TRACE TEST SCRIPT - FINRA

FINRA TRACE – Non-Member Affiliates 1 10/10/2015 UAT Test Script

TRACE

Production User Test Script for Non-Member Affiliates

(Securitized Products Securities)

October 10, 2015

Time: 9 a.m. – 12 p.m. ET

Dial-in: 888.677.9129

Pass code: 90047795

The test script allows users to enter Trades, Cancels and Corrections for SP sub-products:

Asset Backed Securities (ABS), Asset Backed Securities Exempt (ABSX), Collateralized

Mortgage Obligations (CMO), Mortgage Backed Securities (MBS) and To Be Announced

(TBA), using the FIX/CTCI Protocols or the TRAQS Web interface.

Please note the following for testing:

Contra Party ID of “C” indicates a customer trade.

Contra Party ID of “A” indicates a Non-Member Affiliate trade.

On Contra Party field where “Enter Firm MPID” is stated, please enter any valid

broker-dealer MPID as your contra party.

For testing, the current business date will be 10/10/2015, which should be used as the

Execution Date where the field indicates “Current Date”.

Clearing Numbers are optional and may be entered if desired.

The Branch Sequence Number and Memo fields are optional and may be entered if

desired.

You can assign a Client Trade ID on each trade report and Cancel and Correct using a

either the Client Trade ID or the TRACE Control Number.

Test cases in this test script are suggested test cases only. Firms are free to use their

own test cases and use other valid security symbols to perform their test. TRACE

Corporate and Agency test trades can be performed as well.


Securities that will be used for testing in this script:

Symbol CUSIP Sub Product 144A Grade

GM4106817 03064LAF7 ABS NO Investment Grade

SMBA3602737 83162CTX1 ABS NO Investment Grade

BSNX3288000 12328MAL5 ABS YES High Yield

SPCR4165571 850228AC1 ABS YES High Yield

ACA3278441 00082LAB0 ABSX YES High Yield

NBGL4184381 64128QAG0 ABSX YES Investment Grade

FMCC3515656 02R0514C0 TBA-GD NO Investment Grade

FMCC3515649 02R0426C7 TBA-GD NO Investment Grade

FMCC3515775 07R0431C9 TBA-NGD NO Investment Grade

FMCC2263884 31337AGJ9 MBS NO Investment Grade

FMCC4222413 3128MJV64 MBS NO Investment Grade

FMCC2276923 3128FACN5 MBS NO Investment Grade

FNMA4023584 3136AE4K0 CMO NO Investment Grade

ASSK3277657 04542BGA4 CMO NO High Yield


TRADE ENTRY

Field TEST CASE 1 TEST CASE 2 TEST CASE 3

Sub-Product ABS ABS ABS Side (Buy/Sell) BUY SELL SELL CUSIP 03064LAF7 03064LAF7 03064LAF7 Symbol GM4106817 GM4106817 GM4106817 RDID Quantity 5,000,000.00 10,000,000.00 11,000,000.00 Contra Party ID A A A Capacity (P/A) P A P Price 100.375 100.363281 100.50 Price Override Execution Time Within the past 45

min of current time Within the past 45 min

of current time Within the past 45 min

of current time Settlement Date 10/15/2015 10/15/2015 10/15/2015 As Of Indicator Execution Date Current date Current date Current date Commission 500.00 RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 S S S Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor .9876512 Special Processing A EXPECTED RESULT Mod 3 blank

Trade disseminated to SPDS

Modifier 3 blank Trade disseminated to

SPDS

Modifier 3 blank Trade NOT

disseminated Control Number (if accepted) or Reject Control Number (if rejected)

Comments

Disseminated price = 100.368344

Non-Member Affiliate trade with Special Processing of ‘A’ is not for dissemination


TRADE ENTRY


Sub-Product ABS ABS ABS Side (Buy/Sell) SELL BUY BUY CUSIP 83162CTX1 83162CTX1 03064LAF7 Symbol SMBA3602737 SMBA3602737 GM4106817 RDID Quantity 5,000,000.00 700,000.00 1,250,000.00 Contra Party ID A A C Capacity (P/A) P P A Price 108.75 108.6875 100.25 Price Override Execution Time 093000 Within the past 45

min of current time Current time

Settlement Date 10/13/2015 10/15/2015 10/15/2015 As Of Indicator Y Execution Date 10/09/2015 Current date Current date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 S P S Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing A EXPECTED RESULT Mod 3 = Z

Trade disseminated with as-of date of execution to SPDS

Trade NOT disseminated

Trade Rejected

Control Number (if accepted) or Reject Control Number (if rejected)

Comments

Primary market trade is not eligible for dissemination

Only a Non-Member Affiliate trade allows to use Special Processing of ‘A’


TRADE ENTRY


Sub-Product ABS(144A) ABS(144A) ABS (144A) Side (Buy/Sell) SELL SELL BUY CUSIP 12328MAL5 12328MAL5 850228AC1 Symbol BSNX3288000 BSNX3288000 SPCR4165571 RDID

Quantity 8,000,000.00 6,500,000.00 12,500,000.00 Contra Party ID A A A Capacity (P/A) P P P Price 108.90 98.875 99.000

Price Override Execution Time Within the past 45

min of current time 163000 Within the past 45

min of current time Settlement Date 10/15/2015 10/12/2015 10/15/2015 As Of Indicator Y Execution Date Current date 10/09/2015 Current date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 S S S Modifier 3 Modifier 4 W Client Trade ID Branch Seq # Memo

Factor Special Processing A EXPECTED RESULT Trade is

disseminated to SPDS 144A

Modifier 3 = Z Trade NOT

disseminated

Trade disseminated with ‘W in Mod 4

field to SPDS 144A


Comments

Non-Member Affiliate trade

Non-Member Affiliate trade with Special Processing of ‘A’ will not be disseminated

Disseminated amount will reflect estimated (capped) Quantity of 10MM+.


TRADE ENTRY


Sub-Product ABS (144A) ABSX ABSX Side (Buy/Sell) SELL BUY SELL CUSIP 850228AC1 00082LAB0 00926CAA0

Symbol SPCR4165571 ACA3278441 ARLX3279631 RDID

Quantity 1,500,000.00 12,500,000.00 7,500,000.00 Contra Party ID A A A Capacity (P/A) P A P Price 100.4598 99.125 98.875 Price Override Execution Time Current time 180000 Current time Settlement Date 10/15/2015 10/12/2015 10/15/2015 As Of Indicator Y Execution Date Current date 10/08/2015 Current date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing A EXPECTED RESULT Trade Rejected Trade NOT

disseminated Trade NOT

disseminated – Control Number (if accepted) or Reject Control Number (if rejected)

Comments

Trade should be rejected due to missing Modifier 2 value

ABSX trade is exempted from dissemination



TRADE ENTRY


Sub-Product ABSX TBA (GD) TBA (GD) Side (Buy/Sell) SELL SELL BUY CUSIP 64128QAG0 02R0514C0 02R0426C7 Symbol NBGL4184381 FMCC3515656 FMCC3515649 RDID Quantity 1,500,000.00 15,000,000.00 26,000,000.00 Contra Party ID Interdealer Trade

Enter Firm MPID A A

Capacity (P/A) A A P Price 96.75 97.75 99.15523 Price Override Execution Time Current time Current time Within the past 15

min of current time Settlement Date 10/15/2015 10/15/2015 10/15/2015 As Of Indicator Execution Date Current date Current date Current date Commission 750 500 RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 N Client Trade ID Branch Seq # Memo Factor .9875412 Special Processing EXPECTED RESULT Trade NOT

disseminated Modifier 3 = blank

Trade is disseminated to

SPDS

Modifier 4 = N Trade is

disseminated to SPDS


Comments


Disseminated amount will reflect actual quantity.

Disseminated amount will reflect estimated (capped) Quantity of

25MM+. Trade should accept

even though no factor entered since this is a

TBA and they are exempt from rule


TRADE ENTRY


Sub-Product TBA (NGD) TBA (NGD) TBA (NGD) Side (Buy/Sell) BUY SELL BUY CUSIP 07R0431C9 07R0431C9 07R0431C9 Symbol FMCC3515775 FMCC3515775 FMCC3515775 RDID Quantity 1,000,000.00 12,000,000.00 8,000,000.00 Contra Party ID A A C Capacity (P/A) A P A Price 97.75 99.15523 99.15523 Price Override Execution Time Current time Within the past 15

min of current time Within the past 15 min of current time

Settlement Date 10/15/2015 10/15/2015 10/15/2015 As Of Indicator Execution Date Current date Current date Current date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing A EXPECTED RESULT Modifier 3 = blank

Trade NOT disseminated

Modifier 3 = blank Trade is


Modifier 3 = blank Trade is



Comments

Non-Member Affiliate trade with Special

Processing of ‘A’ will not be disseminated


TRADE ENTRY


Sub-Product MBS MBS MBS Side (Buy/Sell) BUY SELL BUY CUSIP 31337AGJ9 31337AGJ9 3128MJV64 Symbol FMCC2263884 FMCC2263884 FMCC4222413 RDID

MSA253C2G1428000

A

MSA253C2G1428000

A

MSL3A3C423A002F0F

Quantity 9,100,000.00 7,500,100 500,000.00 Contra Party ID A A A Capacity (P/A) A P P Price 101.75 102.25 104.546875 Price Override Execution Time Within the past 60 min

of current time

Outside 60 mins of reporting time

Current time

Settlement Date 10/15/2015 10/15/2015 10/15/2015 As Of Indicator Execution Date Current date Current date Current date Commission 350 RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 O Client Trade ID Branch Seq # Memo Factor .98765412 Special Processing A EXPECTED RESULT Trade disseminated

with RDID Modifier 4 = O to

SPDS

Modifier 3 = Z Trade disseminated with RDID to SPDS

Trade Not Disseminated


Comments


Non-Member Affiliate trade with Special

Processing of ‘A’ will not be disseminated

https://qcmppweb1.nasdaqomx.com/web/Pages/TradeEntry.aspx?Facility=TRACE&Product=SP&SecurityId=FMCC2263884

https://qcmppweb1.nasdaqomx.com/web/Pages/TradeEntry.aspx?Facility=TRACE&Product=SP&SecurityId=FMCC2263884


TRADE ENTRY


Sub-Product MBS MBS CMO Side (Buy/Sell) SELL BUY BUY CUSIP 3128MJV64 3128FACN5 3136AE4K0 Symbol FMCC4222413 FMCC2276923 FNMA4023584 RDID MSL3A3C423A022F0F MSL7A3C7J1228050F Quantity 520,000.00 350,000.00 1,200,000.00 Contra Party ID Enter Firm MPID A A Capacity (P/A) P P A Price 104.546875 103.25 100.50 Price Override Execution Time Current time Current time Current time Settlement Date 10/15/2015 10/15/2015 10/15/2015 As Of Indicator Execution Date Current date Current date Current date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Modifier 3 = blank

Trade disseminated with RDID to SPDS

Trade disseminated with RDID to SPDS

Modifier 3 = blank Trade Not

Disseminated


Comments

CMO trade entry is exempted from dissemination



Sub-Product CMO CMO CMO Side (Buy/Sell) SELL BUY SELL CUSIP 3136AE4K0 3136AE4K0 04542BGA4 Symbol FNMA4023584 FNMA4023584 ASSK3277657 RDID

Quantity 5,250,000.00 1,200,000.00 5,500,000.00 Contra Party ID A A Interdealer Trade

Enter Firm MPID Capacity (P/A) A P A Price 100.613281 100.75 99.125 Price Override Execution Time Current time 173500 Outside the past 45 min

of current time Settlement Date 10/14/2015 10/15/2015 10/15/2015 As Of Indicator Y Execution Date Current date 10/09/2015 Current date Commission 225.00 RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor 1.0 Special Processing A EXPECTED RESULT Modifier 3 = blank

Trade Not Disseminated

Modifier 3 = U Trade Not

Disseminated

Modifier 3 = Z Trade Not

Disseminated Control Number (if accepted) or Reject Control Number (if rejected)

Comments

CMO trade entry is exempted from dissemination.




CANCEL


Cancel trade entered in

Test case 1


Test case 8


Test case 11

Sub-Product ABS ABS(144A) ABSX Side (Buy/Sell) CUSIP Symbol RDID Quantity

Contra Party ID Capacity (P/A) Price Price Override Execution Time Settlement Date As Of Indicator Execution Date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Cancel Disseminated

to SPDS Cancel Not

Disseminated Cancel NOT

Disseminated Control Number (if accepted) or Reject Control Number (if rejected)

Comments

Original Non-Member Affiliate trade with

Special Processing of ‘A’ will not be disseminated


CANCEL



Test case 14


Test case 16


Test case 19

Sub-Product TBA(GD) TBA(NGD) MBS Side (Buy/Sell) CUSIP Symbol RDID Quantity

Contra Party ID Capacity (P/A) Price Price Override Execution Time

Settlement Date As Of Indicator Execution Date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Cancel Disseminated

to SPDS Cancel Not

Disseminated Cancel Disseminated

to SPDS Control Number (if accepted) or Reject Control Number (if rejected)

Comments

Original Non-Member Affiliate trade with

Special Processing of ‘A’ will not be disseminated


Field TEST CASE 34


Test case 26

Sub-Product CMO Side (Buy/Sell) CUSIP Symbol RDID Quantity

Contra Party ID Capacity (P/A) Price Price Override Execution Time Settlement Date As Of Indicator Execution Date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Cancel NOT

Disseminated


Comments



CORRECTION


Correct trade entered in

Test Case 2 (Settlement

Date)


Test Case 5

(Modifier 2)


Test Case 7

(Price)

Sub-Product ABS ABS (144A) ABS (144A) Side (Buy/Sell) CUSIP Symbol RDID Quantity

Contra Party ID Capacity (P/A) Price 105.90 Price Override Execution Time Settlement Date 10/16/2015 As Of Indicator Execution Date Commission RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 S Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Correction

Disseminated to SPDS Affiliate Trade is Disseminated to

SPDS 144A

Correction Disseminated to SPDS

144A Control Number (if accepted) or Reject Control Number (if rejected)

Comments


CORRECTION



Test Case 12 (Quantity)


Test Case 15

(RP GiveUp)


Test Case 17 (Quantity)

Sub-Product ABSX TBA(GD) TBA(NGD) Side (Buy/Sell) CUSIP Symbol RDID Quantity 7,000,000.00 2,500,000.00

Contra Party ID Capacity (P/A) Price Price Override Execution Time Settlement Date As Of Indicator Execution Date Commission RP Give Up Enter GiveUp Firm

MPID

RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Correction Not

Disseminated Correction Not Disseminated

Correction Disseminated to SPDS


Comments




Test Case 20

(Commission)


Test Case 23(Contra

Party ID)


Test Case 27

(Settlement)

Sub-Product MBS MBS CMO Side (Buy/Sell) CUSIP Symbol RDID Quantity

Contra Party ID Entry Firm MPID Capacity (P/A) Price Price Override Execution Time Settlement Date 10/14/2015 As Of Indicator Execution Date Commission 385 RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 2 Modifier 3 Modifier 4 Client Trade ID Branch Seq # Memo Factor Special Processing EXPECTED RESULT Correction

Disseminated to SPDS Cancel Disseminated

to SPDS Correction NOT Disseminated


Comments


Documents

TRACE TEST SCRIPT - FINRA