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FIA Extensions 1.1 Proposal The Post-trade Model for TradeCapture and Allocation Reporting

FIA Extensions 1.1 Proposal The Post-trade Model for TradeCapture and Allocation Reporting Updated March 1, 2005. Electronic Trade Reporting Flow. Clearing Firm. Clearing House. Match Engine/ VMU. Executing Firm Side1. TradeCaptureReport 2-sided TransTyp=New TrdTyp=Regular

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FIA Extensions 1.1 Proposal The Post-trade Model for TradeCapture and Allocation Reporting

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  1. FIA Extensions 1.1 Proposal The Post-trade Model for TradeCapture and Allocation Reporting Updated March 1, 2005

  2. Electronic Trade Reporting Flow Clearing Firm Clearing House Match Engine/ VMU Executing Firm Side1 TradeCaptureReport 2-sided TransTyp=New TrdTyp=Regular SesSub=Electronic CopyMsgIndicator=False TradeCaptureReport Side1 TransTyp=New TrdTyp=Regular SesSub=Electronic CopyMsgIndicator=True Identifies message as a “forwarded” copy of the original TradeCapture Absence of CopyMsgInd identifies message as original TradeCapture submission TradeCaptureReport Side2 TransTyp=New TrdTyp=Regular SesSub=Electronic CopyMsgIndicator=True TradeCaptureReportAck 2-sided TransTyp=New TrdTyp=Regular SesSub=Electronic Executing Firm Side TradeCaptureReport TransTyp=Replace TrdTyp=Regular SesSub=Electronic Post-match change to electronic trade TradeCaptureReportAck TransTyp=Replace TrdTyp=Regular SesSub=Electronic TradeCaptureReport TransTyp=Replace TrdTyp=Regular SesSub=Electronic CopyMsgIndicator=True Optional notification to Engine

  3. Order Routing Trade Reporting Flow Clearing Firm Clearing House Order Routing Device TradeCaptureReport 1-sided TransTyp=New TrdTyp=Regular SesSub=Pit CopyMsgIndicator=False TradeCaptureReport TransTyp=New TrdTyp=Regular SesSub=Pit CopyMsgIndicator=True Absence of CopyMsgInd identifies message as original TradeCapture submission Identifies message as a “forwarded” copy of the original TradeCapture TradeCaptureReportAck 1-sided TransTyp=New TrdTyp=Regular SesSub=Pit Pre or post-match change to order routing trade TradeCaptureReport TransTyp=Replace TrdTyp=Regular SesSub=Pit Ack may not be required by Order Routing Device TradeCaptureReport TransTyp=Replace TrdTyp=Regular SesSub=Pit CopyMsgIndicator=True TradeCaptureReportAck TransTyp=Replace TrdTyp=Regular SesSub=Pit

  4. CBOT Order Routing Trade Reporting Flow (Denali) Clearing Firm Clearing House Denali VMU Executing Firm Side1 TradeCaptureReport Multi-sided TransTyp=New TrdTyp=Regular SesSub=Pit CopyMsgIndicator=False TradeCaptureReport Side1 TransTyp=New TrdTyp=Regular SesSub=Pit CopyMsgIndicator=True Identifies message as a “forwarded” copy of the original TradeCapture Absence of CopyMsgInd identifies message as original TradeCapture submission TradeCaptureReport Side n+1 TransTyp=New TrdTyp=Regular SesSub=Pit CopyMsgIndicator=True TradeCaptureReportAck Multi-sided TransTyp=New TrdTyp=Regular SesSub=Pit Executing Firm Side2 TradeCaptureReport TransTyp=Replace TrdTyp=Regular SesSub=Pit Post-match change to electronic trade TradeCaptureReport TransTyp=Replace TrdTyp=Regular SesSub=Pit CopyMsgIndicator=True TradeCaptureReportAck TransTyp=Replace TrdTyp=Regular SesSub=Pit

  5. Clearing Firm Back Office Clearing House Pit, Block, EFP (Firm to House) Trade Reporting Flow TradeCaptureReport TransTyp=New, MatchStat=Unmatched TrdTyp=Regular, SesSub=Pit TradeCaptureReportAck TransTyp=New, MatchStat=Unmatched TrdTyp=Regular, SesSub=Pit TradeCaptureReport used to change or DK a trade TradeCaptureReport TransTyp=Replace/DK TrdTyp=Regular, SesSub=Pit TradeCaptureReportAck TransTyp=Replace/DK Match Event TradeCaptureReport TransTyp=Replace, TrdTyp=Regular, SesSub=Pit CopyMsgIndicator=True CopyMsgIndicator identifies trade as a “forwarded” copy of the matched trade. This convention preserves consistency across all Trade Reporting models

  6. Rules for Listed Derivatives Allocations Reports are outbound from Clearing House only. Instructions are inbound from Giveup firm only Alerts are outbound from Clearing House only and are used only to advise of group updates AllocStatus is only provided by the Clearing House The Business Intent of a message is used bi-directionally as represented in AllocType and AllocReportType

  7. Allocation Status and Report Type Use

  8. Create Group Via Trade Capture (1) ExecutionFirm Claim Firm Clearing House Trade marked for allocation but Claim firm not specified TradeCaptureReport TransType=NEW AllocInd = 1 TradeCaptureReportAck TransType=NEW AllocInd = 1 New message to indicate the creation of an allocation group via trade capture AllocationInstructionAlert AllocTransType=NEW AllocStatus=AllocPending AllocType=ComplGroupete Group Alert. Caries trade details. Used in ALL cases to notify firm of Group

  9. Create Group Via Trade Capture (2) Execution Firm Claim Firm Clearing House Trade Capture Report TransType=New AllocInd=AllocationProvided Allocation carried on Trade AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending AllocBlock AllocationInstructionAlert AllocTransType=NEW AllocStatus=AllocPending AllocType=ComplGroupete New message used to indicate the creation of an allocation group via trade capture AllocationReport AllocTransType=NEW AllocStatus=Received AllocType=Preliminary Report indicates the creation of an allocation; in this case due to TradeCapture

  10. Create Group Via AllocationInstruction GiveUp Firm Claim Firm Clearing House AllocationInstruction AllocTransType=NEW AllocType=ComplGroup AllocID only signifies creation of group Request to Complete the Allocation Group AllocationInstructionAlert AllocTransType=NEW AllocStatus=AllocPending AllocType=ComplGroup Group Alert. Carries trade details IndividualAllocID signifies creation of allocation AllocationInstruction AllocTransType=NEW AllocType=Preliminary Intermediary Reports Allocation Status to both parties AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=Preliminary AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending

  11. Complete Average Price Group via Allocation Instruction GiveUp Firm Claim Firm Clearing House AllocationInstruction AllocTransType=REPLACE AllocType=ComplGroupete Allocation Instructions have been specified prior to Group Complete Group-level update to using AllocID AllocationInstructionAlert AllocTransType=REPLACE AllocStatus=AllocPending AllocType=ComplGroup Specific Allocation Reports are sent on completion of group AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptTyp=Preliminary AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptTyp=Preliminary AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending One or more AllocationReports may be generated upon Group Completion Specific Allocation Reports are sent on completion of group

  12. Basic Allocation Flow Giveup Firm Clearing House Claim Firm AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending AllocationInstruction AllocTransType=NEW AllocType=Preliminary Allocation Instruction submitted Claiming Firm accepts or rejects allocation AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptTyp=Preliminary AllocationReportAck AllocTransType=NEW AllocRptType=Accept Allocation Reported to Giveup Firm AllocationReport AllocTransType=NEW AllocStatus=Accepted AllocReportType=Accept AllocationReport AllocTransType=NEW AllocStatus=Accepted AllocReportType=Complete Allocation Reported to Claim Firm

  13. Allocation Update Giveup Firm Clearing House Claim Firm Giveup Firm requests update to allocation prior to acceptance by Claim Firm AllocationInstruction AllocTransType=REPLACE AllocType=Preliminary AllocationReport AllocTransType=REPLACE AllocStatus=Received AllocRptType=AccPending AllocationReport AllocTransType=REPLACE AllocStatus=Received AllocRptTyp=Preliminary Update is reported by Intermediary Allocation Reported to Giveup Firm

  14. Cancel Allocation Giveup Firm Clearing House Claim Firm Giveup Firm requests cancel of allocation prior to acceptance by Claim Firm AllocationInstruction AllocTransType=CANCEL AllocType=Preliminary AllocationReport AllocTransType=CANCEL AllocRptType=AccPending AllocStatus=Received AllocationReport AllocTransType=CANCEL AllocStatus=Received AllocRptTyp=Preliminary Update is reported by Intermediary

  15. Update Allocation after Accept Giveup Firm Clearing House Claim Firm AllocationReportAck AllocTransType=REPLACE AllocRptType=Request Claiming Firm Changes Allocation Details after initial Accept AllocationReport AllocTransType=REPLACE AllocStatus=Accepted AllocReportType=Complete Allocation Reported to Claim Firm

  16. Allocation w/Multiple Alloc Blocks Giveup Firm Clearing House Claim Firm AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending AllocationInstruction AllocTransType=NEW AllocType=Preliminary Alloc Bloc 1 Alloc Bloc 1 Alloc Bloc 2 Alloc Bloc 2 AllocationReport AllocTrans=NEW AllocRptType=Preliminary AllocStatus=Received AllocationReportAck AllocTransType=NEW AllocRptType=Acct Level Accept AllocationReport AllocTrans=NEW AllocRptType=Accept AllocStatus=Acct Level Accept Alloc Bloc 1 AllocationReport AllocTransType=NEW AllocStatus=Accepted AllocRptType=Complete Alloc Bloc 1 AllocationReport AllocTransType=NEW AllocRptType=Reject AllocStatus=Acct Level Reject AllocationReportAck AllocTransType=NEW AllocRptType=Acct Level Reject Alloc Bloc 2 Alloc Bloc 2

  17. Giveup Firm Clearing House Claim Firm Third Party Allocation AllocationReport AllocTransType=NEW AllocStat=Received AllocRptType=AcceptPending AllocationInstruction AllocTransType=NEW AllocType=Preliminary Initial Allocation Request Claim Firm becomes a Give-up Firm AllocationReport AllocTransType=NEW AllocStat=Received AllocRptTyp=Preliminary AllocationReportAck AllocTransType=NEW AllocRptType=Accept Accept by Claim Firm Notice of Accept by Claim Firm AllocationReport AllocTransType=NEW AllocRptType=Accept AllocStatus=Accepted AllocationReport AllocTransType=NEW AllocStatus=Accepted AllocRptTyp=Complete Giveup Firm 3rd Party Claim Firm Specifies one or more Alloc blocks with IndAllocTyp of “Third Party” AllocationInstruction AllocTransType=REPLACE AllocType=Request Allocation given to 3rd-party Creates Allocation Group. Provides trade details AllocationReport AllocTransType=NEW AllocRptType=ComplGroupete AllocStatus=AllocPending Creates Allocation. Provides trade details Allocation Reported to 3rd party Begin Group Create and Allocation Flow Process AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=Preliminary AllocationReport AllocTransType=NEW AllocStatus=Received AllocRptType=AccPending

  18. Giveup Firm Clearing House Claim Firm Allocation Reversal AllocationReport AllocTransType=REVERSAL AllocStatus=Accepted AllocRptType=Reversal Pending AllocationInstruction AllocTransType=REVERSAL AllocType=Request Request Reversal AllocationReport AllocTransType=REVERSAL AllocStatus=Accepted AllocRptType=Request Report Reversal Request to Claim Firm Report status of Reversal Request Accept Reversal Request AllocationReportAck AllocTransType=REVERSAL AllocType=Accept AllocationReport AllocTransType=REVERSAL AllocStatus=Reversed AllocRptType=Accept Report status of Reversed Allocation AllocationReport AllocTransType=REVERSAL AllocStatus=Reversed AllocRptType=Complete Report status of Reversed Allocation

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