Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the Pre-Trade Credit Check Proposal. This gap analysis is the result of analysis completed by the Messaging Sub-Group of the FIA/ISDA Joint Working Group that was created to address pre-trade clearing certainty for cleared swap transactions through all combinations of trade parties. This Joint Working Group was tasked with defining the requirements and use cases so FpML and FIA can define or enhance existing messaging standards to support the requirements. This work is a response to a regulatory requirement detailed in the CFTC’s Rule 1.73 for Dodd-Frank Act.
This gap analysis proposal describes enhancements needed in FIX to support the pre-trade credit limit check workflows between customers, dealers, clearing members, execution venues (such as swaps execution facilities or SEFs), and the clearinghouse.
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/7423/FIX%20Protocol%20Gap%20Analysis%20-%20Pre-trade%20credit%20check%20for%20clearing%20certainty%20-%20v1.2.docx
The public comment period ends on March 27, 2013.
Review comment #1:
RiskLimitCheckTransType value 2=“Limit consumed”. XXXTransType fields should have purely technical values, e.g. New/Replace/Cancel. Only exception is PosTransType(709). Additional XXXType fields can capture non-technical information about the transaction, e.g. TradeReportTransType(487) in combination with TradeReportType(856) is an example of that. Suggest to add optional field RiskLimitCheckType with valid values “0=Submit” and 1=“Limit consumed” and add value 2=“Replace” to RiskLimitCheckTransType. RiskLimitCheckType 0=“Submit” would be used to maintain credit reservations (with RiskLimitCheckTransType New/Cancel/Replace) whereas 1=“Limit consumed” would consume the reserved credit (with RiskLimitCheckTransType 0=New), reverse the consumed credit (with RiskLimitCheckTransType 1=Cancel) or correct the consumed credit (with RiskLimitCheckTransType 2=Replace).
Review comment #2:
Field name RiskLimitCheckRequestMsgID. Identifiers of request messages should be XXXRequestID, e.g. RiskLimitRequestID(1666). Suggest to change name to RiskLimitCheckRequestID.
Review comment #3:
PartyRiskLimitCheckRequest (and other party messages) use which already includes a group of related parties. PartyActionRequest has deviated from that and used together with on the same level. Suggest to align with other party messages and only use .
Regards,
Hanno.
PartyActionReport currently only allows to respond to a request (PartyActionRequestID is a required field). The message should also allow an unsolicited notification of a party other than the submitter of the request, e.g. to the credit user that has been halted.
New fields in PartyActionRequest/Report messages are missing in the data dictionary and need to be added.
Field name PartyActionRequestType should simply be PartyActionType to better support unsolicited PartyActionReport messages. Same approach has been used for MassActionType(1373) in the OrderMassActionRequest/Report messages.
Valid values of PartyActionType should include 3=Warning to be able to use PartyActionRequest/Report to issue or convey warnings for breaching a risk limit. Add field RiskLimitID(1670) to be able to identify the limit that has been breached and that has led to an action on the party.
Suggest to add RiskLimitID(1670) to PartyRiskLimitCheckRequest(Ack) messages to allow to reference a specific limit that has been defined with PartyRiskLimitsDefinitionRequest.
This proposal has been updated with changes to reflect the disposition of public comments received from the forum and privately. http://fixprotocol.org/documents/7423/FIX%20Protocol%20Gap%20Analysis%20-%20Pre-trade%20credit%20check%20for%20clearing%20certainty%20-%20v1.3_changetracked.pdf
The Global Technical Committee has reviewed and preliminarily approved the Pre-Trade Credit Check Proposal. This gap analysis is the result of analysis completed by the Messaging Sub-Group of the FIA/ISDA Joint Working Group that was created to address pre-trade clearing certainty for cleared swap transactions through all combinations of trade parties. This Joint Working Group was tasked with defining the requirements and use cases so FpML and FIA can define or enhance existing messaging standards to support the requirements. This work is a response to a regulatory requirement detailed in the CFTC’s Rule 1.73 for Dodd-Frank Act.
This gap analysis proposal describes enhancements needed in FIX to support the pre-trade credit limit check workflows between customers, dealers, clearing members, execution venues (such as swaps execution facilities or SEFs), and the clearinghouse.
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/7423/FIX%20Protocol%20Gap%20Analysis%20-%20Pre-trade%20credit%20check%20for%20clearing%20certainty%20-%20v1.2.docxThe public comment period ends on March 27, 2013.