Fixed Income Derivatives Functional Changes November 2017 Genium INET

Transcription

1 Fixed Incme Derivatives Functinal Changes Nvember 2017 Genium INET Dcument Updated: 16 Octber 2017 Dcument Updates First versin published Updated: Trade Reprt type NTFI will nt be dismissed in Jan-18 Trade reprt type OTC will nt be applicable fr Fixed Incme Derivatives Pictures f Market mdels Reference t the exchange rulebk Updated launch dates fr: Intrductin f tw new trade reprt types - Changed frm Jan 2 nd t Jan 3 rd 4.4 Deferred Trade-Publicatin Changed frm Nv 20 t Jan 3 rd Added: - New chapter Change f FIX and OMnet API trade reprt Cde n NTFI - Infrmatin n Change f FIX and OMnet API trade reprt Cde n EXFI - New chapter 4.7 Trader ID validatin Added infrmatin abut new trade reprt types fr Package

2 Transactins in chapter and 4.2 fr exchange trades and fr OTC trades Updated infrmatin n new trade reprt types fr Package Transactins in chapter Table f Cntents 1 Intrductin General abut the cntracts, market and trading Bilaterally Traded cntracts Time limits n clearing f Bilaterally Traded cntracts Functinal changes related t bilaterally traded Generic Rates cntracts that are subject t Nasdaq pre-nvatin cllateral check and clearing brker affirmatin Functinal changes related t bilaterally traded cntracts that are nt subject t Nasdaq prenvatin cllateral check r clearing brker affirmatin Off rder bk traded cntracts Trade Registratin Trade reprt types Minimum Blck Trade Size Deferred Trade-Publicatin Package Transactins Time f agreement field Trader ID validatin Market Mdel - Nasdaq Fixed Incme Derivatives... 14

3 1 Intrductin The Genium INET release intrduces several updates t business functinality available fr the fixed incme derivatives market. Several f the new features will be activated in January 2018 rather than in cnnectin with the technical upgrade in Nvember. A draft versin f the new fixed incme derivatives market mdel dcument is planned t be published during September This dcument utlines planned functinal changes fcusing n updates t business lgic fr the purpse f facilitating implementatin and testing f the new release. The infrmatin prvided in this dcument is preliminary and may be subject t change pending, inter alia, cmpletin f r further guidance in MiFID II related level 2 and 3 texts, and in sme cases nging discussins r regulatry apprvals.

4 2 General abut the cntracts, market and trading This dcument will cver changes related t the fllwing fixed incme derivatives: Admitted fr trading and clearing CCY Admitted fr clearing nly CCY STIBOR FRA Frwards (FRA) Buy-sell-back/Sell-buy-back Rep Cntract STIBOR Futures (3STIBFRA) One Year Mid-Curve STIBOR-Future Optins Riksbank Future (RIBA) SGB-Future Optins Swedish Mrtgage Bnd Future STIBOR-Future Optins Swedish Gvernment Bnd Futures (SGB) STIBOR-FRA Frward Optins NIBOR Futures (3/6NIBFRA) NOK Buy-sell-back/Sell-buy-back DKK Rep Cntract DKK CIBOR Future (CIBOR) DKK NIBOR-FRA Frwards NOK NIBOR-FRA Optins NIBOR-Future Optins Overnight Index Swap (_OIS) Interest Rate Swap (_IRS) Frward Rate Agreement (_FRA) NOK NOK Additinal derivatives cntracts and currencies can be intrduced prir t the Mifid2 implementatin in January The functinalities mentined in this dcument will autmatically be applicable t thse cntracts and / r currencies. The abve-mentined cntracts n the left-hand side f the table are admitted fr trading accrding t the Exchange Rules f Nasdaq Derivatives Markets (the Exchange Rules ). All f the cntracts in the table are reprted fr clearing with Nasdaq Clearing in accrdance with the Clearing Rules f Nasdaq Derivatives Markets (the Clearing Rules ). Nne f the fixed incme derivatives mentined in this dcument has an rder bk in which trading can be perfrmed. This means that any trade in these instruments is negtiated either as an ff rder bk (manual) blck trade reprted t the exchange, r as a bilateral, ver the cunter (OTC) trade that is reprted nly fr clearing. The picture belw shws the different ways in which Nasdaq s listed standardized derivative cntracts can be executed. The tw bxes marked in green are valid fr the Nasdaq fixed incme derivatives.

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6 3 Bilaterally Traded cntracts All fixed incme derivatives mentined in the table in Chapter 2 f this dcument can be traded bilaterally (OTC) and in which case they will nt be cvered by the Nasdaq Derivatives Markets exchange rulebk. As the bilaterally traded cntracts are all eligible fr clearing with Nasdaq Clearing, the fllwing changes will be applicable in the Genium INET clearing system and in the market. 3.1 Time limits n clearing f Bilaterally Traded cntracts Transactins cncluded n a bilateral basis shall be reprted by the cunterparties t Nasdaq Clearing within 30 minutes frm the cnclusin f the transactin after which the CCP will accept r reject the transactin within 10 secnds. Nasdaq Clearing will nt intrduce any functinal changes related t this Mifid2 requirement. Generic Rates cntracts (Interest Rate Swaps, Overnight Interest Swaps and TM-Frward Rate Agreements) are subject t pre-nvatin cllateral check and clearing brker affirmatin (in cases f client trades) which means that they are subject t ther and mre cmprehensive time limits as specified in RTS26 f Mifid2. In rder t facilitate clearing brker adherence t these time limits, the Generic rates cntracts have several functinal updates in the cming release. 3.2 Functinal changes related t bilaterally traded Generic Rates cntracts that are subject t Nasdaq pre-nvatin cllateral check and clearing brker affirmatin See separate dcument Generic Rates Instruments Functinal Changes Nvember 2017 which is published here. 3.3 Functinal changes related t bilaterally traded cntracts that are nt subject t Nasdaq pre-nvatin cllateral check r clearing brker affirmatin Tw new trade reprt types will be intrduced fr bilaterally traded cntracts which are reprted fr clearing with Nasdaq Clearing. These tw new trade reprt types can be used in case the reprter wishes t reprt the trade t the Nasdaq APA. There will be in ttal three trade reprt types t chse frm when reprting a bilaterally traded cntract t Nasdaq Clearing. The currently used trade reprt type NTFI will cntinue t be used by bth SI:s and nn SI:s fr bilaterally traded cntracts which are

7 reprted fr clearing nly but it will be subject t sme amendments described in detail in The tw new trade reprt types can be used in case the reprter wishes t use the Nasdaq APA fr publicatin: OTFI: T be used fr OTC traded cntracts which shall be cleared and then disclsed thrugh the Nasdaq APA. SI: T be used fr OTC traded cntracts which shall be cleared and then disclsed thrugh the Nasdaq APA, where the reprting party is a Systematic Internaliser (trade reprt type is als valid fr equity derivatives). Trade Reprt ID OTFI (new) SI (new) Descriptin OTC Disclsed, FI Systematic Internaliser Disclsed, EQD & IRD Asset Class IRD EQD & IRD On/Off Exchange Off Off OMnet API Trade reprt Cde FIX trade reprt Cde Exchange Statistics Nne Nne Implementatin: The tw new reprt types will be intrduced n 3 rd f January Changes t currently used trade reprt Cde NTFI: The cde fr the currently used trade reprt type NTFI will be changed frm 0 t 111. This change will affect all members wh are reprting trades thrugh OMnet API r FIX. Trade Reprt ID NTFI (current) NTFI (Updated 20 th f Nv 2017) NTFI (Updated 3 rd f Jan 2018) Descriptin Nrmal Trade Reprt Nrmal Trade Reprt OTC Nn Disclsed, FI Asset Class IRD IRD IRD On/Off Exchange Off Off Off OMnet API Trade reprt Cde FIX trade reprt Exchange Statistics Turnver Turnver Turnver

8 Implementatin: The trade reprt cde will be changed frm 0 t 111 n Nvember 20 th Descriptin will change n 3 rd f January Trade reprt types fr Package Transactins reprted frm CW1 If the reprting party is reprting their trade fr clearing thrugh CW1, the member can chse t tag the trade with a TPAC flag by chsing ther trade reprt types than the nes specified abve. Mre infrmatin in chapter It shuld be nted that these trade reprt types are identical with the trade reprt types specified abve (NTFI, OTFI and SI), with the exceptin f that they will add a TPAC flag t the trade. Trade Reprt ID OTPF (Instead f OTFI) SIPF (Instead f SI) Systematic OTC Disclsed Internaliser Disclsed Descriptin Package, FI Package, FI Asset Class IRD IRD IRD On/Off Exchange Off Off Off OMnet API Trade reprt Cde FIX trade reprt Cde Exchange Statistics Nne Nne Nne NTPF (instead f NTFI) OTC Nn Disclsed Package, FI Implementatin: The package trade reprt types will be intrduced n 3 rd f January Time f agreement field: There will be a new field in which the reprting party can enter the time when the trade was riginally agreed upn. This field is nt mandatry since the trade is cleared-nly. Implementatin: The new field will be available frm Nvember 20 th Package Transactins It will be pssible t reprt package transactins fr clearing nly r publicatin t the Nasdaq APA by using a new multi leg trade reprt transactin. A multi-leg trade reprt transactin cnsists f at least tw different series and may cntain up t 10 cmpnent trades. It will be pssible t reprt tw entries fr the same series, t be used when splitting ne cmpnent int tw prices.

9 A multi-leg trade reprt will be validated as a whle with regards t any pre- and pst-trade transparency threshlds and the resulting trade legs will be assigned the relevant package transactin flag as well as a unique strategy ID linking the legs tgether. It shuld be nted that the multi-leg trade reprt will be supprted in OMnet, FIX prtcls, Trading Wrkstatin and Nasdaq s new user GUI Q-Prt, but nt in CW1. Any member that is using the CW1 fr trade reprting can althugh use CW1 t tag the trades with the Package Transactin Flag (TPAC) by using any f the new trade reprt types fr Package Transactins Fixed Incme Derivatives as specified in table in chapter It shuld be nted that the trade reprt types will nly add the TPAC flag, it des nt supprt the Cmplex trade cmpnent id which links the trades tgether, and neither will any validatins be dne as a whle with regards t any pre- and psttrade transparency threshlds. If such is needed, a multi-leg transactin is required. Implementatin: It will be technically pssible t register multi-leg transactins in all systems except frm CW1 frm Nvember 20 th 2017

10 4 Off rder bk traded cntracts All fixed incme derivatives mentined n the left hand side f the table in Chapter 2 and repeated belw are listed n the Nasdaq exchange and can be traded ff rder bk. Cntracts that are traded ff rder bk n the Nasdaq exchange are cvered by the Nasdaq Derivatives Markets exchange rulebk (the Exchange Rules ).The fllwing chapter will cver news and changes t the ff rder bk traded fixed incme derivatives that are listed in the table belw. Admitted fr trading and clearing STIBOR FRA Frwards (FRA) STIBOR Futures (3STIBFRA) Riksbank Future (RIBA) Swedish Mrtgage Bnd Future Swedish Gvernment Bnd Futures (SGB) NIBOR Futures (3/6NIBFRA) CIBOR Future (CIBOR) CCY NOK DKK 4.1 Trade Registratin All manual trades in fixed incme derivatives shall be reprted t the exchange as a blck trade within the applicable time limits as set ut in the rules and regulatins f the exchange (currently five (5) minutes. The reprting shall be dne n Nasdaq Stckhlm (MIC: XSTO) by the exchange member, and shall be tagged with the applicable trade reprt type fr n-exchange trade reprts ( EXFI, see chapter belw). Once registered t the exchange, the trade will be immediately and autmatically cleared by Nasdaq Clearing. Tw examples: An ff rder bk trade in a 10-year Swedish gvernment bnd future with expiratin in June 2018 shall be reprted t the exchange in the derivative series called SGB10YM8. The trade shall be tagged with trade reprt type EXFI. An ff rder bk trade in a Nrwegian FRA future with expiratin in June 2018 shall be reprted t the exchange in the derivative series called 3NIBFRAH8. The trade shall be tagged with trade reprt type EXFI. Implementatin: It is pssible t reprt trades t the exchange in the abve described manner already tday.

11 4.2 Trade reprt types When reprting trades t the exchange via any trade registratin facility, members are required t identify blck trades using the relevant trade reprt type and attributes as prescribed in the market mdel dcument. All trades in any fixed incme derivative that have been traded accrding t the exchange rulebk shall be tagged with the trade reprt type EXFI when reprted t the exchange. If the reprting party is reprting thrugh CW1 and the trade has been negtiated as a package transactin as defined by ESMA and Mifid II, the member can chse t tag the trade with EXPF instead f EXFI which adds a TPAC flag t the trade. Mre infrmatin in chapter 4.5 The FIX trade reprt cde n the current trade reprt type EXFI will be changed frm 2106 t 110. This change will affect all members wh are reprting trades thrugh FIX. Mre details are fund in the table belw. Trade Reprt ID EXFI (current) EXFI (Updated) EXPF Descriptin On Exchange Trade Reprt On Exchange Blck, Fixed Incme On Exchange Blck Package, FI Asset Class IRD IRD IRD On/Off Exchange On On On OMnet API Trade reprt Cde FIX trade reprt Cde Exchange Statistics Price, Qty, Turnver Price, Qty, Turnver Price, Qty, turnver Implementatin: The exchange trade reprt type EXFI is available in the prductin system already tday. The FIX trade reprt cde fr EXFI will be changed frm 2106 t 110 n Nvember 20 th The exchange trade reprt type EXPF fr package transactins will be made available in the prductin system n January 3 rd Minimum Blck Trade Size The fixed incme derivatives prducts are expected t qualify fr the illiquid waiver in which case the minimum blck trade size will be 1 cntract. In case any cntract is deemed t be liquid, the minimum number f cntracts in respect f each derivatives sub-class that can be negtiated utside the rder bk as a blck trade will be determined by the exchange frm time t time based n the regulatry LIS pre-trade threshld value.

12 Applicable blck sizes will be appended t the fixed incme derivatives market mdel dcument and available in the exchange s reference data. Illiquid prducts will be flagged in the reference data accrdingly. Blck trades in packages (strategies) can be reprted using the new multi-leg trade reprt messages. Such trade reprt will be accepted if at least ne leg satisfies the minimum vlume cnditin. See further details n package transactins in the sectin belw. Indicative blck sizes will be cnfigured in the member test envirnment t facilitate implementatin and testing. Final levels will be cmmunicated in an exchange ntice clser t g-live and appended t the market mdel dcument. Implementatin: Cnfiguratin f blck trade size limits will be dne n January 3 rd Deferred Trade-Publicatin As the fixed incme derivatives prducts are expected t qualify fr the illiquid waiver, it is als expected that the any trades abve the minimum blck trade size (1) will be eligible fr deferral. In case f liquid prducts, the minimum number f cntracts in respect f each derivative sub-class required t qualify a trade fr deferred publicatin will be determined by the exchange frm time t time based n the relevant regulatry pst-trade threshld value. T prevent manual errrs, trades requested t be deferred but nt satisfying the deferral threshld vlume will immediately published. The deferral perid (whichever gets apprval frm the FSA) will be applied per instrument. Applicable deferral threshld vlumes as well as applicable deferral perid will be appended t the market mdel dcument and available in the exchange s reference data. Blck trades in packages (strategies) can be reprted using the new multi-leg trade reprt messages. It will be pssible t defer the publicatin f all cmpnent trades if at least ne leg satisfies the deferral threshld vlume. See further details n package transactins in the sectin belw. Implementatin: The cnfiguratin f deferral threshld and deferral perid per instrument will be applied n January 3 rd Package Transactins T supprt the new package transactin regime and cmply with trade flagging requirements, the Exchange will require members t reprt any such transactins negtiated ff rder bk by using a new multi leg trade reprt transactin. A multi-leg trade reprt transactin cnsists f at least tw different series and may cntain up t 10 cmpnent trades. It will be pssible t reprt tw entries fr the same series, t be used when splitting ne cmpnent int tw prices. A multi-leg trade reprt will be validated as a whle with regards t any pre- and pst-trade transparency threshlds and the resulting trade legs will be assigned the relevant package transactin flag as well as a unique strategy ID linking the legs tgether.

13 It shuld be nted that the multi-leg trade reprt will be supprted in OMnet, FIX prtcls, Trading Wrkstatin and Nasdaq s new user GUI Q-Prt, but nt in CW1. Any member that is using the CW1 fr trade reprting can althugh use CW1 t tag the trades with the mandatry Package Transactin Flag (TPAC) by using the new trade reprt type fr Package Transactins Fixed Incme Derivatives as specified in table in chapter 4.2. It shuld be nted that the trade reprt types will nly add the TPAC flag, it des nt supprt the Cmplex trade cmpnent id which links the trades tgether, and neither will any validatins be dne as a whle with regards t any pre- and psttrade transparency threshlds. If such is needed, a multi-leg transactin is required. Implementatin: It will be technically pssible t register multi-leg transactins in all systems except frm CW1 frm Nvember 20 th Time f agreement field It will becme mandatry t submit the time f agreement. The time stamp will be required t match with date granularity n bth sides. Implementatin: The time f agreement field will be technically available in the system frm Nvember 20 th 2017 The time-stamp verificatin will start frm January 3 rd Trader ID validatin The Exchange will assign each registered Exchange Trader with a persnal trader ID, and the Trader ID must be submitted t the exchange in all trade reprts that are registered. Implementatin: The Trader ID field will be technically available in the system frm Nvember 20 th 2017 The verificatin f Trader ID will start n January 3 rd 2018

14 5 Market Mdel - Nasdaq Fixed Incme Derivatives The picture belw utlines the different ways in which the fixed incme derivatives cntracts that are mentined in this dcument can be traded and prcessed. Mre detailed infrmatin regarding prducts can be fund in the respective market mdel dcuments that will be published by the exchange. 6 Glssary f Terms Term IRD CW1 Definitin Interest Rate Derivatives Clearing Wrkstatin 1, ne f the clearing user interfaces that is currently ffered by Nasdaq.