Appendix L

Pre-Trade Message Targeting/Routing

Three fields, NoRoutingID, RoutingType, and RoutingID have been added to support list processing on third party networks. Vendor "indication of interest" systems generally have list management capabilities. These capabilities include blocking and targeting. To mirror the functionality of the vendor indication systems both blocking and targeting were supported.

Targeting

Targeting relates to the message that contains a list of targeted firms or targeted vendor maintained list identifiers to receive the indication. Generally, most vendor "indication of interest" systems maintain list identifiers that contain firm identifiers for their broker connections. For example, a broker has a list called "JapanList" that contains three institutions JapaneseFirm1, JapaneseFirm2, and JapaneseFirm3. The three firm identifiers are created by the vendor.

Targeting allows for the definition of the universe of firms to receive the indication of interest. A indication of interest message without the targeting identifiers (either firm or list) is assumed to be sent to the whole list of indication receiving firms managed by the vendor (i.e. every institution connected to the broker).

Specific targeting can be accomplished through the combination of firm identifiers and list identifiers. For example, a broker needs to send an indication of interest to a vendor maintained list of U.K. based clients called "UKList" and two U.S. based firms. The targeting section of the indication of interest would look as follows:

215=3^216=1^217=USFirm1^216=1^217=USFirm2^216=2^217=UKList^

Note: The ^ character represents the SOH delimiter.

Tag Explanation
215=3 Three pairs of routing types and IDs to be processed
216=1 Target ID to follow
217=USFirm1 Target ID named USFirm1
216=1 Target ID to follow
217=USFirm2 Target ID named USFirm2
216=2 Target list to follow
217=UKList Target list named UKList

The vendor would assemble the destination list based on the two firm identifiers and the one list identifier.

Blocking

An indication with blocking contains a list of firm identifiers or vendor maintained list identifiers that will be excluded from the targeted list of indication receiving firms managed by the vendor. Using the blocking fields without targeting fields implies that indication of interest is being blocked from the whole universe of institutions available to the broker (i.e. everyone on the vendor's system but these firms).

Many "indication of interest" systems have sophisticated list handling mechanisms that need to be replicated. Blocking is not always performed from the whole universe of firms on the system (i.e. ALL).

Using a combination of targeting and blocking fields can allow for sophisticated list management capabilities. For example, let's assume that the broker intends to send an indication of interest to the universe defined by the broker's UKList and two U.S. based firms. However, the broker needs to exclude one UK based firm from the UKList. The targeting and blocking section would appear as follows:

215=4^216=2^217=UKList^216=1^217=USFirm1^216=1^217=USFirm2^216=3^217=UKFirm1^

Note: The ^ character represents the SOH delimiter.

Tag Explanation
215=4 Four pairs of routing types and IDs to be processed
216=2 Target list to follow
217=UKList Target list named UKList
216=1 Target firm to follow
217=USFirm1 Target firm named USFirm1
216=1 Target firm to follow
217=USFirm2 Target firm named USFirm2
216=3 Blocked firm to follow
217=UKFirm1 UKFirm1 is blocked from receiving IOI

The vendor would assemble the targets based on the supplied UKList and two firm identifiers (USFirm1 and USFirm2) and then remove UKFirm1 from the combined list.

Other Issues

It is expected that every indication of interest message will have a unique IOIid for the fix session usually the trading day.

For canceling and replacing, the vendor system would cancel or replace every destination that has been identified on the previous indication of interest by the IOIid. Blocking and targeting information would not be equired on the canceled or replaced indication of interest.

The use of vendor based firm identifiers requires periodic updates to the brokers to ensure proper blocking and targeting. It is expected that vendors will provide file base transfers of firm identifiers and company names until a more automated solution becomes available.