EP162 CFTC Part 39 Reporting Extensions

This Extension Pack provides enhancements to the AccountSummaryReport and Position management messages to meet CFTC Part 39 end of day reporting requirements.

On November 8, 2011, the Commodity Futures Trading Commission (“Commission” or “CFTC”) published “Derivatives Clearing Organization (“DCO”) General Provisions and Core Principles,” amending 17 CFR Parts 1, 21, 39, and 140. This final rulemaking includes DCO reporting rules that become effective on November 8, 2012 and are set forth in Part 39, Section 39.19 of the Commission’s regulations. The rules cover daily, quarterly, annual, and event-specific reporting. This gap analyisis pertain to submission of daily reports under:

• Section 39.19(c)(1), which requires reports from DCOs for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement;
• Section 39.19(c)(1)(i)(A), addresses initial margin;
• Section 39.19(c)(1)(i)(B) addresses variation margin;
• Section 39.19(c)(1)(i)(C) addresses other cash flows collected from or paid to each CM;
• Section 39.19(c)(1)(D) addresses end-of-day positions. Division of Clearing and Risk (“Division” or “DCR”) will accept existing Part 16 reporting for Futures and Options and Commodity Swaps (Clearport and ICE Europe).

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161.

[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 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-09-26] Revised the FIXML Schema and FIX Repository to reflect changes in EP161.