Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the FIA Post-Trade Credit Limit Check Extensions. This gap analysis defines extensions and message flows for credit limit checks that occur post-trade.
CFTC Regulation 1.74 requires FCMs to coordinate with each derivatives clearing organization (“DCO”) to allow the FCM or the DCO to accept or reject each trade submitted to the DCO as quickly as would be technologically practicable if automated systems were used.
Today, FIX supports a method for a DCO (clearing house) to notify an FCM (clearing firm) of an alleged OTC trade, and for the clearing firm to send a message to the clearing house accepting or declining the trade. Alternately, a clearing firm could opt to provide the clearing house with limits or rules, and the clearing house could enforce these rules automatically to accept or reject each alleged trade.
However, the FIX message used to notify clearing firms of alleged trades does not differentiate between trades that have satisfied a limit or rule and trades that require a positive or negative response from the clearing firm. This gap analysis defines an extension that clarifies this distinction. Additionally, following approval or rejection, this extension enables the clearing house to report the cause for the approval or rejection.
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at:
http://fixprotocol.org/documents/7670/FIX%20Protocol%20Gap%20Analysis%20-%20Post-trade%20credit%20check%20-%20v0.3.docx
The public comment period ends on July 4, 2013.