TRACE Securitized Products (ABS Release) FINRA User Acceptance Test Script May 9, 2015

Transcription

1 TRACE Securitized Products (ABS Release) FINRA User Acceptance Test Script May 9, 2015 Time: 9 a.m. 12 p.m. ET Dial-in: (877) Pass code: # The test script allows users to enter Trades, Cancels and Crections f SP sub-products: Asset Backed Securities (ABS), Asset Backed Securities Exempt (ABSX), Collateralized Mtgage Obligations (CMO), Mtgage Backed Securities (MBS) and To Be Announced (TBA), using the FIX/CTCI Protocols the TRAQS Web interface. Please note the following f testing: of C indicates a customer trade. Where is stated, please enter any valid broker-dealer MPID as your contra party. Please verify all ABS security symbols are under the crect Sub-Product on the testing day. F testing, the current business date will be 5/9/2015, 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 fields are optional and may be entered if desired. You can assign a on each trade rept and Cancel and Crect using a either the the TRACE. 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 perfm their test. TRACE Cpate and Agency test trades can be perfmed as well. FINRA TRACE - SP 1 ABS Dissemination UAT Script

2 Field TEST CASE 1 TEST CASE 2 TEST CASE 3 Sub-Product ABS ABS ABS Side (Buy/Sell) BUY SELL SELL CUSIP 03064LAF LAF LAF7 Symbol GM GM GM Quantity 5,000, ,000, ,000, C C Capacity (P/A) P A P Price Within the past 45 min of current time Within the past 45 min of current time Execution Date Current date Current date Current date S S S Fact Mod 3 blank Trade disseminated blank Trade disseminated price = Outside the past 45 min of current time = Z Trade disseminated amount will reflect estimated (capped) Quantity of 10MM+. FINRA TRACE - SP 2 ABS Dissemination UAT Script

3 Field TEST CASE 4 TEST CASE 5 TEST CASE 6 Sub-Product ABS ABS ABS Side (Buy/Sell) BUY SELL SELL CUSIP 83162CTX CTX CTX1 Symbol SMBA SMBA SMBA Quantity 700, ,000, ,000, Enter Firm MPID Capacity (P/A) P P P Price Within the past 45 min of current time Within the past 45 min of current time Y Execution Date Current date 05/07/2015 Current date S S P Fact disseminated Inter-Dealer Buy should not be disseminated. Mod 3 = Z Trade disseminated with as-of date of execution. disseminated Primary market trade is not eligible f dissemination FINRA TRACE - SP 3 ABS Dissemination UAT Script

4 Field TEST CASE 7 TEST CASE 8 TEST CASE 9 Sub-Product ABS ABS (144A) ABS (144A) Side (Buy/Sell) SELL BUY SELL CUSIP 83162CTX AC AC1 Symbol SMBA SPCR SPCR Quantity 6,500, ,000, C C Capacity (P/A) P P A Price Within the past 45 min of current time Within the past 45 min of current time Y Execution Date 05/06/2015 Current date Current date P S S Fact = Z disseminated Primary market trade is not eligible f dissemination W Trade disseminated with W in Mod 4 field disseminated Trade is not disseminated due to quantity is less than FINRA TRACE - SP 4 ABS Dissemination UAT Script

5 Field TEST CASE 10 TEST CASE 11 TEST CASE 12 Sub-Product ABS (144A) ABS (144A) ABS (144A) Side (Buy/Sell) SELL SELL SELL CUSIP AC AC AC1 Symbol SPCR SPCR SPCR Quantity 5,500, ,500, ,500, Capacity (P/A) A A P Price Outside the past 45 min of current time Current time Y Execution Date Current date 05/06/2015 Current date S S P Fact = Z Trade disseminated Trade disseminated with as-of date of execution. disseminated Primary market trade is not eligible f dissemination FINRA TRACE - SP 5 ABS Dissemination UAT Script

6 Field TEST CASE 13 TEST CASE 14 TEST CASE 15 Sub-Product ABSX ABSX ABSX Side (Buy/Sell) SELL SELL BUY CUSIP 64128QAG QAG QAG0 Symbol NBGL NBGL NBGL Quantity 1,500, ,000, ,250, C C Capacity (P/A) A P A Price Current time Y Execution Date Current date 05/07/2015 Current date 750 Z Fact disseminated ABSX trade is exempted from dissemination = Z disseminated ABSX trade is exempted from dissemination W disseminated = W ABSX trade is exempted from dissemination FINRA TRACE - SP 6 ABS Dissemination UAT Script

7 Field TEST CASE 16 TEST CASE 17 TEST CASE 18 Sub-Product ABSX ABS ABS (144A) Side (Buy/Sell) BUY BUY SELL CUSIP 64128QAG LAF AC1 Symbol NBGL GM SPCR Quantity 6,000, ,250, ,500, C C Capacity (P/A) A A P Price Current time Current time Current time Execution Date Current date Current date Current date 250 P S Fact Trade Rejected Trade Rejected Trade Rejected Trade entry should be rejected based on ABSX trade is restricted from using Trade Trade entry should be rejected due to missing Fact value on an agency trade with commission entered. Trade should be rejected due to missing value FINRA TRACE - SP 7 ABS Dissemination UAT Script

8 Field TEST CASE 19 TEST CASE 20 TEST CASE 21 Sub-Product TBA (GD) TBA (GD) MBS Side (Buy/Sell) BUY SELL SELL CUSIP 07R0431C9 02R0514C AGJ9 Symbol FMCC FMCC FMCC MSA253C2G A Quantity 26,000, ,000, ,100, C C Capacity (P/A) A A A Price Within the past 15 min Current time of current time Execution Date Current date Current date Current date 500 N O Fact = blank = N amount will reflect estimated (capped) Quantity of 25MM+. Trade should accept even though no fact entered since this is a TBA and they are exempt from rule = blank amount will reflect actual quantity. Within the past 60 min of current time disseminated = O FINRA TRACE - SP 8 ABS Dissemination UAT Script

9 Field TEST CASE 22 TEST CASE 23 TEST CASE 24 Sub-Product MBS MBS CMO Side (Buy/Sell) SELL BUY BUY CUSIP 31337AGJ9 3128MJV AE4K0 Symbol FMCC FMCC FNMA MSA253C2G A MSL3A3C423A002F0F Quantity 7,500, , ,200, C C Capacity (P/A) A A A Price Outside 60 mins of Current time Current time repting time Execution Date Current date Current date Current date Fact = Z disseminated price = Trade Reject Trade entry should reject based on no fact being repted on an agency trade that includes commission. = blank Trade Not CMO trade entry is not eligible f dissemination FINRA TRACE - SP 9 ABS Dissemination UAT Script

10 Field TEST CASE 25 Sub-Product CMO Side (Buy/Sell) SELL CUSIP 3136AE4K0 Symbol FNMA Quantity 5,250, Interdealer trade. Enter firm MPID Capacity (P/A) A Price Current time Settlement Date 05/14/2015 Execution Date Current date Fact 1.0 = blank Trade Not CMO trade entry is not eligible f dissemination. FINRA TRACE - SP 10 ABS Dissemination UAT Script

11 CANCEL Field TEST CASE 26 TEST CASE 27 TEST CASE 28 Cancel trade entered in Test case 1 Cancel trade entered in Test case 5 Cancel trade entered in Test case 10 Sub-Product ABS ABS ABS (144A) Side (Buy/Sell) CUSIP Symbol Quantity Capacity (P/A) Price Settlement Date Execution Date Fact Cancel Cancel Cancel FINRA TRACE - SP 11 ABS Dissemination UAT Script

12 CANCEL Field TEST CASE 29 TEST CASE 30 TEST CASE 31 Cancel trade entered in Test case 14 Cancel trade entered in Test case 20 Cancel trade entered in Test case 21 Sub-Product ABSX TBA(GD) MBS Side (Buy/Sell) CUSIP Symbol Quantity Capacity (P/A) Price Settlement Date Execution Date Fact Cancel Not Cancel message is also not disseminated as the iginal trade is restricted from dissemination. Cancel Cancel FINRA TRACE - SP 12 ABS Dissemination UAT Script

13 CORRECTION Field TEST CASE 32 TEST CASE 33 TEST CASE 34 Crect trade entered in Test Case 2(Settlement Date) Crect trade entered in Test Case 3 (Price) Crect trade entered in Test Case 8 (Quantity) Sub-Product ABS ABS ABS (144A) Side (Buy/Sell) CUSIP Symbol Quantity 18,000, Capacity (P/A) Price Settlement Date 05/15/2015 Execution Date Fact Crection Crection Crection crection amount will reflect estimated (capped) Quantity of 10MM+. FINRA TRACE - SP 13 ABS Dissemination UAT Script

14 CORRECTION Field TEST CASE 35 TEST CASE 36 TEST CASE 37 Crect trade entered in Test Case 9 (Quantity) Crect trade entered in Test Case 12 (Modifier 2) Crect trade entered in Test Case 13 (Add ) Sub-Product ABS (144A) ABS (144A) ABSX Side (Buy/Sell) CUSIP Symbol Quantity Capacity (P/A) Price Settlement Date Execution Date W Fact Trade Trade Crection NOT Trade is now eligible f dissemination. Trade will be marked as late if crection is perfmed outside of the 45 mins repting window S Trade is now eligible f dissemination. Trade will be marked as late if crection is perfmed outside of the 45 mins repting window. FINRA TRACE - SP 14 ABS Dissemination UAT Script

15 CORRECTION Field TEST CASE 38 Crect trade entered in Test Case 24 (Price) Sub-Product CMO Side (Buy/Sell) CUSIP Symbol Quantity Capacity (P/A) Price Settlement Date Execution Date Fact O Crection NOT FINRA TRACE - SP 15 ABS Dissemination UAT Script