PRIIPS RTS

Dear All,

As a small Private Wealth Manager based in France, we are a user of the FIX protocol via EMSX.
I see that you have worked a lot on adapting the protocol to the MIFID II requirement - thank you !

Are there fields / tags that have been added to deal with the PRIIPS regulation ?
(see : https://eba.europa.eu/regulation-and-policy/consumer-protection-and-financial-innovation/regulatory-technical-standards-on-the-content-and-presentation-of-the-kids-for-priips )

In particular it is required for each transaction to save the “arrival price” (ie the price of the security at the time the trade is transmitted) ? Is there a field to get that info ?

Thanks a lot

Jerome

Hi Jerome,

what you are referring to sounds like market data information, i.e. publicly available prices at certain points in time. Currently, FIX has separate messages for transactions and market data, although transactions may reference market data, e.g. for a hit&take market. There are new business requirements in the context of the Consolidated Audit Trail in the US where current best prices need to be attached to order events. FIX may be extended for this purpose in the near future.

However, there is already something that may help. Take a look at EP131 (https://www.fixtrading.org/packages/ep131/), section 2.12 (Underlying Price Contingency Orders). FIX was extended with a few generic tags where you can refer to related high/low prices and where they come from. The context was derivatives, hence the new fields were made available on NewOrderMultileg(35=AB) and ExecutionReport(35=8).

RelatedHighPrice(1819)
RelatedLowPrice(1820)
RelatedPriceSource(1821)

The FIX working groups related to MiFID II have not dealt with PRIIPS specifically as far as I know. I also do not know what EMSX has to offer or will offer for PRIIPS.