Académique Documents
Professionnel Documents
Culture Documents
Trading Procedures
and Guidelines V1.8
Fixed Income Trading
Rule Book
CONTENTS
INTRODUCTION 3
ROLES AND RESPONSIBILITIES 3
PRICE TAKER RULES 5
PRICE TAKER OPERATIONAL RESPONSIBILITIES 5
PRICE MAKER RULES 7
PRICE MAKER OPERATIONAL RESPONSIBILITIES 7
REUTERS CENTRAL TREASURY ADMINISTRATION 8
TRADING RULES 8
MARKET CONVENTIONS 12
INTEREST RATE SWAPS / OVERNIGHT INDEX SWAPS PRICE CONVENTIONS............................................................12
DAY COUNT CONVENTIONS 12
PRICE MAKERS WILL SUPPLY ALL DAY COUNT CONVENTIONS FOR CLICK AND TRADE TRADING TO THOMSON
REUTERS AS PART OF THE ON-BOARDING PROCESS. ......................................................................................12
THOMSON REUTERS WILL SUPPLY A LIST OF DAY COUNT CONVENTIONS WHICH CAN BE SELECTED FOR
REQUEST FOR QUOTE TRADING FROM THE PRICE REQUEST TICKET............................................................12
COMPLIANCE WITH REGULATORY REQUIREMENTS12
SECURITY 12
ADDRESSING ISSUES AND CHANGES 13
GLOSSARY OF TERMS 14
2
Fixed Income Trading
Rule Book
INTRODUCTION
Help Desks
All activity on Fixed Income Trading is subject to
the rules contained in this Rule Book. As a The term “Help Desk” is a generic term that refers
condition of your Organisation’s contract with to a Thomson Reuters-staffed department that can
Thomson Reuters, you need to be familiar with respond to your questions concerning system
these Rules and comply with them. operation; the conditions under which you may
need Help Desk assistance are specified in the
This Rule Book applies to all trading when using
Rule Book. Although the term “Help Desk” is used
Fixed Income Trading. Certain rules or parts of
throughout the Rule Book, for other purposes some
rules apply only to, Cash Bond trading, Interest
of the Help Desks may have other names.
Rate Swap trading or Overnight Index Swap trading
or, for Price Makers or Price Takers. These rules You will be able to contact the Help Desk using the
are designated accordingly. Rules not specifically “Help”, “Contact Us” option on the trading applet,
designated will apply to all trading and parties. the “contact us” options in Reuters 3000 Xtra and
Reuters Trader, by telephoning the Help Desk
Thomson Reuters may amend, add or delete rules
number, by e-mailing the Help Desk or by using
in the Rule Book from time to time, and will notify
your Dealing 3000 keystation.
you of such changes. Rules may be changed to
take account of changes to the system, changes in
responsibilities or workflow, and changes to Telephone conversations with help desk staff
achieve regulatory compliance. The Rule Book may be recorded.
rules are in addition to any specific regulatory
requirements with which your Organisation or you, ROLES AND RESPONSIBILITIES
as a User, must comply.
The trading platform connects Price Takers from Role types
Thomson Reuters information products (e.g.
3000Xtra) to Cash Bond, Interest Rate Swap and Fixed Income Trading will have the following roles:
Overnight Index Swap Price Makers globally. ¾ Price Taker organisation
¾ Price Taker-trading user
Fixed Income Trading provides a Price Taker with ¾ Authorised Price Taker coordinator
access to over 15,000 securities (across ¾ Price Maker organisation
Government Bonds, UST’s, Eurobonds, Asian ¾ Price Maker order view user
Bonds & Emerging Markets), Interest Rate Swaps ¾ Authorised Price Maker coordinator
and Overnight Index Swaps with a variety of flexible ¾ Central Treasury Administrator
electronic trading models. The service combines a
number of best of breed components:
Operational responsibilities
¾ Efficient and comprehensive price discovery,
embedded in the trading applet. Operational responsibilities by Role Type are
¾ Automated Dealing Technologies (ADT) summarised below:
delivering bilateral and multi bank trading
models for seamless execution
¾ Price Makers executable pricing providing
breadth and depth of real time prices with deep
liquidity and increased price transparency
3
Fixed Income Trading
Rule Book
Role Responsibilities
Price Taker Nominating authorised Price Taker coordinator to represent Price Taker organisation
Organisation
Authorised Price ¾ Advising Central Treasury Administrator of all trading accounts and their settlement
Taker Coordinator venue details
¾ Advising Central Treasury Administrator of new Price Taker-trading users and their
authorisation profile
¾ Requesting Price Maker relationships to be approved (via Central Treasury
Administrator)
¾ Advising Central Treasury Administrator of required changes to user trading profiles
¾ Advising Central Treasury Administrator of Price Taker users that should no longer
have system access e.g. have left their organisation
Price Maker ¾ Nominating authorised Price Maker coordinator to represent Price Maker organisation
Organisation ¾ Maintain price contributions for Fixed Income CPI (Trading API) connection and
Interest Rate CPI (Trading API) connection.
¾ Credit checking of orders
¾ Responding to Price Taker orders and RFQ’s
¾ Settlement of filled orders
Authorised Price ¾ Advising Central Treasury Administrator of trading defaults, currencies and limits for
Maker Interest Rate Swap and Overnight index Swap trading
Coordinator ¾ Advising Central Treasury Administrator of new Price Maker order view users
¾ Advising Central Treasury Administrator of Price Maker users that should no longer
have system access e.g. have left their organisation
¾ Advising Thomson Reuters of Price Taker users and trading accounts approved to
trade
¾ Advising Thomson Reuters of changes to Price Taker user profiles
Central Treasury ¾ Implementing Price Taker configuration parameters, Price Maker configuration
Administrator parameters, and approved trading relationships as instructed by authorised Price
Taker and Price Maker coordinators
4
Fixed Income Trading
Rule Book
A Price Taker organisation must appoint one or An authorised Price Taker coordinator is
more authorised Price Taker coordinators that are responsible for sending requests to the Central
authorised to act on behalf of the Price Taker Treasury Administrator, using the “Price Taker
organisation. configuration” form, authorising:
¾ Addition of new trading users
Settlement of trades ¾ Amendment of existing trading users
¾ Disabling of existing trading users
A Price Taker organisation must determine and ¾ Removal of existing trading users
communicate its internal settlement policy for Fixed ¾ Definition of permissioned trading accounts for
Income Trading to its authorised Price Taker each trading user
coordinator and Price Taker-trading users. ¾ Definition of permissioned bond classifications
for each trading user
Compliance with the “Rule Book” ¾ Changes to permissioned trading accounts for
a trading user
A Price Taker organisation is responsible for ¾ Changes to permissioned bond classifications
ensuring that all of its users have received, for a trading user
understood and agreed to comply with the terms
and conditions set out in the Rule Book. Price Maker trading relationships
5
Fixed Income Trading
Rule Book
The authorised Price Taker coordinator must Each trading account must have one or more
ensure cover is provided for anticipated hours of settlement venues defined.
trading for their organisation.
The Price Taker-trading user is responsible for
selecting the correct trading account and settlement
Compliance with the “Rule Book”
venue.
The authorised Price Taker coordinator is
responsible for ensuring that all Price Taker-trading
users have received, understood and agreed to Setting “best price” rule for Cash Bond trading
comply with the terms and conditions defined in the
Rule Book. When operating in markets providing Competitive
Request for Quote functionality a Price Taker-
Price Taker-trading user trading user is responsible for setting the best price
rule in the trading applet “settings” panel, which
Gaining access to the Fixed Income Trading applies to competitive request for quote orders.
This setting will be used to determine which Price
A Price Taker-trading user must request access to Maker’s price is highlighted as the “best price” in
the Fixed Income trading system via their the event of two or more Price Makers tying joint
designated authorised Price Taker coordinator first with their quotes.
within their organisation.
Settlement of completed orders
Permissioned user profile
A Price Taker-trading user is responsible for
A Price Taker-trading user will be assigned a passing a trade to their settlement function for trade
generic profile of trading permissions that will settlement. This can be achieved by printing a trade
determine which trading accounts the user can ticket or exporting a group of trades into an
trade on behalf of, which classifications of bonds application. The exact method will be determined
the user can trade and whether the user can trade by the Price Taker organisation.
Interest Rate Swaps and Overnight Index Swaps.
This generic profile is determined by the authorised Limitations on desktop access to Fixed Income
Price Taker coordinator. Trading
In addition, a Price Taker user may be approved to Thomson Reuters does not restrict trading access
trade by one or more Price Maker banks. A Price to individual desktops.
Maker bank may approve all of the generic trading
profile, or a subset of trading accounts, bond Requesting trading relationships with Price Makers
classifications, Interest Rate Swap and Overnight
Index Swap currencies, tenors and notional A Price Taker-trading user can request a trading
amounts that a user may trade. This bank approved relationship from within the trading applet
trading profile may be different between banks for “relationships” panel, found within the “settings”
an individual Price Taker-trading user. panel. The Central Treasury Administrator will
receive requests made. The request will be referred
A Price Taker-trading user will not be able to trade
to the authorised Price Taker coordinator in order
with a Price Maker bank until their trading profile
that they may make a formal application.
has been approved by that bank.
Trading accounts
6
Fixed Income Trading
Rule Book
The Price Maker organisation must sign the A Price Maker organisation is responsible for
relevant agreement with Thomson Reuters for the ensuring that all Price Maker users have received,
Fixed Income Trading service before live trading for understood and agreed to comply with the terms
its organisation can commence. and conditions defined in the Rule Book.
A Price Maker organisation must appoint one or A Price Maker organisation must ensure any
more authorised Price Maker coordinators that are problem and issue arising for its organisation is
authorised to act on behalf of the Price Maker reported to Thomson Reuters in accordance with
organisation. the Rule Book.
The Fixed Income CPI Interface used to make trading An authorised Price Maker coordinator is
connections shall be used for the sole purpose of responsible for the accuracy and completeness of
implementing a Fixed Income CPI Trading all information supplied to Thomson Reuters.
Connection and using Fixed Income Trading in
accordance with the Agreement Defining configuration settings and trading
permissions
Responding to Price Taker orders
An authorised Price Maker coordinator is
A Price Maker organisation must ensure that auto responsible for sending requests to the Central
trading engines / manual traders are available to Treasury Administrator, using the “Price Maker
service Price Taker orders and RFQ’s whilst the configuration” form, to define or change
Price Maker organisation is connected to the Fixed configuration settings and trading permissions.
Income Trading.
Price Maker order view user
Please note that a system timer is applied. When
this preset time expires the order is automatically An authorised Price Maker coordinator is
cancelled by the Fixed Income Trading system. responsible for sending requests to the Central
Treasury Administrator, using the “Price Maker
Credit checking Price Taker orders configuration” form, authorising:
¾ Addition of new order view users
A Price Maker organisation is responsible for ¾ Disabling of order view users
performing any credit checks and other required ¾ Removal of order view users
checks against a Price Taker order or RFQ.
Price Taker-trading relationships
Settlement of trades / STP
An authorised Price Maker coordinator must
A Price Maker organisation is responsible for approve or decline part or all of each Price Taker
passing completed trades to its internal systems for request for a trading relationship by completing
onward processing and settlement. each “Price Taker to Price Maker trading
relationship request” form received and returning to
the Central Treasury Administrator. This will include
approving Price Taker-trading accounts, Price
7
Fixed Income Trading
Rule Book
Taker-trading users and their respective trading trading accounts, users and their respective
profiles. profiles.
An authorised Price Maker coordinator must send a The Reuters Central Treasury Administrator must
revised “Price Taker to Price Maker trading advise a authorised Price Taker coordinator when
relationship request” form where changes to a Price requested changes have been implemented.
Taker’s approved trading accounts, trading user or
trading user trading profile are required. Price Maker configuration
An authorised Price Maker coordinator must The Central Treasury Administrator must only
provide its internal identifiers (used within the Price implement changes received on “Price Maker
Makers own environment) for a Price Taker’s configuration” forms from a nominated authorised
trading accounts and trading users as part of the Price Maker coordinator to define or change
approval process. configuration settings, trading permissions, and
order view users.
Price Maker to Price Taker-trading agreements The Central Treasury Administrator must advise a
authorised Price Maker coordinator when request
An authorised Price Maker coordinator must ensure changes have been implemented.
that a trading agreement is in place with a Price
Taker organisation before sending approval for a Price Taker to Price Maker trading relationship
Price Taker-trading relationship to the Reuters requests
Central Treasury Administrator.
The Central Treasury Administrator must only
Providing cover for the authorised Price Maker implement approval requests received on “Price
coordinator role Taker to Price Maker trading relationship request”
forms from a nominated authorised Price Maker
An authorised Price Maker coordinator is coordinator to permission or de-permission a Price
responsible for ensuring continuity of cover by Taker’s trading accounts, trading users and their
appointing one or more representatives to Taker respective trading permissions.
over their responsibilities in their absence.
The Central Treasury Administrator must advise
An authorised Price Maker coordinator must ensure relevant Price Taker and authorised Price Maker
cover is provided whilst tradable price contributions coordinators when a trading relationship request
are made to the Fixed Income Trading. has been actioned.
The Reuters Central Treasury Administrator must Multiple Price Competitive request for quote
only implement changes received on “Price Taker Makers
configuration” forms from the nominated authorised
Price Taker coordinator to add, amend or remove
8
Fixed Income Trading
Rule Book
Note:
A Price Taker-trading user will only be able to
submit an order if they are permissioned to trade by
their organisation and approved to trade by the
chosen Price Maker(s). Definition of single Price
Maker order types
Single Price Maker order types will be determined
according to the following rules:
9
Fixed Income Trading
Rule Book
Price Makers must respond to order types according to the rules below:
Request for quote / counter propose quote Users of Fixed Income Trading Applet for
updates Interest Rate Swap/Overnight Index Swap
trading sheet
When a Price Maker chooses to quote or counter
propose an order, the Price Maker will specify a
A Price Taker-trading user can action a Click and
timer period that a quote is good for. The Price
Trade order with a single Price Maker by double
Maker may update its quote before the timer period
clicking on the bid price (Price Taker receives
for a previous quote expires. The Price Maker can
Fixed) or ask price (Price Taker pays Fixed) of a
also cancel its quote at any time. When a Price
Price Makers rate from within the Fixed Income
Taker-trading user accepts a quote, it will be the
Trading Price Discovery panel for Interest Rate
most recent quote displayed on the users screen.
Swaps
10
Fixed Income Trading
Rule Book
11
Fixed Income Trading
Rule Book
In the event of a disputed trade, the Price Taker Price Makers will supply all day count conventions
and / or authorised Price Maker Coordinators only
for Click and Trade trading to Thomson Reuters as
may request copies of the electronic logs for the part of the on-boarding process.
order from Central Treasury Administration.
Thomson Reuters will provide such records and will
supply further information on the trade as Thomson Reuters will supply a list of day count
requested by a court or regulatory body. conventions which can be selected for Request for
quote trading from the price request ticket.
MARKET CONVENTIONS
COMPLIANCE WITH REGULATORY
Price conventions REQUIREMENTS
12
Fixed Income Trading
Rule Book
13
Fixed Income Trading
Rule Book
GLOSSARY OF TERMS
Term Definition
Accrued interest The interest that has accumulated on a bond since the last coupon interest
payment up to but not including the settlement date.
Best price rule A rule with two settings decided by the Price Taker user that is used to
determine the “best price” when two or more Price Maker prices are tied for best
prices in a competitive request for quote, subject to that market providing
Competitive Request for Quote orders. The settings are: first price bank; or
favourite bank (determined by the order of the banks on the screen with Price
Maker at top of the list being the most favourite).
Bond classifications Thomson Reuters classifies bonds into smaller sets for ease of identification.
Bond sets are described by asset class e.g. government, currency e.g. EUR,
and market class e.g. Germany.
Clean price The price quoted for a bond excluding accrued interest.
Click and Trade A method of trading from the Interest Rate Swap/Overnight Index Swap trading
sheet where you double click on the Yield (interest rate) of your selected
instrument to launch a trading ticket.
Competitive request for An order type where a Price Taker submits the same request for quote to up to
quote five Price Makers simultaneously. Competitive Request for Quote workflow is
only available in certain markets.
Counter propose A Price Maker response with alternate terms (e.g. price / yield) if the terms of an
order can no longer be met. This could be due to a price being stale by the time
it reached a Price Maker, or due to a Price Taker asking for a non-standard price
or quantity.
Fixed Income CPI Thomson Reuters name for the Price Maker fixed income trading API
(application program interface).
Flexible Request For Quote A request to the Price Maker to price an Interest Rate Swap where their
contributed price is not firm or to price an Interest Rate Swap of non standard
settlement or structure.
Minimum quantity Some bonds are issued for a nominal amount greater than one e.g. one bond
certificate may be for $10,000. The minimum quantity validates that a specified
quantity is greater than or equal to the nominal amount of the lowest
denomination for a bond.
Order submission An order type where a Price Taker submits an order for a standard (published)
firm price / yield for a quantity less than or equal to the published maximum size
and for a standard settlement date.
PIN An alphanumeric value that is concatenated with a user id to enhance the level
14
Fixed Income Trading
Rule Book
Term Definition
of security.
Price contributions Prices contributed to Fixed Income Trading by Price Makers and as described in
its relevant agreement with Thomson Reuters.
Price Maker configuration A term that describes Price Maker settings within the system.
Price Taker configuration A term that describes Price Taker settings within the system.
Request For Quote (RFQ) An order type that is sent to a Price Maker if their contributed price is not firm, or
if the order is for a non-standard settlement date. The Price Maker will then
quote a firm price that the Price Taker can accept or reject.
Fixed Income Trading Thomson Reuters trading capability to Price Takers, delivered via Thomson
Reuters information desk top service that connects to multiple Price Makers.
Rule Book A combination of role definitions, responsibilities, assumptions and rules that
Price Takers, Price Makers and Thomson Reuters agree to comply with in
respect to Fixed Income Trading.
Settlement The process used to describe the delivery of a bond from one party to another in
return for a cash amount agreed on a given date as agreed at the time of a
trade.
Settlement amount The aggregate of the trade quantity at the agreed trade price and any accrued
interest amount.
Settlement policy A policy determined by a Price Taker or Price Maker that describes its
settlement process and procedures.
Settlement venue A third party through which delivery of a bond and the resultant cash payment
will be made by the Price Taker and Price Maker parties.
Standard increment Where bonds are issued for a nominal amount greater than one e.g. one bond
certificate may be for $10,000, the specified quantity for an order must be a
whole multiple of the bond denomination.
STP Straight through processing: an industry term used to describes the automation
of settlement process flows between systems and parties.
Subject order An order type where a Price Taker submits an order for a standard settlement
date, but for a non-standard price (where the published price is firm), or for a
quantity greater than the published maximum size.
15
Fixed Income Trading
Rule Book
Term Definition
Trading agreement An agreement to trade between a Price Taker and a Price Maker.
Trading connection This refers to the Price Maker’s Fixed Income CPI (trading API) connection.
Trading relationship A relationship between Price Maker and a Price Taker where both parties have
a trading agreement, a Price Taker has requested a trading relationship, and the
Price Maker has approved the Price Taker for trading.
© Thomson Reuters 2009. All rights reserved. Thomson Reuters and the sphere logo are the
trademarks or registered trademarks of the Thomson Reuters group of companies around the world.
Published by Thomson Reuters Limited, The Thomson Reuters Building, South Colonnade, Canary
Wharf, London E14 5EP
United Kingdom Tel:+44 20 7250 1122
21-August-2009
This Trading Procedures and Guidelines document is made available solely for the use and reference of
current Fixed Income Trading subscribers only and must not be accessed by anyone else. By accessing
this Trading Procedures and Guidelines, you represent to Thomson Reuters that you are a current FIT
Rule Book subscriber.
For further information about Thomson Reuters visit us online at www.thomsonreuters.com
16