1. Building a Fully Automated Front Office Operation Scott Atwell American Century Investments Co-chair FIX Technical Committee May 13, 2002

2. Scott Atwell - American Century® Investments2 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Agenda Institutional Trading Communication Categories Buyside case study: American Century Investments What is FIX? Changes to FIX 4.3 Summary

3. Scott Atwell - American Century® Investments3 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Speaker’s Background Co-chair of FIX Technical Committee since 1997 Member of FIX Global Steering Committee Member of FIX U.S. Steering Committee since 1995 GSTPA technical subcommittee member in 2000 Member of FIX working group for ISO 15022 XML WG 10 in 2001/2002 Member of SIA T+1 Standards Working Committee in 2001/2002 Developed American Century’s FIX engine and interface to Order Mgmt System Responsible for American Century’s Order Mgmt System

4. Institutional Trading Communication Categories Who? What? When? How? Why?

5. Scott Atwell - American Century® Investments5 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Who? Investment Manager Broker/Dealer Custodian Depository Local Custodian

6. Scott Atwell - American Century® Investments6 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 What? Broker Research: Research Reports Pre-Trade: IOIs, Advertisements, Quotes, News Trade: Orders, Confirmations, Fills Post-Trade: Allocations, Settlement Inst Clearing/Settlement: Backoffices to custodians

7. Scott Atwell - American Century® Investments7 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 When? Broker Research: Research Reports –as written/available Pre-Trade: IOIs, Advertisements, Quotes, News –real-time Trade: Orders, Confirmations, Fills –real-time Post-Trade: Allocations, Settlement Inst –end of trading day Clearing/Settlement: Backoffices to custodians –end of day (typically batch driven)

8. Scott Atwell - American Century® Investments8 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 How? Broker Research: Research Reports –paper, web-sites, vendor systems, RIXML Pre-Trade: IOIs, Advertisements, Quotes, News –phone calls, FIX, vendor systems, fax Trade: Orders, Confirmations, Fills –phone calls, FIX, vendor systems Post-Trade: Allocations, Settlement Inst –vendor systems, fax, FIX, (future) GSTPA Clearing/Settlement: Backoffices to custodians –vendor systems, fax, ISO 15022 (ISITC/SWIFT)

9. Scott Atwell - American Century® Investments9 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Why? Standard data formats –Allow systems to scale and process data from many counterparties without incremental effort Standard real-time session-level transport –Allow systems to scale and communicate with many counterparties without incremental effort Combination –Enables automated processing into/out of OMS and settlement systems--focus on exceptions –Commodization, vendor solutions available

10. What is FIX? Overview of the FIX Protocol

11. Scott Atwell - American Century® Investments11 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 The FIX Protocol Today A standard messaging protocol to communicate trading information electronically between buyside institutions, brokers and markets A flexible means of handling many types of financial instruments and transactions - global in nature Platform independent, so it works on many types of computers and communication systems The FIX website is the central point of reference and communication for all things FIX: –www.fixprotocol.org

12. Scott Atwell - American Century® Investments12 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Why FIX usage is increasing  Technical Reasons Delivers information in real-time Provides platform and vendor independence Eliminates proprietary interfaces and coding of multiple message formats reducing amount of time to connect Guarantees ordered message delivery Supports data security (encryption) Supports multiple currencies and instrument types Allows for cost-effective connectivity

13. Scott Atwell - American Century® Investments13 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Why FIX usage is increasing  Business Reasons Accommodates higher volumes Widely adopted Prepares firms for shortened settlement cycles Enables front to back STP Promotes liquidity through IOIs Responds quickly to industry changes Leverages the active participation of industry experts via working groups

14. Scott Atwell - American Century® Investments14 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIX Protocol dual syntax and XML support  The FIX Protocol has two syntaxes: “Tag=Value” –75=20010618 FIXML – 20010618 FIX 4.3 defines messages in both syntaxes –Note: XML DTDs also exist for 4.1 and 4.2

15. Scott Atwell - American Century® Investments15 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIXML: Example Syntax … omitted … ORD_1 1000 EK 277461109 20010907-09:25:56 5000 62.5 8=FIX.4.3^9=199^35=D^34=10^49=VENDO R^115=CUSTOMER^144=BOSTON EQ^56=BROKER^57=DOT^143=NY^52=20 010907-09:25:58^ 11=ORD_1^21=2^110=1000^55=EK^22=1^4 8=277461109^54=1^60=20010907- 09:25:56^38=5000^40=2^44=62.5^15=USD^ 528=A^ 10=165^ Becomes… 8=FIX.4.3^9=1043^35=D^34=10^49=VEND OR^115=CUSTOMER^144=BOSTON EQ^56=BROKER^57=DOT^143=NY^52=20 010907-09:25:58^ 212=937^213= …omitted … ^ 10=038^

16. Scott Atwell - American Century® Investments16 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIX Order Flow Investment ManagerBroker/Dealer Order ConfirmIOIs & Advertisements Don’t Know Trade Execution Rpt (Partials)Order Via Phone Call OR Order Via FIX

17. Scott Atwell - American Century® Investments17 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIX Post-trade Flow Investment ManagerBroker/Dealer AllocationAck (Received) Allocation (Breakdowns) AllocationAck (Accept/Reject) Settlement Instructions Settlement Instructions may be standing, exchanged during or after allocation process, or one firm can send instructions for both sides for the other firm to match

18. Buyside case study American Century Investments

19. Scott Atwell - American Century® Investments19 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 American Century’s STP Today Order Management System Portfolio Accounting System PMs Traders Accountan ts Broker/Dealer Custodian FIX ISITC

20. Scott Atwell - American Century® Investments20 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 American Century’s STP Today Use broker web sites and vendor systems to access broker research –Member of the RIXML initiative Use FIX for all pre-trade, trade, and post-trade communication with brokers in real-time Use ISITC for batch-driven communication with custodians GSTPA member firm

21. Scott Atwell - American Century® Investments21 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 AC’s FIX Activity: Jan 1, 2001 - Dec 31, 2001 Processed 11.3 million IOIs (4.8 million from ECNs) –peak day over 80,000 Processed 2.2 million Execution Reports –peak day over 24,000 –99% of total U.S. and int’l equity trading –99% of all U.S., 98% of all int’l trading Sent FIX Orders for 72% of all orders (82% U.S., 44% int’l) –significant ramp-up during 2001, year 2000 was 8% of all orders –currently 98% U.S., 78% int’l sent via FIX, peak day over 1000 Sent 69,000 FIX Allocation messages (56% of U.S.) –peak day over 860 (block allocations)

22. Scott Atwell - American Century® Investments22 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 F.I.X. Protocol ACIM’s implementation of typical FIX System Connectivity Customer (i.e. Investment Mgr) Supplier (i.e. Broker/Dealer) FIX System Order Management System Trader Trader in Foreign Office Order Management System Trader Trader in Foreign Office FIX Engine Business Msg Processing FIX EngineBusiness Msg Processing Wide Area Network Link TCP/IP (TCP Socket opened by customer, persists during life of FIX session) Business Msg Processing FIX Allocation Handler FIX Engine FIX Order & Execution Handler FIX Pre-trade Handler

23. Scott Atwell - American Century® Investments23 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 F.I.X. Protocol ACIM’s FIX System High-level Overview FIX Engine Brokers/ ECNs FIX Pre-trade Handler FIX Allocation Handler FIX Orders & Execs Handler Request to Send Allocation Request to Send Order ACIM OMS Process and prioritize IOIs and Advertisements Publish/notify, store, discard Java re-write 1 vs. 53 processes Send Orders, Cancel/Replace, Status, and Cancel Requests Process Execution Reports Originating from FIX orders or phone-only/ECN systems Verify matching order and sufficient open qty exists, if not send error msg to all traders and “DK” (Don’t Know) to broker Equity OMS & Currency OMS Send FIX Allocation messages Block & allocated account details Process Allocation ACK msgs Equity OMS & Currency OMS Java re-write 1 vs. 28 processes Initiate connection, manage msg seq num, heartbeats, etc. Encrypt/decrypt & construct/parse msgs Communicate w/ handlers

24. Scott Atwell - American Century® Investments24 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Buyside case study: Benefits of Automation  American Century has realized significant benefits from FIX Productivity –Handle more trades with fewer personnel –Process and prioritize information –Manage global “book” around the globe Error Reduction –Reduce errors overall and detect them earlier Risk Reduction –Reduce settlement cycle and likelihood of errors

25. FIX 4.3 Changes

26. Scott Atwell - American Century® Investments26 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIX Feature History

27. Scott Atwell - American Century® Investments27 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIX 4.3 - Statistics

28. Scott Atwell - American Century® Investments28 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Restructured the specification  Into seven volumes vs. a single document: Volume 1 - INTRODUCTION –Introduction, FIX Protocol Syntax, –Common Components of App Msgs, Common App Msgs, Glossary Volume 2 - FIX SESSION PROTOCOL Volume 3 - FIX APP MSGS: PRE-TRADE –Indication, Event Communication, Quotation, –Market Data, Security & Trading Session Definition/Status Volume 4 - FIX APP MSGS: ORDERS & EXECUTIONS (TRADE) –Single/General Order Handling, Cross Orders, –Multileg Orders (Swaps, Option Strategies, etc), –List/Program/Basket Trading

29. Scott Atwell - American Century® Investments29 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Restructured the specification (cont)  Into seven volumes vs. a single document: Volume 5 - FIX APP MSGS: POST-TRADE –Allocation and Ready-To-Book, Settlement Instructions, –Trade Capture (“Streetside”) Reporting, Registration Instructions Volume 6 - FIX DATA DICTIONARY –Field Definitions, Appendices Volume 7 - FIX USAGE BY PRODUCT –Collective Investment Vehicles (CIV) –Derivatives (Futures and Options) –Equities –Fixed Income –Foreign Exchange

30. Scott Atwell - American Century® Investments30 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Support of Other Standards  Appendix 6-B - FIX Fields Based Upon Other Standards (new to 4.3) Market Identifier Code (MIC) - ISO 10383:1992 –vs. Reuters exchange suffix –examples: “XNYS” vs. “N”, “XLON” vs. “L”, “XHKG” vs. “HK” (new to 4.3) Classification of Financial Instruments (CFI code) - ISO 10962:1997 –vs. ISITC-based SecurityType (for all but Fixed Income) Bank Identification Code (BIC) - ISO 9362:1994 Country codes - ISO 3166-1:1997 Currency codes - ISO 4217:1995 ISIN security identification - ISO 6166:1994

31. Scott Atwell - American Century® Investments31 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 FIX 4.3 Changes Summary  Significant set of enhancements Restructured spec into 7 volumes according to Trade Life Cycle –FIXML support within spec –Component blocks:,, etc. –Support of ISO stds: MIC for exchange & CFICode for sec type New messages: –RFQ Req, Quote Status Report, Quote Req Reject. –Sec Type, Sec List, Derivative SecList pairs. –Order Mass Cancel. Mass Status Req. Cross & Multi-leg orders. –Trade Capture (“Streetside”) Report. Registration Instructions. New products: Collective Invest Vehicles (CIV), Fixed Income –existing: Derivatives, Equities, Foreign Exchange

32. Scott Atwell - American Century® Investments32 Marcus Evans: Buy-Side Middleware and Messaging - New York - May 13, 2002 Summary Reviewed Institutional Trading Communication Categories Buyside case study: American Century Investments Provided overview of FIX Summarized changes to FIX 4.3 FIX website: www.fixprotocol.org