Change Summary

Mandatory Change

Background

FX venues are rolling out API changes to support new regulatory fields required for reporting purposes. The key regulatory dates are:

As of 28 January 2024, phase II of the CFTC rules rewrite will require reporting parties to submit a Unique Product Identifier (UPI) on all executions reported to Swap Data Repositories (e.g. the DTCC).
As of 29 April 29 2024, the recently conducted EMIR Refit will take effect, requiring European participants to include a new Report Tracking Number (RTN) in their transaction reporting.
As of 30 September 30 2024, participants in the United Kingdom will fall under similarly updated reporting requirements for RTNs.

MarketFactory has contacted all venues supported across Whisperer and other ION FX platforms, to confirm individual change details and timelines.

This page will be updated as new information is received.

Affected Venues

Affected venues are listed in the table below.

Change

The new UPI/RTN fields are provided for client consumption only. There is no need for clients to generate values themselves.

Unique Product Identifier:
- Liquidity Providers that are registered US market participants may generate UPIs from ANNA DSB to fulfill their reporting obligations with CFTC.
- Other Liquidity Providers may expect to consume UPI for SEF trades from the venue.
- ECNs will generate and disseminate UPI to clients trading on an SEF venue.

Report Tracking Number:

- A Systemic Internaliser is not required to generate and disseminate RTNs as SIs are not considered a venue.
- Liquidity Providers would consume RTNs for MTF and SEF trades from the venue.
- Investment firms, clearing members, or the CCPs should provide the respective RTNs to the reporting counterparties, who should in turn transmit the RTNs to their clients to allow them to fulfil their reporting obligations.

Timeline

24th November 2023 - UAT - Whisperer schema 18945 will be available in UAT.
08th December 2023 - Prod - Launch of Whisperer schema 18945.
29th January 2024 - Prod - Compliance date set by CFTC for UPI reporting.
29th April 2024 - Prod - Compliance date set by EMIR for RTN reporting for EU clients.
29th September 2024 - Prod - Compliance date set by EMIR for RTN reporting for UK clients.

Whisperer Client Impact

Discretionary Impact

Whisperer clients trading non-Spot products on SEF or MTF will start to receive SEFUPI, LegSEFUPI and LegEMIRRTN fields.

Clients should ensure their systems [downstream systems including] are able to process the new UPI/ RTN fields and values published.

Clients are advised to contact the MarketFactory Delivery Team to ensure that they are upgraded to Whisperer schema version 18945, as per the timeline above.

MarketFactory will update the FIX dictionary of venue APIs upgraded to consume and/ or disseminate new regulatory fields.
A new version of Whisperer schema 18945 will be introduced to handle UPI [Unique Product Identifier] and RTN [Report Tracking Number] regulatory fields.
Whisperer gateway code will be updated to process UPI and RTN for the venues impacted.

Change Details

MarketFactory will update the FIX dictionary of venue APIs in the table below that are impacted by the UPI and RTN changes.

A backward compatible schema change will be introduced to handle the new regulatory fields.

Whisperer gateway code will be updated to process and publish UPI and RTN for the gateways in the table below.

Summary of changes to Whisperer gateways, impacted FIX messages, and fields:

Venue	FIX Message	FIX Tags	MF Availability	Venue UAT	Go-live	Notes
baml	`NewOrderMultiLeg` `ExecutionReport`	`LegEMIRRTN`		04th Dec 2023		BAML do not require clients to send UPI as they will generate and report UPIs to fulfil their CFTC reporting obligations. BAML can consume UTI (Unique Transaction Identifier), RTN (Report Tracking Number) and MIC code from UK/ EU registered clients for NDFs. BAMLwill not reject trade request if RTN, MIC or UTI is missing. An internal alert will be raised by post trade reporting systems to reconcile offline. RTN requirements are: 1. RTN is required on ESMA venue 2. RTN is required when MIC present 3. RTN is to be labelled RTN by vendor 4. RTN is not to be UTI 5. RTN is not be another value already reported to regulator 6. RTN is up to 52 characters no special characters 7. RTN not received is to be sent as RTNNotRecieved by booking system
bgc_midfx	`ExecutionReport`	`SEFUPI` `LegSEFUPI`		27th Nov 2023	Dec 2023	BGC would disseminate UPI and RTN for NDF trades.
bloomberg_fxgo_maker	`QuoteRequest` `Quote` `NewOrderMultiLeg` `ExecutionAck`	`SEFUPI` `LegSEFUPI` `LegEMIRRTN`	24th Nov 2023	15th Oct 2023	15th Dec 2023	BBG will disseminate UPI and RTN for all instruments except for Spot when the trade is executed on BMTF, BTFE, BSEF, and BTBS facilities. Please refer to the Bloomberg FXGO change notice for more info.
cboefx_bookfeed	`SecurityStatus`	`SEFUPI`	28th Nov 2023	15th Nov 2023	30 Nov 2023	CboeFX will disseminate the new field only on demand. Please refer to the CboeFX change notice for more info.
cboefx_fixproxy	`SecurityStatus` `ExecutionReport`	`SEFUPI` `LegEMIRRTN`	28th Nov 2023	15th Nov 2023	30 Nov 2023	CboeFX will disseminate the new field only on demand. Please refer to the CboeFX change notice for more info.
cboefx_itch	`SecurityStatus`	`SEFUPI`	28th Nov 2023	15th Nov 2023	30 Nov 2023	CboeFX will disseminate the new field only on demand. Please refer to the CboeFX change notice for more info.
ebs_cpt	`ExecutionReport`	`SEFUPI` `LegEMIRRTN`	08th Dec 2023	06th Nov 2023	29th Jan 2023 [UPI] 29th Apr 2023 [RTN]	EBS will disseminate UPI for all NDF trades. EBS will disseminate RTN for all exchange traded derivatives (including OTC) to support clients with an EMIR reporting obligation. Please refer to EBS confluence on UPI/ RTN for more info. EBS Change notice for your reference.
fastmatch_autoex	Pending	Pending		-	-	Fastmatch will disseminate UPI for NDF orders executed on their platform to facilitate compliance with CFTC regulatory trade reporting services that it is providing on behalf of its clients. Fastmatch do not support RTN as Euronext Markets Singapore does not have any EU or UK related trade reporting obligations as it is a Singapore based entity.
fastmatch_stream_maker	Pending	Pending		-	-	Fastmatch will disseminate UPI for NDF orders executed on their platform to facilitate compliance with CFTC regulatory trade reporting services that it is providing on behalf of its clients. Fastmatch do not support RTN as Euronext Markets Singapore does not have any EU or UK related trade reporting obligations as it is a Singapore based entity.
fxall_activetrading_maker	`NewOrderMultiLeg` `ExecutionAck`	`LegEMIRRTN`		-	-	The TradeID [a component of UTI] issued by each liquidity venue is proposed to be used as the Report Tracking Number(RTN) for EMIR Refit purposes. UPI is not supported in the Trading APIs but in the post-trade STP APIs. Please refer to FXAll UPI change notice and FXAll RTN change notice for more info.
fxall_quicktrade_maker	`NewOrderMultiLeg` `ExecutionAck`	`LegEMIRRTN`		-	-	The TradeID [a component of UTI] issued by each liquidity venue is proposed to be used as the Report Tracking Number(RTN) for EMIR Refit purposes. UPI is not supported in the Trading APIs but in the post-trade STP APIs. Please refer to FXAll UPI change notice and FXAll RTN change notice for more info.
lseg_fxall_rfq_maker	`NewOrderMultiLeg` `ExecutionAck`	`LegEMIRRTN`		-	-	The TradeID [a component of UTI] issued by each liquidity venue is proposed to be used as the Report Tracking Number(RTN) for EMIR Refit purposes. UPI is not supported in the Trading APIs but in the post-trade STP APIs. Please refer to FXAll UPI change notice and FXAll RTN change notice for more info.
t360_tex_maker	Pending	Pending		20th Nov 2023	-	New version of API 4.19 will be available on the 20th of November. MarketFactory is required by 360T to recertify on their new RFS Maker API v1.20.5 where the UPI/ RTN changes are supported. Clients that want to test the UPI/ RTN functionality in Integration should contact [email protected] UPI and RTN are applicable for SEF and MTF trades only. Each leg of a block will hold the same RTN identifier. Please refer to 360T change notice for more info.

Documentation

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.2023-12-08 - UPI/RTN Regulatory Changes v1.4.30