack provides enhancements to the SecurityList(35=y) message to support the Options Clearing Corp.’s requirements to provide theoretical profit and loss data to their customers. As the sole vendor approved by the SEC to disseminate theoretical profit/loss files for Risk Based Haircut (RBH) and Customer Portfolio Margining (CPM) programs, the OCC is converting their...

This Extension Pack provides further enhancements to the quote and negotiation work flows as a result of the Global Fixed Income Committee’s work on best practices for using FIX for CDS and IRS electronic trading. The extensions provide the ability for execution venues and dealers to identify the different time periods relevant to quote/negotiation models....

This Extension Pack provides a new SecurityIDSource(22) value to support Bloomberg’s Open Symbology (BSYM) values for security identifiers. While the FIX Protocol has long supported a SecurityIDSource(22) value of “A” for Bloomberg symbols, the new BSYM initiative warrants a new SecurityIDSource value to distinguish between the Bloomberg legacy symbology from the new Bloomberg Open Symbology....

Section 724(a) of the Dodd-Frank Act inserted a new section 4d(f) to the Commodity Exchange Act (ACE), which requires the segregation of cleared swaps, and associated collateral, pertaining to customers. This is referred to as the Legally Segregated Operationally Commingled (LSOC) Model (also known as the Complete Legal Segregation Model). This extension pack provides the...

This extension provides a new PartyIDSource(447) to specify the new Legal Entity Identifier or LEI (ISO 17442) as an ID source scheme for identifying parties. 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...

A new CFTC reporting requirement called Customer Gross Margining (CGM), CFTC Regulation 39.13(g)(8)(i), will require a significant change in how DCOs calculate performance bond (initial margin) requirements for customer positions. DCOs will be required to set minimum performance bond levels as the sum of requirements calculated for each individual customer account. This extension adds new...

Additional Unit of Measure enumerations to support trading in gross tons and kilograms. 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...

Add-on to EP140 to correct anomalies. Change of PosMaintStatus(722) field from required to conditionally required when responding to a PositionMaintenanceRequest message. Change PositionQty component from required to conditionally required when PosMaintAction(712) is any of the action values other than 3=Cancel. Update History [Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for...