FIX Connectivity Guide Document Ric Elvir UBS Investment Bank March 2006

1 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

2  What’s in a name...? Connectivity Guide or Rules of Engagement?

3  What’s in a name...? Connectivity Guide or Rules of Engagement?

4 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

5 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

6 Connectivity Guide Useage Examples  Example Tag Table TagField NameReq’d CommentsFIX Protocol Comments 23IOIIDYInternal Reference Number 28IOITransTypeYWill always be “N” = New.Valid values: N = New, C = Cancel, R = Replace Instrument Component Block 55SymbolYGenerated as “FIXED”By convention: populate with “[N/A]” for Fixed Income Issues. FI indications will be identified via tag 48 - alternate security ID. 48SecurityIDYCUSIP for US issues ISIN for Global Issues 22IDSourceYSupported Values: 1 = CUSIP, 4 = ISIN number Identifies class or source of the SecurityID (48) value. Required if SecurityID is specified. 106IssuerUFull bond issuer name. 223Coupon RateUCoupon rate of the bond. Will be zero for step-up bonds. 200MaturityMonthYearUSpecifies the Month and year of maturity. Required if MaturityDay is specified 205MaturityDayUCan be used in conjunction with MaturityMonthYear to specify a particular maturity date. 54SideYValid values: 1 = Buy 2 = Sell 27IOIQtyY will use absolute numeric values Quantity (e.g. number of shares) in numeric form or relative size. will use either the absolute price (Tag 44) or a basis point price relative to a benchmark (Tags 218, 221, 669, and 761) 44PriceUFor US Corp High yields 218Spread to benchmarkUFor High-Grade corporate issuesBasis points relative to a benchmark. To be expressed as “count of basis points” (as opposed to absolute value). 221BenchmarkCurveNameU Supported values: MuniAAA, FutureSWAP, LIBOR Name of benchmark curve. 669BenchmarkSecurityIDU may supply either a curve name or benchmark security. The identifier of the benchmark security, e.g. Treasury against Corporate bond 761BenchmarkSecurityIDSourceU Supported Values: 1=CUSIP, 2=SEDOL, 4=ISIN Identifies class or source of the BenchmarkSecurityID (699) value. Required if BenchmarkSecurityID is specified. 62ValidUntilTimeIf available

7 Connectivity Guide Use Examples (2)  Example Message Flow Table Initiator (Client) MessagesRespondent (Broker) NotesScope Create order ← Indication of interestInitiation Trader axes/offerings will be sent for the specific products offered Defined in this Document Order →Out of Scope for this Document Accept order Followed, optionally, by any order amendments etc. Out of Scope for this Document ← Execution ReportExecute orderOut of scope for this Document Review execution Await booking instructions Errors/disagreements must be reconciled prior to allocations Out of Scope for this Document Allocate Block Trade Allocation instructions → ”Account breakdown” processing Out of Scope for this Document ← Allocation report Out 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 ← Confirmation Out 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 CustodianAgent