Technical Information -

Genium INET Upgrade to version 5.0.0230

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This webpage will be updated continuously when new information for the Genium INET 5.0.0230 project is available. In addition to monitoring this webpage, we strongly recommend you to subscribe to IT-Notices for the relevant markets.

Please note that there are mandatory changes to OMnet that may have impact depending on integration. Please always see summary of changes in the specifications to ensure potential impact.

25 Sep Front-end initial candidates available
26 Sep External test 4 availability
4 Oct Final technical specifications available
9 Oct Front-end final candidates available
9 Oct Non mandatory OMnet update on Margin Netting Ext4
29 Oct External test 3 upgraded to 5.0.0230
31 Oct External test 1 upgraded to 5.0.0230
16 Nov Upgrade to Genium INET version 5.0.0230
18 Nov First day of trading and clearing on 5.0.0230

 

OMNET INFORMATION

OMNET HEADER File (release candidate)

FRONT-ENDS

GENIUM INET FIX DOCUMENTATION

FIX Industry standard interface for order management and trade management

 

Equity Derivatives

• Cum/Ex indicator
• Transformation

Cum/Ex indicator 

Adaptation to CSDR made to ensure technical ability to enable matching on CSD level. Cum/Ex indicates if trade was made including (cum) or excluding (ex) rights to corporate action (dividend, rights, interest et cetera) and the indicator is an additional matching criteria.

Nasdaq API/Protocols

OMnet:

Trade Transaction Condition Indicator

New TTCO indicator on settlement instructions

Description

The existing DvP Instruction information will be enhanced with a TTCO indicator. A Broadcast is sent out for every new DvP instruction created, or when a DvP instruction is changed. In addition, missing or historic DvP instructions can be retrieved via related queries.

This is a mandatory change for any user using the below Messages.

Messages

The TTCO indicator will be added in the following Messages:

SB1 - DvP Instruction BROADCAST

SA5 – Answer to DvP Instruction, Missing QUERY (SQ5)

SA6 – Answer to DvP Instruction, Historic QUERY (SQ6)

Structures

The impacted messages all include the structure struct dvp_instruction_api. The struct dvp_instruction_api will be enhanced with a TTCO indicator. The following value set is expected. The indicator may also be blank.

 

Cum Bonus - CBNS

Cum Coupon - CCPN

Cum Dividend - CDIV

Cum Rights - CRTS

Cum Warrants - CWAR

Guaranteed Delivery - GTDL

Market Price - MAPR

Negotiated Trade - NEGO

Non-Market Price - NMPR

Special Cum Dividend - SPCU

Special Ex Dividend - SPEX

Ex Bonus - XBNS

Ex Coupon - XCPN

Ex Dividend - XDIV

Ex Rights - XRTS

Ex Warrants - XWAR

 

 

Transformation

If pending settlement instructions exists on record date of a reorganization they are cancelled at CSD level and adjusted for reorganization event (i.e new isin and if applicable changed volume/price). The adjustment is made either at CSD level or manually by Nasdaq Clearing Operations depending on CSD venue.

 

Nasdaq API/Protocols

OMnet:

The previously announced OMnet changes for Equity Derivatives Transformation functionality has been removed and is no longer part of the release.

Fixed Income Derivatives

• Credit Token
• Linking of Repo Legs

Credit Token

Recent years have seen a regulatory drive to move over-the-counter (OTC) trading in liquid derivatives onto organized venues. The aim is to bring transparency into the OTC sphere for the mutual benefit of both investors and regulators. In addition to this investors may benefit from deeper liquidity etc. by moving onto electronic marketplaces. MiFID II and MiFIR generally apply to transactions in financial instruments in asset classes concluded on venue or over-the-counter. More specifically MiFID II (RTS 26) requires trading venues to perform pre-trade checks against the limits set and maintained by clearing members for its clients and to send electronically executed trades to the CCP within 10 seconds. The CCP then in turn must accept or reject such trades within 10 seconds. In order to keep within these narrow time limits, and to adhere to certainty of clearing, an automated limit check must ideally be in place in order to avoid delays. The pre-trade credit check is conducted by the trading venue. If this check is successful it is evidenced by the presence of a “credit token”. The credit token is then attached to the trade message sent by the trading venue via MarkitWire to Nasdaq Clearing. The presence of a credit token in a client-dealer trade will void the necessity of the client’s clearing broker to affirm the trade and pre-novation will be initiated immediately. If a credit token is not present in a client-dealer trade the usual trade flow will apply, i.e. the client’s clearing broker have to affirm the trade before it can be novated. The products in scope are swaps and FRA’s.

Nasdaq API/Protocols

OMnet:

This is a mandatory change for any user using the below OTC transactions:

KB1 - Directed OTC Trade Report

KB14 - Directed OTC Give Up

KQ1 - OTC Trade Report

KQ2 - OTC Trade Report

KQ3 - OTC Trade Report Version

KQ5 - Trade Report Termination

KQ14 - Query OTC Give Up Request

 

Linking of repo legs

Adaptation to CSDR where settlement instructions will need to be affixed with ISO transaction codes indicating the reason for the settlement instruction. To facilitate this for Repos each leg will be linked by enhancing MT543 or MT541 with a reference in field 20C.

Clearing Reports

• Creation of empty CSV reports
• Updated Clearing Reports

 

Creation of empty CSV reports

The below CSV reports will with the go-live of the 5.0.0230 release be created regardless if they have content or not. This affects reports in Clearing Workstation, Q-Port and on our FTP site.

  • NEXACLC__-EEM;
    EXERCISE_AND_CLOSING_CSV
  • NFUMTMC__-EMM;
    FUTURE_MARK_TO_MARKET_CSV
  • NPOSC____-ERM;
    POSITIONS_CSV
  • NPOSNPC__-ERM;
    POSITIONS_NONPROP_CSV
  • NTRDC____-ETM;
    TRADES_CSV
  • NCOLTRC__-ERM;
    COLLATERAL_TRANSACTIONS_CSV
  • NTRDEXCC_-ETM;
    TRADE_EXCEPTIONS_CSV
  • NCOLC____-ERMP;
    COLLATERAL_PREL_CSV
  • NCOPTC___-ERMP;
    CASH_OPTIMIZATION_PREL_CSV
  • NCSETTPC_-ECM;
    CASH_SETTLEMENT_PROPAGATION_CSV
  • NMARCOLC_-ERMP;
    MARGIN_AND_COLLATERAL_EVALUATION_PREL_CSV
  • NMRAC____-ERMP;
    N_MARGIN_REQUIREMENT_MRA_PREL_CSV

 

Updated Clearing Reports

The below columns will be added to the report Trade Detail OTC: 

Credit Token

Credit Token Approver 

Execution Venue Type

Execution Facility Name

Execution Facility LEI

Execution Facility Trade Id

MIC Code

ISIN

Example file



The below columns will be added to the report Interest Trade Detail:

Execution Venue Type

Execution Facility Trade Id

Example file



The below existing columns in the report Emir Trades will be populated for FRA´s and Interest Rate SWAPs.

CD5_Product_identification_type

CD6_Product_identification

CD15_Venue_of_execution

Fixed Income Cash

• SOBB
• Updated FIX tag

SOBB

Sold Out Buy Back functionality is now available in the updated Genium INET Trading Workstation

Updated FIX Tag

The OMnet UC120 transaction has been implemented in a FIX message for Issuers to uncross during IPMO phase. Please see the published FIX Specification for further details.

Commodities

• Block Trade-size validation
• Directed Quote Request

Block Trade-size validation

Change in OMnet-transactions DQ45 & DA45 to enable validation of minimum Block Trade-size used by Nasdaq Commodities. This change has no impact for users of the OMnet API.

Directed Quote Request

As previously announced, Nasdaq Commodities will in November update both Trading Workstation (TW) and Q-port with the new Directed Quote Request and Response functionality, previously postponed from June 2020 release. This includes the functionality for on-behalf messages in Q-port.


The new order types introduced in the API in June 2019, are still non-mandatory. For participants that wants to integrate their systems with the new order types may do so.

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