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Buy-side data standards working group

Buy-side data standards working group. 15 April 2004. Prepared by Stephanie Davis Last updated 8 August 2014. Objective. Streamline counterparty communications using accepted industry method for data attributes and format, transmission and security.

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Buy-side data standards working group

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  1. Buy-side data standards working group 15 April 2004 Prepared by Stephanie Davis Last updated 8 August 2014

  2. Objective • Streamline counterparty communications using accepted industry method for data attributes and format, transmission and security. • Reduce support costs through efficient processing and consistent requirements. • Minimize change and significantly reduce lead-time when new products and/or brokers are introduced. • Provide relief for the seller-side by limiting the number of different requirements from the buyer-side. • Determine scope of working group including products covered, target counterparties and technical specifics.

  3. Products – full listing • OTC/Structured – interest rate swaps, credit default swaps, options, forwards, total return swaps • Prime Broker – equities, converts, bonds • Exchange-traded futures and options • Securities lending

  4. Achieving our goal How do we accomplish this???

  5. Reporting Requirements - examples Cash balance Security positions Cash activity Collateral margin Fails Margin interest Corporate actions End of day positions Intraday activity End of day cash Assignment notice Option expiration activity Prime Broker Futures and Options

  6. End of day position Daily activity Collateral Statement Collateral Requirements Accrued Financing Accrued Dividends Maturity Unwind Advice Reset Advice End of day position Daily activity Collateral Statement Collateral Requirements Conversion activity Reporting Requirements – examples cont’d OTC/Structured - CDS OTC/Structured - FX Options

  7. Data Requirements – examples - OTC/Structured CDS IRS

  8. Data transmission and security • Alternate messaging and file formats include SWIFT, FIX, FPmL, comma separated values, consortium driven XML. • Standard encryption using PGP. • Transmit through scheduled FTP transfers to eliminate e-mail and parsing dependency. • Include notify and acknowledge statuses on all file transmissions.

  9. Timeline and next steps • Agree on: • mission statement • current participants in working group • product prioritization • product attributes • file format and transmission method • Goal: Define sell-side counterparties and identify target counterparties. Get a statement to them by June 15. • Confirm schedule of working meetings every other week. Proposed next meeting: April 29 at 11.00 am ET.

  10. Contact Information Stephanie Davis Project Manager Citadel Investment Group, LLC 131 South Dearborn Street Chicago, IL 60603 ph: 312.395.4312 fax: 312.267.7639 email: stephanie.davis@citadelgroup.com Ann Marie Davis Managing Director, Global Operations ph: 312.395.2111 fax: 312.267.7607 email: ann.davis@citadelgroup.com Pete Myran Managing Director, Back Office Technology ph: 312.395.3157 fax: 312.267.7551 email: peter.myran@citadelgroup.com

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