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Update: Changes for Securitized Products and Corporate and Agency Debt Reporting and Dissemination

As previously announced, on Monday, April 27, 2015, FINRA will implement technical changes across all of its TRACE data feeds (BTDS, BTDS-144A, ATDS and SPDS). TRACE fixed income market data consumers must accommodate the data feed technical format changes described in each dissemination product specification by April 27, 2015 to continue to receive TRACE transactions. FINRA is also modifying some of the reporting requirements listed in the December 17, 2014, TRACE technical notice

Updated TRACE Data Feed Specifications
BTDS; BTDS-144A; ATDS, SPDS

  • Decommission Category T - Type G, H and I messages. Introduce Category T - Type M, N and O messages with new data format layouts
    • "Reporting Party Side" is renamed "Side".
    • "Remuneration" Indicator field has been restored back to be named "Commission Indicator".
    • "Reporting Party Type" remains but values supporting identification of ATS as a Reporting Party have been removed.
    • "Contra Party Type" remains but values supporting identification of ATS as a Contra Party have been removed.
    • Removed value supporting the identification of Affiliates as a "Contra Party Type". 
    • Eliminated Test Cycle Messages.

SPDS-144A

  • A New SPDS-144A feed will be introduced to disseminate trades of ABS 144A securities. The SPDS-144A data feed is a replication of the modified SPDS message formats.

TRACE Securitized Products Web API specification

Securitized Products Web API

SP Master File

  • Introduce new sub product category (ABSX) for ABS securities that are not disseminated. A new master file for these securities will be available.

SP Closing Price File

  • Closing prices from disseminated ABS trades will be included in the SP API Closing File.
  • A new SP Closing Price file shall be created for closing prices of disseminated SP-144A trades (ABS).

Updated TRACE Reporting Specifications
FIX for Corporate and Agency Debt (CA)
FIX for Securitized Products (SP)
CTCI for Corporate and Agency Debt (CA)
CTCI for Securitized Products (SP)

  • Removed values supporting identification of Affiliate ('A') as a contra party.
  • Removed value supporting dissemination processing of Affiliate trades using the Special Processing field.
  • Removed the No Remuneration Indicator field.
    • For FIX users, removed Tag 22034 on all messages.
    • For CTCI users, restored one byte to the Filler field that follows the Buyer Commission field on all messages.
  • Retained use of Trade Modifier 2 to identify List or Fixed Price and Takedown ABS transactions.

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

Questions regarding this notice or about any of the TRACE changes should be directed to FINRA Product Management at (866) 899-2107.