Glossary

Accrued Coupon (ACPN) is a pro-rated amount from the prior coupon date to the current business date which is collateralized by the clearing house

Under an emissions cap and trade program, each allowance entitles the holder to emit some amount of gas such as carbon. Sources that emit less than their emissions cap can sell allowances to those sources needing to purchase additional allowances to comply with the cap. Emission sources can then decide whether to control emissions through control technology or through allowance surrender to meet compliance.

An option that can be exercised at anytime before its expiration date.

Source: www.investopedia.com and www.investorwords.com

The underlying price is an average of the daily settlement prices over a specified period

The strike price is an average of the daily settlement prices over a specified period

Total Banked Amount (BANK) represents the summation of all banked amounts (ICPN+TVAR+IACPN+ICMTM+CPN+DLV)

The option becomes active (knock-in) or inactive (knock-out) based on a predetermined price level

• no round-lot has occurred during the trading session,
• the spread between the closing bid and offer is two points or more, and
• on odd-lot the dealer has been given a "basis-price" order.

A type of option that can only be exercised on predetermined dates, usually every month.

Fixed pay out if the underlying settles on a predefined trigger price.

A digital option which becomes active or inactive based on the crossing of a barrier. Events are linked through "And" condition.

Immediate fixed pay out if the underlying reaches the predefined trigger price at any point during the life of the instrument.

A binary option is a cash settled option that has a discontinuous payoff. Binary options come in many forms, but the two most basic are: cash-or-nothing and asset-or-nothing. Each can be European or American style and can be structured as a put or call.

Also called a "digital option" or "all-or-nothing option".

Fixed pay out if the underlying settles between an upper and lower trigger price.

A Block Trade is a privately negotiated futures transaction executed apart from the public auction market, either on or off the exchange trading floor.

According to US futures markets (CFTC):

Time at which a broker executed the order for another broker.

According to US futures markets (CFTC):

Time at which broker received the order.

• not higher than the last sale if the last sale was a "minus" or "zero minus" tick and
• not higher than the last sale minus the minimum fractional change in the stock if the last sale was a "plus" or "zero plus" tick.

A limit price order to buy "minus" also states the highest price at which it can be executed.

A capped option which pays out based on the average price of the underlying.

A capped option which becomes active or inactive based on the crossing of a barrier.

The option has a linear payout (like a vanilla) up to a capped amount as specified by a cap price.

The payout amount is capped based on the difference between the strike and a cap price for call options and a floor price for put options.

Credit Event Adjustment quantity (CEA) is used to represent the position movement associated with a credit event on processing date.

"The Central Registration Depository is a computerized database that contains information about most brokers, their representatives, and the firms they work for."

From SEC website: www.sec.gov/investor/brokers.htm

Collective investment vehicle ("CIV") are set up for the purposes of collecting and pooling investor funds and issuing shares (or their equivalent). "Open-ended" CIVs entitle the holder to receive, on demand, an amount in value which is proportionate to the whole net asset value of the vehicle. Coversely "Closed-ended" CIVs do not grant this right to investors.

CIVs are more commonly known as Mutual Funds, Unit Trusts, OEICS (Open Ended Investment Companies), SICAVs etc.

A CIV may be legally constituted as a Limited Company with variable capital, a Trust or a Limited Partnership - depending on local legislation & tax regimes.

CIVs typically invest in equities, bonds, derivatives etc. - as described in their prospectus. Other CIVs are Umbrella Fund (made up of sub-funds investing in equities, gilts etc), Fund Of Funds (invests only in other funds), Master-Feeder Fund (marketed to a specific group for investment in a central master fund), Multi- Manager Fund (whose asset management is divied between several managers), Side By Side (onshore and offshore funds with the same investment strategy)

Collateralized mark-to-market (CMTM) is determined by marking from coupon rate to settlement price. The resulting amount is collateralized meaning the holder of the position must post acceptable collateral to cover the obligation.

Total Collateralized Amount (COLAT) represents the summation of all collateralized amounts (ACPN+CMTM).

Coupon (CPN) is the payment as determined by coupon rate paid on coupon date.

Cash Residual Amount (CRES) is used to represent a residual amount associated with migrated trades and succession events

Generally indicates that the current offer price is better than the bid one - a situation where a trade normally should have occurred. The rules for crossed book situations are bilaterally agreed between counterparties.

Crossing session, for example to open or close a market. Rules governing this type of session usually differ from those effective during continuous trading. For example, price determination could be subject to the principle of most executable volume. Visibility of the order book is typically restricted (e.g. top-of-book only, indicative crossing price) compared to continuous trading. The session itself might be separated into different phases governed by different rules, all of which are defined by the marketplace offering this type of matching mechanism.

Specifies that the source matching mechanism for a trade report is Call Auction (a crossing session like the onnes often used to open or close a market).

"An agreement to exchange future cash flows. There are two fundamental types: the cross-currency swap and the interest rate (single currency) swap."

1) Delivery Amount (DLV) represents the amount paid or collected in association with a credit event.

2) Delivery quantity (DLV) is used on the target CDS position to represent the delivery of the underlying bonds.

An option that has a combination of activation/inactivation conditions. Specifies multiple price levels at which the option becomes active (knock-in) or inactive (knock-out).

The option becomes active if the underlying price drops below the specified barrier.

The option becomes inactive if the underlying price drops below the specified barrier.

An option that can only be exercised at the end of its life or for a short, specified period of time just prior to expiration (usually on a single day).

Source: www.investopedia.com and www.investorwords.com

EFP trades involve a futures contract and a cash position. The parties involved agree privately upon a price for a simultaneous exchange or transfer "cash for futures" and then report the terms of this agreement to the clearing house.

EFR trades involve a futures contract and a spot commodity. The parties involved agree privately upon a price for a simultaneous exchange or transfer of "spot for futures" and then report the terms of this agreement to the clearing house.

According to US futures markets (CFTC):

Non-qualified reporting time of order execution.

Indicates that an order sent to one market may be routed by that market to other external markets, especially in cases where the order locks or crosses the market and it can be executed against another market’s superior price.

Note: The absence of this instruction does not imply that an order should not be routed externally; rather, the order receiver’s default will apply.

Indicates that an order sent to one market may never be routed by that market to other external markets. Should the order lock or cross the market but be unable to execute due to price protection reasons, a market may have to take alternate action, which might include rejecting the order, depending on the market’s rules.

Note: The absence of this instruction does not imply that an order should be routed externally; rather, the order receiver’s default will apply.

The payout amount is specified at inception. Associated with Binary options (Yes, it pays or No, it doesn’t pay).

The date on which the rate is used for which the settlement amount is calculated. Every NDF has a fixing date. The fixing date is the day the comparison between the NDF rate and the prevailing spot rate is made. Depending on the currencies dealt, there are variations. For some currencies the fixing date is one good business day before the settlement date and for other currencies the fixing date is two good business days before the settlement date.

Imputed price based on VWAP/TWAP algorithm. Used especially to price FX futures.

The time on the fixing date on which the rate is used for which the settlement amount is calculated for NDFs. See Fixing Date. Fixing time for NDFs typically follows market conventions and is set by the central bank of the currency's country.

Price calculation method that uses a flat credit curve to establish future probability of defaults for pricing a specific CDS contract.

The option has a linear payout (like a vanilla) up to a capped amount as specified by a floor price.

The transaction of exchanging two currencies at an agreed upon rate at an agreed upon time. The transaction is reversed at a future rate and time, with no payment streams between the points in time.

Source: A paraphrase of definition from http://joxo.co.uk/SummaryGuideToFXForFinancialandITProfessionals.html

Price calculation method that uses a complete credit curve to establish future probability of defaults for pricing a specific CDS contract.

For CIV:

An identifier for an Investor or a broker or funds supermarket’s nominee/custodian company which is recognized by the Fund manager.

Incremental Accrued Coupon (IACPN) represents the incremental accrued coupon which is banked each day.

Incremental Collateralized Mark to Market (ICMTM)

Initial coupon (ICPN) is an amount paid to the buyer as a pro-rated portion of the coupon from the prior coupon through trade date. The buyer will be responsible for the full coupon on the next coupon date.

• an institutional client
• a financial planner
• a retail broker representing a retail customer
• a broker/dealer
• an inter-dealer broker (or broker’s broker)
• an issuer

For Equities:

Identifies beneficiary or broker acting on behalf of beneficiary. This field is mandatory for various exchanges either pre or post trade.

Numerical entry containing no dashes.

For CIV:

An Investor identifier such as a taxpayer reference (NINO, NPN, DSS, SSN number etc) for an individual investor or a registration number (EIN, etc.) for a company.

May contain alphanumeric and dashes.

• buy a security at the indicated limit price or lower, or to
• sell a security at the indicated limit price or higher.

The underlying price is set to the optimal value of the daily settlement prices over a specified period.

• regulatory - e.g. separate derivatives trading from stock trading
• membership - e.g. requiring separate membership or trading authorization
• geographical - e.g. separate segments for various countries
• separate venues - e.g. floor/pit trading vs. electronic
• trading rules - e.g. different rules and behaviours that a market needs to support for the entities it offers to trade

• If buying the strategy, the price of a bought leg (which is a buy-leg in the multileg definition) is added, and the price of a sold leg is subtracted.
• If selling the strategy, the price of a bought leg (which is a sell-leg in the multileg definition) is subtracted, and the price of a sold leg is added.

One Touch further defines the terms, usually specific dates and times, for when the option will pay out in the context of a trigger price.

An OUO order is an order whose execution results in the immediate reduction of quantity in another order linked to it. The quantity reduction happens on a best effort basis. In an OUO order both orders are live in the marketplace at the same time. The execution of either order triggers an attempt to reduce the remaining quantity of the other order, partial executions included.

There are two sub-types of OUO orders:

1. In the Proportional Quantity Reduction model, the quantity of the unfilled order is reduced proportionally to size of the order that got filled. Example:
   • Order A is for 100; Order B is for 50.
   • When order B is partially filled for 25 (50 %), order A is restated to a quantity of 50 (50 %).
2. In the Absolute Quantity Reduction model, the quantity of the unfilled order is reduced with the fill size of the order that got filled. Example:
   • Order A is for 100; Order B is for 50.
   • When order B is partially filled for 25, order A is restated to a quantity of 75.

A privately negotiated trade in a non-regulated product.

Trading status which denotes trading outside of normal hours for the security.

An order for a multileg security that is already defined at the marketplace or with the receiver of the order.

The recovery rate for the underlying bond on a CDS in the case of a credit event.

In the case of a credit event the recovery rate on a long position for the bond underlying a CDS.

In the case of a credit event the recovery rate on a short position for the underlying bond on a CDS.

For CIV:

A "sell" order for CIV units which must be forwarded to the fund manager (or their transfer agent) rather than being matched / crossed with a "buy" order, e.g. by an intermediary, funds supermarket, broker/dealer etc. This would be used in markets where the originator requires specific tax treatment and/or dealing charges.

Used to report both the initial deal and the repurchase. Allows regulators to connect the two.

• a broker/dealer
• an inter-dealer broker (or broker’s broker)
• an electronic service
• bid or offer prices provided by one or more market makers
• bid or offer prices provided by an inter-dealer broker
• matching system with limit orders entered by customers (dealers or institutions)
• an issuer

After hitting the barrier the next specified barrier goes into effect. The payoff depends on the maximum or minimum of the underlying price over the look-back period. The option becomes active (knock-in) or inactive (knock-out) based on a predetermined price level.

Relevant for multileg orders. This pricing convention is often used at commodities markets. The price is given as the sum of the Price * Ratio for all legs.

• If buying the strategy, the price of a bought leg (which is a buy-leg in the multileg definition) is subtracted, and the price of a sold leg is added.
• If selling the strategy, the price of a bought leg (which is a sell-leg in the multileg definition) is added, and the price of a sold leg is subtracted.

"Riskless" principal transactions are generally described as trades in which, after receiving an order to buy (or sell) from a customer, the broker-dealer purchases (or sells) the security from (or to) another person in a contemporaneous offsetting transaction.

Above from the SEC web-site http://www.sec.gov/rules/final/34-44291.htm

See Exchange Act Rule 10b-10(a)(2)(ii)(A) [17 CFR 240. 10b-10(a)(2)(ii)(A)]; Exchange Act Rel. No. 33743 (Mar. 9, 1994) at n.11.

The option is issued with a sequence of barriers either all below (roll-down calls) or all above (roll-up puts) the current underlying price. Upon reaching each barrier the options strike is lowered for calls or raised for puts. The option is knocked-out at the last barrier.

Also known as as "Board Lot" or "Trade Lot". A standardized number of shares defined by a stock exchange as a trading unit. In most cases, this means 100 shares.

Succession Event Adjustment quantity (SEA) is used to represent the position transferred from the source CDS position to the target CDS position due to a succession event on processing date.

• not lower than the last sale if the last sale was a "plus" or "zero plus" tick and
• not lower than the last sale minus the minimum fractional change in the stock if the last sale was a "minus" or "zero minus" tick.

A limit-price order to sell "plus" also states the lowest price at which it can be executed.

Commonly referred to as "counter currency" in FX nomenclature.

For non-NDF deals (FX swaps, spot and forward) the term "settlement currency" can only mean one thing: the currency that is on the opposite from the dealt currency (expressed in FIX using Currency <15> field). For example: Symbol is EUR/USD, and the dealt is EUR then SettlCurrency <120> is USD.

For NDF deals the term "settlement currency" could be either the dealt currency or the "counter currency" or a third currency. For example: In a USD/KRW NDF deal where the dealt currency is KRW, the settlement currency is USD, if the dealt currency is USD then the settlement currency can also be USD. In a GBP/KRW NDF deal where the deal typically settles in a third currency, USD in this case, then the settlement currency is USD. (NDFs will be discussed in detail in Phase 2 gap analysis).

For FX OTC Spot Options, the settlement currency can refer to either the counter currency or the currency of the option premium (or premia). However, for the purposes of FIX usage, it will refer to the currency of the option premium.

1. For an outright security trade, the "spread" price is the difference in yield between the object security and its benchmark - implied or explicit.
2. For a swap (or switch) of two issued securities the "spread" price is the difference in yield between the security being sold and the one being bought.
3. For a roll of a futures contract with a contract in the same commodity but having a different contract settlement month the "spread" price is the price difference between the contract being sold and the one being bought.
4. For a floating-rate Financing transaction the "spread" is the difference in yield extended above or below the yield of the stated benchmark.

All four types are expressed in basis points (the price or yield difference times 100) and may be negative.

For CIV:

A "buy" order for CIV units which must be forwarded to the fund manager (or their transfer agent) rather than being matched / crossed with a "sell" order, e.g. by an intermediary funds supermarket, broker/dealer etc. This would be used in markets where the originator requires specific tax treatment and/or dealing charges.

The timestamp when the trade was officially acknowledged by the Clearing House

An OTC deal where the participants have agreed that the OTC deal will immediately be extinguished and replaced with a transaction in a regulated future.

According to US futures markets (CFTC):

Timestamp of when order was received on the trading floor (booth).

According to US futures markets (CFTC):

Timestamp when the trade was received from the pit.

The option becomes active if the underlying price exceeds the specified barrier.

The option becomes inactive if the underlying price exceeds the specified barrier.

An order for a multileg security where the user defines the security together with the order and that multileg security is made available to other actors. The lifetime of the multileg is bilaterally agreed between parties.

A multileg order that does not involve securitization. The multileg is not made available to other parties and the order is represented only as implied-out prices. The multileg expires with the order.

The payout amount is determined by the difference between the strike and the underlying.