Fixed Income Derivatives
Functional Changes November 2017 Genium INET 5.0.0201
Document Updated: 16 October 2017
Document Updates
2017-08-30 First version published
2017-09-06 Updated: Trade Report type “NTFI” will not be dismissed in Jan-18 Trade report type “OTC” will not be applicable for Fixed Income Derivatives Pictures of Market models Reference to the exchange rulebook
2017-10-04 Updated launch dates for: 3.3.1 Introduction of two new trade report types - Changed from Jan 2
nd to Jan 3
rd
4.4 Deferred Trade-Publication – Changed from Nov 20 to Jan 3
rd
2017-10-04 Added: - New chapter 3.3.1.2 Change of FIX and OMnet API
trade report Code on NTFI - Information on Change of FIX and OMnet API trade
report Code on EXFI - New chapter 4.7 Trader ID validation
2017-10-16 Added information about new trade report types for Package
Transactions in chapter
- 4.5 and 4.2 for exchange trades - 3.3.3 and 3.3.1.3 for OTC trades
2017-11-07 Updated information on new trade report types for Package Transactions in chapter 3.3.1.3
Table of Contents 1 Introduction ............................................................................................................................................ 3
2 General about the contracts, market and trading ................................................................................. 4
3 Bilaterally Traded contracts ................................................................................................................... 6
3.1 Time limits on clearing of Bilaterally Traded contracts ................................................................... 6
3.2 Functional changes related to bilaterally traded Generic Rates contracts that are subject to
Nasdaq pre-novation collateral check and clearing broker affirmation ............................................... 6
3.3 Functional changes related to bilaterally traded contracts that are not subject to Nasdaq pre-
novation collateral check or clearing broker affirmation ...................................................................... 6
4 Off order book traded contracts ........................................................................................................... 10
4.1 Trade Registration ......................................................................................................................... 10
4.2 Trade report types ......................................................................................................................... 11
4.3 Minimum Block Trade Size............................................................................................................. 11
4.4 Deferred Trade-Publication ........................................................................................................... 12
4.5 Package Transactions .................................................................................................................... 12
4.6 Time of agreement field ................................................................................................................ 13
4.7 Trader ID validation ....................................................................................................................... 13
5 Market Model - Nasdaq Fixed Income Derivatives ............................................................................... 14
1 Introduction The Genium INET 5.0.0201 release introduces several updates to business functionality available for the
fixed income derivatives market. Several of the new features will be activated in January 2018 rather
than in connection with the technical upgrade in November. A draft version of the new fixed income
derivatives market model document is planned to be published during September 2017.
This document outlines planned functional changes focusing on updates to business logic for the
purpose of facilitating implementation and testing of the new release. The information provided in this
document is preliminary and may be subject to change pending, inter alia, completion of or further
guidance in MiFID II related level 2 and 3 texts, and in some cases ongoing discussions or regulatory
approvals.
2 General about the contracts, market and trading This document will cover changes related to the following fixed income derivatives:
Admitted for trading and clearing CCY Admitted for clearing only CCY
STIBOR FRA Forwards (FRA) SEK Buy-sell-back/Sell-buy-back SEK Repo Contract SEK
STIBOR Futures (3STIBFRA) SEK One Year Mid-Curve STIBOR-Future Options SEK
Riksbank Future (RIBA) SEK SGB-Future Options SEK
Swedish Mortgage Bond Future SEK STIBOR-Future Options SEK
Swedish Government Bond Futures (SGB) SEK STIBOR-FRA Forward Options SEK
NIBOR Futures (3/6NIBFRA) NOK Buy-sell-back/Sell-buy-back DKK Repo Contract DKK
CIBOR Future (CIBOR) DKK NIBOR-FRA Forwards NOK
NIBOR-FRA Options NOK
NIBOR-Future Options NOK
Overnight Index Swap (SEK_OIS) SEK
Interest Rate Swap (SEK_IRS) SEK
Forward Rate Agreement (SEK_FRA) SEK
Additional derivatives contracts and currencies can be introduced prior to the Mifid2 implementation in
January 2018. The functionalities mentioned in this document will automatically be applicable to those
contracts and / or currencies.
The above-mentioned contracts on the left-hand side of the table are admitted for trading according to
the Exchange Rules of Nasdaq Derivatives Markets (the “Exchange Rules”). All of the contracts in the
table are reported for clearing with Nasdaq Clearing in accordance with the Clearing Rules of Nasdaq
Derivatives Markets (the “Clearing Rules”).
None of the fixed income derivatives mentioned in this document has an order book in which trading can
be performed. This means that any trade in these instruments is negotiated either as an off order book
(manual) block trade reported to the exchange, or as a bilateral, over the counter (OTC) trade that is
reported only for clearing. The picture below shows the different ways in which Nasdaq’s listed
standardized derivative contracts can be executed. The two boxes marked in green are valid for the
Nasdaq fixed income derivatives.
3 Bilaterally Traded contracts All fixed income derivatives mentioned in the table in Chapter 2 of this document can be traded bilaterally
(OTC) and in which case they will not be covered by the Nasdaq Derivatives Markets exchange rulebook.
As the bilaterally traded contracts are all eligible for clearing with Nasdaq Clearing, the following changes
will be applicable in the Genium INET clearing system and in the market.
3.1 Time limits on clearing of Bilaterally Traded contracts
Transactions concluded on a bilateral basis shall be reported by the counterparties to Nasdaq Clearing
within 30 minutes from the conclusion of the transaction after which the CCP will accept or reject the
transaction within 10 seconds. Nasdaq
Clearing will not introduce any functional
changes related to this Mifid2
requirement.
Generic Rates contracts (Interest Rate Swaps, Overnight Interest Swaps and TM-Forward Rate
Agreements) are subject to pre-novation collateral check and clearing broker affirmation (in cases of
client trades) which means that they are subject to other and more comprehensive time limits as
specified in RTS26 of Mifid2. In order to facilitate clearing broker adherence to these time limits, the
Generic rates
contracts have
several functional
updates in the
coming release.
3.2 Functional changes related to bilaterally traded Generic Rates contracts that are subject to
Nasdaq pre-novation collateral check and clearing broker affirmation
See separate document “Generic Rates Instruments – Functional Changes November 2017” which is
published here.
3.3 Functional changes related to bilaterally traded contracts that are not subject to Nasdaq
pre-novation collateral check or clearing broker affirmation
3.3.1 Two new trade report types will be introduced for bilaterally traded contracts which are reported
for clearing with Nasdaq Clearing. These two new trade report types can be used in case the reporter
wishes to report the trade to the Nasdaq APA. There will be in total three trade report types to choose
from when reporting a bilaterally traded contract to Nasdaq Clearing. The currently used trade report
type “NTFI” will continue to be used by both SI:s and non SI:s for bilaterally traded contracts which are
reported for clearing only but it will be subject to some amendments described in detail in 3.3.1.2. The
two new trade report types can be used in case the reporter wishes to use the Nasdaq APA for
publication:
OTFI: To be used for OTC traded contracts which shall be cleared and then disclosed through the
Nasdaq APA.
SI: To be used for OTC traded contracts which shall be cleared and then disclosed through the
Nasdaq APA, where the reporting party is a Systematic Internaliser (trade report type is also valid
for equity derivatives).
Trade Report ID OTFI (new) SI (new)
Description OTC Disclosed, FI
Systematic Internaliser Disclosed, EQD & IRD
Asset Class IRD EQD & IRD
On/Off Exchange Off Off
OMnet API Trade report Code 113 155
FIX trade report Code 113 155
Exchange Statistics None None
o Implementation: The two new report types will be introduced on 3rd of January
2018.
3.3.1.2 Changes to currently used trade report Code NTFI: The code for the currently used trade report
type NTFI will be changed from 0 to 111. This change will affect all members who are reporting trades
through OMnet API or FIX.
Trade Report ID NTFI (current) NTFI (Updated 20th of Nov 2017)
NTFI (Updated 3rd of Jan 2018)
Description Normal Trade Report Normal Trade Report OTC Non Disclosed, FI
Asset Class IRD IRD IRD
On/Off Exchange Off Off Off
OMnet API Trade report Code 0 111 111
FIX trade report Code
0 111 111
Exchange Statistics Turnover Turnover Turnover
o Implementation: The trade report code will be changed from “0” to “111” on
November 20th 2017.
o Description will change on 3rd of January 2018
3.3.1.3 Trade report types for Package Transactions reported from CW1
If the reporting party is reporting their trade for clearing through CW1, the member can choose to tag
the trade with a “TPAC” flag by choosing other trade report types than the ones specified above. More
information in chapter 3.3.3.
It should be noted that these trade report types are identical with the trade report types specified above
(NTFI, OTFI and SI), with the exception of that they will add a TPAC flag to the trade.
Trade Report ID OTPF (Instead of OTFI)
SIPF (Instead of SI)
NTPF (instead of NTFI)
Description OTC Disclosed Package, FI
Systematic Internaliser Disclosed Package, FI
OTC Non Disclosed Package, FI
Asset Class IRD IRD IRD
On/Off Exchange Off Off Off
OMnet API Trade report Code 118 119 117
FIX trade report Code 118 119 117
Exchange Statistics None None None
o Implementation: The package trade report types will be introduced on 3rd of January
2018.
3.3.2 Time of agreement field: There will be a new field in which the reporting party can enter the time
when the trade was originally agreed upon. This field is not mandatory since the trade is cleared-only.
o Implementation: The new field will be available from November 20th 2017
3.3.3 Package Transactions
It will be possible to report package transactions for clearing only or publication to the Nasdaq APA by using a new multi leg trade report transaction. A multi-leg trade report transaction consists of at least two different series and may contain up to 10 component trades. It will be possible to report two entries for the same series, to be used when splitting one component into two prices.
A multi-leg trade report will be validated as a whole with regards to any pre- and post-trade
transparency thresholds and the resulting trade legs will be assigned the relevant package transaction
flag as well as a unique strategy ID linking the legs together.
It should be noted that the multi-leg trade report will be supported in OMnet, FIX protocols, Trading
Workstation and Nasdaq’s new user GUI Q-Port, but not in CW1.
Any member that is using the CW1 for trade reporting can although use CW1 to tag the trades with the
Package Transaction Flag (TPAC) by using any of the new trade report types for Package Transactions
Fixed Income Derivatives as specified in table in chapter 3.3.1.3. It should be noted that the trade report
types will only add the TPAC flag, it does not support the “Complex trade component id” which links the
trades together, and neither will any validations be done as a whole with regards to any pre- and post-
trade transparency thresholds. If such is needed, a multi-leg transaction is required.
o Implementation:
It will be technically possible to register multi-leg transactions in all systems
except from CW1 from November 20th 2017
4 Off order book traded contracts All fixed income derivatives mentioned on the left hand side of the table in Chapter 2 and repeated below
are listed on the Nasdaq exchange and can be traded off order book. Contracts that are traded off order
book on the Nasdaq exchange are covered by the Nasdaq Derivatives Markets exchange rulebook (the
“Exchange Rules”).The following chapter will cover news and changes to the off order book traded fixed
income derivatives that are listed in the table below.
Admitted for trading and clearing CCY
STIBOR FRA Forwards (FRA) SEK
STIBOR Futures (3STIBFRA) SEK
Riksbank Future (RIBA) SEK
Swedish Mortgage Bond Future SEK
Swedish Government Bond Futures (SGB) SEK
NIBOR Futures (3/6NIBFRA) NOK
CIBOR Future (CIBOR) DKK
4.1 Trade Registration
All manual trades in fixed income derivatives shall be reported to the exchange as a block trade within
the applicable time limits as set out in the rules and regulations of the exchange (currently five (5)
minutes. The reporting shall be done on Nasdaq Stockholm (MIC: XSTO) by the exchange member, and
shall be tagged with the applicable trade report type for on-exchange trade reports (“EXFI”, see chapter
below). Once registered to the exchange, the trade will be immediately and automatically cleared by
Nasdaq Clearing.
Two examples:
An off order book trade in a 10-year Swedish government bond future with expiration in June
2018 shall be reported to the exchange in the derivative series called SGB10YM8. The trade shall
be tagged with trade report type “EXFI”.
An off order book trade in a Norwegian FRA future with expiration in June 2018 shall be reported
to the exchange in the derivative series called 3NIBFRAH8. The trade shall be tagged with trade
report type “EXFI”.
o Implementation: It is possible to report trades to the exchange in the above described manner
already today.
4.2 Trade report types
When reporting trades to the exchange via any trade registration facility, members are required to
identify block trades using the relevant trade report type and attributes as prescribed in the market
model document.
All trades in any fixed income derivative that have been traded according to the exchange rulebook shall
be tagged with the trade report type “EXFI” when reported to the exchange.
If the reporting party is reporting through CW1 and the trade has been negotiated as a package
transaction as defined by ESMA and Mifid II, the member can choose to tag the trade with “EXPF”
instead of “EXFI” which adds a “TPAC” flag to the trade. More information in chapter 4.5
The FIX trade report code on the current trade report type “EXFI” will be changed from 2106 to 110. This
change will affect all members who are reporting trades through FIX. More details are found in the table
below.
Trade Report ID EXFI (current) EXFI (Updated) EXPF
Description On Exchange Trade Report On Exchange Block, Fixed Income
On Exchange Block Package, FI
Asset Class IRD IRD IRD
On/Off Exchange On On On
OMnet API Trade report Code 110 110 116
FIX trade report Code 2106 110 116
Exchange Statistics Price, Qty, Turnover Price, Qty, Turnover Price, Qty, turnover
o Implementation:
o The exchange trade report type “EXFI” is available in the production system already
today.
o The FIX trade report code for “EXFI” will be changed from “2106” to “110” on November
20th 2017.
o The exchange trade report type “EXPF” for package transactions will be made available
in the production system on January 3rd 2018.
4.3 Minimum Block Trade Size
The fixed income derivatives products are expected to qualify for the illiquid waiver in which case the
minimum block trade size will be 1 contract. In case any contract is deemed to be liquid, the minimum
number of contracts in respect of each derivatives sub-class that can be negotiated outside the order
book as a block trade will be determined by the exchange from time to time based on the regulatory LIS
pre-trade threshold value.
Applicable block sizes will be appended to the fixed income derivatives market model document and
available in the exchange’s reference data. Illiquid products will be flagged in the reference data
accordingly.
Block trades in packages (strategies) can be reported using the new multi-leg trade report messages.
Such trade report will be accepted if at least one leg satisfies the minimum volume condition. See further
details on package transactions in the section below.
Indicative block sizes will be configured in the member test environment to facilitate implementation
and testing. Final levels will be communicated in an exchange notice closer to go-live and appended to
the market model document.
o Implementation: Configuration of block trade size limits will be done on January 3rd
2018
4.4 Deferred Trade-Publication
As the fixed income derivatives products are expected to qualify for the illiquid waiver, it is also expected
that the any trades above the minimum block trade size (1) will be eligible for deferral.
In case of liquid products, the minimum number of contracts in respect of each derivative sub-class
required to qualify a trade for deferred publication will be determined by the exchange from time to
time based on the relevant regulatory post-trade threshold value. To prevent manual errors, trades
requested to be deferred but not satisfying the deferral threshold volume will immediately published.
The deferral period (whichever gets approval from the FSA) will be applied per instrument. Applicable
deferral threshold volumes as well as applicable deferral period will be appended to the market model
document and available in the exchange’s reference data.
Block trades in packages (strategies) can be reported using the new multi-leg trade report messages. It
will be possible to defer the publication of all component trades if at least one leg satisfies the deferral
threshold volume. See further details on package transactions in the section below.
o Implementation: The configuration of deferral threshold and deferral period per
instrument will be applied on January 3rd 2018
4.5 Package Transactions
To support the new package transaction regime and comply with trade flagging requirements, the Exchange will require members to report any such transactions negotiated off order book by using a new multi leg trade report transaction. A multi-leg trade report transaction consists of at least two different series and may contain up to 10 component trades. It will be possible to report two entries for the same series, to be used when splitting one component into two prices. A multi-leg trade report will be validated as a whole with regards to any pre- and post-trade
transparency thresholds and the resulting trade legs will be assigned the relevant package transaction
flag as well as a unique strategy ID linking the legs together.
It should be noted that the multi-leg trade report will be supported in OMnet, FIX protocols, Trading
Workstation and Nasdaq’s new user GUI Q-Port, but not in CW1.
Any member that is using the CW1 for trade reporting can although use CW1 to tag the trades with the
mandatory Package Transaction Flag (TPAC) by using the new trade report type for Package Transactions
Fixed Income Derivatives as specified in table in chapter 4.2. It should be noted that the trade report
types will only add the TPAC flag, it does not support the “Complex trade component id” which links the
trades together, and neither will any validations be done as a whole with regards to any pre- and post-
trade transparency thresholds. If such is needed, a multi-leg transaction is required.
o Implementation: It will be technically possible to register multi-leg transactions in all systems
except from CW1 from November 20th 2017
4.6 Time of agreement field
It will become mandatory to submit the time of agreement. The time stamp will be required to match with date granularity on both sides.
o Implementation:
The time of agreement field will be technically available in the system from
November 20th 2017
The time-stamp verification will start from January 3rd 2018
4.7 Trader ID validation
The Exchange will assign each registered Exchange Trader with a personal trader ID, and the Trader ID
must be submitted to the exchange in all trade reports that are registered.
o Implementation:
The Trader ID field will be technically available in the system from November
20th 2017
The verification of Trader ID will start on January 3rd 2018
5 Market Model - Nasdaq Fixed Income Derivatives The picture below outlines the different ways in which the fixed income derivatives contracts that are
mentioned in this document can be traded and processed. More detailed information regarding products
can be found in the respective market model documents that will be published by the exchange.
6 Glossary of Terms
Term Definition
IRD Interest Rate Derivatives
CW1 Clearing Workstation 1, one of the clearing user interfaces that is currently offered by Nasdaq.
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