OTC Product Identification, 

Classification, and Registration

A proposal toward a simple solution using readily 

available, well proven, and industry implemented available, well proven, and industry implemented

standards and technologies
Agenda

 Principles and recommendations FIX/FIXML Business Processes that supp p ort a financial p

registry

 FIX/FIXML Integration with FpML An approach for a federated identifier based upon the DO

An approach for a federated identifier based upon the DO

 Longer term vision for standards evolution2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Principles

 Use existing technologies that are proven and fit for purpose

 This does not mean 20 to 30 year old technology We are building for the next 20 to 30 years We are building for the next 20 to 30 years

 Follow a standards based approach

 preferably international where possible leverage existing standards even those fit for purpose

 Make sure whatever choices are made now there is a clear p

a longer term improved convergent model

 Minimize implementation costs and disruptions If possible the solution should readily integrate with existing 

If possible the solution should readily integrate with existing 

 There is an opportunity to improve the overall quality and ad

chronic issues within the financial markets while adhering to constraints

 Concerned equally about the governance model and the bus

Concerned equally about the governance model and the bus

model

 This is an international – not a national issue – FIX, FpML, IS

DOI are global standards

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
R d ti d t d fi iti d i t t

Recommen

d

ations: pro

duc

t

d

efi

nition an

d regis

trat

 ISDA/FpML is the best source for definitions of OTC deriv FIX/FIXML is the leading solution for the standardized dis

of financial instruments reference data, especially for deriv

 FIX/FIXML can be used separately or in conjunction with  FIX Protocol Ltd. is committed to the creation of a commo

mod l f fi i l i th t d l b i d b 

d

el for financial services, th

a

t mo

d

el b

eing manage

d

by 

20022 standard

 FIX/FIXML has proven and widely adopted messages for 

definition and identifier assignment process especially fodefinition and identifier assignment process, especially foinstruments (spreads, strategies)

 Avoid placing semantic modeling on the critical path of thi

initiative

 Technology and standards immaturity Lack of practitioner knowledge and experience Not required for product definition and identification

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Recommendations: classification Recommendations: classification

 The approach to create a classification encoding scheme, 

exemplified by the Classification of Financial Instruments 10962) standard, referred to the CFICode is of limited use practitioners primarily due to the limitations in encoding andifficulty in interpreting the encoding scheme

 Preferential approach is to create a set of attributes that c

to identify the product

 Source of attributes

 ISDA Terms and Definitions ISDA Master Agreements FpML Schemas

 Will serve as the basis for current and future semantics w2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Principles: Identifiers Principles: Identifiers

 Federated assignment and management Globally resolvable identifier Non-intelligent identifier An identifier is much more than some numeric or alphanu

value it is an ecosystem that includes a registration authovalue it is an ecosystem that includes a registration autho

governance model, a business model

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
FIX/FIXML Business Processes that 

support a financial products registry

FIX has a mature set of business processes 

for financial product reference data
FIX Instrument Component FIX Instrument Component

 Flexible structure Can supp p ort multi

ple identifiers

 Supports an optional external XML product definition Optional support for underlying instruments Optional support for instrument legs ( Optional support for instrument legs

(multileg multileg instruments

instruments

 Extensive attributes for Equities, Fixed Income, FX, Futur

Options, Forwards, Swaps, some OTC support

Visit http://www.fixprotocol.org/FIXimate3.0

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
L l f d t t d di ti Level o

f pro

duc

t s

tan

dardization

Types of OTC Products

Highly Standardized with Highly

Standardized

Standardized with

customizations

Highly

Customize

FIX Only FIX Only FIX + FpML FIX + FpM

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
FIX SecuritiesReferenceData Category

 Started in FIX.4.2 March 1, 2000 Message Set as of FIX.5.0SP2

 DerivativeSecurityList DerivativeSecurityListRequest DerivativeSecurityListUpdateReport SecurityDefinition SecurityDefinitionRequest SecurityDefinitionUpdateReport SecurityList SecurityListRequest SecurityListUpdateReport SecurityStatus SecurityStatusRequest SecurityTypeRequest SecurityTypes

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
SubscriptionRequestType[263]



Added in FIX.4.2 to 

• Snapshot

support Subscriptions

 Added to several 

ithi FIX

0

Snapshot

• A one time query fo

matching criteria on 

messages w S ht U d t 

ithin FIX

 Especially Reference 

Data and Market Data

1

•

Snap

h

ot + 

U

p

d

ates 

• Subscribe for inform

matching criteria on 

Data and Market Data

2

• Disable previous Sn

Update Request (U

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
S it D fi iti R t SecurityDefinitionRequest / S it D fi iti SecurityDefinition

Added to • Original use case 

and request an id

ltil i t 

FIX.4.2 in 2000 mu eg instrume

may not have alredefined

• CBOE was the or

Adoption

CBOE was the orinitial adopter

• The Options Clea• Several other ma

Applicability

• Can be used with 

payload for the prprocess 

• Use to discover o

product identifiers product identifiers

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
SecurityDefinitionRequest

 Simple request reply protocol

SecurityDefinitionRequest[MsgType=c] <SecDefReq/>

D

Swa

p

SecurityDefinition[MsgType=d] <SecDef/>

R

p

Execution 

Facility

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
SecurityDefinition Standard Usage Standard Usage

 Request an identifier for a financial instrument and the ass

of an identifier based upon the attributes of the financial inprovided in the request

 Responses

 Match the req gp 

uest to an existing product definition and return 

identifier and the definition

 Create a product definition and identifier and return the produ

and the definition

 Reject the request for failing business rules

 Protocol supports the normalization of definitions

 Product definition rules are defined outside the protocol for m

product definitions. This is often referred to normalizing the pdefinition

 The Protocol supports returning the identifier and a normaliz

(standardized) product definition (standardized) product definition

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
S it Li tR t SecurityListRequest / S it Li t SecurityList

Added to • Distribute financ

FIX.4.3 in 2001

Distribute financ

reference data

Wid l d t d 

Adoption

• Widely adopted 

level

• Already in use b

Applicability

• Can be used wi

FpML payload

• Distribute Swap 

Identifier and pr

definitions

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
SecurityList

 Snapshot query or subscription

SecurityListRequest[MsgType=x] <SecListReq/>

SecurityList[MsgType=y] <SecList/>

D

Swap SecurityList[MsgType=y] <SecList/>

R

p

Execution 

Facility SecurityList[MsgType=y] <SecList/>

SecurityList[MsgType=y] <SecList/>

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
SecurityList Standard Usage Standard Usage

 Subscribe or query for a list of financial instruments and it

reference data

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
FIX/FIXML Integration with FpML

FIX and FpML have been used together for 

more than a decade
TRANSPORT ONLY TRANSPORT ONLY: F ML p usi FIX S i L O l ing FIX Session Layer Only

Establish FIX.4.4 Session via Logon

XML_nonFIX[MsgType=n]<RequestConfirmation>

XML_nonFIX[MsgType=n]<Confirmation>

Co

Counterparty

1

XML_nonFIX[MsgType=n] ...FpML...

XML_nonFIX[MsgType=n] ...FpML...

End FIX.4.4 Session via Logoff

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
F ML p message t itt d i FIX i transmitted via FIX using XML FIX XML_nonFIX

8=FIX.4.4^9=7718^35=n^34=41^49=PROTRD^52=20100920-23:06:17 536 23:06:17.536 56=ALUNO02212= ^56=ALUNO02212=7660^213=<?xml version= <?xml version= 1" 0. " encoding

encoding

<!--View is confirmation--><!--Version is 5-0--><!--NS is http://www.fpml.org/FpML-5/confirmation--><!--

== Copyright (c) 2002 == Copyright (c) 2002-2010 All rights reserved 2010. All rights reserved.

== Financial Products Markup Language is subject to the FpML public license.== A copy of this license is available at http://www.fpml.org/license/license.html-->

<requestConfirmation xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-0.xsd">

<header>

<!--FpML 5.0 conversationId is removed. correlationId is to be used instead-->

<messageId messageIdScheme="http://www.example.com/messageId">MS/2006/04/02/15-

12</messageId>

<sentBy>PARTYABICXXX</ >PARTYABICXXX</sentBy><sendTo>PARTYBBICXXX</sendTo><creationTimestamp>2006-04-02T15:38:00Z</creationTimestamp>

</header>

<!--5.0 Messaging: added

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

....^10=200^ 2011-06-17
F ML p encapsul t d i FIXML lated in FIXML

<?xml version="1.0" encoding="UTF-8"?><FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP1"xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"><TrdCaptRpt ReqID="C092 20061006 092CBTEOD20061006" RptID="102994" LastQty="4"

TrdDt="2006-10-06" MtchStat="0" TxnTm="2006-10-06T00:00:00-05:00"BizDt="2006-10-06" PxTyp="18" TrdTyp="0" MtchID="0000182185" MsgEvtSrc="REG"LastPx="0.59375"><Instrmt MatDt="2006-11-21" MMY="200612" StrkPx="111.00" Mult="1000"Exch="CBT" CFI="OPAXPS" ID="17">

<SecXML Schema http://www.fpml.org/2004/FpML ="http://www.fpml.org/2004/FpML-4-1 >"<FpML version="4-1" xsi:type="DataDocument" xmlns="http://www.fpml.org/2004/FpML-4-1" xmlns:dsig="http://www.w3.org/2000/09/xmldsig#" xmlns:xsi="http://www.w3.org/2001/XMLScinstance" xsi:schemaLocation="http://www.fpml.org/2004/FpML-4-1 ../Examples/fpml/fpml-m1.xsd"><trade><tradeHeader>....</tradeHeader><swap><!-- Loyalty Investments pays the floating rate every 6 months, based on 6M EUR-EURIBOR

on an ACT/360 basis -->

<productType>IRS</productType>...</swap>...</FpML></SecXML></Instrmt>

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

...</RptSide></TrdCaptRpt>

2011-06-17 </FIXML>
N C t t t i XML d t d fi iti New 

Componen

t

to con

t

ain XML pro

duc

t

d

efi

nition

I t tC t Instrument Component

SecurityXML Component

SecurityXMLLen=nnn

SecurityXML=<A>...</A> 

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
S it XML SecurityXML C t i FIX 5 0 Component in FIX.5.0x

Tag Field Description1184 SecurityXMLLen Must be set if SecurityXM

field is specified and musimmediately precede it

1185 SecurityXML XML payload or content 

describing the Security information.

1186 SecurityXMLSchema XML Schema used to vali

the XML used to describe 

Security.

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
FpML encapsulated in FIX business messages encapsulated in FIX business messages

 FIX.4.4 and later support inclusion of FpML messages

TradeCaptureReportRequest[MsgType=AD]

S b i ti R tT SubscriptionRequestType[263] 1 [263]=1

TradeCaptureReport[MsgType=AE] <FpML>

Ct t

TradeCaptureReport[MsgType=AE] <FpML> Co

Counterparty 1

TradeCaptureReport[MsgType=AE] <FpML>

TradeCaptureReportRequest[MsgType=AD]

SubscriptionRequestType[263]=2

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
FIXML S it XML SecurityXML C t omponent

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
FIXML S h t i l d bit XML d t FIXML

S

c

hema 

to inclu

de an arbitrary XML

documen

t

<xs:attributeGroup name="SecurityXMLAttributes">

<xs:attribute name="Schema" type="SecurityXMLSchema_t" use

</xs:attributeGroup><xs:complexType name="SecurityXML_Block_t">

<xs:annotation

>

<xs:appinfo>

<fm:Xref Protocol="FIX" name="SecurityXML" 

ComponentType="XMLDataBlock"

Category="Common"/>

</xs:appinfo>

</xs:annotation><xs:sequence

>

<xs:any minOccurs="0" maxOccurs="unbounded" processCon

</xs:sequence><xs:attributeGroup ref="SecurityXMLAttributes"/>

/ l T

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

<

/xs:complex

Type>

2011-06-17
Further Integration Further Integration

 ISO 20022 v1.5 is a significant improvement in technology 

and should facilitate integration of FIX and FpML business processes, entities, and attributes

 Extend FIXML Schema to be able to be the target for Part

identification from within FpML payload

 Extend FIXML Schema to be able to be the targer for tran

identifer from within FpML payload

 Adopt FpML 5.0 some schema improvements – esp y ecially

namespace conventions

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
An approach for a federated identifier 

based upon the DOI

The Digital Object Identifier is the most 

comprehensive standard available for 

mana

gg y in

g identit

y

-
T d l f di t ib ti f id tifi ti Two mo

d

els 

for di

s

t

rib

ution o

f identification

Registration 

Authority

Registration 

Authority

Producer 1 Producer 2 Producer 3 Producer 1 Producer 2 Prod

Product 1.1Product 1.2

Product 2.1Product 2.2

Product 3.1Product 3.2

Product 1Product 2

Product 1Product 4

Product 1.3 Product 2.3 Product 3 Product 5

Product 2.4 Product 2

Easily addressed by prefix approach Requires central registry b

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

Easily addressed by prefix approach support alternative ide
Federated Request Federated Request

 Identifier assignment infrastructure should support the abi

existing systems to continue assigning identifiers

<SeqDefReq/>

<SecDefReq/>

LMI

Swap Swap Derivat

<SecDef/>

Local Market 

Identifier (LMI)

LMI

<SecDef/>

DOI

Produ

Regist

Execution 

Facility

Market 

Participant

FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC

2011-06-17 
Distributed Object Identifier Distributed Object Identifier

 Digital Object Identifier is not a code – it is a complete extremely we

out and complete system (including business process, governance 

 ISO 26324 ISO 26324

 ISO 26324:2010 specifies the syntax, description and resolution function

of the digital object identifier system, and the general principles for the crregistration and administration of DOI names (where DOI is an acronym object identifier”).

 ISO 26324:2010 defines the syntax for a DOI name which is used for th

ISO 26324:2010 defines the syntax for

a DOI name, which is used for th

of an object of any material form (digital or physical) or an abstraction (sutextual work) where there is a functional need to distinguish it from other 

 The DOI name does not replace, nor is it an alternative for, an identifier u

another scheme, such as the schemes defined by ISO/TC 46/SC 9. ISO describes how the DOI system can be used in conjunction with another idescribes how the DOI system can be used in conjunction with another i

scheme (for example, to provide additional functionality, such as resolutiis not already available), and how the character string of that other schemintegrated into the DOI system through the DOI metadata record and/or tsyntax.

 ISO 26324:2010 does not prescribe specific technologies to implement t

ISO 26324:2010 does not prescribe specific technologies to implement tdescription and resolution functional components of the digital object ide

 Does support the notion of a schema or semantic representation for 

definition

 Built upon a modern distributed technology platform that is internet 

b d ase

d

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Excerpts from Digital Object Identifier Excerpts from Digital Object Identifier

 "Like any other piece of infrastructure, an identifier system 

(especially one which adds much value like metadata and resolution) must be paid for eventually by someone. The Dis designed to work with any business model, ranging from assignment to assignment on a commercial basis."

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Issues with the DOI Issues with the DOI

 "Recommendation on the use of the native resolution prot

(HDL) in applications in in preference to proxy server implementations" 8.2.3 RA technical requirements

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Name Value Pairs for Product Definition Name Value Pairs for Product Definition

 Candidate approach to complement or likely replace the C

(ISO 10962)

 Data format and technology neutral

FIX – existing 

Instr ment Attrib te Instr

ument Attrib

ute

Componet or new 

component

Name Value Pairs 

defined by ISDA for 

OTC Product 

Registry

IDECS

ISO 20022 

Semantic Layer

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
I t f lt i t Impac

t o

f regula

tory requiremen

t

s

Regulatory Requirements•CFTC Product Registry•OFR Legal Entity Identifier OFR Legal Entity IdentifierISO TC68/SG1Improved Standards for Classification (Definition) and Identification

S Other OTC Listed Fixed E 

and Identification

Swaps Other OTC Derivatives sted Derivatives Fixed Income

E

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
I t ti l St d d Di ti In

ternational Stan

dar

ds Directions

ISO 20022 v1.0 XML S t

ISO 20022 v1.5 UML t dl

ISO 200

XML

Syntax UML 

supported by UML model on proprietary platform

• 2002

UML metamo

d

el

based with refactored business model derived from FIBIM and MDDL

UML mwith semlayer• 201x?

• 2002 FIBIM and MDDL • Anticipa

open platform

• 2012• XML and ASN.1• FIX, FIXML, FpML

• Anticipa

delivera

ISO 15022

FIX pretrade

dt d

FIX market data

FIX Reference 

D t

Semantics 

Models

an

d tra

d

e

SEPA

FIBIM

D

ata

FpML

FIX derivatives 

clearing

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC
Conclusion

 Existing industry standards and technology can readily ad

OTC Products Registry

 FIX, FIXML FpML DOI Web Services, FIX Session Layer, AMQP, MQ Series

 Biggest issue is governance and business model for the r

operator

 Good choices now will lead to improved standards and pr

beyond the CFTC product registry

2011-06-17 FIX Protocol Ltd. Technology and Standards 

Recommendations to the CFTC