FIX Connectivity Guide Document

Ric ElvirUBS Investment BankMarch 2006

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Agenda

Differences between Connectivity Guide and Rules of Engagement.

Why use a Connectivity Guide?

Most common elements used in a Connectivity Guide

Recommendations on use

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What’s in a name...?

Connectivity Guide or Rules of Engagement?

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What’s in a name...?

Connectivity Guide or Rules of Engagement?

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Why Use a Connectivity Guide?

Helps to facilitate connectivity efforts with your counterparties

Session level and Connectivity information

How can we

connect?

List of supported

FIX versions and

the respective Tag use

Which FIX versions do

you support?

Use of FIX defined Security identifying tags

How do you define

securities

Expected recovery

procedures and timelines (SLA’s)

List of supported Msg types (i.e. IOIs, Allocation

Instructions, Etc)

Which Msg Types do

you support

What are your fail-over

procedures?

Clarity

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Most Common Elements Used in a Connectivity Guide

Session Level and Connectivity section— Network Options— Supported Fix Versions— Encryption Support— Start of Day / End of Day Procedures

Failover Procedures— Details around your Service Level Agreement (SLA)

Supported Business message Types— Pre-Trade messages— Trade messages— Post-Trade messages

Supported Asset Classes

Security ID Conventions

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Connectivity Guide Useage Examples

Example Tag TableTag Field Name Req’d <our firm’s> Comments FIX Protocol Comments

23 IOIID Y Internal Reference Number

28 IOITransType Y Will always be “N” = New. Valid values: N = New, C = Cancel, R = Replace

Instrument Component Block55 Symbol Y Generated as “FIXED” By convention: populate with “[N/A]” for Fixed Income Issues. FI

indications will be identified via tag 48 - alternate security ID.48 SecurityID Y CUSIP for US issues

ISIN for Global Issues22 IDSource Y Supported Values:

1 = CUSIP, 4 = ISIN numberIdentifies class or source of the SecurityID (48) value. Required if

SecurityID is specified.

106 Issuer U Full bond issuer name.

223 Coupon Rate U Coupon rate of the bond. Will be zero for step-up bonds.

200 MaturityMonthYear U Specifies the Month and year of maturity. Required if MaturityDay is specified

205 MaturityDay U Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.

54 Side Y Valid values: 1 = Buy 2 = Sell

27 IOIQty Y <our firm> will use absolute numeric values

Quantity (e.g. number of shares) in numeric form or relative size.

<our firm> will use either the absolute price (Tag 44) or a basis point price relative to a benchmark (Tags 218, 221, 669, and 761)•44 Price U For US Corp High yields

•218 Spread to benchmark U For High-Grade corporate issues Basis points relative to a benchmark. To be expressed as “count of basis points” (as opposed to absolute value).

•221 BenchmarkCurveName U Supported values: MuniAAA, FutureSWAP, LIBOR

Name of benchmark curve.

•669 BenchmarkSecurityID U <our firm> may supply either a curve name or benchmark security.

The identifier of the benchmark security, e.g. Treasury against Corporate bond

•761 BenchmarkSecurityIDSource U <our firm’s> Supported Values:1=CUSIP, 2=SEDOL, 4=ISIN

Identifies class or source of the BenchmarkSecurityID (699) value. Required if BenchmarkSecurityID is specified.

62 ValidUntilTime If available

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Connectivity Guide Use Examples (2)

Example Message Flow Table

Initiator(Client)

Messages Respondent(Broker)

Notes Scope

Create order

← Indication of interest InitiationTrader axes/offerings will be sent for the specific

products offeredDefined in this Document

Order → Out of Scope for this Document

Accept orderFollowed, optionally, by any order amendments

etc.Out of Scope for this Document

← Execution Report Execute order Out of scope for this Document

Review executionAwait booking

instructionsErrors/disagreements must be reconciled prior to

allocationsOut of Scope for this Document

Allocate Block Trade

Allocation instructions →”Account

breakdown” processing

Out of Scope for this Document

← Allocation reportOut of Scope for this Document

Review details of allocation report

Confirm block allocation details →

Confirmation generation

Errors/disagreements must be reconciled prior to Confirmation process. Out of Scope for this Document

← ConfirmationOut of Scope for this Document

Confirmation matching

Affirmation of confirmations → Or rejection, in which case repair takes place followed by re-confirmation Out of Scope for this Document

↓ Settlement notification to agents/custodians

↓Out of Scope for this Document

Custodian Agent