FIXML For Listed Futures and Options Post Trade Processing Allocation October 24, 2002

Futures and Options Allocation New Giveup Cancel a Giveup Replace Release Reversal

FIX Allocation Messages as of FIX 4.3 Buy SideSell Side Allocation Allocation ACK Initiator of Transaction Response to Allocation Message Allocations and AllocationACKs flow in both directions

FIX Allocation Messages for Clearing Clearing Firm Clearing House Allocation Allocation ACK Initiator of Transaction Response to Allocation Message Allocations and AllocationACKs flow in both directions

AllocTransType (tag 71) Pre Acceptance –New –Cancel –Replace Post Acceptance –Release –Change to Account Data Post Close of Settlement Session –Reversal

FIX AllocID (tag 70) Unique Identifier for Allocation Reported on Allocations and Allocation ACKs Unique Settlement Sessions

AllocStatus New Pending Accept Rejected Released Cancelled Accepted

New Giveup

New Giveup Firm Clearing House Carry Firm Allocation AllocTransType=NEW Allocation ACK AllocStatus=Reject rejected by clearing house Allocation ACK AllocTransType=NEW AllocStatus=Pending Accept Allocation AllocTransType=NEW AllocStatus=Pending Accept Allocation AllocTransType=NEW AllocStatus=Accept | Reject Allocation ACK AllocTransType=NEW AllocStatus=Accept | Reject Allocation ACK AllocTransType=NEW AllocStatus=Accept | Reject Allocation ACK AllocStatus=Reject rejected by clearing house FIA Working Group Comments: 10/24/2002 In the review session the preference is to use the term CLAIM for status or even for the message that is sent back

Cancel Cancel a Giveup prior to acceptance by carry firm Rejected by Clearing House if received after carry firm accept Same day

Cancel Giveup Firm Clearing House Carry Firm Allocation AllocTransType=CANCEL Allocation ACK AllocStatus=Reject rejected by clearing house Allocation ACK AllocTransType=CANCEL Allocation AllocTransType=CANCEL

Replace Prior to Accept by Carry Firm Same Day

Replace Giveup Firm Clearing House Carry Firm Allocation AllocTransType=REPLACE Allocation ACK AllocStatus=Reject rejected by clearing house Allocation ACK AllocTransType=REPLACE AllocStatus=Pending Replace Allocation AllocTransType=REPLACE AllocStatus=Pending Replace

Change to Account After Acceptance by Carry Firm Carry firm elects to change account-related information

Change to Account Giveup Firm Clearing House Carry Firm Allocation ACK AllocTransType=REPLACE AllocStatus=Accept Allocation AllocTransType=REPLACE AllocStatus=Pending Accept Allocation ACK AllocStatus=Reject rejected by clearing house

Release After Acceptance by Carry Firm Prior to close of settlement session

Release by Giveup Firm Giveup Firm Clearing House Carry Firm Allocation AllocTransType=RELEASE Allocation ACK AllocTransType=RELEASE AllocStatus=Reject rejected by clearing house Allocation ACK AllocTransType=RELEASE AllocStatus=Pending Release Allocation AllocTransType=RELEASE AllocStatus=Pending Release Allocation AllocTransType=RELEASE AllocStatus=Accept Allocation ACK AllocTransType=RELEASE AllocStatus=Accept Allocation ACK AllocTransType=RELEASE AllocStatus=Accept

Release Next Settlement Cycle After Posting Requires Reversing Transactions

Reversal Giveup Firm Clearing House Carry Firm Allocation AllocTransType=REVERSAL Allocation ACK AllocStatus=Reject rejected by clearing house Allocation ACK AllocTransType=REVERSAL AllocStatus=Pending Reversal Allocation AllocTransType=REVERSE AllocStatus=Pending Reversal Allocation AllocTransType=REVERSAL AllocStatus=Accept | Reject Allocation ACK AllocTransType=REVERSAL AllocStatus=Accept | Reject Allocation ACK AllocTransType=REVERSAL AllocStatus=Accept | Reject Allocation ACK AllocStatus=Reject rejected by clearing house

FIWG Proposed Booking Report Used to report each portion of an Allocation Could this be our Allocation Report? Or is this really a position report?

Proposed Instrument Model

Parties Block Added in FIX 4.3 to increase flexibility and extensibility of specification Prior to FIX 4.3 each time a new role was defined a new element was added The Parties Block is becoming standardized across messaging standards (ISO 15022)

Parties Block 3 CME 3 D D CUSTACCT D 560 CUST

10/24 FIA comments Will delivery instructions be part of the positions report? (NYMEX Question) Corporation Action Data - very high level of interest Reduced message size in XML description –NYMEX has adopted universal trade message - tried to convert to tag# (human readability issue) - ultimately they went to attributes instead of elements - brought down size of XML message –Trades would be okay - orders would be an issue Date and Time block - associate different times