Extensions of the standard FIX PositionReport message to support large trader reporting rules for physical commodity swaps and swaptions published by the Commodity Futures Trading Commission on July 22, 2011 (76 FR 43851).

The reporting rules became effective on September 20, 2011 and are codified in new Part 20 of the Commission’s regulations. The reporting rules require daily reports from clearing organizations, clearing members and swap dealers.

Submitted open interest data must be reported on a futures equivalent basis in terms of contracts listed in the reporting rules. Open interest attributable to uncleared swaps must also be reported separately by the counterparty to such swaps.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2012-12-03] FIXML Schema and FIX Repository updated to resolve schema validation errors reported.

[Updated 2012-06-25] Update of repository and FIXML Schema due to correction of EP131.

[Updated 2012-03-24] Updated ASBUILT document, FIXML Schema and FIX Repository to correct two issues reported by users related to incorrect data type for a new field and incorrect new enumeration values description.

Files list:
CFTC Large Trader Reporting Extensions v1.5_ASBUILT.pdf

Total Files3
File Size2.08 MB
Create DateJune 20, 2017