Change Overview from Bloomberg

In order to align with global regulatory requirements to enhance Universal Transaction Identifier (UTI) generation to contain the full LEI of the generating entity, we are enhancing FXGO, BSEF, BMTF, BTFE and BTBS Liquidity Provision and STP specifications accordingly.

UAT Date: August 8th, 2022
Production Date: December 5th, 2022

Updates to Liquidity Provisioning FIXBook RFS/RFQ and Streaming

> 35=D (NewOrderSingle)

Update Tag 1910 (AllocRegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 1905 (RegulatoryTradeIDSource) to send full 20 character LEI.

> 35=BN __ (ExecutionAcknowledgement)

Update Tag 1905 (RegulatoryTradeIDSource) to send full 20 character LEI.

Current value: String (10 Characters - I.e. ROEJDDAXM6)
NEW Value: String (20 Characters - I.e. 549300ROEJDDAXM6LU05)

Updates to Liquidity Provisioning FIXBook Batches

> 35=E (NewOrderList)

Update Tag 22426 (LegAllocRegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 20003 (LegRegulatoryTradeIDSource) to send full 20 character LEI.

> 35=8 (ExecutionReport)

Update Tag 20003 (LegRegulatoryTradeIDSource) to send full 20 character LEI.

> 35=BN (ExecutionAcknowledgement)

Update Tag 20003 (LegRegulatoryTradeIDSource) to send full 20 character LEI.

Current value: String (10 Characters - I.e. ROEJDDAXM6)
NEW Value: String (20 Characters - I.e. 549300ROEJDDAXM6LU05)

Updates to Liquidity Provisioning FIXBook Options

> 35=D (NewOrderSingle)

Update Tag 1910 (AllocRegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 22426 (LegAllocRegulatoryTradeIDSource) to send full 20 character LEI.

> 35=8 (ExecutionReport)

Update Tag 20003 (LegRegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 20005 (LegRegulatoryTradeIDSource) to send full 20 character LEI.

> 35=BN (ExecutionAcknowledgement)

Update Tag 1905 (RegulatoryTradeIDSource) to send full 20 character LEI.

Current value: String (10 Characters - I.e. ROEJDDAXM6)
NEW Value: String (20 Characters - I.e. 549300ROEJDDAXM6LU05)

Updates to Bloomberg STP FIXBook (MAP - Multi-Asset Protocol)

> 35=8 (ExecutionReport)

Update Tag 1905 (RegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 1910 (AllocRegulatoryTradeIDSource) to send full 20 character LEI.

> 35=J (AllocationInstruction)

Update Tag 1905 (RegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 1910 (AllocRegulatoryTradeIDSource) to send full 20 character LEI.

Current value: String (10 Characters - I.e. ROEJDDAXM6)
NEW Value: String (20 Characters - I.e. 549300ROEJDDAXM6LU05)

Updates to Bloomberg FXGO Legacy Specification

> 35=AE (TradeCaptureReport) - FX Cash, Deposits

Update Tag 22028 (RegulatoryTradeIDSource) to send full 20 character LEI.

> 35=AE (TradeCaptureReport) - FX Options

Update Tag 20003 (LegRegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 22028 (AllocRegulatoryTradeIDSource) to send full 20 character LEI.
Update Tag 20005 (USI RegulatoryHedgeNameSpace) to send full 20 character LEI.

> 35=J (AllocationInstruction)

Update Tag 22028 (AllocRegulatoryTradeIDSource) to send full 20 character LEI.

Current value: String (10 Characters - I.e. ROEJDDAXM6)
NEW Value: String (20 Characters - I.e. 549300ROEJDDAXM6LU05)

Updates to Liquidity Provisioning and STP Custom Specification

Existing Tags that pack the list of values below will be updated to send full 20 character LEI.
LegAllocRegulatoryTradeIDSource
RegulatoryTradeIDSource
AllocRegulatoryTradeIDSource
LegRegulatoryTradeIDSource
USI RegulatoryHedgeNameSpace

Current value: String (10 Characters - I.e. ROEJDDAXM6)
NEW Value: String (20 Characters - I.e. 549300ROEJDDAXM6LU05)

Please ensure that your respective integration points to FXGO, BSEF, BMTF, BTFE and BTBS can support expanded UTI. Please reach out to your FXGO relationship manager with any questions.

Specification Document

Reference to the CFTC Requirement Changes, field 103 (UTI): https://www.ecfr.gov/current/title-17/chapter-I/part-45/appendix-Appendix%201%20to%20Part%2045

Message from Venue - There are no new specification as we are just sending a new value in the UTI prefix field; thus there are no specific conformance test.

MarketFactory Analysis

Impact is only on messages received from Venue i.e: NewOrderMultiLeg and ExecutionReportAck for RFS, but for Batches client need echo LegRegulatoryTradeIDSource in ExecutionReport.

MarketFactory have connected to Bloomberg Integration environment for RFS, ESP and Batches and made sure the CFTC Rule Re-Write changes are in effect.

Venue has mentioned the changed values for BMTF. These are the full list of old and new values for all regulatory types available:

BMTF Values changed from ROEJDDAXM6 to 549300ROEJDDAXM6LU05.

BTFE Values changed from QBKK4WBSO3 to 254900QBKK4WBSO3GE51.

BTBS Values changed from 1KJTIIGC8Y to 5493001KJTIIGC8Y1R12 – Venue expects new value to be 254900HSS82AHMTPAD95 so waiting confirmation from their Development team.

XOFF has same values as BTBS.

BSEF yet to be confirmed.

Impact to MarketFactory

MTF, SEF, MAS and OffFacility trades are all enhanced now to contain Full LEI of generating Entity.

From the aforementioned venue changes, MarketFactory's Bloomberg implementation is impacted by

Updates to Liquidity Provisioning FIXBook RFS/RFQ and Streaming

Updates to Liquidity Provisioning FIXBook Batches

CFTC Rule Re-write changes only affect RFS and Batches

MF fields impacted by CFTC Global UTI reporting requirement

RFS : MarketFactory will send 20 char long LEI values in LegRegulatoryValue and AllocRegulatoryValue :

MessageType	BBG field	MF field
NewOrderSingle	Tag1910/ AllocRegulatoryTradeIDSource	AllocRegulatoryValue of AllocSEFUSIPrefix / AllocEMIRUTIPrefix
NewOrderSingle	Tag1905/ RegulatoryTradeIDSource	LegRegulatoryValue of LegSEFUSIPrefix / LegEMIRUTIPrefix
ExecutionAcknowledgement	Tag1905/ RegulatoryTradeIDSource	LegRegulatoryKey of LegSEFUSIPrefix / LegEMIRUTIPrefix

Batches:

MessageType	BBG field	MF field
NewOrderList	Tag 22426/ LegAllocRegulatoryTradeIDSource	AllocRegulatoryValue of AllocSEFUSIPrefix / AllocEMIRUTIPrefix
NewOrderSingle	Tag 20003/ LegRegulatoryTradeIDSource	LegRegulatoryValue of LegSEFUSIPrefix / LegEMIRUTIPrefix
ExecutionReport	Tag 20003/ LegRegulatoryTradeIDSource	LegRegulatoryValue of LegSEFUSIPrefix / LegEMIRUTIPrefix
ExecutionAcknowledgement	Tag 20003/ LegRegulatoryTradeIDSource	LegRegulatoryKey of LegSEFUSIPrefix / LegEMIRUTIPrefix