Investor Preference Towards Mutualfund by nbj13807

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									ISO 15022 XML Pre-Trade Model
Message Diagram – Indication of Interest
ISO TC68 SC4 WG10 - Reverse Engineering Pre-Trade Project Team
FPL ISO/XML Working Group


Confidentiality
Status                         DRAFT
Authors                        See Participants
Document Version:              1.3
Document File Name:            ISO15022_Pretrade_MessageIOI_v1.3
Document Issue Date:           31 March, 2002
Previous Version Name:         ISO15022_Pretrade_MessageIOI_v1.2
Related Documents              FIX_ISO15022XML_ConvergencTable_v4.doc
                               IndicationOfInterest.xsd
                               Cancellation.xsd


                                          DISCLAIMER

THIS DOCUMENT IS STILL IN DRAFT FORM AND IS PROVIDED “AS-IS” TO INTERESTED PARTIES
FOR DISCUSSION ONLY. PARTIES THAT CHOOSE TO IMPLEMENT THIS DRAFT PROPOSAL DO SO
AT THEIR OWN RISK.
THIS DRAFT CURRENTLY MODELS PRE-TRADE INDICATIONS OF INTEREST FOR THE FINANCIAL
SERVICES INDUSTRY AND ITS COUNTER-PARTIES. IN ITS CURRENT STATE THIS DOCUMENT IS
NOT APPROVED BY THE PROPOSED ISO 15022 XML REGISTRATION AUTHORITY OR FIX PROTOCOL
LIMITED AND IS SUBJECT TO THEIR REVIEW AND APPROVAL. THIS DRAFT WILL BECOME THE
FOUNDATION FROM WHICH TO MODEL MORE COMPLEX ARRANGEMENTS AND PORTIONS OF THE
TRADE LIFE CYCLE SUCH AS QUOTES, NEGOTIATIONS, TRADE EXECUTION, AND FILL EXECUTION
REPORTS. FINALLY, WITH NECESSARY APPROVAL THIS DOCUMENT WILL SERVE AS THE BASIS
TOWARDS THE DEVELOPMENT OF STANDARD ISO 15022 XML SCHEMAS.
THE SOURCE FOR THIS DOCUMENT REMAINS THE PROPERTY OF FIX PROTOCOL LIMITED AND
SWIFT. THE DOCUMENT REPRESENTS THE AGREED UPON STANDARDS CONVERGENCE EFFORT
BETWEEN SWIFT AND FIX PROTOCOL LIMITED AS DETAILED IN THE STATEMENT OF
UNDERSTANDING RELEASED IN JULY 2001.




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Working Group - Participants Name                         Firm
Scott Atwell                                              American Century

Lisa Taikitsadaporn                                       Brook Path Partners
John Goeller                                              Credit Suisse First Boston
Chris Lambert                                             EMX Company Limited
John Sabini                                               Javelin Technologies
Daniel Doscas                                             Merrill Lynch
Michael Colen                                             Pricewaterhouse Coopers
Jonathan Haruni                                           Pricewaterhouse Coopers
Mark J. Baker                                             Reuters
Kevin Houstoun                                            Salomon Smith Barney
George Reis                                               SunGard
Isabelle Cools                                            SWIFT
Karin De Ridder                                           SWIFT
Frank VanDamme                                            SWIFT
Kris Ketels                                               SWIFT
Dean Kauffman                                             TradeWeb
Matt Koehler                                              Transact Tools
Will Walter                                               Transact Tools




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                                                             TABLE OF CONTENT
DISCLAIMER ................................................................................................................................................ 1
1 Introduction ............................................................................................................................................ 6
  1.1     What does this document contain? ................................................................................................................6
  1.2     What is expected from me? ...........................................................................................................................6
  1.3     Next steps ......................................................................................................................................................6
  1.4     Related Documents ........................................................................................................................................7
2 Messages ............................................................................................................................................... 7
  2.1     Introduction to understanding Messages........................................................................................................7
  2.2     IndicationOfInterest .......................................................................................................................................8
     2.2.1     Main Diagram: IndicationOfInterest .....................................................................................................8
       2.2.1.1 Tree Structure ....................................................................................................................................9
       2.2.1.2 Main Message Components ............................................................................................................. 10
          2.2.1.2.1 AlternateFinancialInstrumentSymbol {Please note synonym = tag} ........................................ 10
          2.2.1.2.2 AmortisedDebt .......................................................................................................................... 10
          2.2.1.2.3 ConvertibleDebt ........................................................................................................................ 11
          2.2.1.2.4 Debt ........................................................................................................................................... 11
          2.2.1.2.5 Equity ........................................................................................................................................ 13
          2.2.1.2.6 FinancialInstrument .................................................................................................................. 14
          2.2.1.2.7 FinancialInstrumentDetails ....................................................................................................... 14
          2.2.1.2.8 FinancialInstrumentProperties .................................................................................................. 16
          2.2.1.2.9 FinancialInstrumentSymbol ...................................................................................................... 16
          2.2.1.2.10 Future ...................................................................................................................................... 17
          2.2.1.2.11 IndicationOfInterest ................................................................................................................ 18
          2.2.1.2.12 IndicationOfInterestDetails ..................................................................................................... 18
          2.2.1.2.13 IOIRouting .............................................................................................................................. 19
          2.2.1.2.14 Option ..................................................................................................................................... 20
          2.2.1.2.15 SpreadToBenchmark ............................................................................................................... 21
          2.2.1.2.16 SwapSpread............................................................................................................................. 22
          2.2.1.2.17 VariableDebt ........................................................................................................................... 22
     2.2.2     Detailed Diagram: FinancialInstrumentProductType ......................................................................... 23
       2.2.2.1 Tree Structure .................................................................................................................................. 24
       2.2.2.2 Detailed Diagram: FinancialInstrumentProductType ...................................................................... 24
          2.2.2.2.1 AgencyCode .............................................................................................................................. 24
          2.2.2.2.2 CorporateCode .......................................................................................................................... 25
          2.2.2.2.3 CurrencyInstrumentCode .......................................................................................................... 26
          2.2.2.2.4 EquitiesCode ............................................................................................................................. 27
          2.2.2.2.5 FinancialInstrumentProductType .............................................................................................. 28
          2.2.2.2.6 GovernmentBondCode .............................................................................................................. 28
          2.2.2.2.7 LoanCode .................................................................................................................................. 30
          2.2.2.2.8 MiscellaneousCode ................................................................................................................... 31
          2.2.2.2.9 MoneyMarketInstrumentCode .................................................................................................. 32
          2.2.2.2.10 MortgageCode ......................................................................................................................... 35
          2.2.2.2.11 MunicipalCode ........................................................................................................................ 37
     2.2.3     Detailed Diagram: Rating ................................................................................................................... 39
       2.2.3.1 Components ..................................................................................................................................... 40
          2.2.3.1.1 Rating ........................................................................................................................................ 40
     2.2.4     Detailed Diagram: FinancialInstrumentQuantity ............................................................................... 40
       2.2.4.1 Components ..................................................................................................................................... 41
          2.2.4.1.1 FinancialInstrumentQuantity..................................................................................................... 41
     2.2.5     Detailed Diagram: IndicationOfInterestDetails .................................................................................. 42
       2.2.5.1 Tree Structure .................................................................................................................................. 42
       2.2.5.2 Components ..................................................................................................................................... 43
          2.2.5.2.1 IndicationOfInterestDetails ....................................................................................................... 43
          2.2.5.2.2 TradePrice ................................................................................................................................. 44
     2.2.6     Detailed Diagram: IOIRouting ............................................................................................................ 45



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      2.2.6.1 Tree Structure .................................................................................................................................. 45
      2.2.6.2 Components ..................................................................................................................................... 45
         2.2.6.2.1 IOIRouting ................................................................................................................................ 46
    2.2.7     Detailed Diagram: Spread ................................................................................................................... 47
      2.2.7.1 Tree Structure .................................................................................................................................. 47
      2.2.7.2 Detailed Diagram: Spread ................................................................................................................ 47
         2.2.7.2.1 SpreadToBenchmark ................................................................................................................. 48
         2.2.7.2.2 SwapSpread............................................................................................................................... 48
 2.3     IOICancellation............................................................................................................................................ 49
    2.3.1     Scope ................................................................................................................................................... 49
    2.3.2     Cancellation ......................................................................................................................................... 49
      2.3.2.1 Cancellation Details ......................................................................................................................... 49
         2.3.2.1.1 Cancellation .............................................................................................................................. 49
3 Project Data Types .............................................................................................................................. 50
 3.1     AgencyCode ................................................................................................................................................ 50
 3.2     Amount ........................................................................................................................................................ 50
 3.3     BelgianIdentifier .......................................................................................................................................... 51
 3.4     BenchmarkCurveNameCode ....................................................................................................................... 51
 3.5     BICIdentifier ................................................................................................................................................ 52
 3.6     BloombergIdentifier .................................................................................................................................... 52
 3.7     CorporateCode ............................................................................................................................................. 52
 3.8     CountryCode ................................................................................................................................................ 53
 3.9     CTAIdentifier .............................................................................................................................................. 53
 3.10 CurrencyCode .............................................................................................................................................. 54
 3.11 CurrencyInstrumentCode ............................................................................................................................. 54
 3.12 CUSIPIdentifier ........................................................................................................................................... 54
 3.13 DutchIdentifier ............................................................................................................................................. 54
 3.14 EquitiesCode ................................................................................................................................................ 55
 3.15 EuroclearClearstreamIdentifier .................................................................................................................... 55
 3.16 FormOfRepresentationCode ........................................................................................................................ 55
 3.17 FormOfSecurityCode ................................................................................................................................... 56
 3.18 FrequencyCode ............................................................................................................................................ 56
 3.19 GovernmentBondCode ................................................................................................................................ 57
 3.20 InterestComputationMethodCode ................................................................................................................ 58
 3.21 IOISideTypeCode ........................................................................................................................................ 58
 3.22 IOITypeCode ............................................................................................................................................... 59
 3.23 ISINIdentifier ............................................................................................................................................... 60
 3.24 ISODate ....................................................................................................................................................... 61
 3.25 ISODateTime ............................................................................................................................................... 61
 3.26 ISOYearMonth ............................................................................................................................................ 61
 3.27 LegalRestrictionsCode ................................................................................................................................. 61
 3.28 LoanCode..................................................................................................................................................... 62
 3.29 Max16Text................................................................................................................................................... 63
 3.30 Max200Text................................................................................................................................................. 63
 3.31 Max30Text................................................................................................................................................... 63
 3.32 Max35Text................................................................................................................................................... 63
 3.33 Max6Text..................................................................................................................................................... 64
 3.34 MICIdentifier ............................................................................................................................................... 64
 3.35 MiscellaneousCode ...................................................................................................................................... 64
 3.36 MoneyMarketInstrumentCode ..................................................................................................................... 65
 3.37 MortgageCode ............................................................................................................................................. 66
 3.38 MunicipalCode ............................................................................................................................................ 68
 3.39 NumberType ................................................................................................................................................ 69
 3.40 OptionStyleCode.......................................................................................................................................... 69
 3.41 OptionTypeCode.......................................................................................................................................... 70
 3.42 PaymentIndicator ......................................................................................................................................... 70



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 3.43 PaymentStatusCode ..................................................................................................................................... 70
 3.44 PercentageRate ............................................................................................................................................ 71
 3.45 PreferenceToIncomeCode ........................................................................................................................... 71
 3.46 PriceValueTypeCode ................................................................................................................................... 72
 3.47 QualityIndicationCode ................................................................................................................................. 72
 3.48 Quantity ....................................................................................................................................................... 73
 3.49 QUICKIdentifier .......................................................................................................................................... 73
 3.50 RatingValueIdentifier .................................................................................................................................. 73
 3.51 RelativeSizeCode ......................................................................................................................................... 73
 3.52 RICIdentifier ................................................................................................................................................ 74
 3.53 SEDOLIdentifier.......................................................................................................................................... 74
 3.54 SicovamIdentifier ........................................................................................................................................ 74
 3.55 TickerIdentifier ............................................................................................................................................ 74
 3.56 TrueFalseIndicator ....................................................................................................................................... 75
 3.57 ValorenIdentifier.......................................................................................................................................... 75
 3.58 WertpapierIdentifier .................................................................................................................................... 75
 3.59 YesNoIndicator ............................................................................................................................................ 75
4 Indication Of Interest XML Example .................................................................................................... 76
5 Cancellation XML Example .................................................................................................................. 77




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1 Introduction

1.1 What does this document contain?

-   a UML diagram of the Indication Of Interest
-   a UML diagram of the Cancellation
-   Subdiagrams per major message component followed by a table with definition, type,
    optionality, and synonyms. To learn more about the data type of a certain element, please
    refer to the section on data types. The synonyms contain a mapping to the relevant tag
    within the FIX Protocol Indication Of Interest and/or other financial standards.
-   Data Types
-   Schema example of the Indication Of Interest

The Financial Instrument diagram should become general and reusable independent of a specific
message. Therefore you will find much more elements in the diagram than what you can find
today in the FIX Protocol IOI.

1.2 What is expected from me?

Please verify the correctness of every element, i.e., its definition, data type, optionality,
synonyms, etc. Comment, provide definitions, and indicate your agreement with the proposed
elements. Especially for some Message Elements and some Data Types, definitions are missing
and not available in the FIX Protocol volumes.

Also verify the correctness of the Convergence Table, which is describing a mapping from every
FIX Protocol IOI tag to its appropriate element in the ISO Indication Of Interest.

1.3 Next steps

The models describing these messages have not yet been submitted to the ISO Registration
Authority yet. The role of the ISO RA in this is to verify that the Messages, Components, Data
Types, etc… are constructed and used consistently with other Messages, Components, etc…
Messages may change because of that.

Report any comments, corrections, additions or issues to the following ISO/XML WG members:
ISO/XML Member                                   Email address
Daniel Doscas                                    ddoscas@exchange.ml.com
Karin DeRidder                                   Karin.deridder@swift.com
Kris Ketels                                      Kris.ketels@swift.com
Scott Atwell                                     Scott_atwell@americancentury.com
Dean Kauffman                                    Dean.kauffman@tradeweb.com
John Goeller                                     John.goeller@csfb.com


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1.4 Related Documents

-   FIX_ISO15022XML_ConvergenceTable_v4.doc (mapping of every FIX Protocol IOI tag to
    the appropriate element in the message component.)
-   IndicationOfInterest.xsd (schema)
-   Cancellation.xsd (schema)

2 Messages

2.1 Introduction to understanding Messages

Throughout the document you will find hyperlinks to related sections.
(in order to come back to the original page you started from, please use the blue „back‟ arrow in the
Word-toolbar). For those of you preferring to read „printed‟ pages, indications as to where to find the
related information are given at the start or end of each chapter as well.

This chapter is structured as follows:

The Main Diagram and the Tree structure of a Message basically do the same thing:
to represent the message structure and its main components. The UML diagram contains a more complete
visualisation, the Tree structure contains hyperlinks to the subsequent Message Components.

For each Message Component you will find :
 name of the Message Component
 optionally its definition and synonyms
 The Message Elements of which it is composed, in table form
 any business rules related to this message component

For each Message Element in the table you will find:
 name of the Message Element
 proposed definition and synonyms
 multiplicity : if nothing is shown it is mandatory, [optional], how many repetitions are allowed
    eg, [0..2]
 the proposed data type
 an example if available

Note :
 For exact definitions of the proposed data types, please refer to chapter 3, Data Types. Chapter 3
   contains an alphabetical overview of all data types used in the message.

Since it was impossible to show the complete message in one diagram, you will find some more detailed
diagrams on specific subsets of the message.




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2.2 IndicationOfInterest

2.2.1   Main Diagram: IndicationOfInterest




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  2.2.1.1 Tree Structure

  IndicationOfInterest (mandatory)
            FinancialInstrument (mandatory)
                   └ FinancialInstrumentDetails (optional)
                                   └ ProductType (optional)
                                                AgencyCode
                                                CorporateCode
                                                EquitiesCode
                                                CurrencyInstrumentCode
                                                MiscellaneousCode
                                        OR
                                                MortgageCode
                                                MunicipalCode
                                                LoanCode
                                                MoneyMarketInstrumentCode
                                                GovernmentBondCode

        FinancialInstrumentSymbol (conditional)
AND/OR       └ AlternateFinancialInstrumentSymbol (optional)
        FinancialInstrumentProperties (conditional)
        IndicationOfInterestDetails (mandatory)
        IOIRouting (optional)
        SwapSpread (conditional)
    OR  SpreadToBenchmark (conditional)




  How to read this diagram:

  In a message, you must give the Financial Instrument Symbol (ISIN and/or SEDOL, CUSIP,
  CTA, etc… and/or its AlternateFinancialInstrumentSymbol (National Numbering scheme or
  propietary), and optionally one or more elements from the financial instrument details (name,
  place of listing, product type, etc…),

  “ AND/OR”

  instead of the Financial Instrument Symbol, you must give a description of the instrument
  through its properties (FinancialInstrumentProperties) (e.g. for a bond: maturity date, coupon
  number, interest rate, etc.) and optionally one or more elements from the financial instrument
  details (name, place of listing, product type, etc…)

  The hyperlinks will bring you to every message component which is explained in detail in the
  following pages. You will find a table containing the definitions, types, synonyms of the
  message component and its elements. To learn more about the “type” of an attribute, please refer
  to the section on data types.

  In the financial instrument details component, -amongst other things like the place of listing -,
  you can describe the product type through code lists.




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2.2.1.2 Main Message Components


2.2.1.2.1   AlternateFinancialInstrumentSymbol {Please note synonym = tag}
                                                                                                    from:FIforDICO


Identifies and contains an alternative identification scheme for a financial instrument.




 Message element(s)              Definition                                  Type                 Example
 [multiplicity]
 DomesticIDSource                 The country of the domestic                CountryCode
                                 identification scheme.
                                 Synonyms:455 (FIX Protocol) ,
 ProprietaryIDSource              The source of the proprietary              Max16Text
                                 identification scheme.
                                 Synonyms:455 (FIX Protocol) ,
 ID                               The identification of a financial          Max35Text
                                 instrument by a domestic/proprietary
                                 numbering agency
                                 Synonyms:456 (FIX Protocol) ,




                  Business Rule(s)                                                  Definition
 DomesticOrProprietary                                       For each ID, either a DomesticIDSource, or a
                                                             ProprietaryIDSource must be used, but not both.



2.2.1.2.2   AmortisedDebt
                                                                                                    from:FIforDICO


A debt instrument which repays capital during its life.



 Message element(s)              Definition                                  Type                 Example
 [multiplicity]
 NextFactorDate [Optional]        The date that the current factor will be   ISODate
                                 changed to a new factor.
                                 Synonyms::98a::NWFC (ISO 15022) ,
 CurrentFactor [Optional]         Identifies the current factor defining     PercentageRate
                                 the outstanding principal of the debt
                                 instrument (for asset or mortgage
                                 backed securities).
                                 Synonyms:EstimateFactor (GSTPA) ,



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                                 :98a::CUFC (ISO 15022 ),
 PreviousFactor [Optional]        Identifies the previous factor defining    PercentageRate
                                 the outstanding principal of the debt
                                 instrument(for asset or mortgage
                                 backed securities).
                                 Synonyms::92A::PRFC (ISO 15022) ,
 NextFactor                       Identifies the new factor expressed as a   PercentageRate
                                 decimal between 0 and 1 defining
                                 the outstanding principal of the debt
                                 instrument(for asset or mortgage
                                 backed securities).
                                 Synonyms::92A::NWFC (ISO 15022) ,
 PaymentDirectionIndicator        Indicates the direction of payment for     PaymentDirectionI
 [Optional]                      asset or mortgage backed securities, ie,    ndicator
                                 whether the repaid capital is distributed
                                 (payment direction is down) or
                                 capitalized (payment direction is up).
                                 Synonyms::22F::PADI (ISO 15022) ,
 PoolNumber [Optional]            Specifies the number assigned by the       NumberType
                                 issuer of an asset-backed security
                                 to identify the group of mortgages.
                                 Synonyms::13a::POOL (ISO 15022) ,




2.2.1.2.3     ConvertibleDebt
                                                                                                     from:FIforDICO


A debt instrument that may be exchanged into another financial instrument in accordance with the terms of the issue.



 Message element(s)              Definition                                  Type                  Example
 [multiplicity]
 ConversionPeriod [1..10]         Period during which a convertible debt     Period
                                 instrument can be converted according
                                 to the terms of the issue.
                                 Synonyms



2.2.1.2.4     Debt
                                                                                                     from:FIforDICO


Any interest-bearing or discounted government or corporate security that obligates the issuer to pay the debt holder a
specified sum of money, usually at specific intervals, and to repay the principal amount of the loan at the maturity.




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 Message element(s)            Definition                                   Type                 Example
 [multiplicity]
 FaceAmount [Optional]          The par or nominal value printed on         Amount
                               the face of a security, typically used for
                               asset or mortgage backed securities,
                               which repay capital during the life of
                               the security and as a result the face
                               amount is decreased.
                               Synonyms::36a::CRGV (ISO 15022) ,
                               :36a::ORGV (ISO 15022 ),
 InterestRate [Optional]        The ratio of the amount of interest paid    PercentageRate
                               to the principal amount of the interest
                               bearing financial instrument for a
                               specific period of time.
                               Synonyms::92A::INTR (ISO 15022) ,
                               223 (FIX ),
 DatedDate [Optional]           The date on which an interest bearing       ISODate
                               instrument begins to accrue interest.
                               Synonyms::98a::DDTE (ISO 15022) ,
 FirstCouponDate [Optional]     The first payment date of an interest       ISODate
                               bearing financial instrument.
                               Synonyms::98a::FCOU (ISO 15022) ,
 InterestComputationMethod      The computation method of accrued           InterestComputatio
 [Optional]                    interest of the related financial            nMethodCode
                               instrument.
                               Synonyms::22F::MICO (ISO 15022) ,
 MaturityDate [Optional]        The date on which an interest bearing       ISODate
                               financial instrument becomes due and
                               principal is repaid by the issuer to the
                               investor.

                               Synonyms::98a::MATU (ISO 15022) ,
                               200 (FIX Protocol ), FIX Protocol
                               (FIX Protocol),
 NextCouponDate [Optional]      The next payment date of an interest        ISODate
                               bearing financial instrument.

                               Synonyms::98a::COUP (ISO 15022) ,
                               224 (FIX Protocol ),
 NextInterestRate [Optional]    Specifies the interest rate applicable to   PercentageRate
                               the next interest payment period.

                               Synonyms::92A::NXRT (ISO 15022) ,
 OddCouponIndication            Specifies whether the payment of the        TrueFalseIndicator
 [Optional]                    coupon (interest) on debt is off the
                               normal schedule.
                               Synonyms::17B::ODDC (ISO 15022) ,
 PaymentFrequency               Indicates the periodic or regular cycle     FrequencyCode
 [Optional]                    of interest payments.
                               Synonyms::22F::PFRE (ISO 15022) ,
 PaymentStatus [Optional]       Indicates the state of the payment of a     PaymentStatusCod
                               security at a particular time.               e
                               Synonyms::22F::PAYS (ISO 15022) ,



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 CouponAttachedNumber            The number of a specific coupon            NumberType
 [Optional]                     attached to its related financial
                                instrument.
                                Synonyms::13a::COUP (ISO 15022) ,
 LotNumber [Optional]            Specifies the number identifying the       NumberType
                                lot of the security.
                                Synonyms:TaxLotSpecification
                                (GSTPA) , :13a::LOTS (ISO 15022 ),
 PreferenceToIncome              Indicates the level of priority to claim   PreferenceToInco
 [Optional]                     on income and assets of the company in      meCode
                                case of the payment of dividends and in
                                the event of a bankruptcy, eg,
                                ordinary/common stocks, preferred
                                stocks, subordinated debt, etc.

                                Synonyms::22F::PREF (ISO 15022) ,
 PutDate [Optional]              The date a debt holder has the right to    ISODate
                                redeem the principal amount of a debt
                                instrument prior to final maturity.
                                Synonyms::98a::PUTT (ISO 15022) ,
 CallableIndicator [Optional]    Indicates whether the issuer has the       TrueFalseIndicator
                                right to pay the debt instrument prior to
                                maturity.
                                Synonyms::17B::CALL (ISO 15022) ,
 PutableIndicator [Optional]     Indicates whether the bondholder has       TrueFalseIndicator
                                the right to redeem the principal
                                amount of a debt instrument prior to
                                final maturity.
                                Synonyms::17B::PUTT (ISO 15022) ,
 CallDate [Optional]             Date when a debt instrument is called      ISODate
                                away/redeemed before its scheduled
                                maturity date.
                                Synonyms:240 - Redemption Date (FIX
                                Protocol) , :98a::CALD (ISO 15022 ),




2.2.1.2.5   Equity
                                                                                                   from:FIforDICO


Contains the properties specific to ordinary shares of a company, especially those of a publically owned quoted
company.


 Message element(s)             Definition                                  Type                  Example
 [multiplicity]
 OwnershipDate [Optional]        Date that current management               ISODate
                                assumed ownership, or majority stock
                                ownership.
                                FIX Reverse Engineering
                                Synonyms
 DividendAttachedNumber          The number of a specific coupon            NumberType
 [Optional]                     attached to its related financial



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                             instrument.
                             Synonyms::13a::COUP (ISO 15022) ,
 PaymentStatus [Optional]     Indicates the state of the payment of a    PaymentStatusCod
                             security at a particular time.              e
                             Synonyms::22F::PAYS (ISO 15022) ,
 PreferenceToIncome           Indicates the level of priority to claim   PreferenceToInco
 [Optional]                  on income and assets of the company in      meCode
                             case of the payment of dividends and in
                             the event of a bankruptcy, eg,
                             ordinary/common stocks, preferred
                             stocks, subordinated debt, etc.

                             Synonyms::22F::PREF (ISO 15022) ,



2.2.1.2.6   FinancialInstrument
                                                                                                from:FIforDICO



                 Business Rule(s)                                                Definition
 AtLeastFISymbolOrFIProperties                           At least FinancialInstrumentSymbol, or
                                                         FinancialInstrumentProperties, or both, must be present




2.2.1.2.7   FinancialInstrumentDetails
                                                                                                from:FIforDICO



 Message element(s)          Definition                                  Type                 Example
 [multiplicity]
 FinancialInstrumentName      The name of a securitised right for        Max35Text
 [Optional]                  entitlement.
                             Synonyms::70a::FIAN (ISO 15022) ,
 CertificateNumber            A numeric identification of certificate    Max30Text
 [Optional0]                 representing a security.
                             Synonyms::13B::CERT (ISO 15022) ,
 Rating [Optional]            Evaluation of securities investment        Rating
                             and credit risk by rating services
                             Synonyms
 ClassificationType           The classification type or CFI code of     Max6Text
 [Optional]                  the financial instrument, eg, common
                             share with voting right, fully paid and
                             registered etc.
                             Synonyms::12a::CLAS (ISO 15022) ,
                             461 (FIX Protocol ),
 CurrencyOfDenomination        Identifies the currency in which the      CurrencyCode
 [Optional]                  financial instrument was issued or
                             redenominated.



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                               Synonyms::11A::DENO (ISO 15022) ,
 FormOfRepresentation           Indicates whether the financial          FormOfRepresenta
 [Optional]                    instrument is in certificated,            tionCode
                               dematerialized or immobilized form.
                               Synonyms
 FormOfSecurities               Indicates the form of the financial      FormOfSecurityCo
 [Optional]                    instrument, eg, registered or bearer.     de
                               Synonyms::22F::FORM (ISO 15022) ,
 LegalRestriction [Optional]    Specifies regulatory restrictions        LegalRestrictionsC
                               applicable to the financial instrument    ode
                               traded.
                               Synonyms::22F::REST (ISO 15022) ,
 IssueDate [Optional]           Specifies the date the financial         ISODate
                               instrument is to be/was issued.
                               Synonyms::98a::ISSU (ISO 15022) ,
                               225 (FIX Protocol ),
 MinimumTradedNominalQ          The minimum nominal quantity of          FinancialInstrumen
 uantity [Optional]            financial instrument or lot of            tQuantity
                               rights/warrants that must be
                               purchased/sold.
                               Synonyms:MinimumLotSize (GSTPA) ,
                               :36B::MINO (ISO 15022 ),
 ProductType[Optional]          Indicates the type of product the        FinancialInstrumen
                               financial instrument is associated with   tProductType
                               (used for Fixed Income)
                               Synonyms:460 (FIX Protocol) ,
 CountryOfIssue [Optional]      The country in which a security was      CountryCode
                               issued.
                               Synonyms::94C::ORIG (ISO 15022) ,
 PlaceOfIssue [Optional]        Indicates where the financial            Max35Text
                               instrument was issued in a place other
                               than the country of issue.
                               Synonyms:471 (FIX Protocol) ,
 PlaceOfRegistry [Optional]     The location at which records of         BICOrCountryCod
                               ownership are maintained for this         e
                               instrument, and at which ownership
                               changes must be recorded. This can be
                               either the depository /custodian who
                               maintains ownership Records or the
                               country in which registry is kept.

                               Synonyms:543 (FIX Protocol) ,
 PrimaryPlaceOfOfficialListi    Primary Market of Exchange (MIC          MICIdentifier
 ng [Optional]                 codes)
                               Synonyms:207 (Fix Protocol) ,
 SecondaryPlaceOfOfficialLi     Secondary Market of Excange (MIC         MICIdentifier
 sting [0..5]                  Codes)
                               Synonyms:207 (Fix Protocol) ,
 FinancialInstrumentKnown       This element indicates whether the       YesNoIndicator
 [Optional]                    Financial Instrument ID is known or
                               not.
                               Synonyms




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2.2.1.2.8    FinancialInstrumentProperties
                                                                                                 from:FIforDICO

Alternative identification of a financial instrument other than a code.



            Class associated
 Equity
 Option
 Future
 Debt




2.2.1.2.9    FinancialInstrumentSymbol
                                                                                                 from:FIforDICO




 Message element(s)              Definition                               Type                  Example
 [multiplicity]
 ISIN [Optional]                  International Securities Identifier     ISINIdentifier
                                 Number
                                 Synonyms:22 (FIX Protocol) ,
 RIC [Optional]                   REUTERS Identification Code             RICIdentifier
                                 Synonyms:22 (FIX Protocol) ,
 TickerSymbol [Optional]          Ticker Symbol                           TickerIdentifier
                                 Synonyms:22 (FIX Protocol) ,
 Bloomberg [Optional]             Bloomberg Identification Scheme         BloombergIdentifie
                                 Synonyms:22 (FIX Protocol) ,             r
 CTA [Optional]                   Consolidated Tape Association           CTAIdentifier
                                 Scheme
                                 Synonyms:22 (FIX Protocol) ,
 CUSIP [Optional]                 Refers to the CUSIP Identification      CUSIPIdentifier
                                 Scheme
                                 Synonyms:22 (FIX Protocol) ,
 SEDOL [Optional]                 Refers to the SEDOL Identification      SEDOLIdentifier
                                 Scheme
                                 Synonyms:22 (FIX Protocol) ,
 QUICK [Optional]                 Refers to the Japanese QUICK            QUICKIdentifier
                                 identification scheme for financial
                                 instruments
                                 Synonyms:22 (FIX Protocol) ,
 Wertpapier [Optional]            Refers to the German Identification     WertpapierIdentifie
                                 schem for financial instruments          r
                                 (Wertpapier)



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                                 Synonyms:22 (FIX Protocol) ,
 Dutch [Optional]                 Refers to the Dutch Identification             DutchIdentifier
                                 scheme for financial instruments
                                 Synonyms:22 (FIX Protocol) ,
 Valoren [Optional]               Refers the Swiss identification scheme         ValorenIdentifier
                                 for financial instruments (VALOREN).
                                 Synonyms:22 (FIX Protocol) ,
 Sicovam [Optional]               Refers to the French identification            SicovamIdentifier
                                 scheme for financial instruments
                                 (SICOVAM)
                                 Synonyms:22 (FIX Protocol) ,
 Belgian [Optional]               Refers to the Belgian identification           BelgianIdentifier
                                 scheme for financial instruments
                                 Synonyms:22 (FIX Protocol) ,
 Common [Optional]                Refers to the Clearstream or Euroclear         EuroclearClearstre
                                 identification scheme for financial             amIdentifier
                                 instruments
                                 Synonyms:22 (FIX Protocol) ,



                  Business Rule(s)                                                      Definition
 AtLeastOnePresent                                             If a financial instrument is identified by its symbol, then
                                                               at least one of the identification schemes must be
                                                               present.


       Class associated with                           Role name
 FinancialInstrumentSymbol
 AlternateFinancialInstrumentSymb        AlternateSymbol
 ol




2.2.1.2.10 Future
                                                                                                         from:FIforDICO


A contract stipulating that a certain amount of financial instruments need to be delivered or received at a certain
future date.



 Message element(s)              Definition                                      Type                  Example
 [multiplicity]
 ContractSize [Optional]          Specifies the ratio or multiply factor         Quantity
                                 used to convert from contracts to shares
                                 - "nominal", eg, 1, 100, 1000 etc.
                                 Synonyms::36B::SIZE (ISO 15022) ,
 ExpiryDate [Optional]            The date on which a privilege (eg,             ISODate
                                 option, right, warrant,...) expires. If it is
                                 an European option, the option holder
                                 can only exercise the right or let it lapse
                                 on expiry date. If it is an American


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                               option, the option holder can exercise
                               the right up to the expiry date.
                               Synonyms::98a::EXPI (ISO 15022) ,
                               432 (FIX Protocol ),
 FutureDate [Optional]          The date when future contracts settle.   ISODate
                               Synonyms:64 (FIX Protocol) ,
 MinimumSize [Optional]         Smallest number of contracts that can    Quantity
                               be traded or number of contracts in a
                               round lot.
                               Synonyms




2.2.1.2.11 IndicationOfInterest
                                                                                       from:IndicationOfInterest



 Message element(s)            Definition                                Type                Example
 [multiplicity]
 MessageReference               Reference assigned by the Sender to      Max35Text
                               unambiguously identify the message.
                               Synonyms:23 (FIX Protocol) ,
 ReplacedMessageReference       Reference of the linked message which    Max35Text
 [Optional]                    this message is replacing. This field
                               must only be used if this message is
                               replacing another message.
                               Synonyms:26 (FIX Protocol) ,
 TransactionTime[Optional]      Time at which the message is created.    ISODateTime
                               Synonyms:60 (FIX Protocol) ,



                Business Rule(s)                                                Definition
 SpreadToBenchmarkOrSwapSpread                             Either a SwapSpread or a SpreadToBenchmark must be
                                                          used, but not both.


          Class associated                         Role name
 FinancialInstrument
 IndicationOfInterestDetails
 IOIRouting                           Targeting
 IOIRouting                           Blocking
 SwapSpread
 SpreadToBenchmark




2.2.1.2.12 IndicationOfInterestDetails
                                                                                from:ProjectMessageComponents




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Details showing an indication of interest used to market merchandise which a broker is buying or selling in either a
proprietary or agency capacity.



 Message element(s)               Definition                                 Type                  Example
 [multiplicity]
 Side                              Side of the order.                        IOISideTypeCode
                                  Synonyms:54 (FIX Protocol) ,
 Quantity [Optional]               A type of quantity in numeric form of     FinancialInstrumen
                                  financial instrument expressed in a        tQuantity
                                  relative size.
                                  Synonyms:27 (FIX Protocol) ,
 RelativeSize [Optional]           Indicates a quantity in relative size.    RelativeSizeCode
                                  Synonyms:27 (FIX Protocol) ,
 Price [Optional]                  Indicates the price applicable to the     TradePrice
                                  indication of interest.
                                  Synonyms:423, 44, 15 (FIX Protocol) ,
 ExpiryDateTime [Optional]         Indicates the expiration date and time    ISODateTime
                                  of the indication.
                                  Synonyms:62 (FIX Protocol) ,
 QualityIndication [Optional]      Indicates the relative quality of the     QualityIndicationC
                                  indication of interest.                    ode
                                  Synonyms:25 (FIX Protocol) ,
 NaturalIndication [Optional]      Indicates whether or not the indication   TrueFalseIndicator
                                  of interest is the result of an existing
                                  agency order or a facilitation position
                                  resulting from an agency order, not
                                  from principal trading or order
                                  solicitation activity.
                                  Synonyms:130 (FIX Protocol) ,
 IOIQualifier [Optional0]          Qualifies the use of the indication of    IOITypeCode
                                  interest.
                                  Synonyms:104 (FIX Protocol) ,
 LinkedURLAddress                  Details the URL link to additional        Max200Text
 [Optional]                       information.
                                  Synonyms:149 (FIX Protocol) ,



                   Business Rule(s)                                                  Definition
 QuantityOrRelativeSize                                       Either Quantity, or RelativeSize must be used, but not
                                                             both.




2.2.1.2.13 IOIRouting
                                                                                    from:ProjectMessageComponents


Indication of firms or vendor maintained list identifiers.
Synonyms:216 (FIX Protocol),




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 Message element(s)              Definition                                      Type                  Example
 [multiplicity]
 List [Optional]                  List of firm identifiers or vendor             Max35Text
                                 maintained list identifiers that will be
                                 included or excluded from the targeted
                                 list of indication receiving firms
                                 managed by the vendor.
                                 Synonyms:216,217 (FIX Protocol) ,
 Firm [0..*]                      Firm that will be included or excluded         Max35Text
                                 from the targeted list of indication
                                 receiving firms managed by the vendor.
                                 Synonyms:216,217 (FIX Protocol) ,



                  Business Rule(s)                                                     Definition
 AtLeastListOrFirm                                             At least List or Firm should be present if IOI listing is
                                                               used.




2.2.1.2.14 Option
                                                                                                         from:FIforDICO
The right to buy (call) or sell (put) an underlying asset (securities, index, commodities, etc) at the predetermined
price within a specified period of time.


 Message element(s)              Definition                                      Type                  Example
 [multiplicity]
 ContractMultiplier               Specifies the ratio or multiply factor         Quantity
 [Optional]                      used to convert from contracts to shares
                                 - "nominal", eg, 1, 100, 1000 etc.
                                 Synonyms::36B::SIZE (ISO 15022) ,
 ExerciseDate [Optional]          The Call/Put/Convertible Date of the           ISODate
                                 option.
                                 Synonyms::98A::CALD (ISO 15022) ,
                                 :98A::CONV (ISO 15022 ),
 ExercisePrice [Optional]         The predetermined price at which the           PriceRateOrAmou
                                 holder of an Option is entitled to buy or       nt
                                 sell the underlying instrument.
                                 Synonyms::90a::EXER (ISO 15022) ,
                                 Strike price (Securities Business
                                 Modeling ),
 ExpiryDate [Optional]            The date on which a privilege (eg,             DateOrYearMonth
                                 option, right, warrant,...) expires. If it is
                                 an European option, the option holder
                                 can only exercise the right or let it lapse
                                 on expiry date. If it is an American
                                 option, the option holder can exercise
                                 the right up to the expiry date.
                                 Synonyms::98a::EXPI (ISO 15022) ,
                                 432 (FIX Protocol ),
 MinimumExercisableMultip         The minimum multiple quantity of               FinancialInstrumen
 leQuantity [Optional]           financial instrument or lot of                  tQuantity



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                                rights/warrants that must be exercised.
                                Synonyms::36B::MIEX (ISO 15022) ,
 MinimumExercisableQuanti        The minimum quantity of financial           FinancialInstrumen
 ty [Optional]                  instrument or lot of rights/warrants that    tQuantity
                                must be exercised.
                                Synonyms::36B::MILT (ISO 15022) ,
 OptionStartDate [Optional]      The first date on which an option           ISODate
                                becomes effective.
                                Synonyms
 OptionStyle [Optional]          Defines how an option can be                OptionStyleCode
                                exercised.
                                Synonyms::12a::OPST (ISO 15022) ,
 OptionType [Optional]           Indicates whether it is a Call option       OptionTypeCode
                                (right to purchase a specific underlying
                                asset) or a Put option (right to sell a
                                specific underlying asset).
                                Synonyms::12a::OPTI (ISO 15022) ,
 ContractVersionNumber           The version number of the option            NumberType
 [Optional]                     contract or tranche of the related
                                financial instrument.
                                Synonyms::13a::VERN (ISO 15022) ,
 CoveredIndication               Indicates whether the underlying            TrueFalseIndicator
 [Optional]                     financial instrument of an option is
                                owned by the writer of the option.
                                Synonyms::17B::COVE (ISO 15022) ,




2.2.1.2.15 SpreadToBenchmark
                                                                                    from:ProjectMessageComponents


Indicates the spread details, expressed against a benchmark.



 Message element(s)             Definition                                   Type                 Example
 [multiplicity]
 Currency                        Identifies the currency used for the        CurrencyCode
                                benchmark curve.
                                Synonyms:220 (FIX Protocol) ,
 CurveName                       Identifies the name of the benchmark        BenchmarkCurveN
                                curve.                                       ameCode
                                Synonyms:221 (FIX Protocol) ,
 CurvePoint                      Identifies a point on a benchmark           Max200Text
                                curve.
                                Synonyms:222 (FIX Protocol) ,
 PriceOffset                     The price offset is basis points relative   PercentageRate
                                to benchmark - this can be positive or
                                negative spread.
                                Synonyms:218, 423 (value=6) (FIX
                                Protocol) ,




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2.2.1.2.16 SwapSpread
                                                                                     from:ProjectMessageComponents


Indicates the price spread in case of a swap.


 Message element(s)              Definition                                   Type                 Example
 [multiplicity]
 PriceOffset                     The targeted spread for a swap               PercentageRate
                                 Synonyms:218 (FIX Protocol) ,




2.2.1.2.17 VariableDebt
                                                                                                    from:FIforDICO




 Message element(s)              Definition                                   Type                 Example
 [multiplicity]
 Arriers [Optional]               Indicates that the rate reset will occur    Max16Text
                                 at the end of the payment period (True
                                 case)
                                 Synonyms
 FloatingRateNoteIndication       Indicates whether the interest rate of a    TrueFalseIndicator
 [Optional]                      debt instrument is reset periodically.
                                 Synonyms:VariableRateIndication
                                 (GSTPA) , 17B::FRNR (ISO 15022 ),
 FloatingRateNoteResetDate        Specifies the date the interest rate of a   ISODate
 [Optional]                      floating rate note will be/was calculated
                                 and reset, according to the terms of the
                                 issue.
                                 Synonyms::98a::FRNR (ISO 15022) ,
 IndexRateBasis [Optional]        Specifies the reference rate for variable   Max30Text
                                 income instruments where the
                                 price of the instrument is indexed to the
                                 price of an underlying benchmark.
                                 Synonyms::92C::VASU (ISO 15022) ,
 IndexRateCurrency                Specifies the currency of the reference     CurrencyCode
 [Optional]                      rate for fixed income instruments
                                 where the price of the instrument is
                                 indexed to the price of an underlying
                                 benchmark.

                                 Synonyms
 IndexRateFrequency               Frequency at which the reference rate       FrequencyCode
 [Optional]                      changes.


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                              Synonyms
 IndexRateMultiplier           Multiplier for the variable rate          Quantity
 [Optional]                   Synonyms
 IndexSpread [Optional]        Specifies the number of basis points      PercentageRate
                              used in calculating the price (over an
                              underlying benchmark) of a fixed
                              income instrument.
                              Synonyms::92A::RSPR (ISO 15022) ,
 RateResetSource [Optional]    Identifies the reference source for       Max16Text
                              benchmark interest rates used to
                              price/re-price fixed income
                              instruments.
                              Synonyms:Remarketing Agent (ISO
                              15022) , :70C::RATS (ISO 15022 ),
 VariableRateChangeFreque      Specifies the frequency of change to      FrequencyCode
 ncy [Optional]               the variable rate of a fixed instrument.
                              Synonyms::22F::CFRE (ISO 15022) ,




2.2.2 Detailed Diagram: FinancialInstrumentProductType




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2.2.2.1 Tree Structure

FinancialInstrumentProductType

       AgencyCode
       CorporateCode
       EquitiesCode
       CurrencyInstrumentCode
       MiscellaneousCode
       MortgageCode
       MunicipalCode
       LoanCode
       MoneyMarketInstrumentCode
       GovernmentBondCode




2.2.2.2 Detailed Diagram: FinancialInstrumentProductType




2.2.2.2.1   AgencyCode
                                                                                   from:ProjectDataTypes


Synonyms:167 (FIX Protocol),


 Message element(s)            Definition                                 Type         Example
 [multiplicity]
 FederalAgencyCoupon            Fixed income coupon security issued       String
                               by a federal agency such as Tennessee
                               Valley Authority or a government-
                               sponsored enterprise such as FNMA,
                               FreddieMac.
                               Synonyms
 FederalAgencyDiscountNot       Fixed income discounted notes issued      String
 e                             by a federal agency such as Tennessee
                               Valley Authority or a government-
                               sponsored enterprise such as FNMA,
                               FreddieMac.

                               Discount notes are unsecured general
                               corporate obligations that are issued at
                               a discount and mature at par. The term
                               may be overnight to 360 days. Federal
                               Agency refers to the U.S. government
                               sponsored enterprises although private


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                                agencies like FNMA and FHLMC also
                                issue what is termed Agency Discount
                                Notes. Agency discount notes give
                                institutional and retail investors
                                convenient choices with regard to the
                                investment date, maturity date and size
                                of their short-term investments.
                                Maturities of discount notes can range
                                from overnight through one year.

                                Synonyms
 PrivateExportFunding            Private capital for financing the export   String
                                of big ticket items by US firms by
                                purchasing medium to long term debt
                                of importers of US products at fixed
                                interest rates.
                                Synonyms




2.2.2.2.2   CorporateCode
                                                                                     from:ProjectDataTypes


A bond issued by a private corporation.
Synonyms:167 (FIX Protocol),


 Message element(s)             Definition                                  Type         Example
 [multiplicity]
 CorporateBond                   Debt obligations issued by private         String
                                corporations.
                                Synonyms
 CorporatePrivatePlacement       The sale of bonds directly to an           String
                                institutional investor, such as an
                                insurance company. Securities are
                                purchased for investment not to be
                                resold to the public.
                                Synonyms
 ConvertibleBond                 A bond that may be exchanged into          String
                                another financial instrument in
                                accordance with the terms of the issue.
                                Synonyms:167 (FIX Protocol) ,
 DualCurrency                    Eurobonds that pay coupon interest in      String
                                one currency and principal in a
                                different currency.
                                Synonyms
 IndexedLinked                   A bond issue that is inflation-indexed,    String
                                where coupon payments are timed to an



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                               inflation index.

                               Refers to a product whose valuation or
                               cash flows is a function of an index. An
                               example would be sovereign bonds like
                               US Treasuries or UK Gilts whose
                               coupon rate is adjusted periodically as a
                               function of an inflation index. Another
                               example would be equity-linked notes.
                               Synonyms
 StructuredNotes                A note with an embedded derivative.        String
                               An example would be a synthetic fixed
                               rate note that was created by issuing a
                               floating rate note while entering into a
                               "plain vanilla" interest rate swap to
                               offset the floating rate payments.

                               A derivative investment that will
                               change in value with movements of an
                               underlying index; or a note whose
                               issuer makes swap arrangements to
                               alter its required cash flows.

                               Financial products that seem to be fixed
                               income instruments, but contain
                               embedded options. They do not
                               necessarily reflect the risk of the
                               issuing credit and can be either
                               standard products or highly leveraged
                               'exotic' options. This uniqueness can
                               hide the inherent risk.

                               Synonyms
 YankeeCorporateBond            Dollar-denominated bonds issued in         String
                               the US by foreign corporations, banks
                               and sovereigns that are sold in the US
                               market. These bonds are usually
                               registered with the SEC. For example,
                               bonds issued by originators with roots
                               in Japan are called Samurai bonds.

                               Synonyms




2.2.2.2.3   CurrencyInstrumentCode
                                                                                    from:ProjectDataTypes



Synonyms:167 (FIX Protocol),



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 Message element(s)            Definition                                  Type         Example
 [multiplicity]
 ForeignExchangeContract        A legally binding agreement to buy or      String
                               sell a commodity (e.g. foreign
                               currency) or financial instrument in a
                               designated future month at a price
                               agreed upon today by the buyer and
                               seller. Futures contracts are
                               standardized according to the quality,
                               quantity, and delivery time and location
                               for each commodity. A future is part of
                               a class of securities called derivatives,
                               so named because such securities,
                               derive their value from the worth of an
                               underlying investment.

                               Contract for a transaction between two
                               different currencies. These are
                               generally set up to minimise currency
                               fluctuation risk.

                               Synonyms




2.2.2.2.4   EquitiesCode
                                                                                    from:ProjectDataTypes



Synonyms:167 (FIX Protocol),


 Message element(s)            Definition                                  Type         Example
 [multiplicity]
 CommonStock                    Units representing equity ownership in     String
                               a public company. They also give the
                               holder voting rights, profits via
                               dividends or capital appreciation.
                               Synonyms
 PreferredStock                 Class of capital stock that pays           String
                               dividends at a specific rate, has
                               preference over common stock in
                               divident payments and asset
                               liquidation. The stock does not usually
                               carry voting rights. Preferred stock has
                               characteristics of both common stock
                               and debt.
                               Synonyms



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2.2.2.2.5   FinancialInstrumentProductType
                                                                                    from:ChoicesAndDataTypes




        Class associated with
 AgencyCode
 CorporateCode
 EquitiesCode
 CurrencyInstrumentCode
 MiscellaneousCode
 MortgageCode
 MunicipalCode
 LoanCode
 MoneyMarketInstrumentCode
 GovernmentBondCode




2.2.2.2.6   GovernmentBondCode
                                                                                       from:ProjectDataTypes



Synonyms:167 (FIX Protocol),




 Message element(s)             Definition                                 Type             Example
 [multiplicity]
 BradyBond                       Refers to a series of sovereign bonds     String
                                issued by several developing countries
                                in exchange for their rescheduled bank
                                loans.

                                Defaulted emerging market debt traded
                                at discount.
                                Synonyms
 USTreasuryBond                  Treasury notes and bonds are securities   String
                                that pay a fixed rate of interest every
                                six months until the security matures,
                                which is when the investor receives



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                               payment for the par value of the
                               security. Treasury notes mature in
                               more than a year, but not more than 10
                               years from their issue date.
                               Synonyms
 InterestStripFromAny           STRIPS is the acronym for Separate          String
                               Trading of Registered Interest and
                               Principal of Securities. The STRIPS
                               program lets investors hold and trade
                               the individual interest TINTS and/or
                               principal TPRN components of eligible
                               Treasury notes and bonds as separate
                               securities. STRIPS are also called
                               zero-coupon securities because the only
                               time an investor receives a payment
                               during the life of a STRIP is when it
                               matures.
                               The word strip has different nuance in
                               the broader interest rate market.

                               Synonyms
 TreasuryInflationProtectedS    These are 5, 10 or 30 year US               String
 ecurities                     Treasuries for which the interest rate,
                               which is set at auction, remains fixed
                               throughout the term of the security.
                               The principal amount of the security is
                               adjusted for inflation, but the inflation-
                               adjusted principal will not be paid until
                               maturity. Semi-annual interest
                               payments are based on the inflation-
                               adjusted principal at the time the
                               interest is paid. The index for
                               measuring the inflation rate is the non-
                               seasonally adjusted US City Average
                               All Items Consumer Price Index for All
                               Urban Consumers (CPI-U), published
                               monthly by the Bureau of Labour
                               Statistics (BLS). At maturity, the
                               securities will be redeemed at the
                               greater of their inflation-adjusted
                               principal or par amount at original
                               issue.
                               Synonyms
 PrincipalStripCallableBond     The principal strip portion of a bond       String
                               with a call provision (TCAL).
                               Synonyms
 PrincipalStripNonCallableB     The principal strip of a bullet bond.       String
 ond                           Synonyms
 USTreasuryNote                 Bonds mature in more than 10 years          String
                               from their issue date.
                               Synonyms
 USTreasuryBill                 Treasury Bills (or T-Bills) are short-      String
                               term securities that mature in one year
                               or less from their issue date. T-bills are
                               sold at a price less than their par (face)
                               value. Upon maturity the investor


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                               receives the security's par value. The
                               interest payment is the difference
                               between the investor's purchase price of
                               the security and the price paid to the
                               investor at maturity (or price paid if the
                               security is sold before maturity).
                               Synonyms




2.2.2.2.7   LoanCode
                                                                                     from:ProjectDataTypes



Synonyms:167 (FIX Protocol),




 Message element(s)            Definition                                   Type         Example
 [multiplicity]
 TermLoan                       A business loan usually fixed or            String
                               variable for an extended term up to 10
                               years. A term loan generally provides
                               for an agreed upon payment schedule,
                               and amounts paid on a term loan
                               generally cannot be re-borrowed.
                               Synonyms
 RevolverLoan                   A revolver loan allows the borrower to      String
                               borrow, repay, and re-borrow as needed
                               over the life of the loan facility.
                               Synonyms
 RevolverTermLoan               The outstanding loan amount in a            String
                               revolving loan facility may fluctuate on
                               a daily basis. A revolver allows the
                               borrower to borrow, repay, and re-
                               borrow as needed over the life of the
                               loan facility.
                               Synonyms
 BridgeLoan                     Interim financing used to solidify a        String
                               position until permanent financing is
                               secured. Also called a swing loan.
                               Synonyms
 LetterOfCredit                 An instrument issued by a bank              String
                               substituting its name and credit
                               standing for that of its customer. It is a
                               written undertaking of a
                               bank, issued for the account of a
                               customer (the applicant), to honour a
                               demand for payment upon the
                               beneficiary‟s
                               compliance with the specified terms
                               and conditions set forth in the



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                               undertaking.
                               Synonyms
 SwingLineFacility              A credit facility that allows the          String
                               borrower to bridge time gaps that might
                               occur due to switching the loan from
                               domestic borrowing to international
                               borrowing (or vice versa), or switching
                               the type of loan.
                               Synonyms
 DebtorInPossession             A firm that continues to operate under     String
                               the Chapter 11 bankruptcy policy.
                               Synonyms
 DefaultedLoan                  Failure to make timely payment of          String
                               interest or principal on a debt security.
                               Synonyms
 WithdrawnLoan                  The loan that is disbursed against a       String
                               debt security.
                               Synonyms
 ReplacedLoan                   The loan that has been paid (or            String
                               replaced) by a new loan.
                               Synonyms
 MaturedLoan                    Outstanding debt instrument that has       String
                               reached final maturity and can no
                               longer earn interest.
                               Synonyms
 AmendedRestatedLoan            The loan agreement that results after      String
                               restructuring of an existing one into a
                               new one.
                               Synonyms
 RetiredLoan                    A loan that is no longer performing.       String
                               Synonyms




2.2.2.2.8   MiscellaneousCode
                                                                                    from:ProjectDataTypes



Synonyms:167 (FIX Protocol),




 Message element(s)            Definition                                  Type         Example
 [multiplicity]
 NoSecurityType                 No security type specified.                String
                               Synonyms
 MutualFund                     An investment fund operated by an          String
                               investment company.

                               Mutual funds are pools of money that
                               are managed by an investment



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                               company. They offer investors a variety
                               of goals, depending on the fund and its
                               investment charter.

                               Investment product primarily aimed at
                               retail investors. Has started to replace
                               traditional savings instruments and
                               risky individual punts in stock market.
                               The named mutual fund would have
                               ecomonically packaged financial
                               management for smaller amounts. Also
                               known as unit trusts.

                               Synonyms
 MultiLeg                       Refers to a derivative security or        String
                               strategy where the "deal" is composed
                               of constituent securities yet are to be
                               thought of as one deal or transaction. A
                               Bond Swap a straddle or strangle are
                               examples of multileg deals. A more
                               common asset, which is multileg by
                               definition, is a Currency or Interest
                               Rate Swap. Some deals can have more
                               than one leg like a Butterfly Spread.
                               Synonyms




2.2.2.2.9    MoneyMarketInstrumentCode
                                                                                   from:ProjectDataTypes



Synonyms:167 (FIX Protocol),




 Message element(s)            Definition                                 Type         Example
 [multiplicity]
 BankersAcceptance              Time draft drawn on and accepted by a     String
                               bank, the customary means of effecting
                               payment for merchandise sold in
                               import-export transactions and a source
                               of financing used extensively in
                               international trade. With the credit
                               strength of a bank behind it, the
                               banker's acceptance usually qualifies as
                               a Money Market instrument. The
                               liability assumed by the bank is called
                               its acceptance liability.
                               Synonyms
 BankNotes                      Securities that are exempt from           String



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                             registration under section 3(a)2 of the
                             Securities Act 1933 and that have
                             characteristics in common with CD's,
                             medium term notes (MTNs) and short-
                             term bonds.
                             Synonyms
 BillOfExchange               A written order from one party (the         String
                             drawer) to another (the drawee) to pay
                             a specified sum on demand or on a
                             specified date to the drawer or to a third
                             party specified by the drawer. Also
                             called a draft.
                             Synonyms
 CertificateOfDeposit         Certificate issued by bank or thrift that   String
                             indicates a specified sum of money
                             deposited. Certificate has a maturity
                             date and a specified interest rate.
                             Synonyms
 CallLoan                     A loan repayable on demand. AKA             String
                             "broker loan".
                             Synonyms
 CommercialPaper              Short term unsecured promissory note        String
                             issued by a corporation. The maturity
                             is typically less than 270 days, most
                             common maturity range is 30 to 50
                             days or less. Usually issued at a
                             discount but some are interest-bearing.
                             Synonyms
 DepositNote                  Issued by banks, a deposit note is a        String
                             savings instrument with a fixed interest
                             rate paid on a monthly basis generally.
                             It has an optional call provision and is
                             insured by the Federal Deposit
                             Insurance Corporation (for U.S).
                             Sometimes referred to as CDs
                             (Certificate of Deposit), it has a
                             maturity date.
                             Synonyms
 LiquidityNote                 Note that is easily and cheaply turned     String
                             into cash, i.e. cash itself and short-term
                             securities.
                             Synonyms
 MediumTermNote               Highly flexible debt instruments that       String
                             can be easily structured in response to
                             changing market conditions and
                             investor tastes. Can have maturity
                             ranging from 9 months to 30 years or
                             longer. Typically they are non-
                             callable, unsecured, senior debt with
                             fixed-coupon rates that carry an
                             investment grade credit rating.

                             A corporate debt instrument that is
                             continuously offered to investors over a
                             period of time by an agent of the issuer.



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                             Synonyms
 OvernightDeposit             Unsecured offshore eurodollar deposits     String
                             usually to a branch of a domestic bank.
                             Used by corporations for depositing
                             cash flows overnight.

                             A facility to place short-term surplus
                             fund with a bank (generally Central
                             Banks) at the end of the day and earn
                             interest. The rate provides the floor for
                             short-term money market rates. Due to
                             a large minimum banks offer overnight
                             deposits primarily to large clients.
                             Synonyms
 PromissoryNote               A written promise committing the           String
                             maker to pay the payee a specified sum
                             of money either on demand or at a
                             fixed
                             determinable future date, with or
                             without interest. Instruments meeting
                             this criteria are negotiable.
                             Synonyms
 RepurchaseAgreement          An agreement with a commitment by          String
                             the seller (dealer) to buy a security
                             back from the purchaser (customer) at a
                             specified price at a designated future
                             date. Also called a repo, it represents a
                             collateralized short-term loan for
                             which, where the collateral may be a
                             Treasury security, money market
                             instrument, federal agency security, or
                             mortgage-backed security.
                             Synonyms
 ReverseRepurchaseAgreem      Similar to a RepurchaseAgreement,          String
 ent                         but from the purchaser's (customer's)
                             perspective, the deal is reported as a
                             reverse repo.

                             Opposite side of a repo. Reverse repos
                             offer the holders of fixed income
                             securities a means of absorbing
                             reserves temporarily by selling
                             securities under an agreement
                             subsequently to repurchase them.
                             Offers the customer of the transaction
                             the security as collateral to the loan.
                             Synonyms
 ShortTermLoanNote            A note, whose term is usually less than    String
                             a year, but can be as long as 2 years.
                             Synonyms
 TimeDeposit                  A loan that accrues interest for a pre-    String
                             set time like a bank savings account or
                             CD.

                             Money invested for a fixed period,


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                               earning an attractive return. Generally
                               offered with a range of investment
                               amounts, maturities and interest
                               payment dates.
                               Synonyms
 ExtendedCommercialNote         A Commercial note is an unsecured           String
                               commitment issued by a corporation to
                               finance it's short-term credit needs,
                               with maturity dates being as short as
                               two days or extending to a year.
                               Extended CNs are those with maturity
                               dates extended to beyond the
                               committed dates.
                               Synonyms



2.2.2.2.10 MortgageCode
                                                                                     from:ProjectDataTypes


Synonyms:167 (FIX Protocol),


 Message element(s)            Definition                                   Type         Example
 [multiplicity]
 AgencyPools                    A collection of mortgages that has          String
                               been securitized and shares or
                               participation certificates in the pool is
                               sold to investors (mortgage pass-
                               throughs)

                               In order to securitize loans and
                               attenuate risk in the mortgage market a
                               security created when one or more
                               mortgage holders form a collection
                               (pool) of mortgages and sells shares or
                               participation certificates in the pool.
                               The cash flow from the collateral pool
                               is "passed through" to the security
                               holder as monthly payments of
                               principal, interest, and prepayments.
                               This is the predominant type of MBS
                               traded in the secondary market.

                               Synonyms
 AssetBackedSecurities          Security that is collateralized by loans,   String
                               leases, or installment contracts on
                               personal property, but not real estate.
                               Usually receivables such as credit card
                               receivables, home-equity loans,
                               manufactured homes loans, and
                               automobile loans.
                               Synonyms
 CollateralizedMortgageSecu     A security backed by a pool of pass-        String



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 rities                      throughs or a pool of mortgage loans
                             Synonyms
 CorporateMortgageBackedS     An MBS whose cash flows is backed           String
 ecurities                   by major property mortgages, such as
                             office space, retail property, industrial
                             facilities, multifamily housing and
                             hotels. Also called commercial
                             mortgage-backed securities.
                             Synonyms
 IOETTEMortgage               An interest only (IO) tranche in a          String
                             CMO (Collateralized Mortgage
                             Obligation).
                             Synonyms
 MortgageBackedSecurities     "An instrument whose cash flow              String
                             depends on the cash flows of an
                             underlying pool of mortgages."
                             [Fabozzi]. MBS are usually residential
                             mortgages.
                             Synonyms
 MortgageInterestOnly         A security whose cash flow is from the      String
                             interest payments from the underlying
                             collateral (i.e. CMO's Interest-only strip
                             or tranch).

                             A security based solely on the interest
                             component from a pool of mortgages,
                             or other bonds. Once the principal on
                             the mortgages or bonds has been
                             repaid, interest payments stop, and the
                             value of the IO falls to zero.

                             Synonyms
 MortgagePrincipalOnly        A security whose cash flow is from the      String
                             principal payments from the underlying
                             collateral (i.e. CMO's Principal-only
                             strip or tranch).

                             A mortgage-backed security (MBS )
                             whose holder receives only principal
                             cash flows on the underlying mortgage
                             pool. All the principal distribution due
                             from the underlying collateral pool is
                             paid to the registered holder of the
                             stripped MBS on the basis of the
                             current face value of the underlying
                             collateral pool.

                             Synonyms
 MortgagePrivatePlacement     A contract between a lender, usually        String
                             an S&L association, bank, etc., and a
                             property owner, that provides a loan
                             that defines the property as collateral.
                             Involves the issuance of a security to a
                             group of not more than 35 investors.
                             Synonyms



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 MiscellaneousPassThrough       Also called a passthrough, a security           String
                               created when one or more mortgage
                               holders form a collection (pool) of
                               mortgages and sells shares or
                               participation certificates in the pool.
                               The cash flow from the collateral pool
                               is "passed through" to the security
                               holder as monthly payments of
                               principal, interest, and prepayments.
                               This is the predominant type of MBS
                               traded in the secondary market.
                               Synonyms
 ToBeAnnounced                  A contract for the purchase or sale of          String
                               an MBS to be delivered at an agreed-
                               upon future date but does not include a
                               specified pool number and number of
                               pools or precise amount to be
                               delivered.
                               Synonyms




2.2.2.2.11 MunicipalCode
                                                                                         from:ProjectDataTypes


Synonyms:167 (FIX Protocol),



 Message element(s)            Definition                                       Type         Example
 [multiplicity]
 OtherAnticipationNotes         Anticipation Notes other than , TANs, BANs or   String
                               RAN, such as Grants and Education Notes.
                               Synonyms
 CertificateOfObligation        Long term debt issued by a city.                String
                               Synonyms
 CertificateOfParticipation     COPs are a structure where investors            String
                               buy certificates that entitle them to
                               receive a participation, or share, in the
                               lease payments from a particular
                               project. The lease payments are passed
                               through the lessor to the certificate
                               holders with the tax advantages intact.
                               The lessor typically assigns the lease
                               and lease payments to a trustee, which
                               then distributes the lease payments to
                               the certificate holders.
                               Synonyms


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 GeneralObligationBonds       Municipal securities secured by the         String
                             issuer's pledge of its full faith, credit,
                             and taxing power.
                             Synonyms
 MandatoryTender              Sinking fund feature.                       String
                             Synonyms
 RevenueAnticipationNote      RANs are issued in anticipation of          String
                             other sources of future revenue other
                             than taxes. This may include
                             intergovernmental aid. Interest are
                             usually tax-free to the security holder.
                             Synonyms
 RevenueBonds                 A bond issued by a municipality to          String
                             finance either a project or an enterprise
                             in which the issuer pledges to the
                             bondholders that the debt service is
                             payable solely by the revenues
                             generated by the operation of the
                             projects financed or a category of
                             facilities or from other non-tax source.
                             Synonyms
 SpecialAssessment            A municipal bond with interest paid by      String
                             the taxes of the community benefiting
                             from the bond-funded project.
                             Synonyms
 SpecialObligation             A municipal bond with interest paid        String
                             by the taxes of the community
                             benefiting from the bond-funded
                             project.
                             Synonyms
 SpecialTax                   A bond secured by a special tax, such       String
                             as a gasoline tax or other excise tax.
                             Synonyms
 TaxAnticipationNote          TANs are issued by states or                String
                             municipalities to finance current
                             operations in anticipation of future tax
                             receipts.
                             Synonyms
 TaxAllocation                Notes which are payable with a              String
                             collection of taxes that has been
                             earmarked for repayment of the notes.
                             Synonyms
 TaxExemptCommercialPap       TECP or TXCP. A short-term                  String
 er                          promissory note issued for periods of
                             up to 270 days is often used in lieu of
                             fixed-rate BNAs, TANs, and RANs
                             because of the greater flexibility
                             offered in setting both maturities and
                             determining rates. The purpose for
                             issuing TECP or TXCP can be the
                             same as BANs, TANs, and RANs.

                             A bond usually issued by municipal,
                             county, or state governments whose
                             interest payments are not subject to



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                             federal and, in some cases, state and
                             local income tax.
                             Synonyms
 TaxRevenueAnticipationNo     TRANs are issued in anticipation of         String
 te                          future collection of taxes or other
                             expected revenues. According to
                             Fabozzi, these are the same as TANs
                             and RANs.
                             Synonyms
 VariableRateDemandNote       VRDN is a bond that bears interest at a     String
                             variable or floating rate established at
                             specified intervals (e.g. flexible, daily,
                             weekly, monthly, or annually). It
                             contains a put option permitting the
                             bondholder to tender the bond for
                             purchase when a new interest rate is
                             established. VRDNs are also referred
                             to as VRDO (variable-rate demand
                             obligation) or VRDB (variable-rate
                             demand bond) or low-floaters.
                             Synonyms
 Warrant                      A warrant is the right to buy a             String
                             specified amount of shares at a
                             predetermined price at a pre-
                             determined time. Warrants are like call
                             options, but with much longer time
                             spans-sometimes years. And, warrants
                             are offered by corporations, while
                             exchange-traded call options are not
                             issued by firms.
                             Synonyms




2.2.3 Detailed Diagram: Rating




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2.2.3.1 Components



2.2.3.1.1   Rating
                                                                                from:ProjectMessageComponents

The assessment of securities credit and investment risk.


 Message element(s)              Definition                              Type                 Example
 [multiplicity]
 RatingAgency                     Specifies the name of an agency,       Max35Text
                                 which provides rating services, eg,
                                 Moody's and S&P.
                                 Synonyms::94B::RATS (ISO 15022) ,
 RatingType                       The type of rating of a financial      Max35Text
                                 instrument
                                 Synonyms
 RatingValue                      Specifies the rating, which has been   RatingValueIdentif
                                 assigned to a security by a rating      ier
                                 agency.
                                 Synonyms::70a::RATS (ISO 15022) ,



2.2.4 Detailed Diagram: FinancialInstrumentQuantity




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2.2.4.1 Components



2.2.4.1.1   FinancialInstrumentQuantity
                                                                                    from:ChoicesAndDataTypes



 Message element(s)          Definition                                 Type                Example
 [multiplicity]
 Unit                         The quantity expressed as a number,       Quantity
                             eg, a number of shares.
                             Synonyms:UNIT (ISO 15022) ,
 FaceAmount                   The quantity expressed as the face        Amount
                             amount of the principal of a debt
                             instrument.
                             Synonyms:FAMT (ISO 15022) ,
 AmortisedValue               The quantity represents the current       Amount
                             amortised face amount of a bond, eg, a
                             periodic reduction of a bond's principal
                             amount.
                             Synonyms:AMOR (ISO 15022) ,




                  Business Rule(s)                                             Definition


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 UnitXORFaceAmountXORAmortisedValue




2.2.5 Detailed Diagram: IndicationOfInterestDetails




2.2.5.1 Tree Structure


IndicationOfInterest
└ IndicationOfInterestDetails
         └ TradePrice




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2.2.5.2 Components



2.2.5.2.1   IndicationOfInterestDetails
                                                                                   from:ProjectMessageComponents


Details showing an indication of interest used to market merchandise which a broker is buying or selling in either a
proprietary or agency capacity.



 Message element(s)              Definition                                 Type                  Example
 [multiplicity]
 Side                             Side of the order.                        IOISideTypeCode
                                 Synonyms:54 (FIX Protocol) ,
 Quantity [Optional]              A type of quantity in numeric form of     FinancialInstrumen
                                 financial instrument expressed in a        tQuantity
                                 relative size.
                                 Synonyms:27 (FIX Protocol) ,
 RelativeSize [Optional]          Indicates a quantity in relative size.    RelativeSizeCode
                                 Synonyms:27 (FIX Protocol) ,
 Price [Optional]                 Indicates the price applicable to the     TradePrice
                                 indication of interest.
                                 Synonyms:423, 44, 15 (FIX Protocol) ,
 ExpiryDateTime [Optional]        Indicates the expiration date and time    ISODateTime
                                 of the indication.
                                 Synonyms:62 (FIX Protocol) ,
 QualityIndication [Optional]     Indicates the relative quality of the     QualityIndicationC
                                 indication of interest.                    ode
                                 Synonyms:25 (FIX Protocol) ,
 NaturalIndication [Optional]     Indicates whether or not the indication   TrueFalseIndicator
                                 of interest is the result of an existing
                                 agency order or a facilitation position
                                 resulting from an agency order, not
                                 from principal trading or order
                                 solicitation activity.
                                 Synonyms:130 (FIX Protocol) ,
 IOIQualifier [Optional0]         Qualifies the use of the indication of    IOITypeCode
                                 interest.
                                 Synonyms:104 (FIX Protocol) ,
 LinkedURLAddress                 Details the URL link to additional        Max200Text
 [Optional]                      information.
                                 Synonyms:149 (FIX Protocol) ,




                    Business Rule(s)                                               Definition



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 QuantityOrRelativeSize                                       Either Quantity, or RelativeSize must be used, but not
                                                             both.




2.2.5.2.2     TradePrice
                                                                                    from:ProjectMessageComponents


Identification of a price as a rate or as an amount. The price may be yielded.


 Message element(s)              Definition                                  Type                  Example
 [multiplicity]
 TED                              Indicates whether the price is TED         TrueFalseIndicator
                                 (TED being the price spread between
                                 the active 3 month treasury bill futures
                                 contract and the 3 month Eurodollar
                                 futures contract. Used as an indicator of
                                 investor confidence in the US markets.)

                                 Synonyms
 ValueType [0...1]                Indicates the type of value in which the   PriceValueTypeCo
                                 price is expressed.                         de
                                 Synonyms
 TradePrice                       Indicates the price                        PriceRateOrAmou
                                 Synonyms                                    nt




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2.2.6 Detailed Diagram: IOIRouting




2.2.6.1 Tree Structure

IndicationOfInterest
└ IOIRouting




2.2.6.2 Components




   Class associated IndicationOf               Role name   Definition
               Interest
 FinancialInstrument
 IndicationOfInterestDetails


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 IOIRouting                               Targeting                               Firm and/or list targeted to receive
                                                                                 the indication
 IOIRouting                               Blocking                                Firm and/or list blocked from
                                                                                 receiving the indication
 SwapSpread
 SpreadToBenchmark




2.2.6.2.1      IOIRouting
                                                                                    from:ProjectMessageComponents


Indication of firms or vendor maintained list identifiers.
Synonyms:216 (FIX Protocol),




 Message element(s)               Definition                                 Type                   Example
 [multiplicity]
 List [Optional]                   List of firm identifiers or vendor        Max35Text
                                  maintained list identifiers that will be
                                  included or excluded from the targeted
                                  list of indication receiving firms
                                  managed by the vendor.
                                  Synonyms:216,217 (FIX Protocol) ,
 Firm [0..*]                       Firm that will be included or excluded    Max35Text
                                  from the targeted list of indication
                                  receiving firms managed by the vendor.
                                  Synonyms:216,217 (FIX Protocol) ,




                  Business Rule(s)                                                   Definition
 AtLeastListOrFirm                                           At least List or Firm should be present if IOI Routing is
                                                             used.




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2.2.7 Detailed Diagram: Spread




2.2.7.1 Tree Structure

Adapt your tree structure here with different indentation levels etc.[optional]
IndicationOfInterest
└ SwapSpread
└ SpreadToBenchmark




2.2.7.2 Detailed Diagram: Spread




                Business Rule(s)                                                   Definition
 SpreadToBenchmarkOrSwapSpread                                Either a SwapSpread or a SpreadToBenchmark must be
                                                             used, but not both.




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2.2.7.2.1   SpreadToBenchmark
                                                                                     from:ProjectMessageComponents


Indicates the spread details, expressed against a benchmark.



 Message element(s)              Definition                                   Type               Example
 [multiplicity]
 Currency                         Identifies the currency used for the        CurrencyCode
                                 benchmark curve.
                                 Synonyms:220 (FIX Protocol) ,
 CurveName                        Identifies the name of the benchmark        BenchmarkCurveN
                                 curve.                                       ameCode
                                 Synonyms:221 (FIX Protocol) ,
 CurvePoint                       Identifies a point on a benchmark           Max200Text
                                 curve.
                                 Synonyms:222 (FIX Protocol) ,
 PriceOffset                      The price offset is basis points relative   PercentageRate
                                 to benchmark - this can be positive or
                                 negative spread.
                                 Synonyms:218, 423 (value=6) (FIX
                                 Protocol) ,




2.2.7.2.2   SwapSpread
                                                                                     from:ProjectMessageComponents


Indicates the price spread in case of a swap.


 Message element(s)              Definition                                   Type               Example
 [multiplicity]
 PriceOffset                     The targeted spread for a swap               PercentageRate
                                 Synonyms:218 (FIX Protocol) ,




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2.3 IOICancellation

2.3.1 Scope

This message is used to cancel a previously send Indication Of Interest.


2.3.2       Cancellation




2.3.2.1 Cancellation Details



2.3.2.1.1     Cancellation
                                                                                       from:IOICancellation




 Message element(s)              Definition                                Type          Example
 [multiplicity]
 MessageReference                 Reference assigned by the Sender to      Max35Text
                                 unambiguously identify the message.
                                 Synonyms:23 (FIX Protocol) ,
 CancelledMessageReferenc         Reference of the linked message which    Max35Text
 e                               this message is cancelling
                                 Synonyms:26 (FIX Protocol) ,
 TransactionTime[Optional]        Time at which the message is created.    DateTime
                                 Synonyms:60 (FIX Protocol) ,




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3 Project Data Types


3.1 AgencyCode
Representation Type: Code

Definition:


Synonyms: 167 (FIX Protocol),


      Enumerated Value Name (code)                                                        Definition
 FederalAgencyCoupon (FAC)                         Fixed income coupon security issued by a federal agency such as Tennessee Valley Authority
                                                  or a government-sponsored enterprise such as FNMA, FreddieMac.



 FederalAgencyDiscountNote (FADN)                 Fixed income discounted notes issued by a federal agency such as Tennessee Valley
                                                  Authority or a government-sponsored enterprise such as FNMA, FreddieMac.

                                                  Discount notes are unsecured general corporate obligations that are issued at a discount and
                                                  mature at par. The term may be overnight to 360 days. Federal Agency refers to the U.S.
                                                  government sponsored enterprises although private agencies like FNMA and FHLMC also
                                                  issue what is termed Agency Discount Notes. Agency discount notes give institutional and
                                                  retail investors convenient choices with regard to the investment date, maturity date and size
                                                  of their short-term investments. Maturities of discount notes can range from overnight through
                                                  one year.



 PrivateExportFunding (PEF)                        Private capital for financing the export of big ticket items by US firms by purchasing medium
                                                  to long term debt of importers of US products at fixed interest rates.




3.2 Amount
Representation Type: Amount

Definition:

A number of monetary units specified in a currency where the unit of currency is explicit and compliant with ISO
4217.




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Rules/ Constraints
          Rule Name                               Type                                              Value description
 Format                              inv




3.3 BelgianIdentifier
Representation Type: Identifier

Definition:

Refers to the Belgian identification scheme for financial instruments.




3.4 BenchmarkCurveNameCode
Representation Type: Code

Definition:

Identifies the benchmark curve name.

Synonyms: 221 (FIX Protocol),


     Enumerated Value Name (code)                                                           Definition
 MuniAAA (MAAA)                                     A benchmark curve used for municipals based on the best credit rating for municipal market
                                                   debt.



 FutureSWAP (FUSW)                                  The portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures
                                                   and Swap rates. The term usually begins at 3 months to 2 years for the futures strip
                                                   component with the Swaps filling in the points to 10 years and beyond.


 LIBID (LIBI)                                       The rate at which major international banks are willing to take deposits from one another, is
                                                   normally 1/8 percent below LIBOR.

                                                   London InterBank Bid Rate, the rate bid by banks on eurocurrency deposits; the international
                                                   rate that banks lend to other banks.



 LIBOR (LIBO)                                       London Interbank Offered Rate, the interest that major international banks in London charge
                                                   each other for borrowing.


 SWAP (SWAP)                                        In curve construction, Swap is the long portion of the curve constituting about 3 years to 30
                                                   years term.

                                                   The exchange of one security, currency or interest rate for another to change the maturity
                                                   (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.




 Treasury (TREA)                                    Treasury benchmark come in three types, the yield curve, par curve, and the spot curve. All




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                                                   curves also have a constituent time series.


 Euribor (EURI)                                     Euro Interbank Offer Rate is the rate at which euro inter-bank term deposits within the euro
                                                   zone are offered by one prime bank to another prime bank.


 Pfandbriefe (PFAN)                                 A Pfandbriefe security is a collateralized bullet bond backed by either mortgage loans or loans
                                                   to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant
                                                   ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they
                                                   remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign
                                                   bonds are attributable to liquidity and credit quality alone. New indices have been created and
                                                   existing indices have been modified in response to the growing importance of the Pfandbriefe
                                                   market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The
                                                   Pfandbriefe curve is used as a reference for credit as well as mortgage market.




3.5 BICIdentifier
Representation Type: Identifier

Definition:

Bank Identifier Code. A universal method of identifying financial institutions in order to facilitate automated
processing of telecommunication messages in banking and related financial environments.




3.6 BloombergIdentifier
Representation Type: Identifier

Definition:

Bloomberg Identification Scheme




3.7 CorporateCode
Representation Type: Code

Definition:

A bond issued by a private corporation.

Synonyms: 167 (FIX Protocol),


     Enumerated Value Name (code)                                                            Definition
 CorporateBond (CORP)                               Debt obligations issued by private corporations.




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 CorporatePrivatePlacement (CPP)                 The sale of bonds directly to an institutional investor, such as an insurance company.
                                                 Securities are purchased for investment not to be resold to the public.


 ConvertibleBond (CB)                             A bond that may be exchanged into another financial instrument in accordance with the terms
                                                 of the issue.

                                                 Synonym(s):167 (FIX Protocol),
 DualCurrency (DUAL)                             Eurobonds that pay coupon interest in one currency and principal in a different currency.


 IndexedLinked (XLIN)                             A bond issue that is inflation-indexed, where coupon payments are timed to an inflation
                                                 index.

                                                 Refers to a product whose valuation or cash flows is a function of an index. An example
                                                 would be sovereign bonds like US Treasuries or UK Gilts whose coupon rate is adjusted
                                                 periodically as a function of an inflation index. Another example would be equity-linked
                                                 notes.


 StructuredNotes (STRU)                           A note with an embedded derivative. An example would be a synthetic fixed rate note that
                                                 was created by issuing a floating rate note while entering into a "plain vanilla" interest rate
                                                 swap to offset the floating rate payments.

                                                 A derivative investment that will change in value with movements of an underlying index; or a
                                                 note whose issuer makes swap arrangements to alter its required cash flows.

                                                 Financial products that seem to be fixed income instruments, but contain embedded options.
                                                 They do not necessarily reflect the risk of the issuing credit and can be either standard
                                                 products or highly leveraged 'exotic' options. This uniqueness can hide the inherent risk.



 YankeeCorporateBond (YANK)                       Dollar-denominated bonds issued in the US by foreign corporations, banks and sovereigns
                                                 that are sold in the US market. These bonds are usually registered with the SEC. For
                                                 example, bonds issued by originators with roots in Japan are called Samurai bonds.




3.8 CountryCode
Representation Type: Code

Definition:
ISO3166
A code to identify a nation with its own government




3.9 CTAIdentifier
Representation Type: Identifier

Definition:
Consolidated Tape Association Scheme



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3.10 CurrencyCode
Representation Type: enumeration

Definition:
ISO4217
A coded representation of an official medium of exchange. Official codes for currencies are stipulated in the norm
ISO 4217 and regularly updated.




3.11 CurrencyInstrumentCode
Representation Type: Code

Definition:


Synonyms: 167 (FIX Protocol),


      Enumerated Value Name (code)                                                         Definition
 ForeignExchangeContract (FOR)                     A legally binding agreement to buy or sell a commodity (e.g. foreign currency) or financial
                                                  instrument in a designated future month at a price agreed upon today by the buyer and seller.
                                                  Futures contracts are standardized according to the quality, quantity, and delivery time and
                                                  location for each commodity. A future is part of a class of securities called derivatives, so
                                                  named because such securities, derive their value from the worth of an underlying investment.

                                                  Contract for a transaction between two different currencies. These are generally set up to
                                                  minimise currency fluctuation risk.




3.12 CUSIPIdentifier
Representation Type: Identifier

Definition:

Refers to the CUSIP Identification Scheme




3.13 DutchIdentifier


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Representation Type: Identifier

Definition:

Refers to the Dutch Identification scheme for financial instruments




3.14 EquitiesCode
Representation Type: Code

Definition:



Synonyms: 167 (FIX Protocol),


    Enumerated Value Name (code)                                                            Definition
 CommonStock (CS)                                   Units representing equity ownership in a public company. They also give the holder voting
                                                   rights, profits via dividends or capital appreciation.



 PreferredStock (PS)                                Class of capital stock that pays dividends at a specific rate, has preference over common stock
                                                   in divident payments and asset liquidation. The stock does not usually carry voting rights.
                                                   Preferred stock has characteristics of both common stock and debt.




3.15 EuroclearClearstreamIdentifier
Representation Type: Identifier

Definition:

Refers to the Clearstream or Euroclear identification scheme for financial instruments




3.16 FormOfRepresentationCode
Representation Type: Code

Definition:

A representation of a financial instrument.




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     Enumerated Value Name (code)                                                              Definition
 Dematerialized (DMAT)                               Specifies whether a financial instrument exists only as an electronic record
                                                    and for which there is no other document of title representing the ownership.



 Immobilized (IMOB)                                  Specifies whether a financial instrument which is stored centrally and whether the records are
                                                    maintained
                                                    electronically without the need for any physical movement. Bearer instruments.



 Physical (PHYS)                                    Specifies that the financial instrument is in physical form.




3.17 FormOfSecurityCode
Representation Type: Code

Definition:

Form of financial instrument



      Enumerated Value Name (code)                                                             Definition
 Bearer                                             Indicates a bearer financial instrument.

                                                    Synonym(s)::22F::FORM//BEAR (ISO 15022),
 Registered                                         Indicates a registered financial Instrument.

                                                    Synonym(s)::22F::FORM//REGD (ISO 15022),




3.18 FrequencyCode
Representation Type: Code

Definition:

Indicates the periodic or regular cycle of interest payments.

Synonyms: :22F::PFRE (ISO 15022),


     Enumerated Value Name (code)                                                              Definition
 Annual                                             Indicates that the payments takes place every year or once a year.

                                                    Synonym(s)::22F::PFRE//ANNU (ISO 15022),
 Monthly                                            Indicates that the payment takes place every month or once a month.

                                                    Synonym(s)::22F::PFRE//MNTH (ISO 15022),
 Quarterly                                          Indicates that the payment takes place four times a year



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                                               Synonym(s)::22F::PFRE//QUTR (ISO 15022),
 SemiAnnual                                    Indicates that the payment takes place every six months.

                                               Synonym(s)::22F::PFRE//SEMI (ISO 15022),
 Weekly                                        Indicates that the payment takes place every week or once a week

                                               Synonym(s)::22F::PFRE//WEEK (ISO 15022),




3.19 GovernmentBondCode
Representation Type: Code

Definition:



Synonyms: 167 (FIX Protocol),


     Enumerated Value Name (code)                                                        Definition
 BradyBond (BRAD)                               Refers to a series of sovereign bonds issued by several developing countries in exchange for
                                               their rescheduled bank loans.

                                               Defaulted emerging market debt traded at discount.



 USTreasuryBond (TBON)                          Treasury notes and bonds are securities that pay a fixed rate of interest every six months until
                                               the security matures, which is when the investor receives payment for the par value of the
                                               security. Treasury notes mature in more than a year, but not more than 10 years from their
                                               issue date.


 InterestStripFromAny (TINT)                    STRIPS is the acronym for Separate Trading of Registered Interest and Principal of
                                               Securities. The STRIPS program lets investors hold and trade the individual interest TINTS
                                               and/or principal TPRN components of eligible Treasury notes and bonds as separate securities.
                                               STRIPS are also called zero-coupon securities because the only time an investor receives a
                                               payment during the life of a STRIP is when it matures.
                                               The word strip has different nuance in the broader interest rate market.



 TreasuryInflationProtectedSecurities (TIPS)    These are 5, 10 or 30 year US Treasuries for which the interest rate, which is set at auction,
                                               remains fixed throughout the term of the security. The principal amount of the security is
                                               adjusted for inflation, but the inflation-adjusted principal will not be paid until maturity.
                                               Semi-annual interest payments are based on the inflation-adjusted principal at the time the
                                               interest is paid. The index for measuring the inflation rate is the non-seasonally adjusted US
                                               City Average All Items Consumer Price Index for All Urban Consumers (CPI-U), published
                                               monthly by the Bureau of Labour Statistics (BLS). At maturity, the securities will be
                                               redeemed at the greater of their inflation-adjusted principal or par amount at original issue.


 PrincipalStripCallableBond (TCAL)             The principal strip portion of a bond with a call provision (TCAL).


 PrincipalStripNonCallableBond (TPRN)          The principal strip of a bullet bond.


 USTreasuryNote (UST)                          Bonds mature in more than 10 years from their issue date.




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 USTreasuryBill (USTB)                              Treasury Bills (or T-Bills) are short-term securities that mature in one year or less from their
                                                   issue date. T-bills are sold at a price less than their par (face) value. Upon maturity the
                                                   investor receives the security's par value. The interest payment is the difference between the
                                                   investor's purchase price of the security and the price paid to the investor at maturity (or price
                                                   paid if the security is sold before maturity).




3.20 InterestComputationMethodCode
Representation Type: Code

Definition:

Identifies the computation method of accrued interest of the related financial instrument.

Synonyms: :22F::MICO (ISO 15022),


      Enumerated Value Name (code)                                                           Definition
 ic30360                                            Indicates that the method of interest computation which is used, is 30/360.

                                                   Synonym(s)::22F::MICO//A001 (ISO 15022),
 ic30365                                           Indicates that the method of interest computation which is used, is 30/365.

                                                   Synonym(s)::22F::MICO//A002 (ISO 15022),
 ic30Actual                                        Indicates that the method of interest computation which is used, is 30/Actual

                                                   Synonym(s)::22F::MICO//A003 (ISO 15022),
 Actual360                                         Indicates that the method of interest computation which is used, is Actual/360.

                                                   Synonym(s)::22F::MICO//A004 (ISO 15022),
 Actual365                                         Indicates that the method of interest computation which is used, is Actual/365.

                                                   Synonym(s)::22F::MICO//A005 (ISO 15022),
 ActualActual                                      Indicates that the method of interest computation which is used, is Actual/Actual or 1/1.

                                                   Synonym(s)::22F::MICO//A006 (ISO 15022),
 EuroBondBasis                                      Indicates that the method of interest computation which is used, is 30E/365 or Eurobond
                                                   basis..

                                                   Synonym(s)::22F::MICO//A007 (ISO 15022),
 ActualM                                           Indicates that the method of interest computation which is used, is Actual/M

                                                   Synonym(s)::22F::MICO//A008 (ISO 15022),
 Actual365L                                        Indicates that the method of interest computation which is used, is Actual/365L

                                                   Synonym(s)::22F::MICO//A009 (ISO 15022),




3.21 IOISideTypeCode
Representation Type: Code




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Definition:

Indicates the side of the indication.

Synonyms: 54 (FIX Protocol),


      Enumerated Value Name (code)                                                             Definition
 Buy (BUY)                                         Indicates that side of indication of interest is buy.

                                                   Synonym(s):54 (FIX Protocol),
 Sell (SELL)                                       Indicates that side of indication of interest is sell.

                                                   Synonym(s):54 (FIX Protocol),
 Undisclosed (UNDI)                                Indicates that side of indication of interest is undisclosed.

                                                   Synonym(s):54 (FIX Protocol),




3.22 IOITypeCode
Representation Type: Code

Definition:

Qualifies the use of the indication of interest.

Synonyms: 104 (FIX Protocol),


      Enumerated Value Name (code)                                                             Definition
 AllOrNone (ALNO)                                   A limit order that is to be executed in its entirety or not at all (no partial transaction), and thus
                                                   is testing the strength/conviction of the counterparty. Unlike an FOK order, an AON order is
                                                   not to be treated as cancelled if not executed as soon as it is represented in the trading crowd.
                                                   Instead it remains alive until executed or cancelled. The making of "all or none" bids or offers
                                                   in stocks is prohibited, and the making of "all or none" bids or offers in bonds is subject to the
                                                   restrictions of Rule 61.

                                                   Synonym(s)::22a::TOOR//ALNO (ISO15022),
 MarketOnClose (MOC)                               An order to trade stocks, options, or futures as close as possible to the market close.



 AtClose (CLOS)                                     An all or none market order that is to be executed at the closing price of the security on the
                                                   exchange. If the execution cannot be made under this condition, the order is to be treated as
                                                   cancelled.

                                                   Note that this attribute does not apply to trading of fixed income securities.


                                                   Synonym(s)::22a::TILI//CLOS (ISO15022),
 VolumeWeightedAvgPrice (VWAP)                      A trading benchmark particularly used in pension plans. Calculated by adding up the dollars
                                                   traded for every transaction (price times shares traded) and then dividing by the total shares
                                                   traded for the day for the particular security.


 InTouchWith (ITOW)                                 Having a sell inquiry in a security (not a firm customer sell order), often entailing a capital
                                                   commitment.




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 Limit (LIMI)                                 An order to buy a stock at or below a specified price, or to sell a stock at or above a specified
                                             price. The customer specifies a price, and the order can be executed only if the market reaches
                                             or betters that price. A conditional trading order designed to avoid the danger of adverse
                                             unexpected price movements.

                                             Synonym(s)::22a:TOOR//LMTO (ISO15022),
 MoreBehind (MOBH)                            More security exists to be bought or sold by the same buyer or seller, respectively. Often, the
                                             buyer or seller does not disclose the full size of his buy or sell interest as not to affect the
                                             market adversely.

                                             Information that the execution is taking place in waves/iceberg.


 AtOpen (OPEN)                                An order that is to be executed at the opening (and corresponding price) of the security or not
                                             at all, and any such order or portion thereof not executed is to be treated as cancelled.

                                             Synonym(s)::22a::TILI//OPEN (ISO15022),
 TakingPosition (POSI)                       A market commitment to purchase or sell securities.


 AtMarket (MAKT)                              An order to buy or sell a security at the most advantageous price obtainable after the order is
                                             represented in the trading crowd. Other special restrictions, such as all or none (AON) or
                                             good 'til cancelled (GTC), cannot be specified on a market order.

                                             Synonym(s)::22a::TOOR//MAKT (ISO15022),
 ReadyToTrade (RTRA)                         All of the information necessary to generate an order is present and is considered an offer.


 PortfolioShown (POSH)                       A collection of investments, real and/or financial, with distribution by geographic region or by
                                             asset type of the portfolio‟s holdings.


 ThroughDay (TDAY)                            Working the order through the day


 Versus (VERS)                               Context: IOI Type/Qualifier

                                             “versus currrent quote”



 WorkingAway (AWAY)                           Transacting with another broker/dealer.


 Crossing (CROS)                              Securities transaction in which the same broker acts as agent for both sides of the trade; a
                                             legal practice only if the broker first offers the securities publicly at a price higher than the bid.


 AtMidpoint (MIDP)                            An all or none market order that is to be executed at the mid price spread of the security on
                                             the exchange. If the execution cannot be made under this condition, the order is to be treated
                                             as cancelled.


 PreOpen (PREO)                              Price of security prior to market open.




3.23 ISINIdentifier
Representation Type: Identifier



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Definition:

International Securities Identifier Number




3.24 ISODate
Representation Type: DateTime

Definition:

A day within a particular calendar year represented by CCYY-MM-DD (ISO8601)




3.25 ISODateTime
Representation Type: DateTime

Definition:

A particular point in the progression of time specified with an indication of the year, month, day, hour, minute and
second using the ISO 8601 format.




3.26 ISOYearMonth
Representation Type: DateTime

Definition:

Represents a specific gregorian month in a specific gregorian year. The value space of gYearMonth is the set of
Gregorian calendar months. Specifically, it is a set of one-month long, non-periodic instances e.g. 1999-10 to
represent the whole month of 1999-10, independent of how many days this month has.




3.27 LegalRestrictionsCode
Representation Type: Code

Definition:

Specifies regulatory restrictions applicable to the financial instrument traded.




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Synonyms: :22F::REST (ISO 15022),


     Enumerated Value Name (code)                                                      Definition
 USLegal144A                                  An unregistered financial instrument issued pursuant to US legal restrictions 144A.

                                             Synonym(s)::22F::REST//144A (ISO 15022),
 NoRestrictions                              Ownership or transfer of the financial instrument is not subject to restrictions.

                                             Synonym(s):22F::REST//NRST (ISO 15022),
 Restrictions                                 Ownership or transfer of the financial instrumentsecurity is subject to restrictions (not
                                             pursuant to 144A).

                                             Synonym(s)::22F::REST//RSTR (ISO 15022),




3.28 LoanCode
Representation Type: Code

Definition:



Synonyms: 167 (FIX Protocol),


     Enumerated Value Name (code)                                                      Definition
 TermLoan (TERM)                              A business loan usually fixed or variable for an extended term up to 10 years. A term loan
                                             generally provides for an agreed upon payment schedule, and amounts paid on a term loan
                                             generally cannot be re-borrowed.



 RevolverLoan (RVLV)                          A revolver loan allows the borrower to borrow, repay, and re-borrow as needed over the life
                                             of the loan facility.


 RevolverTermLoan (RTLV)                      The outstanding loan amount in a revolving loan facility may fluctuate on a daily basis. A
                                             revolver allows the borrower to borrow, repay, and re-borrow as needed over the life of the
                                             loan facility.


 BridgeLoan (BRID)                            Interim financing used to solidify a position until permanent financing is secured. Also called
                                             a swing loan.


 LetterOfCredit (LOFC)                        An instrument issued by a bank substituting its name and credit standing for that of its
                                             customer. It is a written undertaking of a
                                             bank, issued for the account of a customer (the applicant), to honour a demand for payment
                                             upon the beneficiary‟s
                                             compliance with the specified terms and conditions set forth in the undertaking.


 SwingLineFacility (SWIN)                     A credit facility that allows the borrower to bridge time gaps that might occur due to
                                             switching the loan from domestic borrowing to international borrowing (or vice versa), or
                                             switching the type of loan.


 DebtorInPossession (DINP)                    A firm that continues to operate under the Chapter 11 bankruptcy policy.




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 DefaultedLoan (DFLT)                             Failure to make timely payment of interest or principal on a debt security.


 WithdrawnLoan (WITH)                             The loan that is disbursed against a security.


 ReplacedLoan (REPL)                              The loan that has been paid (or replaced) by a new loan.


 MaturedLoan (MATU)                               Outstanding debt instrument that has reached final maturity and can no longer earn interest.


 AmendedRestatedLoan (AMEN)                       The loan agreement that results after restructuring of an existing one into a new one.


 RetiredLoan (RETR)                               A loan that is no longer performing.




3.29 Max16Text
Representation Type: Text

Definition:

Specifies a character string with a maximum length of 16 characters.




3.30 Max200Text
Representation Type: Text

Definition:

Specifies a character string with a maximum length of 200 characters.




3.31 Max30Text
Representation Type: Text

Definition:

Specifies a character string with a maximum length of 30 characters.




3.32 Max35Text



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Representation Type: Text

Definition:

Specifies a character string with a maximum length of 35 characters.




3.33 Max6Text
Representation Type: Text

Definition:

Specifies a character string with a maximum length of 6 characters.




3.34 MICIdentifier
Representation Type: Identifier

Definition:

Market Identifier Code




3.35 MiscellaneousCode
Representation Type: Code

Definition:



Synonyms: 167 (FIX Protocol),


     Enumerated Value Name (code)                                                        Definition
 NoSecurityType (NONE)                             No security type specified.



 MutualFund (MF)                                   An investment fund operated by an investment company.

                                                  Mutual funds are pools of money that are managed by an investment company. They offer
                                                  investors a variety of goals, depending on the fund and its investment charter.

                                                  Investment product primarily aimed at retail investors. Has started to replace traditional
                                                  savings instruments and risky individual punts in stock market. The named mutual fund would
                                                  have ecomonically packaged financial management for smaller amounts. Also known as unit



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                                             trusts.



 MultiLeg (MLEG)                              Refers to a derivative security or strategy where the "deal" is composed of constituent
                                             securities yet are to be thought of as one deal or transaction. A Bond Swap a straddle or
                                             strangle are examples of multileg deals. A more common asset, which is multileg by
                                             definition, is a Currency or Interest Rate Swap. Some deals can have more than one leg like a
                                             Butterfly Spread.




3.36 MoneyMarketInstrumentCode
Representation Type: Code

Definition:



Synonyms: 167 (FIX Protocol),


     Enumerated Value Name (code)                                                      Definition
 BankersAcceptance (BA)                       Time draft drawn on and accepted by a bank, the customary means of effecting payment for
                                             merchandise sold in import-export transactions and a source of financing used extensively in
                                             international trade. With the credit strength of a bank behind it, the banker's acceptance
                                             usually qualifies as a Money Market instrument. The liability assumed by the bank is called its
                                             acceptance liability.



 BankNotes (BN)                               Securities that are exempt from registration under section 3(a)2 of the Securities Act 1933 and
                                             that have characteristics in common with CD's, medium term notes (MTNs) and short-term
                                             bonds.


 BillOfExchange (BOX)                         A written order from one party (the drawer) to another (the drawee) to pay a specified sum on
                                             demand or on a specified date to the drawer or to a third party specified by the drawer. Also
                                             called a draft.


 CertificateOfDeposit (CD)                   Certificate issued by bank or thrift that indicates a specified sum of money deposited.
                                             Certificate has a maturity date and a specified interest rate.


 CallLoan (CL)                                A loan repayable on demand. AKA "broker loan".


 CommercialPaper (CP)                         Short term unsecured promissory note issued by a corporation. The maturity is typically less
                                             than 270 days, most common maturity range is 30 to 50 days or less. Usually issued at a
                                             discount but some are interest-bearing.


 DepositNote (DN)                             Issued by banks, a deposit note is a savings instrument with a fixed interest rate paid on a
                                             monthly basis generally. It has an optional call provision and is insured by the Federal Deposit
                                             Insurance Corporation (for U.S). Sometimes referred to as CDs (Certificate of Deposit), it has
                                             a maturity date.


 LiquidityNote (LQN)                         A note that is easily and cheaply converted to cash, i.e. cash itself and short-term products.



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 MediumTermNote (MTN)                         Highly flexible debt instruments that can be easily structured in response to changing market
                                             conditions and investor tastes. Can have maturity ranging from 9 months to 30 years or
                                             longer. Typically they are non-callable, unsecured, senior debt with fixed-coupon rates that
                                             carry an investment grade credit rating.

                                             A corporate debt instrument that is continuously offered to investors over a period of time by
                                             an agent of the issuer.



 OvernightDeposit (OVNT)                      Unsecured offshore eurodollar deposits usually to a branch of a domestic bank. Used by
                                             corporations for depositing cash flows overnight.

                                             A facility to place short-term surplus fund with a bank (generally Central Banks) at the end of
                                             the day and earn interest. The rate provides the floor for short-term money market rates. Due
                                             to a large minimum banks offer overnight deposits primarily to large clients.


 PromissoryNote (PN)                          A written promise committing the maker to pay the payee a specified sum of money either on
                                             demand or at a fixed
                                             determinable future date, with or without interest. Instruments meeting this criteria are
                                             negotiable.


 RepurchaseAgreement (RP)                     An agreement with a commitment by the seller (dealer) to buy a security back from the
                                             purchaser (customer) at a specified price at a designated future date. Also called a repo, it
                                             represents a collateralized short-term loan for which, where the collateral may be a Treasury
                                             security, money market instrument, federal agency security, or mortgage-backed security.


 ReverseRepurchaseAgreement (RVRP)            Similar to a RepurchaseAgreement, but from the purchaser's (customer's) perspective, the deal
                                             is reported as a reverse repo.

                                             Opposite side of a repo. Reverse repos offer the holders of fixed income securities a means of
                                             absorbing reserves temporarily by selling securities under an agreement subsequently to
                                             repurchase them. Offers the customer of the transaction the security as collateral to the loan.


 ShortTermLoanNote (STN)                      A note, whose term is usually less than a year, but can be as long as 2 years.


 TimeDeposit (TD)                             A loan that accrues interest for a pre-set time like a bank savings account or CD.

                                             Money invested for a fixed period, earning an attractive return. Generally offered with a range
                                             of investment amounts, maturities and interest payment dates.


 ExtendedCommercialNote (XCN)                 A Commercial note is an unsecured commitment issued by a corporation to finance it's short-
                                             term credit needs, with maturity dates being as short as two days or extending to a year.
                                             Extended CNs are those with maturity dates extended to beyond the committed dates.




3.37 MortgageCode
Representation Type: Code

Definition:



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Synonyms: 167 (FIX Protocol),


     Enumerated Value Name (code)                                                      Definition
 AgencyPools (POOL)                           A collection of mortgages that has been securitized and shares or participation certificates in
                                             the pool is sold to investors (mortgage pass-throughs)

                                             In order to securitize loans and attenuate risk in the mortgage market a security created when
                                             one or more mortgage holders form a collection (pool) of mortgages and sells shares or
                                             participation certificates in the pool. The cash flow from the collateral pool is "passed
                                             through" to the security holder as monthly payments of principal, interest, and prepayments.
                                             This is the predominant type of MBS traded in the secondary market.




 AssetBackedSecurities (ABS)                  Security that is collateralized by loans, leases, or installment contracts on personal property,
                                             but not real estate. Usually receivables such as credit card receivables, home-equity loans,
                                             manufactured homes loans, and automobile loans.


 CollateralizedMortgageSecurities (CMO)       A security backed by a pool of pass-throughs or a pool of mortgage loans


 CorporateMortgageBackedSecurities            An MBS whose cash flows is backed by major property mortgages, such as office space,
 (CMBS)                                      retail property, industrial facilities, multifamily housing and hotels. Also called commercial
                                             mortgage-backed securities.


 IOETTEMortgage (IET)                         An interest only (IO) tranche in a CMO (Collateralized Mortgage Obligation).


 MortgageBackedSecurities (MBS)              "An instrument whose cash flow depends on the cash flows of an underlying pool of
                                             mortgages." [Fabozzi]. MBS are usually residential mortgages.


 MortgageInterestOnly (MIO)                  A security whose cash flow is from the interest payments from the underlying collateral (i.e.
                                             CMO's Interest-only strip or tranch).

                                             A security based solely on the interest component from a pool of mortgages, or other bonds.
                                             Once the principal on the mortgages or bonds has been repaid, interest payments stop, and the
                                             value of the IO falls to zero.



 MortgagePrincipalOnly (MPO)                 A security whose cash flow is from the principal payments from the underlying collateral (i.e.
                                             CMO's Principal-only strip or tranch).

                                             A mortgage-backed security (MBS ) whose holder receives only principal cash flows on the
                                             underlying mortgage pool. All the principal distribution due from the underlying collateral
                                             pool is paid to the registered holder of the stripped MBS on the basis of the current face value
                                             of the underlying collateral pool.



 MortgagePrivatePlacement (MPP)               A contract between a lender, usually an S&L association, bank, etc., and a property owner,
                                             that provides a loan that defines the property as collateral. Involves the issuance of a security
                                             to a group of not more than 35 investors.


 MiscellaneousPassThrough (MPT)               Also called a passthrough, a security created when one or more mortgage holders form a
                                             collection (pool) of mortgages and sells shares or participation certificates in the pool. The
                                             cash flow from the collateral pool is "passed through" to the security holder as monthly
                                             payments of principal, interest, and prepayments. This is the predominant type of MBS traded
                                             in the secondary market.




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 ToBeAnnounced (TBA)                          A contract for the purchase or sale of an MBS to be delivered at an agreed-upon future date
                                             but does not include a specified pool number and number of pools or precise amount to be
                                             delivered.




3.38 MunicipalCode
Representation Type: Code

Definition:



Synonyms: 167 (FIX Protocol),


      Enumerated Value Name (code)                                                      Definition
 OtherAnticipationNotes (AN)                 Anticipation Notes other than , TANs, BANs or RAN, such as Grants and Education Notes.



 CertificateOfObligation (COFO)               Long term debt issued by a city.


 CertificateOfParticipation (COFP)            COPs are a structure where investors buy certificates that entitle them to receive a
                                             participation, or share, in the lease payments from a particular project. The lease payments are
                                             passed through the lessor to the certificate holders with the tax advantages intact. The lessor
                                             typically assigns the lease and lease payments to a trustee, which then distributes the lease
                                             payments to the certificate holders.


 GeneralObligationBonds (GO)                  Municipal securities secured by the issuer's pledge of its full faith, credit, and taxing power.


 MandatoryTender (MT)                         Sinking fund feature.


 RevenueAnticipationNote (RAN)                RANs are issued in anticipation of other sources of future revenue other than taxes. This may
                                             include intergovernmental aid. Interest are usually tax-free to the security holder.


 RevenueBonds (REV)                           A bond issued by a municipality to finance either a project or an enterprise in which the issuer
                                             pledges to the bondholders that the debt service is payable solely by the revenues generated by
                                             the operation of the projects financed or a category of facilities or from other non-tax source.


 SpecialAssessment (SPCA)                     A municipal bond with interest paid by the taxes of the community benefiting from the bond-
                                             funded project.


 SpecialObligation (SPCO)                    A municipal bond with interest paid by the taxes of the community benefiting from the bond-
                                             funded project.


 SpecialTax (SPCT)                            A bond secured by a special tax, such as a gasoline tax or other excise tax.


 TaxAnticipationNote (TAN)                    TANs are issued by states or municipalities to finance current operations in anticipation of




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                                                    future tax receipts.


 TaxAllocation (TAXA)                                Notes which are payable with a collection of taxes that has been earmarked for repayment of
                                                    the notes.


 TaxExemptCommercialPaper (TECP)                     TECP or TXCP. A short-term promissory note issued for periods of up to 270 days is often
                                                    used in lieu of fixed-rate BNAs, TANs, and RANs because of the greater flexibility offered in
                                                    setting both maturities and determining rates. The purpose for issuing TECP or TXCP can be
                                                    the same as BANs, TANs, and RANs.

                                                    A bond usually issued by municipal, county, or state governments whose interest payments are
                                                    not subject to federal and, in some cases, state and local income tax.


 TaxRevenueAnticipationNote (TRAN)                  TRANs are issued in anticipation of future collection of taxes or other expected revenues.
                                                    According to Fabozzi, these are the same as TANs and RANs.


 VariableRateDemandNote (VRDN)                       VRDN is a bond that bears interest at a variable or floating rate established at specified
                                                    intervals (e.g. flexible, daily, weekly, monthly, or annually). It contains a put option
                                                    permitting the bondholder to tender the bond for purchase when a new interest rate is
                                                    established. VRDNs are also referred to as VRDO (variable-rate demand obligation) or
                                                    VRDB (variable-rate demand bond) or low-floaters.


 Warrant (WAR)                                       A warrant is the right to buy a specified amount of shares at a predetermined price at a pre-
                                                    determined time. Warrants are like call options, but with much longer time spans-sometimes
                                                    years. And, warrants are offered by corporations, while exchange-traded call options are not
                                                    issued by firms.




3.39 NumberType
Representation Type: Text

Definition:

Contains a string of characters between 0 and 999




3.40 OptionStyleCode
Representation Type: Code

Definition:

Defines how an option can be exercised

Synonyms: :12a::OPST (ISO 15022),




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     Enumerated Value Name (code)                                                              Definition
 American                                             The option can be exercised before or on expiry date

                                                     Synonym(s)::12a::OPST//AMER (ISO 15022),
 European                                            The option can be exercised on expiry date only.

                                                     Synonym(s)::12a::OPST//EURO (ISO 15022),
 Bermudan                                            The option can be exercised on multiple discrete dates prior to, or on expiry date




3.41 OptionTypeCode
Representation Type: Code

Definition:

Indicates whether it is a Call option (right to purchase a specific underlying asset) or a Put option (right to sell a
specific underlying asset).

Synonyms: :12a::OPTI (ISO 15022),


        Enumerated Value Name (code)                                                           Definition
 Call                                                 A right to buy a defined quantity of an asset by a certain date for an agreed price

                                                     Synonym(s)::12a::OPTI//CALL (ISO 15022),
 Put                                                 A right to sell a defined quantity of an asset by a certain date for an agreed price

                                                     Synonym(s)::12a::OPTI//PUTO (ISO 15022),




3.42 PaymentIndicator
Representation Type: Indicator

Definition:
True = Free
False = Against Payment
Indicates whether the transaction is free or against payment.




3.43 PaymentStatusCode



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Representation Type: Code

Definition:

Indicates the state of the payment of a security at a particular time.

Synonyms: :22F::PAYS (ISO 15022),


      Enumerated Value Name (code)                                                             Definition
 FullyPaid                                           The financial instrument is fully paid.

                                                     Synonym(s)::22F::PAYS//FULL (ISO 15022),
 NillPaid                                            The financial instrument is nill paid

                                                     Synonym(s)::22F::PAYS//NILL (ISO 15022),
 PartiallyPaid                                       The financial instrument is partially paid

                                                     Synonym(s)::22F::PAYS//PART (ISO 15022),




3.44 PercentageRate
Representation Type: Rate

Definition:
Base 100
A rate expressed in hundredths between two values that have the same unit of measure.




3.45 PreferenceToIncomeCode
Representation Type: Code

Definition:

Indicates the level of priority to claim on income and assets of
the company in case of the payment of dividends and in the event of a bankruptcy, eg, ordinary/common stocks,
preferred stocks, subordinated debt, etc.


Synonyms: :22F::PREF (ISO 15022),


      Enumerated Value Name (code)                                                             Definition
 Ordinary                                            Indicates an ordinary/common preference to income.

                                                     Synonym(s)::22F::PREF//ORDN (ISO 15022),
 Preferred                                           Indicates a preferred claim upon income and assets.




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                                                      Synonym(s)::22F::PREF//PFRD (ISO 15022),




3.46 PriceValueTypeCode
Representation Type: Code

Definition:

Indicates a type of percentage, i.e. a price expressed as a relative price




      Enumerated Value Name (code)                                                              Definition
 Discount                                              A price expressed as a number of percentage points below par, eg, a discount price of 2.0%
                                                      equals a price of 98 when par is 100.

                                                      Synonym(s):DISC (ISO 15022),
 Premium                                               A price expressed as a number of percentage points above par, eg, a premium price of 2.0%
                                                      equals a price of 102 when par is 100.

                                                      Synonym(s):PREM (ISO 15022),
 PercentageOfPar                                      A price expressed as a percentage of par.

                                                      Synonym(s):YIEL (ISO 15022),
 Yield                                                Indicates the price is expressed as a yield




3.47 QualityIndicationCode
Representation Type: Code

Definition:

Indicates the relative quality of the indication of interest.

Synonyms: 25 (FIX Protocol),


      Enumerated Value Name (code)                                                              Definition
 Low (LOW)                                             Low quality.

                                                      Synonym(s):25 (FIX Protocol),
 Medium (MED)                                         Medium quality.

                                                      Synonym(s):25 (FIX Protocol),
 High (HIGH)                                          High quality as understood by the trading parties

                                                      Synonym(s):25 (FIX Protocol),




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3.48 Quantity
Representation Type: Quantity

Definition:

A number of non-monetary units




3.49 QUICKIdentifier
Representation Type: Identifier

Definition:

Refers to the Japanese QUICK identification scheme for financial instruments




3.50 RatingValueIdentifier
Representation Type: Identifier

Definition:

Identifies the rating values that may be assigned to a security by a rating
agency.




3.51 RelativeSizeCode
Representation Type: Code

Definition:

A type of quantity of financial instrument expressed in a relative size.

Synonyms: 27 (FIX Protocol),


      Enumerated Value Name (code)                                                  Definition
 Small (SMAL)                                        The relative size is small.

                                                    Synonym(s):27 (FIX Protocol),



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 Medium (MED)                                    The relative size is medium.

                                                Synonym(s):27 (FIX Protocol),
 Large (LARG)                                   The relative size is large.

                                                Synonym(s):27 (FIX Protocol),




3.52 RICIdentifier
Representation Type: Identifier

Definition:

REUTERS Identification Code




3.53 SEDOLIdentifier
Representation Type: Identifier

Definition:

Refers to the SEDOL Identification Scheme




3.54 SicovamIdentifier
Representation Type: Identifier

Definition:

Refers to the French identification scheme for financial instruments (SICOVAM)




3.55 TickerIdentifier
Representation Type: Identifier

Definition:

Ticker Symbol




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3.56 TrueFalseIndicator
Representation Type: Indicator

Definition:
MeaningWhenTrue: True
MeaningWhenFalse: False
A flag indicating either True or False.




3.57 ValorenIdentifier
Representation Type: Identifier

Definition:

Refers the Swiss identification scheme for financial instruments (VALOREN).




3.58 WertpapierIdentifier
Representation Type: Identifier

Definition:

Refers to the German Identification schem for financial instruments (Wertpapier)




3.59 YesNoIndicator
Representation Type: Indicator

Definition:
MeaningWhenTrue = Yes
MeaningWhenFalse = No
A flag meaning either Yes or No




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4 Indication Of Interest XML Example
?xml version = "1.0" encoding = "UTF-8"?>
<IndicationOfInterest xmlns = "urn:iso:xsd:$IndicationOfInterest" xmlns:xsi =
"http://www.w3.org/2000/10/XMLSchema-instance" xsi:schemaLocation = "urn:iso:xsd:$IndicationOfInterest
file:///D:/MyData/Next%20Generation/SecuritiesPreTrade/31March2002/%24IndicationOfInterest.xsd">
           <MessageReference>FFR3443888</MessageReference>
           <FinancialInstrument>
                    <FinancialInstrumentDetails>
                             <FormOfRepresentation>DMAT</FormOfRepresentation>
                             <FormOfSecurities>Bearer</FormOfSecurities>
                             <LegalRestriction>USLegal144A</LegalRestriction>
                             <IssueDate/>
                             <ProductType>
                                      <EquitiesCode>CS</EquitiesCode>
                             </ProductType>
                             <PrimaryPlaceOfOfficialListing>XLON</PrimaryPlaceOfOfficialListing>
                    </FinancialInstrumentDetails>
                    <FinancialInstrumentSymbol>
                             <ISIN>GB2200376500</ISIN>
                             <AlternateSymbol>
                                      <ID>22003765</ID>
                                      <DomesticIDSource>GB</DomesticIDSource>
                             </AlternateSymbol>
                    </FinancialInstrumentSymbol>
           </FinancialInstrument>
           <IndicationOfInterestDetails>
                    <Side>BUY</Side>
                    <Price>
                             <TradePrice>
                                      <Rate>8.0</Rate>
                             </TradePrice>
                    </Price>
                    <ExpiryDateTime/>
                    <QualityIndication>LOW</QualityIndication>
                    <NaturalIndication>true</NaturalIndication>
                    <LinkedURLAddress/>
                    <Quantity>
                             <Unit>1500.0</Unit>
                    </Quantity>
           </IndicationOfInterestDetails>
           <Targeting>
                    <List>UK List</List>
           </Targeting>
           <Blocking>
                    <List>NONE</List>
                    <Firm>XMAS</Firm>
           </Blocking>
           <SpreadToBenchmark>
                    <Currency/>
                    <CurveName>LIBO</CurveName>
                    <CurvePoint>1Month-Old</CurvePoint>
                    <PriceOffset>1.5</PriceOffset>
           </SpreadToBenchmark>



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</IndicationOfInterest>


5 Cancellation XML Example
<?xml version = "1.0" encoding = "UTF-8"?>
<!--Generated by XML Authority. Conforms to w3c
http://www.w3.org/2000/10/XMLSchema-->
<xsd:schema xmlns = "urn:iso:xsd:$Cancellation"
       targetNamespace = "urn:iso:xsd:$Cancellation"
       xmlns:xs = "http://www.w3.org/2001/XMLSchema"
       xmlns:xsd = "http://www.w3.org/2000/10/XMLSchema"
       elementFormDefault = "qualified">
      <xsd:import namespace = "http://www.w3.org/2001/XMLSchema"/>
      <!--Schema version 2.2 - Generated by SWIFTStandards Workstation
(build:R2.2.1.1) on Mar 28 18:48:58-->

      <xsd:element name = "Document" type = "Document"/>
      <xsd:complexType name = "Document">
            <xsd:sequence>
                  <xsd:element name = "Cancellation" type = "Cancellation"/>
            </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name = "Cancellation">
            <xsd:sequence>
                  <xsd:element name = "MessageReference" type = "Max35Text"/>
                  <xsd:element name = "CancelledMessageReference" type =
"Max35Text"/>
                  <xsd:element name = "TransactionTime" type =
"xsd:timeInstant" minOccurs = "0"/>
            </xsd:sequence>
      </xsd:complexType>
      <xsd:simpleType name = "Max35Text">
            <xsd:restriction base = "xsd:string">
                  <xsd:maxLength value = "35"/>
            </xsd:restriction>
      </xsd:simpleType>
</xsd:schema>




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