Alex Lim
6 June 2017 10:03pm
could anyone please provide / point to the right direction latest MiFID post trade transparency report attributes and FIX 5.0 tags mapping?
Thank you
FIX Trading Community
7 June 2017 7:30am
Hi Alex, All of the MiFID documentation that has been produced can be found here -
http://www.fixtradingcommunity.org/pg/structure/tech-specs/additional-resources/fix-and-regulation/fix_mifid-ii
Extension Packs 222 and 228 give details of the post-trade transpasparency work that has been done so far.
Alex Lim
8 June 2017 6:13pm
thank you for providing this.
It was very helpful.
I still could not find which FIX tags to use for:
- EmissionsType
- Publication date time
- Venue of publication
- Transaction to be cleared
could you please help?
many thanks again
Dean Kauffman
8 June 2017 9:24pm
Alex,
Three of your attributes do have (or soon will have) FIX equivalents:
2) Publication date time:
TrdRegTimestamps component with TrdRegTimestampType(770)=11 (Publicly reported) or 12 (Public report updated)
3) Venue of publication:
Parties component with a new PartyRole(452) value: (Publishing intermediary) - This was proposed a few weeks ago and will have an enumeration assigned shortly.
4) Transaction to be cleared:
ClearingIntention(1924)=0 (Do not intend to clear) or 1 (Intend to clear)
Now for your first attribute 1) EmissionsType: Although the FIX Global Technical Committee has covered a large swath of the MiFID II requirements, unfortunately we haven’t tackled RTS 2 Annex IV Table 2 which drills down into security attributes required when there is no ISIN. That leaves EmissionsType without an appropriate FIX equivalent. My expectation is that these (as well as the entire DSB commodity hierarchy) will map to a newly minted field as shown here:
AssetClass(1939)=5 (Commodity)
AssetSubClass(1939)=18 (Environmental)
AssetType(1940)=
Emissions
Weather
Carbon Related
Then within Emissions: NewTag(tbd)=
CER
ERU
EUA
EUAA
Other
Alex Lim
9 June 2017 6:29pm
Hi Dean,
thank you SO MUCH for this post.
I have Q WRT Price and Price Currency for interest rate cross currency swaps such as:
- Fixed for Fixed
- Fixed for Float
- Float for Float (basis)
What regulators expect for Price and Price currency for these types of derivative trades?
Thank you
Dean Kauffman
12 June 2017 4:56pm
Alex,
This simple question has a long answer and I cannot speak for what the regulators expect. The best path would be to publish the price denominated in the way the quote was posted or the trade was negotiated.
There are several ways that swaps are priced in the market. The price for a fixed/float IRS without a pre-defined fixed rate will be the market interest rate for the fixed stream [PriceType(423)=24 (Interest rate)]. But the price for fixed/float with a pre-defined rate will either be a fixed amount [PriceType(423)=3] or a percentage of notional [PriceType(423)=25] to compensate for the spread between the market fixed rate and the stated rate. A fixed/fixed or float/float will also likely be priced fixed amount [PriceType(423)=3] or percentage of notional [PriceType(423)=25].
CDS pricing is similar - the normal PriceType(423) values used are 22 (Basis points), i.e. the rate spread between the standard rate and the market rate, 23 (Upfront points), the effect of the rate spread translated into a fee to be paid on settlement, and PriceType(423)=3 (Fixed amount) the calculated upfront fee.
Venues that have not implemented the higher-numbered PriceType(423) values for derivatives might be using 1 (Percentage) instead of 25 (Percentage of Notional), 6 (Spread) instead of 22(Basis points) and 9 (Yield) instead of 24 (Interest rate).
Regards,
Dean
Alex Lim
20 June 2017 4:50pm
Thanks Dean.
what do you think should be price, price currency, notional, and notional currency for this specific Cross Currency IRS deal:
- fixed leg is USD with pre-defined fixed rate of 1.455% and notional amt of 100,000.00
- float leg is EUR with 3M LIBOR rate with spread of 0.55% and notional amt of 90,000.00
very much appreciated,
alex
Dean Kauffman
20 June 2017 10:22pm
Alex,
Interesting question - the price of the contract depends on how it was negotiated:
If the client stated he would pay LIBOR plus 550 bps for the floating stream and the market maker quoted the fixed stream at 1.455% then 1.455% is the price.
If the client stated he wanted to receive 1.455% for the fixed stream and the market maker quoted a 550 bps spread to the LIBOR for the floating stream then 550 bps is the price.
If both rates were pre-set and the market maker charged a fee for the contract then the fee is the price.
Dean