PUBLIC COMMENT PERIOD - Recommended Practices - Bi-Lateral Repo Trade

This Bi-Lateral Repo trade recommended practices document was produced by the FIX Repo working group to define industry practices for Request for Quote and trade workflows for repurchase agreements in a bilateral setting. The purpose of this document is to define industry practices for common usage of FIX protocol for Request for Quote (RFQ), Quote, and trade messages for repurchase agreements (repos) in a bilateral setting.

The proposal is following the technical standards review process described in the document found here: https://www.fixtrading.org/packages/technical-standard-proposal-process/

This document now enters a public comment period in which public review and feedback is encouraged. The public comment period will be open until the 25th of May 2020.

A link to the proposal can be found here: https://www.fixtrading.org/packages/fix-recommended-practices-bilateral-repos-trade/

Please post feedback, comments, and questions as replies to this discussion thread.

Can we have a life cycle event for RERATE similar to REPRICE? Or is the practice suggesting to use the same approach and messages both for REPRICE and RERATE? We do have certain vendors who support RERATE and REPRICE as distinct events.

How do we specify the reject reason for TrdRptStatus being rejected?
TradeReportRejectReason is used to specify the reject reason whenTrdAckStatus is rejected.

Rerate and reprice are considered two separate life-cycle events involving different FIX messages.

RERATE comprises of re-negotiation flow between the two counterparties, propagating the new rate down to allocation and confirmation messages. We are introducing a new value for TradeContinuation(1937)=tbd (Rerate) to reflect this is a Rerate life cycle event. Please keep in mind, this value should be used when an existing open repo contract is re-rated due to shift in market conditions. For cases when repo contract has a new rate due to a change in contract details, TradeContinuation(1937)=8 (Amendment) is more appropriate. Please refer to section ‘Increase/decrease open repo terms’ in the trade recommended practices document for more information.

REPRICE, as known to the group, is mark-to-market price update of a collateral security and thus, doesn’t impact pre-trade or trade workflow. REPO WG’s recommendation is to use the CollateralReport(35=BA) message to provide unsolicited update of a collateral security.

Trade and Post-trade recommended practices documents will include the suggested workflows for Rerate and Reprice.

RejectText(1328) can be used to specify reject reason.