TRACE Reporting and Dissemination of No Remuneration Trades and ATS

On Monday, July 18, 2016, FINRA will implement changes and enhancements to TRACE trade reporting and dissemination. The TRACE software release will include three components:

• No Remuneration Reporting and Dissemination;
• ATS Reporting and Dissemination; and
• Real-Time Dissemination of Enhanced Corporate & Agency Market Aggregates Data.

TRACE Corporate & Agency Debt and Securitized Products trade report users and TRACE market data consumers must accommodate these changes and enhancements on July 18. Please refer to Regulatory Notice 15-47 and SR-FINRA-2015-055 for more information on No Remuneration and ATS Reporting, respectively.  

TRACE Trade Reporting Changes

TRACE Trade Reporting Changes

• Introduce a new field "No Remuneration Indicator" to identify whenever commission or markup/markdown is not assessed on the trade at the time of execution using values of "N" or blank.
• Introduce a new field "ATS Execution MPID" on inbound and outbound trade reporting messages to identify if a trade was executed on an ATS platform.

TRACE Trade Reporting Specifications

• TRACE FIX Spec for Corporates and Agencies – version 1.3a
• TRACE FIX Spec for Securitized Products – version 1.7b
   
• TRACE CTCI Spec for Corporates and Agencies – version 3.3a
   
• TRACE CTCI Spec for Securitized Products – version 1.5b
• TRACE OTC Corporate Bonds and Agency Debt User Guide – Version 4.5
• TRACE Securitized Products User Guide – Version 4.6

TRACE Dissemination

TRACE Dissemination Changes

• Retire the Commission Indicator field and replace with new Remuneration field.
• Introduce new values "N", "C" and "M" to the Remuneration field on all TRACE data feeds to identify the type of remuneration on trade reports, if applicable.
  • A blank value will be used for all interdealer trades and disseminated ABS trades.
• Introduce a new field "ATS Indicator" on all TRACE data feeds to identify ATS trade reports and executions using values of "Y" or blank.
• Introduce a new value "T" to the Reporting Party Type and Contra Party Type fields on all TRACE data feeds to indicate if a trade was reported by or executed against an ATS. A blank value will be used for all disseminated TBA trades.
• Introduce Administrative messages (Category A) for real-time Market Breadth EOD and Market Sentiment calculations on related feeds, specific to ATDS, BTDS and BTDS-144A.

TRACE Dissemination Specifications

• TRACE BTDS Specification - Version 4.4
• TRACE BTDS-144A Specification - version 2.5
• TRACE ATDS Specification – version 3.4
• TRACE SPDS Specification - version 2.4
• TRACE SPDS-144A Specification - Version 1.4

Note: The changes associated with this release will not impact the TRACE API files.

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.