The Global Technical Committee has published an errata version of EP300 to correct a number of issues detected with the initial publication in December (see here). The ASBUILT document contains a detailed list of the minor errata changes in Chapter 8.
The main change is shown in Appendix A of the ASBUILT document and affected the introduction of new values for RegulatoryReportType(1934) to support new post-trade flags introduced by ESMA for the EU Consolidated Tape and related to volume omission and four weeks aggregation. However, FIX Latest already supported these flags with the following values, resulting in semantically duplicate field values.
13 = Volume Omission Trade (VOLO)
14 = Four Weeks Aggregation Trade (FWAF)
19 = Full Details of “Volume Omission Trade” (FULV)
20 = Full Details of “Four Weeks Aggregation Trade” (FULJ)
ESMA issued new flags that are identical in semantics but only apply to sovereign bonds. The existing flags only apply to derivatives. Therefore, the new values of RegulatoryReportType(1934) were removed again and the new ESMA flags were added to the elaborations of the existing values as follows.
13 = Volume Omission Trade (VOLO, OMIS)
14 = Four Weeks Aggregation Trade (FWAF, AGFW)
19 = Full Details of “Volume Omission Trade” (FULV, FULO)
20 = Full Details of “Four Weeks Aggregation Trade” (FULJ, FULG)
FIX Latest always uses the field RegulatoryReportType(1934) in conjunction with a single instrument, e.g. volume omission trades for two different asset classes will be sent in two different messages or two different instances of a repeating group. Hence, there is no ambiguity in terms of which ESMA post-trade flag applies to which value in FIX.
The recommended practice documents for the EU Consolidated Tape (bonds and equities) are currently being updated and will be published in due course. Apologies for the inconvenience this may cause for those that have already implemented EP300 based on the initial publication.
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