fpl allocations breakfast briefing towards a new stp model n.
Download
Skip this Video
Loading SlideShow in 5 Seconds..
FPL Allocations Breakfast Briefing: Towards a new STP Model PowerPoint Presentation
Download Presentation
FPL Allocations Breakfast Briefing: Towards a new STP Model

Loading in 2 Seconds...

play fullscreen
1 / 33

FPL Allocations Breakfast Briefing: Towards a new STP Model - PowerPoint PPT Presentation


  • 94 Views
  • Uploaded on

FPL Allocations Breakfast Briefing: Towards a new STP Model. Sponsored by:. 25 January 2005. FIX Allocation & Confirmations. Jim Kaye Goldman Sachs. FIX – A Quick Background. What is it? Industry-owned messaging protocol 10 years old

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'FPL Allocations Breakfast Briefing: Towards a new STP Model' - raphael-yang


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
fix allocation confirmations

FIX Allocation & Confirmations

Jim Kaye

Goldman Sachs

slide3

FIX – A Quick Background

  • What is it?
    • Industry-owned messaging protocol
    • 10 years old
    • De facto industry standard for front office communications
    • Used by hundreds of market participants
  • How does it work?
    • Defined messages using tag-value pairs
    • Can be transmitted over any IP network (including the internet)
    • Uses a ‘session’ to handle authentication, message delivery and recovery
    • ‘Pessimistic’ protocol (acknowledgements required)

www.fixprotocol.org

an overview of fix allocations confirmations

Generate one or more orders

Fill/part fill some/all of the orders

Communicate ‘ready to book’

Communicate allocation splits

Affirm/reject allocations

Generate trade confirmations

Affirm/reject trade confirmations

An Overview of FIX Allocations & Confirmations

Give-ups, step-outs, soft dollars

Pre-definedbooking rules

Fee/expensecalculations

New order single

SSIs

Execution reports

Allocation

Allocation ack

Broker Dealer

Investment Manager

Confirmation

Confirmation ack

Settlement

Settlement

www.fixprotocol.org

why use fix
Why Use FIX?
  • Fits the process flow
    • Logical extension to FIX order routing flows
    • Allocations often a front office function
    • Consistency of data from front to middle office
    • Real time status availability through ‘ack’ messages
    • Supports complex booking requirements arising from, e.g. self-directed trading
  • Ease of implementation
    • Opportunity to leverage existing technology investment
    • Open protocol – network/vendor independence
    • Wide choice of technology suppliers
  • Data structures and standards
    • Flexible data structures for a changing environment
    • Simple mapping to ISO 15022/SWIFT delivery messages
    • Timestamps and audit trails

www.fixprotocol.org

implementation things to think about
Implementation – Things To Think About
  • Counterparty readiness
    • Can my trading counterparties support this?
    • If so, how?
  • Business process
    • Which products?
    • Which part(s) of the trade lifecycle?
    • Bilateral or central matching
    • SSIs…?
  • Technology
    • Existing infrastructure
    • Networks
    • FIX engines etc.

www.fixprotocol.org

case study 1 fax to fix
Case Study 1 – Fax to FIX

Sell side order management system

Buy side order management system

FIX engine

Orders/ executions

FIX engine

FIX network

Buy side middle office system

Fax machine

Sell side middle office system

Allocations

  • Issues:
    • Not machine readable
    • Prone to error
    • No acknowledgements

Re-keyed…

www.fixprotocol.org

case study 1 fax to fix ctd
Case Study 1 – Fax to FIX (ctd)

Sell side order management system

Buy side order management system

FIX engine

Orders/ executions

FIX engine

FIX network

FIX engine

Buy side middle office system

Sell side middle office system

Allocations

  • Issues:
    • Machine readable
    • Can be processed automatically
    • Real time acknowledgements

www.fixprotocol.org

case study 1 implementation
Case Study 1 - Implementation
  • Counterparty readiness
    • Many sell side firms support this model
    • In place for a number of major buy side firms
  • Business process
    • Currently in use for equities/PT
    • Generally used in conjunction with Global OASYS
  • Technology
    • Many off-the-shelf OMS providers support this model
    • Some middle office system providers also support this
    • Most FIX networks support this
    • Zero messaging cost; low/zero implementation cost (apart from testing time)

www.fixprotocol.org

fix and reference data
FIX and Reference Data
  • FIX and reference data seems like an odd combination
  • Why the emphasis on reference data when discussing a communications protocol?
  • Without standardisation and accuracy of reference data, any processing architecture is merely so much junk

www.fixprotocol.org

taking a broader view
TAKING A BROADER VIEW
  • SO, WHAT ARE OUR AIMS IN DOING THIS STUFF?
  • REDUCE COST
  • REDUCE RISK

Trade-date

processing

Settlement

Client

take-on

Sales and

trading

FIX

BUSINESS ENTITY IDENTIFIERS

www.fixprotocol.org

squaring the circle
SQUARING THE CIRCLE
  • COMPONENTS OF A SUCCESSFUL, FIX-BASED POST-EXECUTION MESSAGING ARCHITECTURE
    • Hardware and applications
    • Connectivity
    • Interoperability and flexibility within a framework of well-defined standards
    • Matching
    • Business Process Management (BPM)
    • CONTENT - turn all the talk about data standardisation into reality by providing an identifier that supports the entire business process and is flexible enough to be used in any processing model
  • So, what does one of those look like?

www.fixprotocol.org

ibei defined
IBEI Defined
  • International Business Entity Identifier: ISO 16372

“IBEI is a global scheme for uniquely identifying business entities playing a role in the lifecycle of, and events related to, a financial instrument”

“A business entity is an entity that is either regulated or on which due diligence is necessary under any jurisdiction”

ISO TC68 SC4 WG8 Feb 2004

www.fixprotocol.org

ibei model
IBEI Model
  • Central utility
  • Concept of sponsorship
  • Core information will be free or available at very low cost
  • Data quality maintained by
    • Multi-source information
    • “Triggers”
    • Twilighting
    • Sponsor updates
    • Information from IBEI entities and IBEI users
  • NO LICENCE FEES
  • Value-added information will be available at additional cost
    • Cross-references to other commercial data sources
  • Scope for future developments
    • Settlement instructions
    • Payment instructions
    • Compliance-related information

www.fixprotocol.org

role of the sponsor
Role of the Sponsor
  • Centralised, using sponsors

Registration

Authority

Sponsor

IBEI ALLOCATION

IBEI REQUEST

Applicant

www.fixprotocol.org

ibie repository data content
IBIE Repository Data Content

www.fixprotocol.org

ibei value adds
IBEI VALUE-ADDS
  • REDUCE COST
  • REDUCE RISK
  • SUPPORTS USE OF FIX POST-EXECUTION

Trade-date

processing

Settlement

Client

take-on

Sales and

trading

FIX

BUSINESS ENTITY IDENTIFIERS

www.fixprotocol.org

ibei supports ssi fresh
IBEI SUPPORTS SSI FRESH
  • REDUCED COST AND RISK OF CLIENT TAKE-ON (Common to all processing models)
  • AGREED RANGE OF IDENTIFIERS FOR ENTITIES
  • IBEI CAN BE USED TO IDENTIFY LEGAL ENTITY, ALLOCATED ACCOUNT ETC
  • POTENTIAL USE AS SSI FRESH DATABASE TO SUPPORT MODEL 1

www.fixprotocol.org

slide20

Buyside

Sellside

Allocation enriched with SSIs and, ideally, net money

SSI Database

Confirmation (1 per account) enriched with SSIs x2 and net money

Affirmation

SSI updates

Global

Custodian

Local agent

Local agent

(I)CSD

MATCH

MATCH?

slide21

SSIs

Alvin Mullan

UBS Investment Bank

introduction
Introduction
  • SSI data within the FIX Allocation & Confirmation message flow
  • Electronic Capture of Standing Settlement Instructions (SSI)
  • Scottish Statutory Instrument (SSI) 2002 No. 39 The Sheep and Goats Identification (Scotland) Amendment Regulations 2002

www.fixprotocol.org

model 1 buyside involved in ssis

Sellside

Buyside

Allocation + SSIs (inc PSET) & net money (ideally)

MATCH

Confirmation (1 per account) + SSIs x2 and net money

MATCH?

Affirmation

SSI updates

Global

Custodian

Local agent

Local agent

(I)CSD

Model 1 – Buyside involved in SSIs
  • Notes:
    • Needs FIX 4.4 for Allocation
    • And FIX 4.4 or SWIFT MT515 for Confirmation

www.fixprotocol.org

slide26

SSI baggage in FIX

www.fixprotocol.org

model 2 buyside opt out

Sellside

Buyside

Allocation + Custodian & net money (ideally)

MATCH

Confirmation (1 per account) + SSIs x2 and net money

Affirmation – needed?

SSI updates

Global

Custodian

Local agent

Local agent

(I)CSD

Model 2 – Buyside opt out
  • Notes:
    • Can use FIX 4.2 for Allocation
    • And SWIFT MT515 for Confirmation
    • Or FIX 4.4 for both

www.fixprotocol.org

model 3 centralised ssi

Sellside

Buyside

SSI updates

Global

Custodian

Local agent

Local agent

(I)CSD

Model 3 – Centralised SSI

www.fixprotocol.org

ssis building solutions
SSIs - building solutions
  • STPLite
  • SSI Fresh
  • Solutions Providers – many “harolds”
  • Generally accept:
    • custodian holds and maintains SSI data
    • data automatically issued to “local” or “central” database
    • adhoc query and response
    • real time access to custodian on a trade by trade basis NOT necessary

www.fixprotocol.org

ssi data
SSI - data
  • Query data
    • Number
    • Country or Place Fund Manager ID
    • Custody Account of Settlement
    • Side (Buy/Sell)
    • Product, Security Identifier and Type
    • Effective date/time
  • Response or Pushed data
    • Cross-references to query (forming the “key” fields)
    • SSI Detail:
      • PSET
      • Agent and Agent Account at place of settlement
      • Custodian

www.fixprotocol.org

ssis need for data standard

Nothing to do with sheep and goat identification and Scottish Statutory Instrument regulations

SSIs – need for data standard
  • Delivery mechanism may vary
    • FIX/FIXML
    • SWIFT
    • File
  • Need to ensure we have an SSI data standard – clones like “Dolly”
  • SSIs for cash settlement

www.fixprotocol.org