Tech Talk continued
effective Sept. 30. Allocation (give-up) messaging is now being tested by vendors and is
expected to be live at the end of the first quarter 2010. The specifications for PCS (position
change submission) have been submitted to
the vendors, but are not yet in production.
ICE Clear Europe, which launched in fall
2008, is still using legacy technology from its
prior clearing arrangement with LCH.Clearnet,
which did not use FIXML for message delivery.
ICE Clear Europe plans to move to FIXML in
third or fourth quarter 2010. Testing for the
end-of-day trade match-off reporting has
already begun. Trade and allocation management and PCS will begin testing with vendors
at the end of the second or third quarter.
Plans to implement FIXML for ICE
Canada have not been announced.
Eurex—The “Enhanced Risk Solution,”
due in first quarter 2010 as part of Eurex
release 12, will include real-time risk informa-
tion for clearing members. Currently, margin
requirement information is delivered at 10-
minute intervals. The new Eurex interface will
use FIXML messages to alert clearing members
whenever an event occurs that triggers a recal-
culation of margin. FIXML messages will be
available only through the AMQP (Advanced
Message Queuing Protocol), the new protocol
Eurex is adopting to transport messages
between the exchanges and clearing members.
In order to take advantage of the new messag-
ing, members need to implement AMQP as
well as have a FIXML processor. The launch of
the Enhanced Risk Solution, which includes
the FIXML messages, is tentatively scheduled
for March. Eurex is offering the real-time mar-
gin information in both its proprietary format
and FIXML to test the clearing members
appetite for FIXML. Further implementation of
FIXML will be driven by member demand.
Global Standards Initiatives
By Lisa Taikitsadaporn and Jim Northey
ISO 20022 Activities
ISO 20022 is being positioned as the primary repository (dictionary) for
financial messaging globally. ISO 20022 originally was intended to create a
common XML based syntax across all parts of the financial services sector,
from core banking and payments to financial securities processing. From
the original intensions of a single common syntax, the pragmatic idea of a
common message model and common business model, across all parts of
the financial services supply chain, gained widespread acceptance. The
models support multiple syntaxes, including FIX and FIXML.
ISO 20022 activities are coordinated by the ISO 20022 Registration
Management Group that is responsible for overseeing the creation and
maintenance of messages based upon the ISO 20022 standard. SWIFT,
FpML, and FIX Protocol Ltd. are active participants in the ISO 20022
process. The major activities that are of interest to the listed derivatives
industry include:
Multiple syntax support beyond ISO 20022 XML—FPL is working
closely with SWIFT Standards to look into tooling that would allow for the
generation of alternate syntaxes from the ISO 20022 model. In Spring
2009, the ISO 20022 RMG approved the proposal, allowing submitters to
generate an alternate syntax other than ISO 20022 XML from the ISO
20022 model message. This initiative is designed to support the community of FIX users that have chosen to adopt FIX for certain business areas,
such as pre-trade, trade and post-trade processes (including listed derivatives clearing).
Pretrade/Trade Business Justification—submitted by FPL and
SWIFT covers equities, fixed income and listed derivatives, entailed the
reverse engineering of a specific set of FIX 5.0 messages into the ISO
20022 business and message model repository. At present the reverse
engineering work itself has been completed by SWIFT Standards and FPL.
The ISO 20022 Securities Standards Evaluation Group is conducting a
detailed review of the model changes. The review will ensure complete
mapping between FIX and the ISO 20022 model. The processes covered
include indication of interest, orders and order status.
Post-Trade Matching Business Justification—submitted by OMGEO
and SWIFT covers equities, fixed income, listed derivatives, repos, and
lending/borrowing. The processes covered include notices of execution,
matching of trade information between customers and brokers, and allocation of trades to funds or customer accounts. Additionally, FIX messages
will be reverse engineered into the ISO 20022 model to ensure consistency in the business model and the ability for FIX syntax generation for
these messages.
Post-Trade CCP Business Justification—submitted by FPL and
SWIFT, covers equities, fixed income and listed derivatives. This project
covers the post-trade processes between central counterparties and the
clearing members. The project is divided into two phases. Phase 1 covers
all CCP post-trade processes related to equities and fixed income. Phase
2 covers processes related to listed derivatives. However, processes that
are common to equities, fixed income and listed derivatives will be covered in Phase 1. FIX messages that support clearing activities will be
reverse engineered into the ISO 20022 model as part of this project. At
present the project is still in Phase 1.
Target2-Securities (T2S) business justification—submitted by four
European central banks and SWIFT in coordination with the European
Central Bank. According to an ECB publication, “T2S will provide harmonized delivery-versus payment settlement in central bank money in a variety of currencies for almost all heavily traded securities circulating in
Europe.” FPL is providing input into areas that overlap with FIX, specifically
in the areas of reference data—securities, market structure, party references. FIX messages that overlap business areas covered by T2S will also
be reverse engineered into the ISO 20022 model.
