EP075 – Support for Converted Swaps and MiFID AdditionalTradeTypes

This short proposal introduces a Trade Subtype value for a “Converted Swap”. CME’s use case allows a participant to tear up a vanilla OTC swap and replace it with a more liquid standardised cleared swap. The document gives the example of replacing a 30-year swap with a five-year swap to reduce counterparty risk and identifies the conversion as a privately negotiated trade.

It also proposes an OrderCategory value for “Request for Stream”. In that trading model, a participant reveals an intention to buy or sell a swap without stating a price, and market makers stream responsive prices. The changes allow downstream allocation and trade-capture messages to identify converted swaps and allow FIX implementations to distinguish a request-for-stream model from central-order-book trading.

Adds three TrdSubType values: Crossed Trade, Interim Protected Trade and Large in Scale. It also clarifies ReportedPxDiff to indicate that a reported price differs from the current market price, with TrdType and, where needed, TrdSubType explaining the reason. The proposal preserves the ability to combine the main trade type, subtype and secondary trade conditions without forcing conceptually independent attributes into a single code.