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 EP187.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

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 ability to accommodate terminated trades in the netting process as well as a method to reference a Unique Swaps Identifier(USI) as part credit events associated with the life cycle of a CDS trade.

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.

[Updated 2013-04-25] Update of repository and FIXML Schema due to correction of EP164.

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) from an exchange to a CCP.

TradeMatchReport
TradeMatchReport messages are used by exchanges and ECN’s to report matched trades to CCPs as an atomic event. The messages are used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which complex instruments can match with simple instruments.

TradeMatchReportAcknowledgement
TradeMatchReportAcknowledgement messages are optionally used by CCPs to acknowledge the receipt of a TradeMatchReport. Their primary use is to send a negative acknowledgement to the exchange indicating a problem with a TradeMatchReport.

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.

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 trade to identify one or more related positions

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.

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 Report Harmonization
• Strategy Link ID
• Position Report Harmonization

The extensions impact the standard FIX messages TradeCaptureReport, TradeCaptureReportAck and TradeCaptureReportRequest.

The following new component blocks are being added to one or more of these messages:

• TradeAllocAmtGrp – monetary amounts associated with allocated positions
• TradePriceConditionsGrp – price conditions associated with a trade that impact trade price
• TradeQtyGrp – quantities of the trade that have been processed and the type of processing that has occurred for that trade quantity
• TradePositionQty – position quantities associated with the trade

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.

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 disseminates rate schedules. This proposal extends the FIX Protocol to allow communication of this information. It will facilitate billing according to give-up agreements.

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 2012-02-22] Added repository and FIXML Schema. ASBUILT document updated.

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 Firm and Take-up Clearing Firm. Allocation flows comprise 2-, 3-, and 4-party models.

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 2011-12-27] Added repository and FIXML Schema. ASBUILT document updated.

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 pay/collect data for each Clearing Member level account type. Clearing Member Account type will be described through use of the Parties component group and Parties sub-component group.

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 2011-12-20] Added repository and FIXML Schema. ASBUILT document updated.

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 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 2011-12-06] Added repository and FIXML Schema.

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 Europe and US today. The effort is been coordinated by the FIA.

Update History

[Updated 2013-12-09] Updated FIXML Schema and FIX Repository files due to update to the FIX 5.0 SP2 base. See SP2 20131209 Errata Release Notes for details.

[Updated 2011-10-04] Repository updates, EP content not impacted.

[Updated 2011-10-04] FIXML Schema updated to correct generation errors.

[Updated 2011-11-21] ASBUILT, FIX Repository and FIXML Schema updated to correct errors.