FIA Extensions 1 1 Proposal The Post-trade Model

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

Electronic Trade Reporting Flow Match Engine/ VMU Clearing House Trade. Capture. Report 2 -sided Absence of Copy. Msg. Ind identifies message as original Trade. Capture submission Trans. Typ=New Trd. Typ=Regular Ses. Sub=Electronic Copy. Msg. Indicator=False Trade. Capture. Report Ack 2 -sided Trans. Typ=New Trd. Typ=Regular Ses. Sub=Electronic Clearing Firm Trade. Capture. Report Side 1 Trans. Typ=New Trd. Typ=Regular Ses. Sub=Electronic Copy. Msg. Indicator=True Trade. Capture. Report Side 2 Identifies message as a “forwarded” copy of the original Trade. Capture Trans. Typ=New Trd. Typ=Regular Ses. Sub=Electronic Copy. Msg. Indicator=True Trade. Capture. Report Executing Firm Side Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Electronic Post-match change to electronic trade Trade. Capture. Report Optional notification to Engine Executing Firm Side 1 Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Electronic Copy. Msg. Indicator=True Trade. Capture. Report Ack Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Electronic 2

Order Routing Trade Reporting Flow Order Routing Device Trade. Capture. Report 1 -sided Absence of Copy. Msg. Ind identifies message as original Trade. Capture submission Clearing Firm Clearing House Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=False Trade. Capture. Report Ack 1 -sided Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Trade. Capture. Report Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=True Pre or post-match change to order routing trade Identifies message as a “forwarded” copy of the original Trade. Capture. Report Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Pit Ack may not be required by Order Routing Device Trade. Capture. Report Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=True Trade. Capture. Report Ack Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Pit 3

CBOT Order Routing Trade Reporting Flow (Denali) Clearing House Denali VMU Trade. Capture. Report Multi-sided Absence of Copy. Msg. Ind identifies message as original Trade. Capture submission Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=False Trade. Capture. Report Ack Multi-sided Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Post-match change to electronic trade Executing Firm Side 1 Clearing Firm Trade. Capture. Report Side 1 Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=True Trade. Capture. Report Side n+1 Identifies message as a “forwarded” copy of the original Trade. Capture Trans. Typ=New Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=True Trade. Capture. Report Executing Firm Side 2 Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Pit Trade. Capture. Report Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Pit Copy. Msg. Indicator=True Trade. Capture. Report Ack Trans. Typ=Replace Trd. Typ=Regular Ses. Sub=Pit 4

Pit, Block, EFP (Firm to House) Trade Reporting Flow Clearing Firm Back Office Clearing House Trade. Capture. Report Trans. Typ=New, Match. Stat=Unmatched Trd. Typ=Regular, Ses. Sub=Pit Trade. Capture. Report. Ack Trans. Typ=New, Match. Stat=Unmatched Trd. Typ=Regular, Ses. Sub=Pit Trade. Capture. Report used to change or DK a trade Trade. Capture. Report Trans. Typ=Replace/DK Trd. Typ=Regular, Ses. Sub=Pit Trade. Capture. Report. Ack Trans. Typ=Replace/DK Trade. Capture. Report Trans. Typ=Replace, Trd. Typ=Regular, Ses. Sub=Pit Copy. Msg. Indicator=True Copy. Msg. Indicator identifies trade as a “forwarded” copy of the matched trade. This convention preserves consistency across all Trade Reporting models Match Event 5

Rules for Listed Derivatives Allocations I. Reports are outbound from Clearing House only. II. Instructions are inbound from Giveup firm only III. Alerts are outbound from Clearing House only and are used only to advise of group updates IV. Alloc. Status is only provided by the Clearing House V. The Business Intent of a message is used bidirectionally as represented in Alloc. Type and Alloc. Report. Type 6

Allocation Status and Report Type Use Allocation Messaging Life-cycle Alloc. Status Alloc. Rpt. Type or Alloc. Type Description Alloc. Pending Complete Group Allocation is pending on a completed group Alloc. Pending Incomplete Group Allocation is pending on an incomplete group Received Preliminary Allocation has been received and is in preliminary stages Received Accept Pending Allocation has been received and is waiting acceptance Accepted Accept Allocation has been accepted by claim firm and is reported to giveup firm Accepted Complete Allocation accept request has been successfully processed and is reported to claim firm Rejected Reject Allocation has been rejected by claiming firm Rejected Complete Allocation reject has been successfully processed Request to Intermediary Allocation update has been requested after completion 7

Create Group Via Trade Capture (1) Execution Firm Claim Firm Clearing House Trade. Capture. Report Trans. Type=NEW Alloc. Ind = 1 Trade. Capture. Report. Ack Trans. Type=NEW Alloc. Ind = 1 Trade marked for allocation but Claim firm not specified New message to indicate the creation of an allocation group via trade capture Allocation. Instruction. Alert Alloc. Trans. Type=NEW Alloc. Status=Alloc. Pending Alloc. Type=Compl. Groupete Group Alert. Caries trade details. Used in ALL cases to notify firm of Group 8

Create Group Via Trade Capture (2) Execution Firm Claim Firm Clearing House Trade Capture Report Trans. Type=New Alloc. Ind=Allocation. Provided Alloc. Block Allocation. Instruction. Alert Alloc. Trans. Type=NEW Alloc. Status=Alloc. Pending Alloc. Type=Compl. Groupete Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Type=Preliminary Allocation carried on Trade Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending New message used to indicate the creation of an allocation group via trade capture Report indicates the creation of an allocation; in this case due to Trade. Capture 9

Create Group Via Allocation. Instruction Give. Up Firm Alloc. ID only signifies creation of group Claim Firm Clearing House Allocation. Instruction Alloc. Trans. Type=NEW Alloc. Type=Compl. Group Request to Complete the Allocation Group Allocation. Instruction. Alert Individual. Alloc. ID signifies creation of allocation Alloc. Trans. Type=NEW Alloc. Status=Alloc. Pending Alloc. Type=Compl. Group Alert. Carries trade details Allocation. Instruction Intermediary Reports Allocation Status to both parties Alloc. Trans. Type=NEW Alloc. Type=Preliminary Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Preliminary Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending 10

Complete Average Price Group via Allocation Instruction Give. Up Firm Allocation. Instruction Group-level update to using Alloc. ID Claim Firm Clearing House Alloc. Trans. Type=REPLACE Alloc. Type=Compl. Groupete Allocation Instructions have been specified prior to Group Complete Allocation. Instruction. Alert Alloc. Trans. Type=REPLACE Alloc. Status=Alloc. Pending Alloc. Type=Compl. Group Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Typ=Preliminary Specific Allocation Reports are sent on completion of group Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending Allocation. Report Specific Allocation Reports are sent on completion of group Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Typ=Preliminary Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending One or more Allocation. Reports may be generated upon Group Completion 11

Basic Allocation Flow Giveup Firm Allocation. Instruction Allocation Instruction submitted Allocation Reported to Giveup Firm Claim Firm Clearing House Alloc. Trans. Type=NEW Alloc. Type=Preliminary Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Typ=Preliminary Claiming Firm accepts or rejects allocation Allocation. Report. Ack Alloc. Trans. Type=NEW Alloc. Rpt. Type=Accept Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Accepted Alloc. Report. Type=Accept Alloc. Trans. Type=NEW Alloc. Status=Accepted Alloc. Report. Type=Complete Allocation Reported to Claim Firm 12

Allocation Update Giveup Firm Clearing House Allocation. Instruction Alloc. Trans. Type=REPLACE Alloc. Type=Preliminary Allocation. Report Alloc. Trans. Type=REPLACE Alloc. Status=Received Alloc. Rpt. Typ=Preliminary Claim Firm Giveup Firm requests update to allocation prior to acceptance by Claim Firm Allocation. Report Alloc. Trans. Type=REPLACE Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending Allocation Update is Reported to reported by Intermediary Giveup Firm 13

Cancel Allocation Giveup Firm Clearing House Allocation. Instruction Alloc. Trans. Type=CANCEL Alloc. Type=Preliminary Allocation. Report Alloc. Trans. Type=CANCEL Alloc. Status=Received Alloc. Rpt. Typ=Preliminary Claim Firm Giveup Firm requests cancel of allocation prior to acceptance by Claim Firm Allocation. Report Alloc. Trans. Type=CANCEL Alloc. Rpt. Type=Acc. Pending Alloc. Status=Received Update is reported by Intermediary 14

Update Allocation after Accept Giveup Firm Claim Firm Clearing House Claiming Firm Changes Allocation Details after initial Accept Allocation Reported to Claim Firm Allocation. Report. Ack Alloc. Trans. Type=REPLACE Alloc. Rpt. Type=Request Allocation. Report Alloc. Trans. Type=REPLACE Alloc. Status=Accepted Alloc. Report. Type=Complete 15

Allocation w/Multiple Alloc Blocks Clearing House Giveup Firm Allocation. Instruction Alloc. Trans. Type=NEW Alloc. Type=Preliminary Alloc Bloc 1 Alloc Bloc 2 Claim Firm Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending Alloc Bloc 1 Alloc Bloc 2 Allocation. Report Alloc. Trans=NEW Alloc. Rpt. Type=Preliminary Alloc. Status=Received Allocation. Report Alloc. Trans=NEW Alloc. Rpt. Type=Accept Alloc. Status=Acct Level Accept Alloc Bloc 1 Allocation. Report. Ack Alloc. Trans. Type=NEW Alloc. Rpt. Type=Acct Level Accept Alloc Bloc 1 Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Accepted Alloc. Rpt. Type=Complete Allocation. Report Alloc. Trans. Type=NEW Alloc. Rpt. Type=Reject Alloc. Status=Acct Level Reject Alloc Bloc 2 Allocation. Report. Ack Alloc. Trans. Type=NEW Alloc. Rpt. Type=Acct Level Reject Alloc Bloc 2 16

Third Party Allocation Giveup Firm Allocation. Instruction Initial Allocation Request Claim Firm Clearing House Alloc. Trans. Type=NEW Alloc. Type=Preliminary Allocation. Report Alloc. Trans. Type=NEW Alloc. Stat=Received Alloc. Rpt. Type=Accept. Pending Allocation. Report Alloc. Trans. Type=NEW Alloc. Stat=Received Alloc. Rpt. Typ=Preliminary Notice of Accept by Claim Firm 3 rd Party Claim Firm Allocation. Report Alloc. Trans. Type=NEW Alloc. Rpt. Type=Accept Alloc. Status=Accepted Specifies one or more Alloc blocks with Ind. Alloc. Typ of “Third Party” Creates Allocation Group. Provides trade details Allocation Reported to 3 rd party Creates Allocation. Provides trade details Allocation. Report. Ack Alloc. Trans. Type=NEW Alloc. Rpt. Type=Accept Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Acc. Pending Accept by Claim Firm Allocation. Report Alloc. Trans. Type=NEW Alloc. Status=Accepted Alloc. Rpt. Typ=Complete Allocation. Instruction Alloc. Trans. Type=REPLACE Alloc. Type=Request Allocation. Report Giveup Firm Allocation given to 3 rdparty Alloc. Trans. Type=NEW Alloc. Rpt. Type=Compl. Groupete Alloc. Status=Alloc. Pending Allocation. Report Claim Firm becomes a Give-up Firm Alloc. Trans. Type=NEW Alloc. Status=Received Alloc. Rpt. Type=Preliminary Begin Group Create and Allocation Flow Process 17

Allocation Reversal Giveup Firm Allocation. Instruction Request Reversal Alloc. Trans. Type=REVERSAL Alloc. Type=Request Allocation. Report status of Reversal Request Alloc. Trans. Type=REVERSAL Alloc. Status=Accepted Alloc. Rpt. Type=Request Allocation. Report Alloc. Trans. Type=REVERSAL Alloc. Status=Accepted Alloc. Rpt. Type=Reversal Pending Report Reversal Request to Claim Firm Accept Reversal Request Allocation. Report status of Reversed Allocation Claim Firm Clearing House Alloc. Trans. Type=REVERSAL Alloc. Status=Reversed Alloc. Rpt. Type=Accept Allocation. Report. Ack Alloc. Trans. Type=REVERSAL Alloc. Type=Accept Allocation. Report status of Reversed Allocation Alloc. Trans. Type=REVERSAL Alloc. Status=Reversed Alloc. Rpt. Type=Complete 18