This Extension Pack provides the means to accommodate Dodd-Frank Act 17 part 37 which requires a distinction between required transactions and permitted transactions.

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.

This Extension Pack includes enhancements that are used to meet the requirements of swap dealers and major swap participants to provide counterparties with pre-trade mid-market marks. Additionally the proposal also adds the existing RegulatoryTradeIDGrp component to two existing messages.

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.

This Extension Pack enhances the PartyEntitlement set of messages to accommodate an entitlement workflow model that involves a 3rd party, e.g. an execution venue.

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.

This Extension Pack enhances existing quote/negotiation message flows to allow for specifying a negotiation method that is needed negotiation of fixed income securities. Additional enhancements are also made to allow for the specification of workup (private and public phases) auctions that is commonly found on inter-dealer fixed income trading platforms.

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; and corrected a data type error in EP168 to resolve FIXML Schema validation error for a new field.

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

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.

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.

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.

Extension of quoting message flows 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 the QuoteStatusReport would be a bidirectional message given the current message usage definition of the message. A new message, QuoteAck, is being introduced to avoid having a bidirectional message in these flows. The QuoteAck message will only be used in the FIX message flows that support the negotiation dialog between parties where the issuer of the quote (e.g. the broker/dealer) governs the status of the quote.

The QuoteAck message does not supplant the use of QuoteStatusReport by centralized exchange quote models, where the exchange is the final arbiter of the status of a given quote. This is a very important distinction being made to ensure that the introduction of the QuoteAck does not disrupt existing exchange centric quote model implementations. The QuoteAck will be used to respond to a Quote and a QuoteCancel message to either accept or reject those messages.

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.

Minor extensions to support the U.S. tri-party repo market and close gaps identified by the GFIC in reviewing the results of the U.S. Tri-Party Repo Infrastructure Reform Task Force.

The extension includes the definition of user-defined tags for FIX 4.x implementations due to the regulatory nature of the gap analysis.

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.