Appendix F



Trade Capture Reporting allows sell-side firms (broker, exchange, ECN, central counter parties) to provide timely reporting of completed trades to parties involved in a trade as well as to external entities not involved in the execution of the trade. Trade Capture Reporting has been designed for several uses including sell-side trade reporting into an exchange or ECN, trade confirmation reporting by an exchange or clearing organization, and end of day trade reporting via static data files. For example, in the United States OCC (Options Clearing Corporation) and CME (Chicago Mercantile Exchange) both make extensive use of the Trade Capture Report for trade management, trade confirmation reporting, and end of day trade reconciliation via static data file. As settlement cycles reduce, such communication must be closer to real-time vs. an end-of-the day batch process. The Trade Capture Report and Trade Capture Report Request messages have been designed to facilitate such communication.

Trade Capture Reporting has been expanded to include support for two party (sell side - buy side) and three party (sell side - exchange/clearing house/VMU - buy side) communication. Appendix B (Volume 5) contains an extensive set of message flow tables which illustrate Trade Capture Report usage for privately negotiated trades in an exchange setting. The tables also deomonstrate the appropriate models for cleared trade reporting by clearing organizations. Support for matched trades, unmatched trades, transfer, block trades, and exchange for physical (EFP) trades are supported.

Messages used for Trade Capture Reporting: