Enhanced Electronic Blue Sheet Submissions Updates Extension of Effective Date for Certain Data Elements

Transcription

1 Regulatory Circular RC TO: FROM: SUJECT: O Options Participants O Regulation Enhanced Electronic lue Sheet Submissions Updates Extension of Effective Date for Certain Data Elements DATE: November 19, 2015 Summary O Options, LLC ( O ) and other interested members of the Intermarket Surveillance Group ( ISG interested members ) 1 have extended the effective date for firms to submit certain data elements for Electronic lue Sheets (ES) to November 1, O and the other ISG interested members have also extended the effective date for compliance with certain other data elements, as identified in RC to be consistent with the exemptive relief provided by the SEC, which extended the compliance date for certain brokerdealer recordkeeping and reporting requirements of SEA Rule 13h1 (Large Trader Rule) from November 1, 2015 to November 1, Attachment A to this circular is the current ES submission record layout. Attachment to this circular is the current Transaction Type identifiers. Extension Details O and other ISG interested members have also extended the effective date for compliance with certain data elements to be consistent with the exemptive relief provided by the SEC, which extended the compliance date for certain brokerdealer recordkeeping and reporting requirements of the Large Trader Rule from November 1, 2015 to November 1, The SEC has grouped the Large Trader Rule into three phases for purposes of implementation which could be summarized as: 1 The Interested Members include the following exchanges and selfregulatory organizations (SROs) as members of the ISG: ATS, Inc., ATS Y, Inc., Chicago oard Options, Incorporated, C2 Options, Incorporated, COE Stock, LLC, Chicago Stock, Inc., EDGA, Inc., EDG, Inc., Financial Industry Regulatory Association (FINRA), International Securities, LLC, ISE Gemini, MIA Options, The NASDAQ Stock Market LLC, NASDAQ OM, Inc., NASDAQ OM PHL LLC, National Stock, Inc., New York Stock, LLC, NYSE MKT, LLC, NYSE Arca, Inc., and Miami International Securities, LLC. 2 The Securities and Commission issued an order temporarily exempting certain brokerdealers and certain transactions from recordkeeping and reporting requirements of the Large Trader Rule. See Securities Release No (August 8, 2013), 78 FR (August 14, 2013) and Release No (October 30, 2015), 80 FR (November 5, 2015) for further details. O Regulatory Circular RC [1 of 12]

2 Phase One required clearing brokerdealers for large traders to keep records of and report, upon the SEC s request, specified data concerning (1) proprietary trades by large traders that are U.S. registered brokerdealers; and (2) transactions effected by large traders through a sponsored access arrangement. 3 Transaction data includes both the large trader identification number (LTID) and execution time. The compliance date for Phase One was November 30, Phase Two extends the recordkeeping and reporting requirements for clearing broker dealers to transactions effected pursuant to a direct market access (DMA) arrangement. As with Phase One, this requires clearing brokerdealers to report Transaction Data that includes both LTID and execution time for DMA arrangements. 4 Phase Two also includes the prime broker or other carrying brokerdealer that carries an account for a Large Trader. These entities will have to report Transaction Data other than execution time. The compliance date for Phase Two was November 1, In addition, the recordkeeping and reporting requirements with respect to Unidentified Large Traders, and the related monitoring safe harbor provided by SEA Rule 13h1(f), will apply to brokerdealers that carry an account for a large trader as of November 1, The remaining types of large traders and the transactions not covered by Phases One and Two are covered by Phase Three. Phase Three will therefore apply to all other brokerdealers subject to the recordkeeping and reporting requirements of the Rule (i.e., brokerdealers that are large traders but do not selfclear, and brokerdealers effecting transactions directly or indirectly for a large trader where a nonbrokerdealer carries the account for the large trader). The compliance date for Phase Three was November 1, 2015, but is now being extended to November 1, As set forth above, by November 1, 2017, brokerdealers must be in ES reporting compliance for the Order Execution Time, Large Trader Identification Number 13 and Large Trader Identification Qualifier fields as outlined in Phase Two of the recordkeeping, reporting and monitoring requirements of SEA Rule 13h1. Order Execution Time, Record Sequence Number Five, Field Position 72 to 77 Firms should use this record to submit the order execution time in 24hour format and in Eastern Time formatted as HHMMSS. This information is not limited to the blue sheet transactions relating to the SEC Large Trader Reporting Rule (SEA Rule 13h1). Please note that all firms must synchronize their time clocks to the atomic clock to maintain an accurate audit trail in connection to the reported execution time. Large Trader Identification Number 1, Record Sequence Number Seven, Field Position 2 to 14 Firms should use this record to submit the Large Trader Identification Number. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h1) requirements. Large Trader Identification Number 2, Record Sequence Number Seven, Field Position 15 to 27 3 A sponsored access arrangement is defined as one where a brokerdealer permits a customer to enter orders into a trading center without using the brokerdealer s trading system. See SEC Extension Order, supra note 3 at A direct market access arrangement is defined as an arrangement whereby a brokerdealer permits customers to enter orders into a trading center but such orders flow through the broker dealer s trading systems prior to reaching the trading center. See SEC Extension Order, supra note 2 at O Regulatory Circular RC [2 of 12]

3 Firms should use this record to submit the Large Trader Identification Number. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h1) requirements. Large Trader Identification Number 3, Record Sequence Number Seven, Field Position 28 to 40 Firms should use this record to submit the Large Trader Identification Number. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h1) requirements. Large Trader Identification Qualifier, Record Sequence Number Seven, Field Position 41 Firms should use this record to submit the Large Trader Identification Qualifier. If more than three LTIDs exist for a transaction, then firms should mark the field Y for Yes. Otherwise it should be marked N for No. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h1) requirements. Note: The Employer SIC Code field has been withdrawn as an ES requirement. Attachment A sets forth the ES record layout which include the following modifications and clarification with regard to code and requestor Code: Code is assigned to NYSE MKT, LLC (Equity and Options) Code E is assigned to NYSE Arca (Equity and Options) Code H is assigned to ATS, Inc. (Equity and Options) Code I is assigned to International Securities (Options Only) Code P is assigned to EDGA Code V is assigned to EDG (Equity and Options) Code 2 is assigned to ISE Mercury Requestor Code H is assigned to ATS, Inc. (Equity and Options) Requestor Code I is assigned to International Securities, ISE Gemini, and ISE Mercury Requestor Code J is assigned to EDGA and EDG (Equity and Options) Questions concerning the ES enhancements should be directed to ebsfaq@finra.org. See FINRA s website for answers to frequently asked questions (FAQ) ( References SEA Rule 13h1 O Regulatory Circular RC lue Sheet Testing The Securities Industry Automation Corporation (SIAC) is currently available to accept test ES files. Firms can obtain initial testing instructions from SIAC by contacting efpsupport@nyse.com. Contacts Please review the information provided herein. If you have any questions regarding this information, please contact O Regulation at OMRC@Oregulation.com. O Regulatory Circular RC [3 of 12]

4 Attachment A Record Layout for Submission of Trading Information Field Position Fro m T o Field Length Field Name/Description/ Remarks Field Format Justify Picture Clause Default Value ***This record must be the first record of the file*** FILLER A LJ (3) HDR FILLER A LJ (2).S DTRKSYSID N LJ 9(5) FILLER A LJ (2).E FILLER N LJ 9(2) FILLER A LJ (2).C DTRKORIGINATOR Please call SIAC for assignment (212) A LJ (4) FILLER A LJ (2).S DTRKSU ORIGINATOR Please call SIAC for assignment (212) A LJ (4) FILLER A LJ (1) DTRKDATE Contains submission date. N LJ 9(6) MMDDYY FILLER A LJ (1) DTRKDESCRIPTION Required identifying this file. A LJ (25) FIRM TRADING INFORMATION FILLER A LJ (21) HEADER RECORD CODE Value: Low Values OR ZERO SUMITTING ROKER NUMER If NSCC member use NSCC clearing number. If not a NSCC member, use clearing number assigned to you by your clearing agency. A A R LJ (4) FIRM'S REQUEST NUMER Tracking number used by the firm to record requests from an organization. A (35) O Regulatory Circular RC [4 of 12]

5 FILE CREATION DATE Format is YYMMDD A (6) FILE CREATION TIME Format is HH:MM:SS REQUESTOR CODE Requesting Organization Identification Values: A A (8) A = New York Stock = NYSE MKT, LLC C = Chicago Stock D = NASDAQ OM E = NYSE Arca F = NASDAQ OM, Inc. G = National Stock H = ATS, Inc. I = International Securities and ISE Gemini J = Direct Edge (EDGA and EDG ) K = Chicago oard Options,C2 Options and R = FINRA U = O Options, LLC = U.S. Securities and Commission Y = ATS Y, Inc. 7 = Miami International Securities REQUESTING ORGANIZATION NUMER Number assigned by requesting organization A LJ (15) FILLER A (10) NUMER ONE The first record of the transaction. Value: 1 A O Regulatory Circular RC [5 of 12]

6 SUMITTING ROKER NUMER Identical to Submitting roker Number in Header Record OPPOSING ROKER NUMER The NSCC clearing house number of the broker on the other side of the trade. CUSIP NUMER The cusip number assigned to the security. Left justified since the number is nine characters At present (8+ check digit) but will expand in the future. TICKER SYMOL The symbol assigned to this security. For options (pre OSI), the OPRA option symbol (space), OPRA expiration month symbol and OPRA strike price symbol should be used. (Ex. Maytag May 20 call option series would be reported as MYG ED. This example uses six spaces in the field with a space between the OPRA symbol and the OPRA expiration month.) A R LJ (4) A R LJ (4) A LJ (12) A R LJ (8) Post OSI this field must contain OPTION and a Record Sequence Number Six must be completed TRADE DATE The date this trade executed. Format is YYMMDD. A R (6) SETTLEMENT DATE The date this trade will settle. Format is YYMMDD A (6) QUANTITY The number of shares or quantity of bonds or option N R RJ 9(12) Z contracts. NET AMOUNT The proceeds of sales or cost of purchases after commissions and other charges. N RJ S9(12) V99 Z O Regulatory Circular RC [6 of 12]

7 UY/SELL CODE Values: 0 = uy, 1 = Sale, 2 = Short Sale, 3 = uy Open, 4 = Sell Open, 5 = Sell Close, 6 = uy Close. A = uy Cancel, = Sell Cancel, C = Short Sale Cancel, D = uy Open Cancel, E = Sell Open Cancel, F = Sell Close Cancel, G = uy Close Cancel. Values 3 to 6 and D to G are for options only. A R PRICE The transaction price. Format: $$$$ CCCCCC. N R RJ 9(4)V(6 ) Z ECHANGE CODE where trade was executed. Values: A = New York Stock A R = NYSE MKT, LLC C = Chicago Stock D = NASDAQ OM PHL E = NYSE Arca F = NASDAQ OM, Inc. G = National Stock H = ATS, Inc. I = International Securities J = C2 Options K = Chicago oard Options L = London Stock M =Toronto Stock N = Montreal Stock O =TS Venture P = Direct Edge (EDGA ) Q=FINRA ADF R = NASDAQ OM/NASDAQ OM Options Market S = OvertheCounter O Regulatory Circular RC [7 of 12]

8 T = Tokyo Stock U = O Options V = Direct Edge (EDG W = CS (COE Stock = NASDAQ OM PS Y = ATS Y, Inc. Z = Other 1 = ISE Gemini 7 = Miami International ROKER/DEALER CODE Indicate if trade was done for another roker/dealer. Values: 0 = No; 1 = Yes A R NUMER TWO Value: 2 A SOLICITED CODE Values: 0 = No; 1 = Yes A R STATE CODE Standard Postal two character identification. A R (2) ZIP CODE/COUNTRY CODE Zip Code five or nine character (zip plus four) Country code for future use. A R LJ (10) RANCH OFFICE/REGISTERED REPRESENTATIVE NUMER Each treated as a fourcharacter field. oth are left justified. A R LJ (8) DATE ACCOUNT OPENED Format is YYMMDD SHORT NAME FIELD Contains last name followed by comma (or space) then as much of first name as will fit. A R (6) A LJ (20) EMPLOYER NAME A LJ (30) TIN 1 INDICATOR Values: 1 = SS#; 2 = TIN TIN 2 INDICATOR Values: 1 = SS#; 2 = TIN for future use. A R A NUMER THREE Value: 3 A O Regulatory Circular RC [8 of 12]

9 TIN ONE Taxpayer Identification Number Social Security or Tax ID Number. TIN TWO Taxpayer Identification Number #2 Reserved for future use. NUMER OF N&A LINES NAME AND ADDRESS LINE ONE NAME AND ADDRESS LINE TWO NUMER FOUR Value: 4 NAME AND ADDRESS LINE THREE NAME AND ADDRESS LINE FOUR TRANSACTION TYPE IDENTIFIERS See Attachment for current codes. ACCOUNT NUMER Account number NUMER FIVE Value: 5 NAME AND ADDRESS LINE FIVE NAME AND ADDRESS LINE SI PRIME ROKER Clearing number of the account's prime broker. AVERAGE PRICE ACCOUNT 1 = recipient of average price transaction. 2 = average price account itself. DEPOSITORY INSTITUTION IDENTIFIER Identifying number assigned to the account by the depository institution. A R LJ (9) A LJ (9) A A R LJ (30) A R LJ (30) A A R LJ (30) A R LJ (30) A R A R LJ (18) A (1) A R LJ (30) A R LJ (30) A R LJ (4) N R 9(1) Z A R LJ (5) O Regulatory Circular RC [9 of 12]

10 Order Execution Time HHMMSS Time format will be in Eastern Time and 24 hour format. AR LJ FILLER A NUMER SI Value: 6 DERIVATIVE SYMOL The symbol assigned to the derivative A AR LJ EPIRATION DATE The date the option expires. Format is YYMMDD AR CALL/PUT INDICATOR C = Call, P = Put STRIKE DOLLAR The dollar amount of the strike price STRIKE DECIMAL The decimal amount of the strike price AR NR RJ Z NR RJ Z FILLER A LJ NUMER SEVEN Value: 7 A Large Trader Identification 1 AR LJ Z Large Trader Identification 2 Large Trader Identification 3 Large Trader Identification Qualifier Primary Party Identifier Identity of the party to the trade that is represented by the Submitting roker of an ES. Acceptable values include MPID, CRD or OCC Clearing Number. AR LJ Z AR LJ Z AR LJ Z AR LJ Contra Party Identifier Identity of the contra party to the trade that is represented by the Opposing roker of an ES. Acceptable values include MPID, CRD or OCC Clearing Number. AR LJ FILLER A LJ O Regulatory Circular RC [10 of 12]

11 TRAILER RECORD DATE One record per submission. Must be the last record on the file. Value: High Values or "9" TOTAL TRANSACTIONS The total number of transactions. This total excludes Header and Trailer Records. TOTAL RECORDS ON FILE The total number of 80 byte records. This total includes Header and Trailer Records, but not the Datatrak Header Record (i.e., it does not include the first record on the file). A N RJ 9(16) N RJ 9(16) Z FILLER A (47) Field Format A = Alphanumeric (all caps) N = Numeric P = Packed = inary R = Validation Required Default Justify Values RJ = = Right lanks Justificat Z= Zero ion of Data LJ = Left Justificat ion of Data O Regulatory Circular RC [11 of 12]

12 Attachment Record Layout for Submission of Trading Information Transaction Type Security Type Equity* Options NonProgram Trading, Agency A C NonIndex Arbitrage, Program Trading, Proprietary Index Arbitrage, Program Trading, Proprietary Index Arbitrage, Program Trading, Individual Investor NonIndex Arbitrage, Program Trading, Individual Investor NonProgram Trading, Proprietary P F NonProgram Trading, Individual Investor NonIndex Arbitrage, Program Trading, Agency Index Arbitrage, Program Trading, Agency Designated Market Makers S S MarketMaker NonMember MarketMaker/Specialist Account Stock Specialist Assignment Customer Range Account of a roker/dealer Error Trade Registered Trader Market Maker Transaction Regardless of the Clearing Number Voluntary Professional Joint ack Office * Equity securities include those securities that trade like equities (e.g., ETFs and structured products). C D J K I Y U Q M N Y P W J O Regulatory Circular RC [12 of 12]