FIA Extensions 1.1 Proposal

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 TransTypNew TrdTypReg
ular SesSubElectronic CopyMsgIndicatorFalse
TradeCaptureReport Side1 TransTypNew TrdTypRegul
ar SesSubElectronic CopyMsgIndicatorTrue
Identifies message as a forwarded copy of the
original TradeCapture
Absence of CopyMsgInd identifies message as
original TradeCapture submission
TradeCaptureReport Side2 TransTypNew TrdTypRegul
ar SesSubElectronic CopyMsgIndicatorTrue
TradeCaptureReportAck 2-sided TransTypNew TrdTyp
Regular SesSubElectronic
Executing Firm Side
TradeCaptureReport TransTypReplace TrdTypRegular
SesSubElectronic
Post-match change to electronic trade
TradeCaptureReportAck TransTypReplace TrdTypRegu
lar SesSubElectronic
TradeCaptureReport TransTypReplace TrdTypRegular
SesSubElectronic CopyMsgIndicatorTrue
Optional notification to Engine
3
Order Routing Trade Reporting Flow
Clearing Firm
Clearing House
Order Routing Device
TradeCaptureReport 1-sided TransTypNew TrdTypReg
ular SesSubPit CopyMsgIndicatorFalse
TradeCaptureReport TransTypNew TrdTypRegular Ses
SubPit CopyMsgIndicatorTrue
Absence of CopyMsgInd identifies message as
original TradeCapture submission
Identifies message as a forwarded copy of the
original TradeCapture
TradeCaptureReportAck 1-sided TransTypNew TrdTyp
Regular SesSubPit
Pre or post-match change to order routing trade
TradeCaptureReport TransTypReplace TrdTypRegular
SesSubPit
Ack may not be required by Order Routing Device
TradeCaptureReportAck TransTypReplace TrdTypRegu
lar SesSubPit
TradeCaptureReport TransTypReplace TrdTypRegular
SesSubPit CopyMsgIndicatorTrue
4
CBOT Order Routing Trade Reporting Flow (Denali)
Clearing Firm
Clearing House
Denali VMU
Executing Firm Side1
TradeCaptureReport Multi-sided TransTypNew TrdTyp
Regular SesSubPit CopyMsgIndicatorFalse
TradeCaptureReport Side1 TransTypNew TrdTypRegul
ar SesSubPit CopyMsgIndicatorTrue
Identifies message as a forwarded copy of the
original TradeCapture
Absence of CopyMsgInd identifies message as
original TradeCapture submission
TradeCaptureReport Side n1 TransTypNew TrdTypRe
gular SesSubPit CopyMsgIndicatorTrue
TradeCaptureReportAck Multi-sided TransTypNew Trd
TypRegular SesSubPit
Executing Firm Side2
TradeCaptureReport TransTypReplace TrdTypRegular
SesSubPit
Post-match change to electronic trade
TradeCaptureReport TransTypReplace TrdTypRegular
SesSubPit CopyMsgIndicatorTrue
TradeCaptureReportAck TransTypReplace TrdTypRegu
lar SesSubPit
5
Pit, Block, EFP (Firm to House) Trade Reporting
Flow
Clearing Firm Back Office
Clearing House
TradeCaptureReport TransTypNew,
MatchStatUnmatched TrdTypRegular, SesSubPit
TradeCaptureReportAck TransTypNew,
MatchStatUnmatched TrdTypRegular, SesSubPit
TradeCaptureReport used to change or DK a trade
TradeCaptureReport TransTypReplace/DK TrdTypRegu
lar, SesSubPit
TradeCaptureReportAck TransTypReplace/DK
Match Event
TradeCaptureReport TransTypReplace,
TrdTypRegular, SesSubPit CopyMsgIndicatorTrue
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)
Claim Firm
ExecutionFirm
Clearing House
Trade marked for allocation but Claim firm not
specified
TradeCaptureReport TransTypeNEW AllocInd 1
TradeCaptureReportAck TransTypeNEW AllocInd 1
New message to indicate the creation of an
allocation group via trade capture
AllocationInstructionAlert AllocTransTypeNEW Allo
cStatusAllocPending AllocTypeComplGroupete
Group Alert. Caries trade details. Used in ALL
cases to notify firm of Group
9
Create Group Via Trade Capture (2)
Claim Firm
Execution Firm
Clearing House
Trade Capture Report TransTypeNew AllocIndAlloca
tionProvided
Allocation carried on Trade
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
AllocBlock
AllocationInstructionAlert AllocTransTypeNEW Allo
cStatusAllocPending AllocTypeComplGroupete
New message used to indicate the creation of an
allocation group via trade capture
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocTypePreliminary
Report indicates the creation of an allocation
in this case due to TradeCapture
10
Create Group Via AllocationInstruction
Claim Firm
GiveUp Firm
Clearing House
AllocationInstruction AllocTransTypeNEW AllocType
ComplGroup
AllocID only signifies creation of group
Request to Complete the Allocation Group
AllocationInstructionAlert AllocTransTypeNEW Allo
cStatusAllocPending AllocTypeComplGroup
Group Alert. Carries trade details
IndividualAllocID signifies creation of allocation
AllocationInstruction AllocTransTypeNEW AllocType
Preliminary
Intermediary Reports Allocation Status to both
parties
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypePreliminary
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
11
Complete Average Price Group via Allocation
Instruction
Claim Firm
GiveUp Firm
Clearing House
AllocationInstruction AllocTransTypeREPLACE Alloc
TypeComplGroupete
Allocation Instructions have been specified prior
to Group Complete
Group-level update to using AllocID
AllocationInstructionAlert AllocTransTypeREPLACE
AllocStatusAllocPending AllocTypeComplGroup
Specific Allocation Reports are sent on
completion of group
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypPreliminary
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypPreliminary
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
One or more AllocationReports may be generated
upon Group Completion
Specific Allocation Reports are sent on
completion of group
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Basic Allocation Flow
Giveup Firm
Clearing House
Claim Firm
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
AllocationInstruction AllocTransTypeNEW AllocType
Preliminary
Allocation Instruction submitted
Claiming Firm accepts or rejects allocation
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypPreliminary
AllocationReportAck AllocTransTypeNEW AllocRptTyp
eAccept
Allocation Reported to Giveup Firm
AllocationReport AllocTransTypeNEW AllocStatusAc
cepted AllocReportTypeAccept
AllocationReport AllocTransTypeNEW AllocStatusAc
cepted AllocReportTypeComplete
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 AllocTransTypeREPLACE Alloc
TypePreliminary
AllocationReport AllocTransTypeREPLACE AllocStatu
sReceived AllocRptTypeAccPending
AllocationReport AllocTransTypeREPLACE AllocStatu
sReceived AllocRptTypPreliminary
Allocation Reported to Giveup Firm
Update is reported by Intermediary
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Cancel Allocation
Giveup Firm
Clearing House
Claim Firm
Giveup Firm requests cancel of allocation prior
to acceptance by Claim Firm
AllocationInstruction AllocTransTypeCANCEL AllocT
ypePreliminary
AllocationReport AllocTransTypeCANCEL AllocRptTyp
eAccPending AllocStatusReceived
AllocationReport AllocTransTypeCANCEL AllocStatus
Received AllocRptTypPreliminary
Update is reported by Intermediary
15
Update Allocation after Accept
Giveup Firm
Clearing House
Claim Firm
AllocationReportAck AllocTransTypeREPLACE AllocRp
tTypeRequest
Claiming Firm Changes Allocation Details after
initial Accept
AllocationReport AllocTransTypeREPLACE AllocStatu
sAccepted AllocReportTypeComplete
Allocation Reported to Claim Firm
16
Allocation w/Multiple Alloc Blocks
Giveup Firm
Clearing House
Claim Firm
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
AllocationInstruction AllocTransTypeNEW AllocType
Preliminary
Alloc Bloc 1
Alloc Bloc 1
Alloc Bloc 2
Alloc Bloc 2
AllocationReport AllocTransNEW AllocRptTypePreli
minary AllocStatusReceived
AllocationReportAck AllocTransTypeNEW AllocRptTyp
eAcct Level Accept
AllocationReport AllocTransNEW AllocRptTypeAccep
t AllocStatusAcct Level Accept
Alloc Bloc 1
AllocationReport AllocTransTypeNEW AllocStatusAc
cepted AllocRptTypeComplete
Alloc Bloc 1
AllocationReport AllocTransTypeNEW AllocRptTypeR
eject AllocStatusAcct Level Reject
AllocationReportAck AllocTransTypeNEW AllocRptTyp
eAcct Level Reject
Alloc Bloc 2
Alloc Bloc 2
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Third Party Allocation
Giveup Firm
Clearing House
Claim Firm
AllocationReport AllocTransTypeNEW AllocStatRece
ived AllocRptTypeAcceptPending
AllocationInstruction AllocTransTypeNEW AllocType
Preliminary
Initial Allocation Request
Claim Firm becomes a Give-up Firm
AllocationReport AllocTransTypeNEW AllocStatRece
ived AllocRptTypPreliminary
AllocationReportAck AllocTransTypeNEW AllocRptTyp
eAccept
Accept by Claim Firm
Notice of Accept by Claim Firm
AllocationReport AllocTransTypeNEW AllocRptTypeA
ccept AllocStatusAccepted
AllocationReport AllocTransTypeNEW AllocStatusAc
cepted AllocRptTypComplete
Giveup Firm
3rd Party Claim Firm
Specifies one or more Alloc blocks with
IndAllocTyp of Third Party
AllocationInstruction AllocTransTypeREPLACE Alloc
TypeRequest
Allocation given to 3rd-party
Creates Allocation Group. Provides trade details
AllocationReport AllocTransTypeNEW AllocRptTypeC
omplGroupete AllocStatusAllocPending
Creates Allocation. Provides trade details
Allocation Reported to 3rd party
Begin Group Create and Allocation Flow Process
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypePreliminary
AllocationReport AllocTransTypeNEW AllocStatusRe
ceived AllocRptTypeAccPending
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Allocation Reversal
Giveup Firm
Clearing House
Claim Firm
AllocationReport AllocTransTypeREVERSAL AllocStat
usAccepted AllocRptTypeReversal Pending
AllocationInstruction AllocTransTypeREVERSAL Allo
cTypeRequest
Request Reversal
AllocationReport AllocTransTypeREVERSAL AllocStat
usAccepted AllocRptTypeRequest
Report Reversal Request to Claim Firm
Report status of Reversal Request
Accept Reversal Request
AllocationReportAck AllocTransTypeREVERSAL AllocT
ypeAccept
AllocationReport AllocTransTypeREVERSAL AllocStat
usReversed AllocRptTypeAccept
Report status of Reversed Allocation
AllocationReport AllocTransTypeREVERSAL AllocStat
usReversed AllocRptTypeComplete
Report status of Reversed Allocation