Technical Notice

TRACE MBS Specified Pool and SBA-Backed ABS Information

March 25, 2013

On Monday, July 22, 2013, FINRA will enhance the Securitized Products Dissemination ServiceSM (SPDSSM) by including the dissemination of transactions in agency pass-through mortgage-backed securities that are traded in specified pool transactions (MBS specified pool transactions) and SBA-backed ABS that are traded either in specified pool transactions or TBA. These transactions will be disseminated via the current SPDS IP Multicast channel. In addition, FINRA will modify the reference data it publishes to include specific information related to MBS and SBA-backed specified pool securities.

Dissemination Protocol Changes

In lieu of disseminating the CUSIP, FINRA will disseminate transaction information using reference data elements that describe the characteristics of the traded pool for MBS and SBA-backed ABS specified pool transactions. This reference data will be encapsulated in a new Reference Data Identifier (RDID) field in the trade, trade cancel, trade correction and daily summary messages for the specified pool transactions. Version 1.3 of the TRACE SPDS specification is currently available and illustrates the changes to the data feed.

Reference Data Updates

FINRA is modifying the Securitized Products (SP) Web API to include RDID structure information for the MBS and SBA-backed specified pool securities. This includes:

  • RDID master file;
  • RDID daily list file;
  • update to closing price file;
  • update to MBS security master file; and
  • update to security daily list file.

Version 4.0 of the TRACE Web API specification is currently available and illustrates the changes to the reference data structure.

Trade Reporting Requirements

Effective July 22, 2013, the trade reporting requirements for MBS specified pool and SBA-backed ABS securities will change as detailed below. Firms should test their software programs to ensure these trades are reported within the required timeframe. Please refer to FINRA Rule 6730 for specific information regarding the reporting requirements for the transactions.

Subject Information
Trade Reporting—MBS specified pool and SBA-backed ABS Trades (including corrections) must be reported within 120 minutes of execution.

Testing Information

Beginning Monday, June 24, through Friday, July 19, 2013, firms can test the modifications to support securitized products MBS specified pool and SBA-backed ABS trade reporting and dissemination in the NASDAQOMX (NOMX) testing Facility (NTF). The modifications include a change to the required reporting timeframe of transactions to a 120 minute period from the time of trade execution, as well as the SPDS dissemination of the transactions.

In addition to the NTF testing, FINRA has scheduled a production user acceptance test for Saturday, July 13, 2013. FINRA will issue additional details regarding this test as the date approaches. Note: Testing in the NTF between June 24 and July 19, 2013, will be free of charge.

Please direct questions and comments regarding this notice or regarding any technical questions regarding SPDS or TRACE to FINRA Product Management or call (866) 899-2107.

Testing Details—NTF

Authorized firms may enter and process test transaction data in the NASDAQOMX Testing Facility (NTF) and download a new Securitized Products Application Programming Interface file for MBS Reference Data files and closing prices.

The information below is for connecting to SPDS in the NTF environment.

Subject Information Contact
Test registration Required FINRA Product Management
Testing hours Mon – Fri 8 a.m. – 6 p.m. ET  
Connectivity requirements (NTF trade reporting) To enter test trades and receive acknowledgements via FIX and CTCI, ensure you are routing messages to the NTF environment.

To enter test trades and view transactions on the TRAQS test website:

The TRAQS website will be enhanced to display Time and Sales data (for authorized users) for trades in MBS specified pool and SBA-backed ABS which were disseminated. This functionality will be made available for testing in NTF beginning on June 24, 2013.
Test Connectivity requirements (SPDS) To receive streaming test data, firms may purchase a circuit to directly connect to the feeds or contact their extranet provider to request access to the test data stream.

Please view the attached link for the SPDS NTF IP addresses.
To purchase a circuit, contact NASDAQ OMX Subscriber Services at (212) 231-5180; Option #3
If you connect via extranet, please contact your provider.
Web API To process the RDID Master File, RDID Daily List File, RDID field in the Security Master and Security Daily List and test MBS closing prices for securities traded for a specific day:

Query parameters detailed in the API specification must be used in order for test reference data to be published.