TRACE Reporting and Dissemination of CMO Trades

On Monday, March 20, 2017, FINRA will implement changes and enhancements to TRACE trade reporting and dissemination. The TRACE software release will include four components:

  1. Real-Time Dissemination of Securitized Products Data where CMO quantity is less than $1 million.
  2. Publication of weekly and monthly files (via API and Web) of Securitized Products Data where CMO quantity is more than or equal to $1 million.
  3. Reduce the reporting period for CMOs from end-of-day to 60 minutes, and also to amend Rule 6730 to simplify the reporting requirements for transactions in CMOs executed prior to issuance.

TRACE Securitized Products trade report users and TRACE market data consumers must accommodate these changes and enhancements effective March 20, 2017. Please refer to Regulatory Notice 16-38 and SR-FINRA-2016-023 for more information on the changes to disseminate and report CMO transactions.

TRACE Trade Reporting

TRACE Trade Reporting Changes

  • Reduce the reporting period for CMOs from end-of-day to 60 minutes, and also to amend Rule 6730 to simplify the reporting requirements for transactions in CMOs executed prior to issuance.

TRACE TRAQS User Guides

  • User Guide for Securitized Products (SP)

Note: the TRACE TRAQS SP Use Guides will be published at a future date

TRACE Dissemination

TRACE Dissemination Changes

  • Begin to disseminate transactions if the reported quantity is less than $1 million in Collateralized Mortgage Obligation securities via SPDS and SPDS 144A.
    • Note that disseminated information will not include the reporting party, the side (buy/sell indicator) the contra party (dealer/customer indicator), or Remuneration Indicator
    • CMO transactions reported with a volume of $999,999.99 or less will be disseminated with the actual volume of the transaction.

TRACE Dissemination Specifications

TRACE API

TRACE API Changes

  • Publication of weekly and monthly files of transactions that the quantity is more than or equal to 1 Million in Collateralized Mortgage Obligation securities via API.

TRACE API Specifications

TRACE Web

TRACE Web Changes

  • Publication of weekly and monthly files of transactions that the quantity is more than or equal to 1 Million in Collateralized Mortgage Obligation securities via Web.

 

FINRA will issue details regarding testing of these changes in a future technical notice.

Questions regarding this notice or about any of the TRACE technical changes should be directed to FINRA Product Management at (866) 899-2107. For questions regarding the rule amendments, please contact the personnel listed on the Regulatory Notices linked above.