Upcoming changes to the FX market xml reports
1. Changes to clearing xml reports related to the "Unified Collateral Pool" project that will go live in the upcoming FX market release on August 21
1.1. Unified Pool Settlement code attribute.
"ExtSettleCodeUnifiedPool" field that may contain "Y" (yes) or "N" (no) will be added to the SETTLE (or SETTLE1) node for the following reports:
- CCX03, CCX3A: Clearing report;
- CCX04, CCX4A: Exchange statement;
- CCX4P: Preliminary exchange statement;
- CCX10: Report on fees;
- CCX17: Report on derivatives obligation;
- ССХ20: Report on trading and clearing accounts;
- ССХ37: Report on claim / obligation;
- CCX43: Extract from the register of trades accepted to the clearing.
Please note that data on Unified Pool Settlement codes will not be included into Collateral valuation report (CCX84).
1.2. Changes to Report on fees (CCX10):
The report will be delivered twice a day: at 19:00 MSK (for trades concluded before 19:00) and after 23:50 MSK (for trades concluded between 19:00 and 23:50).
- "SETTLE" node will be renamed to "SETTLE1" and will contain the data on 1st level settlement account, including "ExtSettleCodeUnifiedPool" attribute (see p.1).
- "TYPE" node containing "ComType" attribute will be added to display data on commission type depending on its recipient (trading commission / clearing commission / commission for integrated technological service).
- "RECORDS" node will contain data on 1st level settlement account. Current possible values of the "CommisType" attribute will be replaced with TRAN operation coedes (see reports specification). "RECORDS" node will also be extended with "CommisName" and "CommisNameEN" fields containing commission description in Russian and English accordingly.
- "ClrComm" attribute will be renamed to "Comm" and will contain total value of commission instead of clearing commission only.
- The new "SETTLE2" node will be introduced to display data on 2nd level settlement account. This node will contain two attributes: "ExtSettleCode" (account identifier) and Comm (total commission value for the particular 2nd level settlement account).
- "CurrencyId", "CoCurrencyId", "ClrVAT", "ExchComm", "ExchVAT", "ITSComm" fields will be removed from the report structure.
1.3. New operation codes in Report on Collateral (CCX89)
Three new possible values will be introduced for the "OperationCode" field of the "ENTRY" node to display different types of commission:
- 5: obligation on trading commission;
- 6: obligation on clearing commission (only for clearing members);
- 7: obligation on ITS commission.
Clearing members may receive all three operation codes mentioned above, trading members - "5" and "7" only.
2. Changes to clearing xml reports related to the "Unified Collateral Pool" project that will go live together with the next Equities market release
2.1. New Report on Total Net Obligation / Total Net Claim (ССХ4S)
Total RUB values of net obligation/net claim contain the following:
- unsettled clearing member's debt for the previous settlement day;
- obligation/claim for trades concluded on the FX market;
- obligation on commission for trades concluded on the FX market before 19:00 MSK;
- obligation / claim on variation margin on the FX market.
CCX4S will be delivered to participants after 19:00 MSK.
Structure of the report is similar to CCX04: Exchange statement.
2.2. New Report on assets profile transferred on FX market (CCX49)
The new Report on assets profile transferred on FX market (CCX49) will be introduced. The report will be generated and delivered by NCC at the end of the trading day, or may be provided during the day upon member's request.
Assets profiles transferred from equities market to FX market are displayed as positive values. Profiles transferred from FX market to equities - negative values.
If the report is generated during the trading day at the member's request than "ClosingBalance" field contains current balance.
Opening and Closing balance values may be either positive or zero.
3. Changes to trading reports related to the new FX trading mode at the price of fixing that will be introduced in the FX market release on August 21
3.1. Changes to CUX22: Orders report
- "SETTLEDATE" node will be extended with a new optional "FixingDate" field (Fixing calculation date);
- orders on USDRUB_FIX0 and EURRUB_FIX0 instruments will be included into TradeGroup="T" (together with spot orders);
- "QuantityHidden" and "Price" fields will no longer be obligatory.
3.2. Changes to CUX23: Trades report
- orders on USDRUB_FIX0 and EURRUB_FIX0 instruments will be included into TradeGroup="T" (together with spot trades).
Please note that trades on FIX instruments will be displayed as follows:
- trade number, time, value in the currency of lot, and other details (except price, value in quote currency and commission) correspond to initial trade concluded before 12:15 MSK;
- price of the trade (fixing price), value in quote currency (RUB) and commission correspond to technical TOM trade generated by the trading system (please refer to ftp://ftp.moex.com/pub/
3.3. Changes to CUX33: Trades report (Analytical Accounting)
- orders on USDRUB_FIX0 and EURRUB_FIX0 instruments will be displayed as TradeGroup="F" (new value);
- "RECORDS" node will be extended with a new optional "FixingDate" field (Fixing calculation date);
- "QuantityHidden" and "Price" fields will no longer be obligatory.
FX market reports specs are available on MOEX web site: http://www.moex.com/s2010
XSD schemas, XSLT stylesheets and sample reports: ftp://ftp.moex.com/pub/
For further information, please contact the Public Relations Department at (495) 363-3232.