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Scenario

Scenario. FPL Breakfast Briefing January 2005 Alvin Mullan UBS. Introduction. FIX enables detection of potential settlement failures earlier. 1. Commissions on FIX ERs. 2. NetMonies & AvgPx on FIX Allocations. 3. Better handling of multiple listing stocks.

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Scenario

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  1. Scenario FPL Breakfast Briefing January 2005 Alvin Mullan UBS

  2. Introduction • FIX enables detection of potential settlement failures earlier • 1. Commissions on FIX ERs • 2. NetMonies & AvgPx on FIX Allocations • 3. Better handling of multiple listing stocks • Does not consider the central matching option www.fixprotocol.org

  3. Order for 1000 Lukoil, to be “waved” FIX New Order single Sellside Buyside ClOrdID1, OrdQty=600, Buy FIX Execution Report MATCH? ClOrdID1, OrderID10, Comm=8bp FIX New Order single ClOrdID2, OrdQty=400, Buy FIX Execution Report MATCH? ClOrdID2, OrderID11, Comm=8bp 1. Commission: FIX ERs • Notes: • Match Commission supplied on ER • Merge more than 1 order in a single Allocation www.fixprotocol.org

  4. Order for 1000 Lukoil, to be “waved” FIX Allocation Instruction Sellside Buyside AllocID9, ClOrdID1, ClOrdID2, OrdQty=1000, Buy,AvgPx, NetMonies, + Splits FIX Confirmation AllocID9, Account1, SSI*2 AllocID9, Account2, SSI*2 AllocID9, Account3, SSI*2 2. NetMonies & AvgPx: FIX Allocation MATCH? • Splits in Model 2: • Account1, Custodian=ABC • Account2 • Account3 • Splits in Model 1: • Account1, PSET=EuroClear, AgentsAccNumber=C • Account2, ditto • Account3, ditto • Notes: • Sell side matches NetMonies & AvgPx • Both SSIs on Confirmation www.fixprotocol.org

  5. 3. Multiple listings • ISN = US6778621044 (Lukoil) • RIC=LUKOY.PK, Sedol=2537432, “144a” line • RIC=LKOHy.F, Sedol=5060388 • RIC=LKOHyq.L, Sedol=3189876, “RegS” line • ISN = FI0009000681 (Nokia) • RIC=NOKIV.HE, Sedol=5902941 • RIC=NOKIV.AS, Sedol=5945418 • RIC=NOKIV.F, Sedol=5946154 • RIX=NOKBF.PK, Sedol=B02G9J7 • ISN = ES0177040013 (Altadis) • RIC=ALT.MC, Sedol=5444012 • RIC=ALDS.PA, Sedol=5843114 • RIC=,ALTDF.PK, Sedol= B02T9V8 • In Altadis, settlement failure may need actual market trades to correct www.fixprotocol.org

  6. Settlement of multiple listings: EC v DTC • Client selling, broker expecting to deliver to EC. Settles OK. • But in this case one of the client funds had holding in DTC • Settlement failure!E.g. Lukoil, broker has to do physical switch from the 144a to RegS to honour market commitment www.fixprotocol.org

  7. Model 1: EC v DTC • Buyside is involved in Settlement/SSIs • Option 1: Actively manage holdings into same location/depot at custodian • Option 2: Send Allocation with 2 PSETS600 deliver to EC400 deliver to DTC • Option 3: Send 2 orders: Sell 600 LUKOY.PK, 400 LKOHyq.L www.fixprotocol.org

  8. Model 2: EC v DTC • Buyside has stepped out of Settlement process/SSIs • Option 1: Broker applies default for the Global Custodian.- Custodian needs a process to switch stock between depot (DTC to EC). • Option 2: Broker queries Custodian for multiple listing stocks to determine where delivery is to be.- On client buys, broker would still use default per Global Custodian • Option 3: Client sends 2 orders from known holdings: Sell 600 LUKOY.PK, 400 LKOHyq.L- Broker delivers according to default per Global Custodian www.fixprotocol.org

  9. And there’s more? • Out of hours trading for EU Client for US domiciled fund • Other? www.fixprotocol.org

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