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EP189 FIA PTWG Position Transfer

This Extension Pack introduces new FIX messages to support the transfer of customers’ positions from the defaulting clearing firm to one or more target clearing firms as proposed by the Futures Industry Association’s Post-trade Working Group. Update History [Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161, EP169, EP170, and...

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EP165 FIA PTWG CDS Trade Netting, and Credit & Succession Enhancements

This Extension Pack provides enhancements to address clearinghouse netting of CDS trades for the same instrument into single trades for keeping positions need to account for the termination of the original cleared trades, in addition to the creation of netted trades, each with a unique USI assigned by the clearinghouse. This EP addresses specifically the...

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EP150 FIA PTWG Trade Match Report

New messages to convey complete match events from an exchange to a CCP. A match event is a single matching engine transaction comprising multiple instruments (simple and complex), multiple counterparties, and multiple trade prices (outright and implied). The following new messages support submission of matched trades (including complex match events with support for implied matches)...

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EP142 FIA PTWG Related Trades and Positions

Extensions to support explicit relationships between trades and positions in the corresponding messages. This extension allows to express various types of relationships between transactions, supporting diverse business flows, without making changes to the current FIX semantics. A trade to identify one or more related trades A position to identify one or more related trades A...

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EP141 FIA PTWG Trade Reporting Extensions

Various extensions of the trade reporting messages to support workflows between clearinghouses and clearing firms. The list of extensions is as follows: Trade Splitting Trade Netting Indication of Offset or Onset MiFID Trade Price Conditions Allocation Gap Analysis Harmonization Allocation Amount Reporting Allocation Status Reporting Clearinghouse as a Trade Venue Trade and Allocation Quantities Execution...

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EP133 FIA Execution Source Code Gap Analysis

Ability for firms to communicate execution source information (e.g. phone orders, desk orders, algorithmic orders) end-to-end, from execution through clearing and settlement. The Futures Industry Association has defined a list of execution source codes in the document “FIA Voice and Direct Identifier” dated November 23, 2010 for use in FIA’s EGUS system which stores and...

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EP118 FIA PTWG Allocation Extensions

This significant extension mainly addresses the allocation (give-up/take-up) workflows between clearinghouses and clearing firms. It also covers average price grouping of trades. In addition to extensions of messages and fields, recommended workflows and state change models for allocations are provided. This includes new, explicit PartyRole values for Give-up Trading Firm, Give-up Clearing Firm, Take-up Trading...

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EP117 FIA PTWG Account Summary Report

The Account Summary Report provides each Clearing Member with data related to margin for all instrument types and premium and cash settlements in addition to the Clearing Member’s clearing fund account detail. The Account Summary Report is provided by the CCP to its Clearing Members on a daily basis. It contains margin, settlement, collateral and...

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EP109 FIA PTWG Contingent Price for Positions

Provision of an additional price value for positions that is the result of calculations for additional variation margin to address delivery and settlement risk. The price is different from the settlement price, in that this price is risk adjusted. The price is considered contingent. Update History [Updated 2013-12-09] The FIXML Schema and FIX Repository files...

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EP102 FIA Margin Requirements

For the past two years, the FIA Post Trade Working Group (PTWG) has been meeting to come up with a comprehensive set of business processes, work flows and message flows supported by the major clearing entities in Europe and the United States. The effort started by identifying all the business processes supported by CCPs in...