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<Xml. Work. Shop/> Principals of Optimizing FIXML • Use meaningful abbreviations for element and Principals of Optimizing FIXML • Use meaningful abbreviations for element and attribute names wherever possible. Use standard abbreviations for common words (ie. Price = Px, Currency = Ccy). • Identify the messages used in the application and create top level elements to represent them. For position services, these elements are the position maintenance request (Pos. Maint. Req), position maintenance report (Pos. Maint. Rpt), position request (Pos. Req), position request acknowledgement (Pos. Req. Ack), position report (Pos. Rpt), and trade capture report (Trd. Cap. Rpt). • Identify data items that can be grouped together to describe a logical object and create an element to represent the object. For example, an account ID and account type can be grouped together as an account element with supporting attributes. • Reuse elements to represent common logical objects which are parts of other objects rather than creating new elements. For example, a party is an object that is part of a position maintenance request, position request, and trade capture report side and can also be nested within a position quantity. • Reuse attributes across multiple objects • Identify elements that can be repeated and create a collection element to contain the repeated elements. For example, multiple parties are needed on a message and a collection element called Parties was created to contain multiple Pty elements. 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 1

<Xml. Work. Shop/> FIXML Message Components Parties Block 1. The purpose of the Parties FIXML Message Components Parties Block 1. The purpose of the Parties Block is to provide an efficient, standard way of expressing Firm and Account information in API Messages. The Parties Block consists of the following elements: – Party Role, Party ID, Party Sub ID, and Party ID Source. – Party Role is a static number used to express the type of party, for example Clearing Organization, Clearing Firm, etc. – Party ID is the value representing the party, for example, “CME”, “ 560”, etc. – Party Sub ID is used to express information which further defines the party such as segregation code for the Position Account. – Party ID Source identifies the owner of the standard, for example, ISO. The CME is not planning on using this element in its implementation. This is a Non-Referenced (“N”) element. 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 2

<Xml. Work. Shop/> FIXML Message Components Quantity and Amount Blocks – – The purpose FIXML Message Components Quantity and Amount Blocks – – The purpose of the Quantity and Amount Blocks is to represent the different types of quantities and amounts that can be associated with a Message using a concise set of symbology. 2. Quantity Block (see example below) • • 6 nov 03 Request Messages generally carry only a single instance in the Quantity Block; transaction quantity A PCS Request may carry up to 3 quantity instances; transaction quantity (TQ), intra-spread quantity (IAS), and inter-spread quantity (IES). Report Messages generally carry 3 quantity instances: – submitted (Type=TQ, Status=0) – accepted (Type=TQ, Status=1) – total quantity (Type=TOT, Status=1) A Position Report may carry 10 or more instances in the quantity block since its purpose is to describe the position in detail Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 3

<Xml. Work. Shop/> FIXML Position Maintenance Request - EXR <App. Msg> <Pos. Maint. Req FIXML Position Maintenance Request - EXR 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 4

<Xml. Work. Shop/> FIXML Position Maintenance Report - EXR <App. Msg > <Pos. Maint. FIXML Position Maintenance Report - EXR Quantity on EXR request is greater than available quantity 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 5

<Xml. Work. Shop/> FIXML Position Request <App. Msg> <Pos. Req Bus. Dt= FIXML Position Request 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 6

<Xml. Work. Shop/> FIXML Position Report <App. Msg> <Pos. Rpt Bus. Dt= FIXML Position Report 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 7

<Xml. Work. Shop/> FIXML Trade Capture Report <App. Msg> <Trd. Cap. Rpt Bus. Dt= FIXML Trade Capture Report 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 8

<Xml. Work. Shop/> FIXML Metrics Message Type Position Maintenance Request Parse 5 ms Position FIXML Metrics Message Type Position Maintenance Request Parse 5 ms Position Maintenance Report Position Request Construct 8 ms 5 ms Position Report 10 ms Trade Capture Report 12 ms 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 9

<Xml. Work. Shop/> Position Services with FIXML Requesting Specific Services – 1. A service Position Services with FIXML Requesting Specific Services – 1. A service can be requested by building and submitting a message that conforms to FIXML message requirements. 2. The service invoked by a message is in large part determined by 2 control elements: – – Action Code – indicates the mode of the message Position Transaction Type – indicates the type of service being requested 3. FIXML API Messaging supports 3 types of actions: – – – 6 nov 03 New – is equivalent to an Add Replace – is equivalent to an Update Cancel – is equivalent to a Delete Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 10

<Xml. Work. Shop/> Position Services with FIXML Referential Messaging • 1. The valid combinations Position Services with FIXML Referential Messaging • 1. The valid combinations of Referential Messages which will be supported are: • Replace on New Cancel on New Replace on Replace Cancel on Replace – – – Any ‘New’ message carrying a reference id Cancel on a Cancel Replace on a Cancel – • – – If the same request is referenced on multiple occasions, all requests after the initial referential request will be rejected as errors. Non-referential messages may be sent subsequent to a referential request and will be processed successfully. Referential requests referencing other referential requests will be allowed. This is explained below under the heading of Complex Referential Messaging 2. Invalid combinations are: 3. As stated above, a message may be referenced once and only once. – – • • 6 nov 03 4. What can be changed? On a Replace, only Quantity can be changed. A change in position account requires a message to be cancelled and submitted as ‘new’. Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 11

<Xml. Work. Shop/> XML Standards applicable to the Derivatives Markets Jim Northey Chair, FIX XML Standards applicable to the Derivatives Markets Jim Northey Chair, FIX Protocol Ltd. Global Derivatives Committee 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 12

<Xml. Work. Shop/> XML Standards applicable to Derivatives Markets • XML Languages for Financial XML Standards applicable to Derivatives Markets • XML Languages for Financial Markets – – – 6 nov 03 FIXML Fp. ML ISO/XML MDDL SFXL others. . . Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 13

<Xml. Work. Shop/> XML Standards for the financial industry FIXML, Fp. ML, ISO/XML, SFXL, XML Standards for the financial industry FIXML, Fp. ML, ISO/XML, SFXL, MDDL 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 14

<Xml. Work. Shop/> What is FIXML? • • XML version of FIX Provided as What is FIXML? • • XML version of FIX Provided as a DTD with each version of FIX – If you here FIX 4. 2 - there is an XML and a tag=value version • • FIXML for messaging FIX 4. 4 Timeline 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 15

<Xml. Work. Shop/> FIXML Representation of an Order 8=FIX. 4. 1^9=0235^35=D^34=10^43=N^49=VENDOR^50=CUSTOME R^56=BROKER^52=19980930 -09: 25: FIXML Representation of an Order 8=FIX. 4. 1^9=0235^35=D^34=10^43=N^49=VENDOR^50=CUSTOME R^56=BROKER^52=19980930 -09: 25: 58 ^1=XQCCFUND^11=10^21=1^55=EK^48=277461109^22=1^54=1^38 =10000^40=2^44=76. 750000^59=0^10=165 Becomes… 6 nov 03

12345 EK 10000 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 16

<Xml. Work. Shop/> Likely Evolution of FIXML 2001 DTD 2001 FIXML 4. 3 2003 Likely Evolution of FIXML 2001 DTD 2001 FIXML 4. 3 2003 XML Schema 2003 DTD 2003 FIXML 4. 4 2002 -2004 Reverse Engineering ISO/XML 2003 XML Schema 2003 Transport Optimized FIXML 6 nov 03 2003 XSLT converter Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 17

6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 18

<Xml. Work. Shop/> FIXML and Fp. ML: Towards an integrated view of derivatives 6 FIXML and Fp. ML: Towards an integrated view of derivatives 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 19

<Xml. Work. Shop/> Other Standards • • Fp. ML SFXL ISO/XML MDDL XBRL RIXML Other Standards • • Fp. ML SFXL ISO/XML MDDL XBRL RIXML TAXML OFX 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 20

<Xml. Work. Shop/> Financial Products Markup Language • • • Developed to specify Over Financial Products Markup Language • • • Developed to specify Over the Counter Derivatives An XML Document that codifies the ISDA contract Specific definitions by asset class – – – • Interest Rate FX Equity Credit Energy Complex definitions – Cash flows – Multiple legs • Fp. ML. org becomes part of ISDA Slides taken from a presentation developed by Brian Lynn and Jim Northey at the Marcus-Evans derivatives trading seminar in Chicago Spring 2001 and the SIMC *ML Revolution seminar in New York April 2002 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 21

<Xml. Work. Shop/> Fp. ML - Background • • Proposed in 1999 by JPMorgan Fp. ML - Background • • Proposed in 1999 by JPMorgan and Pricewaterhouse. Coopers Focus on enabling e-commerce for OTC financial derivatives Led by ~10 major players in OTC derivative marketplace, plus ~6 major vendors and many smaller vendors Recently merged with ISDA Version 1. 0 (Rec ‘ 2001) covered IR swaps and FRAs Version 2. 0 (TR ‘ 2001) adds common IR options Version 3. 0 (WD ‘ 2002) adds FX spot, fwd & options, and OTC equity options. 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 22

<Xml. Work. Shop/> Fp. ML -General Comments • • • Versions 1. 0 -3. Fp. ML -General Comments • • • Versions 1. 0 -3. 0 are Product Only (don’t cover business processes) Treats each product as customized Makes extensive use of XML features - structures, references, etc. Represents products parametrically (rather than using cash flows) Because products are complex, Fp. ML documents are complex (typically 3 -10 pages when printed). Adoption 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 23

<Xml. Work. Shop/> Fp. ML - Current Direction • • New product coverage (More Fp. ML - Current Direction • • New product coverage (More equity derivs, credit derivs, energy derivs, etc. ) Migration to XML schema Better support for extensions, versioning, digital signatures, etc. Business process definitions Validation, matching, and tools Integration and interoperability with other financial standards Support deployment as required 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 24

FIX and Fp. ML Product Spaces Standardized Customized Exotics and Hybrids Equities Structured IR FIX and Fp. ML Product Spaces Standardized Customized Exotics and Hybrids Equities Structured IR Swaps Futures Vanilla IR Swaps Options FX Exotic Options FX Spots Fixed Income FX Spots, Swaps Vanilla OTC Equity Options Option Strategies Multileg Products 6 nov 03 Standard Terms Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 25

FIX and Fp. ML Focus Standardized Transactions Between Organizations 6 nov 03 Primary Business FIX and Fp. ML Focus Standardized Transactions Between Organizations 6 nov 03 Primary Business Focus Message Flows Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association Product Definition Within Organizations 26

<Xml. Work. Shop/> FIXML and Fp. ML Coverage 6 nov 03 Copyright (c) 2003 FIXML and Fp. ML Coverage 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 27

<Xml. Work. Shop/> FIXML and Fp. ML - Similarities and Differences • Similarities – FIXML and Fp. ML - Similarities and Differences • Similarities – Both are XML based – Both are financial industry standards, wide participation • Differences – Different but converging product coverage/focus: Fp. ML on complex, FIXML on standardized – Fp. ML focuses on product description, FIXML mostly on business process description – Historically, FIXML predated by non-XML standard, while Fp. ML is an XML-only standard – Fp. ML covers a less automated business than FIX. 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 28

<Xml. Work. Shop/> FIXML/Fp. ML - Business Process Integration • FIXML supports many standard FIXML/Fp. ML - Business Process Integration • FIXML supports many standard business processes, e. g. – negotiation, execution, position reporting • • Fp. ML doesn’t currently define any business processes, but will need many of the same processes as FIX supports. However, business processes often work differently in different asset classes – e. g. negotiation on price (equities) vs. negotiation of terms (OTC swaps) • There will be a need to integrate some processes for cross asset trading (e. g. asset swaps). 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 29

<Xml. Work. Shop/> FIXML/Fp. ML Product Overlap • Core products are different, but. . FIXML/Fp. ML Product Overlap • Core products are different, but. . . – Both cover FX spot and forward, some OTC equity options – Fp. ML references cash equities for OTC options - need common identification – Fp. ML may start to cover/reference fixed income instruments, e. g. as part of asset swaps - need common identification – In the future there may be overlap in listed derivatives (futures and options). 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 30

<Xml. Work. Shop/> Future interoperability and cooperation opportunities • • • Using FIX session Future interoperability and cooperation opportunities • • • Using FIX session layer as an envelope Using FIX instrument identification for standard instruments Using FIX process definitions as starting point for Fp. ML Using Fp. ML product description for instruments (e. g. bonds, convertibles) Schema - both migrating to schema ISO 15022/WG 10 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 31

Fp. ML: A Closer Look • • Why is Automation Harder for OTC Derivatives? Fp. ML: A Closer Look • • Why is Automation Harder for OTC Derivatives? A simple equity order might be represented in XML as follows: IBM 12345 5000 SELL 93. 5 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association Industry standard security identifier is understood by both sender and receiver of message 32

Automation Challenges • • • An OTC derivative trade is a privately negotiated contract Automation Challenges • • • An OTC derivative trade is a privately negotiated contract between two parties Each trade is a unique instrument that can only be communicated by exchanging all the economic terms There is no equivalent to a security identifier (e. g. ISIN or CUSIP) found in the equity and bond markets The challenge is to transcribe the contract terms electronically in a format that supports the complexity and variety of derivative product features XML provides an excellent framework for representing these highly structured products. 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 33

The <swap> in Fp. ML ! 6 nov 03 Copyright (c) 2003 FIX Protocol The in Fp. ML ! 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 34

Fp. ML Architecture - Key Elements • Some key parts of the 1. 0 Fp. ML Architecture - Key Elements • Some key parts of the 1. 0 architecture specification include: – – 6 nov 03 Naming Conventions Rules for representing structures (e. g. composition, lists, sub-classing) Version identification Rules for referencing elements Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 35

Summary of Fp. ML 1. 0 Product Standard • • Initial focus on interest Summary of Fp. ML 1. 0 Product Standard • • Initial focus on interest rate derivative products, in particular interest rate swaps and FRAs, the most widely traded OTC instruments Fp. ML 1. 0 defines trade content structures for these products . . . . . . . . . . . . 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 36

Key elements of the Fp. ML Product Standards • • • Symmetrical view of Key elements of the Fp. ML Product Standards • • • Symmetrical view of trade (same from either counterpart) Precise parametric trade representation similar to ISDA confirmations (e. g. “quarterly floating rate payments”) IR swaps support optional cash flow representation Uses ISDA terminology and borrows naming schemes from SWIFT (business centers) and ISO (currencies) Creates a variety of building blocks that can be reused for future products 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 37

<Xml. Work. Shop/> ISO 15022 XML • Effort to provide one common repository of ISO 15022 XML • Effort to provide one common repository of messaging and business processes for full life cycle of trading – SWIFT – FPL 6 nov 03 Copyright (c) 2003 FIX Protocol Ltd. and the Futures Industry Association 38