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Programming Specifications for Trade Reporting to the

FINRA Trade Reporting and Compliance Engine (TRACE)

via the NSCC RTTM System

Version 2.4 January 20, 2010

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Revision History Date Published Version Updates January 20, 2010 2.4 Updated to clarify the definition of primary

market trades that are reportable T+1 versus primary market trades that are reportable within 15 minutes of execution.

October 10, 2009 2.3 Updated to reflect the modifications to TRACE

(effective March 1, 2010) to accept trade reports of agency debt transactions, and trade reports of agency debt and over-the-counter corporate bond transactions executed in the primary market.

December 1, 2008 2.2 Updated to reflect changes to Yield reporting

requirement that went into effect November 3 2008.

July 1, 2008 2.1 Updated to reflect changes to TRACE to

support reporting of equity-linked notes that trade in shares as units (see Quantity of Securities {CONF} field in section 3.2) .

September 12, 2007 2.0 Updated to reflect new corporate name (from

NASD to FINRA).

May 16, 2005 1.2 Updated the TRACE Reject Codes list in Appendix B with the following new codes: T021, T024, T050, T068, T082, T083, T136, T137, T504, T505, T506, T510, T515, T540. Please see the list for error text descriptions of the new codes.

March 23, 2005 1.1 Removed reject reference numbers (TRRF)

being generated and included on MT509s for rejects of Reversals, Cancels, Modifies and DKs (see sections 1.4 and 4.2).

Amended specification on MT509 20C Reference (RELA) to include the value NONREF on reports submitted via RTTM Web (see section 4.2).

Corrected examples of TRACE Control Numbers (TRRF) in the MT509 20C Reference field specification (see section 4.2).

February 3, 2005 1.0 First published version

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OVERVIEW Interactive Messaging for Real-Time Reporting of OTC Corporate Bond and Agency Debt Transactions This document updates the RTTM – TRACE interface as TRACE is expanding its processing to include Agency Debt. NSCC recommends that firms report Agency Debt directly to TRACE, away from the RTTM – TRACE interface. However, this document describes to what degree the NSCC – TRACE interface will support agency debt in relation to RTTM and TRACE processing. Also included in this document are instructions on how to designate trades as “Primary” transactions in the RTTM – TRACE interface to meet future new FINRA requirements. This document provides an overview of interactive messaging for reporting over-the-counter (OTC) corporate bond trades to the Financial Industry Regulatory Authority (FINRA) using the National Securities Clearing Corporation’s (NSCC) RTTM system. Note: Effective March 1, 2010, TRACE will be expanded to accept trade reports of corporate bond trades executed in the primary market, as well as agency debt trades executed in both the secondary and primary markets. NSCC has implemented Real-Time Trade Matching (RTTM) using a set of formats that allows their members to report fixed income trades executed by themselves or their correspondents for both settlement and regulatory reporting. RTTM is a real-time matching system that uses interactive messaging and RTTM Web for trade input and output. In order to bring reporting of corporate bond transactions into the fold, FINRA and NSCC have worked together to interface FINRA’s Trade Reporting and Compliance Engine (TRACE) and RTTM. The TRACE/RTTM interface supports the reporting of over the counter corporate bond trades and agency debt, with limitations as noted below. Scope The Corporate Bond service offered to NSCC participants includes the ability to not only submit messages on Interdealer transactions to facilitate matching and settlement, but also to direct those messages to the FINRA via TRACE. Participants can submit one message for the purpose of Real-Time Trade Matching and regulatory price reporting of Interdealer trades. In addition, the RTTM interface supports the ability for participants to have their Customer trade reports passed on to TRACE for regulatory purposes. Agency debt trade submission via the NSCC – TRACE interface will be accepted for Trade Reporting only. Agency debt should not be submitted for trade matching at NSCC. In addition, agency debt submission will only be accepted by NSCC via messaging in the MQ interface. Firms using RTTM Web for NSCC Corporate Bond trade input must use TRACE Web or TRACE CTCI to submit agency debt.

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Reversals, Modifies, and Cancel functionality are not processed in the TRACE/RTTM interface. Audience This document was written for systems and development personnel, including managers, analysts and programmers. It is intended for NSCC members (“dealers”) that effect transactions in over the counter (OTC) corporate bonds and agency debt and for other parties that submit transaction data for reporting purposes. Dealers are categorized as participants of NSCC (“participants”), dealers that are not NSCC participants (“non-participants”), and vendors that support dealers. The document presumes readers are familiar with technical concepts and terms, and have a basic understanding of NSCC fixed income products and services as well as FINRA requirements and the difference in processing for each of the systems. This document will focus on the messages TRACE will accept from and return to RTTM, the conversion of certain fields from RTTM format into TRACE format, and valid TRACE regulatory data. In addition, examples will be provided of certain conditional trade reports normally submitted direct to TRACE, and how they should be submitted using RTTM format. It should be noted that as inter-dealer trade reports are submitted to RTTM for both trade-matching and regulatory purposes, participants are urged to refer to the FICC’s Interactive Messaging: NSCC Participant Specifications for Matching Input and Output, Version 1.0 for full and detailed directions in completing the Interdealer trade report messages. The FICC specifications provide the data formats for regulatory use, and govern the requirements for automated comparison. The reader of this document should be familiar with, and rely on the FICC Specifications. Related Materials SWIFT The specifications for interactive messages supporting trade matching are based on ISO15022 SWIFT messages. Readers are strongly urged to refer to SWIFT user documentation to obtain a complete and comprehensive understanding of these message standards. Resources include: the "SWIFT User Handbook", "Standards Release Guide 2002 (September 2002)", and "Category 5 Securities Markets Message Usage Guidelines (September 2000)". SWIFT information (including message formats) can also be found on the Internet at www.iso15022.org. RTTM For additional information regarding Real-Time Trade Matching, readers can refer to the various documentation such as specifications, message samples, updates and important messages published by the NSCC on the following website: http://www.dtcc.com/products/documentation/cs/cmu.php

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TRACE The Trade Reporting and Compliance Engine is the FINRA developed vehicle that facilitates the mandatory reporting of over the counter market transactions in eligible fixed income securities. More information regarding TRACE can be found at: http://www.finra.org. CONTACTS TRACE Related Issues FINRA Operations at (866) 776-0800 TRACE/RTTM Message Specifications and other TRACE Issues Orlando Cortes at (212) 858-5143 FINRA Product Management at (866) 899-2107 FICC Message Specifications Melanie Sterman at (212) 855-7614 FICC Business Issues Ed Fanning at (212) 855-7623 Sean Delap at (212) 855-7627 FICC Testing Matters Aileen Rose at (212) 855-7565 DTCC Relationship Services (800) 422-0582, option 5

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TABLE OF CONTENTS

1. INTRODUCTION ........................................................................................... 7

1.1 RTTM Role in Regulatory Reporting ................................................................. 7

1.2 Submission Rules to Facilitate Regulatory Reporting ....................................... 7

1.3 FINRA TRACE Reporting................................................................................... 8

1.4 TRACE Accepted Messages and Responses ..................................................... 11

2. INTERACTIVE MESSAGE GUIDELINES ................................................... 14

2.1 MT515 Message Type ......................................................................................... 14

2.2 MT509 Message Status ....................................................................................... 14

2.3 TRACE/RTTM Message Flows ......................................................................... 15

2.4 Message Format Guidelines ............................................................................... 20

3. MT515 MESSAGE ....................................................................................... 21

3.1 MT515 Message Specification ............................................................................ 21

MT515 Message Layout ................................................................................................. 21

3.2 MT515 Field Specifications ................................................................................ 24

4. MT509 MESSAGE ....................................................................................... 32

4.1 MT509 Message Specification ............................................................................ 32

MT509 Message Layout ................................................................................................. 32

4.2 MT509 Field Specifications ................................................................................ 33

APPENDIX A: TRACE MESSAGE SAMPLES .................................................. 37

APPENDIX B: TRACE APPLICABLE CODES .................................................. 55

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1. INTRODUCTION 1.1 RTTM Role in Regulatory Reporting RTTM serves as a single conduit for participants to submit their fixed income trades for both trade matching and regulatory reporting. Participants therefore submit a single trade message to RTTM for both matching and real-time reporting of their street-side municipal bond trades to the MSRB and their over-the-counter (OTC) corporate bond trades to FINRA to comply with applicable price transparency requirements. Street-side agency debt trades can be submitted for real-time regulatory reporting to FINRA via the RTTM CMU system, but will not be subject to matching. While Customer information is not accepted into the RTTM matching application, interactive messages of customer trade activity received from participants will be forwarded to the appropriate regulator as specified by the participant. The MT515 layout supports input requirements for RTTM as well as for MSRB and FINRA customer and inter-dealer transactions; specific fields have been allocated for regulatory reporting. While RTTM will validate all matching-related fields, it will not validate that regulatory fields are populated, or that they are populated with the correct information. RTTM will, however, validate regulatory fields for correct format, to the extent that SWIFT messages can be created for the regulators based on participant supplied information, where applicable. Each regulatory body will be responsible for ensuring required information is submitted accurately by its members. 1.2 Submission Rules to Facilitate Regulatory Reporting The MT515 interactive message layout used by NSCC enables participants to submit one record for Corporate Bond trades that will facilitate matching and settlement as well as regulatory reporting. Participants will be able, via the MT515, to indicate whether the record should be sent to RTTM and/or the FINRA’s TRACE system. Firms can use RTTM to report agency debt trades via messaging, but just for regulatory reporting only, not for trade matching. The header of the MT515 enables a participant to designate in the Receiver field whether the record should go to RTTM and, where applicable, the FINRA (NSCCTRRS), or whether the record should go to the FINRA only (NSCCREGO). In addition, the Transaction Processing narrative field (:70E::TPRO//) in the Confirmation Details block (CONFDET) contains a repeating field that is required to further tell the RTTM router where a record should be directed. Participants must indicate whether they want their trades to go to: 1. RTTM only (/DEST01) 2. FINRA only (/DEST03) – This designation should be used for all agency debt trades. 3. RTTM and FINRA (/DEST01/DEST03)

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These options should use the following Recipient in the message header: RTTM/Regulator Destination

(:70::TPRO//) Header-Receiver

1 RTTM only /DEST01 NSCCTRRS 2 FINRA only /DEST03 NSCCREGO 3 RTTM and FINRA /DEST01/DEST03 NSCCTRRS It should be noted that where a Recipient in the message header does not agree with the Destinations reflected in the :70E::TPRO// field, the message will be rejected by RTTM for “Inconsistent Recipient Information”. Where an unknown value is found in the receiver field, the message will be rejected by RTTM for “Unknown Target Application”. It should be noted that if RTTM rejects a message for any reason, the message will not be forwarded to TRACE, therefore submitters must resend a message with an indication that the message should be forwarded for regulatory reporting. Note: Trades on Agency debt securities must always be submitted as /DEST03 only and NSCCREGO. 1.3 FINRA TRACE Reporting RTTM Interface NSCC reports utilize the SWIFT MT515 message format. This single message format will be used for both Interdealer and Customer trade reports. New trade reports are accepted for T-Date and T+N executions. TRACE will generate a reject or acceptance acknowledgment; the message format is the SWIFT MT509 message format. The MT509 accommodates both rejects and acceptances, allowing acceptances to contain the TRACE Control Number and rejects to contain TRACE reject codes as well as a TRACE Reject Reference Number. (Please note: certain rejected trade reports may be repaired via the TRACE Web application. Please refer to the TRACE User Web Guide found in www.finra.org for guidance on reject scan and repair functionality). Any trade rejected by TRACE should be corrected and resubmitted to TRACE as soon as possible by the reporting member in order to remain compliant. Please note: all trade reports and resubmission of rejected trade reports are validated for compliance with the reporting requirements outlined in NASD Rule 6200 Series. Time of execution will be validated against the time the report is received by TRACE. Echoes of the originally submitted trade report will not be contained in either a reject or acceptance MT509, as the MT509 format does not support this. MT509s will be generated and returned to NSCC, which will forward on to the originating submitter (see Section 4 of this document for the layout and field specifications of the TRACE generated MT509). In their interface with MSRB, NSCC sends both the initial trade report (Instruct Event Message) as well as the matched trade report to MSRB. In order to ensure timely dissemination of reports, TRACE will only accept the initial trade reports. TRACE will not

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accept matched or other event messages generated by RTTM, and therefore will not generate any response (MT509) to such messages. In addition, TRACE will not accept reversals, cancels, modifies or DK’s of previously submitted trade reports, however TRACE will reject and generate MT509s for such messages. RTTM will forward all records to TRACE as directed by NSCC participants. Trades submitted through the RTTM Interface will be subject to normal TRACE validations e.g., Price, CUSIP, Dates, etc. (please refer to the Trade Management section of the TRACE User Guide for further information on field validations). Trades submitted through RTTM will also continue to be eligible for dissemination as well as TRACE statistical calculations. Only those regulatory fields that are currently supported will be passed to FINRA. Where a participant submits regulatory-only fields on a trade record, not all of these fields will necessarily be applicable to FINRA. FINRA members will also continue to have the ability to submit their trades for reporting (including all adjustments) directly to the FINRA TRACE system. Member firms are reminded that they must report transactions to TRACE in securities that are "TRACE-eligible securities," such as unlisted convertible debt, unlisted equity-linked notes and similar debt securities. FINRA also reminds firms that only unlisted convertible debt and unlisted equity-linked notes are treated as debt for purposes of trade reporting; convertible debt and equity-linked notes that are listed on a national securities exchange must be reported to the appropriate equity trade reporting facility. FINRA will accept trades of unlisted convertible debt and unlisted equity-linked notes via the RTTM/TRACE Interface. Note: effective March 1, 2010, TRACE will accept trade reports of OTC corporate bond trades executed in the primary market. TRACE will also accept trade reports of OTC agency debt trades executed in both the primary and secondary markets. Certain primary market trades – List or Fixed Offering Price or Takedown transactions – are reportable by close of business of the following business day of the execution (T+1). Primary market trades executed at a market price are subject to 15-minute reporting. Refer to Regulatory Notice (http://www.finra.org/Industry/Regulation/Notices/2009/P120040) for more guidance. The TRACE/RTTM interface will support these changes to a limited degree - Interdealer trades, submitted with a MT 515, must be coded with a Destination Code of 03 (Reporting Only). These trades are not eligible for matching in the Corporate, Municipal, UIT (CMU) RTTM system (nor should this impact agency trades that firms are currently submitting to the Government Securities Division (GSD) of FICC. Firms currently submitting trades in agency debt to GSD should continue to do so for matching and clearance purposes. The NSCC RTTM – TRACE interface may only be used to REPORT agency trades to TRACE and is not to be used for trade matching in NSCC’s RTTM system.) RTTM Web does not support ‘Regulatory Only’ submissions of interdealer trades. Therefore, firms utilizing RTTM Web to submit their Corporate Bonds to TRACE must submit their agency debt trades directly to TRACE. A Contra participant number must be submitted on all CMU RTTM Interdealer trades. For Agency trades where the Contra Clearing firm may not be an NSCC member, firms can enter 9999 and the trade will be passed to TRACE. FINRA utilizes the firm’s MPID and

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will ignore the Contra Clearing #. If you do not enter a Contra Clearing # the trade will be rejected by the RTTM pipeline. Only Final Money trades should be submitted via the CMU RTTM TRACE interface. In a very rare situation where Final Money cannot be calculated (possibly on a WI security), you will need to report that trade directly to TRACE.

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1.4 TRACE Accepted Messages and Responses The following matrix illustrates the types of MT515s TRACE will receive via the RTTM Interface and the resulting action for each message:

TRACE receives the following MT515:

If the trade report passes TRACE validations: If the trade report fails TRACE validations:

Participant generated Interdealer or Customer INSTRUCT

TRACE will return an MT509 with the following: • :25D::AFFM//AFFI • :20C::TRRF// containing the TRACE Control

Number

TRACE will return an MT509 with the following: • :25D::AFFM//NAFI • :20C::TRRF// containing the TRACE Reject

Reference Number • :24B::NAFI/ containing the TRACE Reject

Code • :70D::REAS/ containing the Regulatory Status

Code and Reject Error Text

Participant generated Interdealer or Customer INSTRUCT – Reversal

NOT APPLICABLE TRACE will return an MT509 with the following: • :25D::AFFM//NAFI • :24B::NAFI containing the TRACE Error Code

T546 • :70D::REAS containing the Regulatory Status

Code UNSA and Reject Error Text of “FUNCTION NOT AVAILABLE PLEASE USE TRACE WEBSITE”.

Participant generated Interdealer or Customer MODIFY




Participant generated Interdealer or Customer CANCEL




Participant generated DK NOT APPLICABLE TRACE will return an MT509 with the following:

• :25D::AFFM//NAFI • :24B::NAFI containing the TRACE Error Code


Code UNSA and Reject Error Text of “FUNCTION NOT AVAILABLE”.

Rejects of Reversals, Modifies, Cancels and DKs will not generate a TRACE Reject Reference Number and the corresponding MT509s will not contain a :20C::TRRF field. FINRA requires all new trade reports of secondary market transactions to be reported within a timeframe immediately after execution of the trade. Currently, this timeframe is set to 15 minutes (possible future reductions in the reporting timeframe may occur, subject to SEC approval. Such

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reductions would be announced in Trade Reporting Notices published on the FINRA website). Trades received by TRACE after the required timeframe can be accepted by TRACE, pending successful trade detail validations, and the submitter will be advised that the report was identified as a late report (.SLD in TRACE terminology). Primary market transactions that are List or Fixed Offering Price or Takedown transactions must be reported no later than TRACE system close (6:30pm ET) of the following business day after the security is established for trade reporting (i.e. TRACE Trade Report Effective Date), or T+1. Primary market trades executed at market prices must be reported within 15 minutes of execution. In addition, trades can be executed and reported after market hours. The after market hours period typically starts at 5:15pm ET on a normal business day, or earlier on early market closes, and ends at 6:30pm ET (TRACE system close). Trades received by TRACE during the after market hours period can be accepted by TRACE, pending successful trade detail validations, and the submitter will be advised that the report was identified as an after market hours report (.A in TRACE terminology).

On a Participant Generated Interdealer or Customer Instruct that passes TRACE validations but is:

TRACE will accept the trade report but will generate an MT509 containing the following:

Received late • :25D::AFFM//NAFI • :20C::TRRF containing the TRACE Control Number • :24B::NAFI containing the TRACE Error Code N01S • :70D::REAS containing the Regulatory Status Code QUES and Error

Text of “TRADE REPORTED LATE”.

Received after market hours • :25D::AFFM//NAFI • :20C::TRRF containing the TRACE Control Number • :24B::NAFI containing the TRACE Error Code Q01A • :70D::REAS containing the Regulatory Status Code QUES and Error

Text of “TRADE REPORTED AFTER MARKET HOURS”.

Received late during after market hours • :25D::AFFM//NAFI • :20C::TRRF containing the TRACE Control Number • :24B::NAFI containing the TRACE Error Code N02S • :70D::REAS containing the Regulatory Status Code QUES and Error

Text of “TRADE REPORTED LATE AND AFTER MARKET HOURS”.

Although TRACE will assign a regulatory status (RSTA) of questionable (QUES), accepted late and after market hour trade reports do not require resubmission. • All messages submitted by participants that are forwarded to TRACE will be processed

and TRACE will generate and return a response back to the submitter. All RTTM system generated event messages forwarded to TRACE will not be subject to normal TRACE processing, and responses will not be generated for those messages.

• Trade reports rejected by TRACE should be resubmitted with the corrected information

as soon as possible in order to remain compliant with the FINRA required reporting timeframe. Care should be taken to ensure the proper destination of DEST03 (FINRA only) on the resubmission if your trade report was rejected by TRACE only.

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• Certain rejected trade reports may also be repaired using the TRACE Website. Rejects of MT515 message types not supported by TRACE (i.e., Modifies, Cancels and Reversals) cannot be repaired using the Reject Repair function. Instead, these messages can be resubmitted in its entirety using the TRACE Website Trade Report function. DKs are not accepted by TRACE. Please consult the TRACE User Guide for additional information on these processes.

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2. INTERACTIVE MESSAGE GUIDELINES

For a better understanding of the message formats as they apply to the MT515 and MT509, please refer to the “NSCC Participant Specifications for Matching Input and Output Version 1.0”). This section provides an overview of the MT515 and MT509 as it relates to TRACE in the RTTM Interface. 2.1 MT515 Message Type Dealers and service bureaus can use the SWIFT ISO 15022 MT515 message to submit trades to TRACE via RTTM. Field 22F PROC in the Confirmation Details (CONFDET) block will enable the submitter to indicate to RTTM the type of record being sent. TRACE will only accept new trade report MT515 messages. TRACE will support the following MT515 message type: Message Type Usage 1. Instruct Message

(:22F::PROC/GSCC/INST) Used to submit trade details for trades executed by participants or approved Locked-in submitters, and to report trades with customers effected by dealers. This message will support: 1) all fields required to effect trade matching on Interdealer trades; 2) certain other SWIFT mandatory fields; and 3) all required regulatory reporting fields.

TRACE will NOT support Cancel, Modify or DK functionality, and will reject such messages forwarded to TRACE. {Please refer to section 1.4 of this document for TRACE responses to inbound MT515s.} 2.2 MT509 Message Status The SWIFT MT509 Message is specified as a Trade Status Message and will be used by FINRA to convey the status of certain input messages that have been submitted to TRACE. The MT509 message does not contain full trade details, but rather provides the trade status along with the full set of reference numbers to enable the participant to identify the trade or record submitted. TRACE will support the following MT509 trade statuses: St 1. Trade Input Affirmed

(Accepted) (:25D::AFFM//AFFI)

Sent to the trade submitter to acknowledge that its trade has been validated and accepted by TRACE.

2. Trade Input Not Affirmed (Rejected) (:25D::AFFM//NAFI)

Sent to the trade submitter to indicate that its trade has been rejected by TRACE as part of the validation process. The reason for the rejection will also be indicated on the message (:24B::NAFI in the Reason

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(REAS) Block). Important Note: Trades reported late and/or during after market hours and passing TRACE validation will receive the AFFM//NAFI trade status on the resulting MT509, however these trades are not considered to be rejected trades and therefore the submitter is not required to take further action.

Status Message Usage For a full list of applicable TRACE reject codes and reasons, please refer to Appendix B of this document. 2.3 TRACE/RTTM Message Flows A typical message flow for an Interdealer trade accepted by TRACE via RTTM is depicted below.

Message Flow Explanation: Step 1: NSCC Participant ABCD submits an MT515 to NSCC, advising report should be forwarded to FINRA (DEST01/DEST03) for a Corporate Bond trade (agency debt would always be coded with Dest 03). Step 2: NSCC (RTTM) validates for SWIFT compliance as well as RTTM application validations before forwarding the MT515 to TRACE, adding date/time of receipt and their reference number (TID). If RTTM rejects an MT515 for non-SWIFT compliance, it will not be forwarded to FINRA for processing. Step 3: The MT515 is received and converted into TRACE-readable format, where it is further subjected to normal TRACE validations. If the trade passes validation, a TRACE Control number is assigned.

NSCC/RTTM

MT509 Acknowledgement

MT515 Instruct (DEST01/DEST03) NSCC

Participant ABCD TRACE

The incoming MT515 message is converted into CTCI format and processed through TRACE for normal trade report validations.

The trade passes validation and an acceptance message is created in MT509 format.

MT515 (NSCC will add timestamp and

RTTM Reference Number [TID])

MT509 – AFFM//AFFI Acceptance will contain TRACE

Control Number

NSCC will validate for SWIFT compliance and RTTM application validation. If message passes validation, it will be forwarded to TRACE.

NSCC will forward the MT509 to the participant

Step 1 Step 2 Step 3

Step 4 Step 5

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Step 4: TRACE will generate and send an acknowledgment in MT509 format to the NSCC, containing the TRACE Control Number and the status code AFFM//AFFI on accepted trade reports. Step 5: NSCC will look to update the trade record and forward the MT509 to Participant ABCD.

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A typical message flow for a Customer – TRACE only trade accepted by TRACE via RTTM is depicted below.

Message Flow Explanation: Step 1: NSCC Participant ABCD submits an MT515 to NSCC, advising report should be forwarded to FINRA (/DEST03) Step 2: NSCC (RTTM) validates for SWIFT compliance only before forwarding the MT515 to TRACE. If RTTM rejects an MT515 for non-SWIFT compliance, it will not be forwarded to FINRA for processing. Step 3: The MT515 is received and converted into TRACE-readable format, where it is further subjected to normal TRACE validations. If the trade passes validation, a TRACE Control number is assigned. Step 4: TRACE will generate and send an acknowledgment in MT509 format to the NSCC, containing the TRACE Control Number and the status code AFFM//AFFI on accepted trade reports. Step 5: NSCC will look to update the trade record and forward the MT509 to Participant ABCD.

NSCC/RTTM

MT509 Acknowledgement

MT515 Instruct (DEST03) NSCC



The trade passes validation and an acceptance message is created in MT509 format.

MT515 (NSCC will add timestamp)

MT509 – AFFM//AFFI Acceptance will contain TRACE

Control Number

NSCC will validate for SWIFT compliance. If message passes validation, it will be forwarded to TRACE.



Step 4 Step 5

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A typical message flow for an Interdealer trade rejected by TRACE via RTTM is depicted below.

Message Flow Explanation: Step 1: NSCC Participant ABCD submits an MT515 to NSCC, advising report should be forwarded to FINRA (DEST01/DEST03) for a Corporate Bond trade (agency debt would always be coded Dest 03). Step 2: NSCC (RTTM) validates for SWIFT compliance as well as RTTM application validations before forwarding the MT515 to TRACE, adding date/time of receipt and their reference number (TID). If RTTM rejects an MT515 for non-SWIFT compliance, it will not be forwarded to FINRA for processing. Step 3: The MT515 is received and converted into TRACE-readable format, where it is further subjected to normal TRACE validations. If the trade fails validation, a TRACE Reject Reference Number is assigned. Step 4: TRACE will generate and send a reject acknowledgment in MT509 format to the NSCC, containing the TRACE Reject Reference Number and the status code AFFM//NAFI on rejected trade reports. Step 5: NSCC will look to update the trade record and forward the MT509 to Participant ABCD.

NSCC/RTTM

MT509 Reject

Acknowledgment

MT515 Instruct (DEST01/DEST03) NSCC



The trade fails validation and a reject message is created in MT509 format.

MT515 (NSCC will add timestamp and

RTTM Reference Number [TID])

MT509 – AFFM//NAFI Reject will contain TRACE Reject

Reference Number

NSCC will validate for SWIFT compliance and RTTM application validation. If message passes validation, it will be forwarded to TRACE.



Step 4 Step 5

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A typical message flow for a Customer – TRACE only trade rejected by TRACE via RTTM is depicted below.

Message Flow Explanation: Step 1: NSCC Participant ABCD submits an MT515 to NSCC, advising report should be forwarded to FINRA (/DEST03). Step 2: NSCC (RTTM) validates for SWIFT compliance only before forwarding the MT515 to TRACE. If RTTM rejects an MT515 for non-SWIFT compliance, it will not be forwarded to FINRA for processing. Step 3: The MT515 is received and converted into TRACE-readable format, where it is further subjected to normal TRACE validations. If the trade fails validation, a TRACE Reject Reference Number is assigned. Step 4: TRACE will generate and send a reject acknowledgment in MT509 format to the NSCC, containing the TRACE Reject Reference Number and the status code AFFM//NAFI on rejected trade reports. Step 5: NSCC will look to update the trade record and forward the MT509 to Participant ABCD.

NSCC/RTTM

MT509 Reject

Acknowledgment

MT515 Instruct (DEST03) NSCC



The trade fails validation and a reject message is created in MT509 format.

MT515 (NSCC will add timestamp)

MT509 – AFFM//NAFI Reject will contain TRACE Reject

Reference Number

NSCC will validate for SWIFT compliance. If message passes validation, it will be forwarded to TRACE.



Step 4 Step 5

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For Participants that have authorization to access the FINRA TRACE web application: • Accepted trade reports can be viewed from the Trade Scan function in TRACE.

Rejected trade reports can be viewed and repaired, in certain cases, from the Reject Review function (please refer to the TRACE User Guide for details). Reports can be identified by either their assigned Control Number or Reject Reference Number.

• Accepted trade reports may be eligible for real-time dissemination. • TRACE will not utilize MT518 messaging to advise contra parties reported on MT515s.

Contra parties may be notified of trades alleged against them via TRACE proprietary messaging.

• Agency trades cannot be submitted to TRACE via RTTM web. 2.4 Message Format Guidelines For formatting rules and conventions pertaining to the NSCC MT515 and MT509 messages, please refer to the NSCC Participant Specifications for Matching Input and Output Version 1.0. Customer trade reports should also follow the formatting rules outlined in the NSCC Specifications. TRACE will support the formatting for inbound MT515s and outbound MT509s as specified in that document. Chapter 4 of this document will detail the fields applicable to TRACE reporting for inbound MT515s as well as the layout FINRA will employ for TRACE generated MT509s.

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3. MT515 Message 3.1 MT515 Message Specification MT515 message format supports both Interdealer and Customer trade reports. The MT515 general format specification can be found in the “NSCC Participant Specifications for Matching Input and Output”. It is important to follow the NSCC specifications for Interdealer trades in order to ensure your trades are successfully processed for trade matching. MT515 Message Layout (Please note TRACE will not employ all the Block/Qualifiers or Sub qualifier/Options contained in the following layout. Refer to section 3.2 for the values applicable to TRACE) Tag Block/

Qualifier Sub qualifier/ Options

Field Description Data Field Format

Message Header

Password 12!c Sender 8!c Message Type 3!n/3!n/4!c Receiver 8!c :16R: GENL Mandatory Block Start

:20C: :SEME// Sender’s Reference for this Msg 16x :23G: NEWM Message Function = New or 4!c CANC Cancel :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS :22F: :TRTR/ GSCC/CASH Bilateral Trade Indicator or 4!c GSCC/TRLK Locked-in Trade Indicator or GSCC/TRDC Demand Trade Indicator :16R: LINK Mandatory Repeat Block Start

:20C: :MAST// Master Reference Number (External Reference)

16x

:16S: LINK Repeat Block End

:16R: LINK Repeat Block Start

:20C: :PREV// Previous Reference Number (Previous External Reference)

16x



:20C: :LIST// RTTM Assigned Reference (TID) 16x :16S: LINK Repeat Block End


:20C: :BASK// ABS Turnaround Number 16x

22

Tag Block/ Qualifier

Sub qualifier/ Options




:20C: :TRRF// Regulator Control Number 16x :16S: LINK Repeat Block End


:20C: :COMM// Match Control Number 16x :16S: LINK Repeat Block End

:16S: GENL Block End

:16R: CONFDET Mandatory Block Start

:98C: :TRAD// Trade Date & Time YYYYMMDDHHMMSS :98A: :SETT// Settlement Date or YYYYMMDD :98B: :SETT// WISS Settlement to be completed when

the security is issued 4!c

:90A: :DEAL/ /PRCT/ Deal Price – Percentage or 15d /YIEL/ Yield :94B: :TRAD/ GSCC/NYCP Place of Trade – Market of

Execution – NYSE Corporate or 4!c

GSCC/OTCP Over-the-Counter Corporate or GSCC/OTMU Over-the-Counter Municipal or GSCC/OTUI Over-the-Counter Unit Investment

Trust

:19A: :SETT/ /USD Settlement Amount 15d :22H: :BUSE/ /BUYI Trade Type – Buy or 4!c /SELL Sell :22F: :PRIC/ GSCC/WGTP Type of Price – Weighted Price 4!c :22F: :PROC/ GSCC/INST MT515 Record Type – Instruct or 4!c GSCC/CANC Cancel or GSCC/MDFC Modify or GSCC/TDDK DK :22F: :TTCO/ GSCC/TSQS Trade Type/Target Indicator –

QSR Trade or 4!c

GSCC/TSAB ABS Trade or GSCC/TTQS Target QSR Trade or GSCC/TTAB Target ABS Trade :22H: :PAYM/ /APMT Against Payment Indicator 4!c :16R: CONFPRTY Mandatory Repeat Block Start

:95R: :BUYR/ GSCC/PART Party = Buyer 34x :20C: :PROC// Buyer (Contra) X-ref 16x :70C: :PACO/ /GSCC Participant Contact Narrative (4*35x) /TDID Buyer (Contra) Trader ID 20c

23




/BRCH Branch Sequence Number 3!x4!x :70E: :DECL/ /GSCC Narrative/ Additional Reference

Numbers/ Information (10*35x)

/CORR Party = Buyer’s Correspondent firm

5c

/COCO Party = Buyer’s Correspondent of the Correspondent

5c

:22F: :TRCA/ /AGEN Capacity Indicator – Acting as Agent Indicator or

4!a

/PRIN Acting as Principal Indicator :16S: CONFPRTY Repeat Block End

:16R: CONFPRTY Mandatory Repeat Block Start

:95R: :SELL/ GSCC/PART Party = Seller 34x :20C: :PROC// Seller (Contra) X-ref 16x :70C: :PACO/ /GSCC Participant Contact Narrative (4*35x) /TDID Seller (Contra) Trader ID 20c /BRCH Branch Sequence Number 3!x4!x

:70E: :DECL/ /GSCC Narrative/ Additional Reference Numbers/ Information

(10*35x)

/CORR Party = Seller’s Correspondent Firm

5c

/COCO Party = Seller’s Correspondent of the Correspondent

5c

:22F: :TRCA/ /AGEN Capacity Indicator – Acting as Agent Indicator or

4!a

/PRIN Acting as Principal Indicator :16S: CONFPRTY Repeat Block End

:36B: :CONF/ /FAMT/ Quantity as Face Amount (Par) or

15d

/UNIT/ Quantity as Units / Shares :35B: /US/ Security Identifier – CUSIP 4 * 35x :70E: :TPRO/ /GSCC Trade Instruction Processing

Narrative (10*35x)

/DEST Destination Indicator 2!c /ITYP Issue Type 2!c /ORDT Order Time 6!n (HHMMSS) /SDAD Settlement Date Adjustment 4n /RVSL Trade Reversal Indicator 4!c /SPXR Special Price Reason Code 4!c /POVR Price Override Option 4!c /RCTL Reversal Control Number 16x /ATME ATS Identifier 6c

24




/YIEL Yield [N]15d :16S: CONFDET Block End

:16R: SETDET Optional Block Start

:22F: :SETR/ /RPTO Settlement Indicator – Reporting-only or

4!c

GSCC/STRD Settlement Type Indicator – Special Trade or

4!c

GSCC/TAAA Subject to AAA or GSCC/XINT Ex Interest or GSCC/CALL Called or GSCC/BEAR Bearer Only or GSCC/REGD Registered Only or GSCC/CPRO Comparison Only :16R: AMT Optional Block Start

:19A: :SPCN/ /USD Special Concessions or [N]USD15d :EXEC/ /USD Executing Broker Commission USD15d :16S: AMT Block End

:16R: AMT Optional Block Start

:19A: :ACRU/ /USD Accrued Interest Amount USD15d :16S: AMT Block End

:16S: SETDET Block End

:16R: OTHRPRTY Optional Block Start

:95Q: :MEOR// Originator of message (if other than the Sender)

6c

:16S: OTHRPRTY Block End

3.2 MT515 Field Specifications The following defines the fields of an MT515 Instruct for a Customer trade and how TRACE processes these fields. Where Interdealer trades may differ, it shall be noted below. For a detailed description of all MT515 fields accepted by RTTM please refer to the “NSCC Participant Specifications for Matching Input and Output”. Message Header

Each Message must contain a message header. All header fields are mandatory fixed format with trailing blanks, where required.

Password The password assigned by FICC to senders will not be forwarded to TRACE. Sender Participant ID, TRACE will return MT509s to the Sender of an MT515. Message Type The first three characters indicate to the recipient the message type (515); the

second three positions reflect the version of the message interface (currently always

25

000). The last 4 characters indicate the issuer code to be used in the message (always “GSCC”).

Receiver NSCCTRRS (NSCC Trade Registration and Reconciliation System) will always be the recipient of the MT515 messages sent to RTTM-only, or sent to both RTTM and a regulator (TRACE). NSCCREGO (NSCC Trade Reporting – Regulatory-Only) will be the only recipient of the MT515 (Regulatory-only) messages. All Customer trades should be directed to NSCCREGO. All agency debt trades, both interdealer and customer, should be directed to NSCCREGO.

GENL This Mandatory block provides general information regarding the message. It appears only once in a trade contract.

20C Sender Message Reference SEME// – This field contains the sender’s message reference number. It is mandatory and must contain a unique number to unambiguously identify each message sent to RTTM/TRACE. (This is a communications message number, not a trade number.) It is suggested that participants use a number that includes a date followed by either a timestamp or a sequence number. In this way uniqueness can be ensured. The SEME submitted will be returned on TRACE generated MT509s, returned under the qualifier RELA.

e.g ., :20C::SEME//200412310001 23G Function of the Message

NEWM – For new trades (Instructs), this is the only option accepted by TRACE. e.g ., :23G:NEWM

98C Preparation Date and Time PREP// - This RTTM mandatory field contains the date and time the message sent to RTTM was prepared.

e.g ., :98C::PREP//20041231093015 22F Trade Transaction Type Indicator (TRTR)

TRACE will only accept the qualifier options CASH (Bilateral) and TRLK (Locked-in).

e.g ., :22F::TRTR/GSCC/CASH or :22F::TRTR/GSCC/TRLK

LINK The LINK Block can be repeated for the various reference qualifiers required on a Trade Contract or report. It is intended to provide the required information to identify the trade. Each reference number must be enclosed within a Start Link Block (:16R:LINK) and End Link Block (:16S:LINK). Each LINK repeating subsequence is within the GENL Block. At least one LINK sequence is required on the MT515 message.

20C Reference The Reference Numbers provided by the participant must contain Upper Case and alphanumeric characters – and must not contain symbols or hyphens. As indicated above, each reference number must be enclosed in a LINK Start and End block. The following are the only reference numbers applicable to TRACE Instructs: MAST// – Master Reference Number – TRACE will apply this reference number into the TRACE User Reference Number (visible on the TRACE web application Trade Scans).

e.g ., :20C::MAST//PARTREF1 CONFDET The Mandatory CONFDET (Confirmation Details) block appears only once in a

26

Trade Contract or report. It contains Trade and Confirming Party Details. 98C Trade Date

TRAD// – This mandatory field is used on all messages to specify Trade Date and Trade Time. (The “C” format for this (98) tag indicates a date/time format of “YYYYMMDDHHMMSS”.) Time of trade should be included to the second. TRACE will only accept T-date and T+n reports of up to 365 days.

e.g ., :98C::TRAD//20041231093010 98A 98B

Settlement Date This mandatory field is used on all MT515 messages. One of the following options must appear for this field: SETT// - This field is used on all messages to specify settlement date. Required on all regular way Interdealer and Customer trades. SETT//WISS - This field is used on all New Issue trades where the settlement date is not known (when-issued), and no final money is reflected on the trade. (This is the “B” format of tag (98).) When WISS is submitted, TRACE shall validate that the bond is in a When-Issued state. WISS will only be reported on Customer trade reports of WI bonds. Interdealer trade reports will always report a settlement amount, and will therefore contain a settlement date (98A::SETT//YYYYMMDD) in this field.

e.g ., :98C::TRAD//20041231 90A Deal Price

This field is reflected on all messages. It contains the Execution Price Type and Price. Price is required where no final money is provided (applicable only to NI trades). Only one Tag 90A is allowed per trade contract. The price is in SWIFT Standard format, which is left justified, with commas removed, and a comma used instead of a decimal. The following price types may be specified: DEAL//PRCT/ – This qualifier/option is used for dollar prices. For Customer trades, the dollar price should be reflected. Interdealer trades must provide a settlement amount (:19A::SETT//) and should reflect a value of zero “0,” in the DEAL//PRCT/ field. DEAL//YIEL/ – This qualifier/option is not applicable on trades reported to TRACE. Yield must be reported in the trade instruction processing narrative (:70E::TPRO) field. Note: Effective November 3 2008, Yield shall only be reported for trades executed prior to November 3, 2008. Yield is not required for trades executed on or after November 3 2008.

e.g ., :90A::DEAL//PRCT/99,625 94B Place of Trade – Market of Execution (TRAD)

TRAD/GSCC/OTCP – (Over-the-Counter Corporate) - All reportable trades in OTC corporate bonds as well as agency debt securities should contain this qualifier. TRACE will reject any trades marked with any other Market of Execution.

e.g ., :94B::TRAD/GSCC/OTCP 19A Settlement Amount

SETT// - This field is used to specify the settlement amount. It may be omitted on Customer trades, but is required on all regular way Interdealer trades.

e.g ., :19A::SETT//USD1000500,5 22H Trade Type Indicator (BUSE)

Required on all MT515 messages. There are two allowable values for the BUSE

27

qualifier: BUSE//BUYI – This qualifier/option indicates that the record submitted is a buy from the dealer’s perspective, i.e., that the dealer reporting the trade bought securities. BUSE//SELL – This qualifier/option indicates that the record submitted is a sell from the dealer’s perspective, i.e., that the dealer reporting the trade sold securities.

e.g ., :22H::BUSE//BUYI 22F Type of Price – Weighted Price

PRIC/GSCC/WGTP – regulatory field – Used on the MT515 Instruct message to indicate the price of the trade was based on the weighted average of previous transactions. TRACE will display trades marked as WGTP with the trade modifier .W on TRACE Trade Scans.

e.g ., :22F::PRIC/GSCC/WGTP 22F Processing Indicator (PROC)

PROC/GSCC/INST – This qualifier/option indicates that the MT515 is an INSTRUCT record. TRACE will not accept other options submitted. (Please refer to the matrix in section 1.4 for TRACE responses to submissions).

e.g ., :22F::PROC/GSCC/INST 22F Trade Type / Target Indicator (TTCO)

TRACE accepts the following options used to identify QSR trade submission as well as trades targeting QSR trades: TTCO/GSCC/TSQS – This qualifier/option indicates that this is a QSR Trade Submission. This option applies to all QSR submitted MT515 messages. TTCO/GSCC/TTQS – This qualifier/option indicates that the trade is targeting a QSR trade. This option applies to all Target QSR MT515 messages. TRACE will not accept other Options submitted.

e.g ., :22F::TTCO/GSCC/TSQS 22H Payment Indicator (PAYM)

This Payment Indicator field is mandatory for the MT515 message. All trades must provide the following qualifier: PAYM//APMT – Indicates the trade will settle against payment.

e.g ., :22H::PAYM//APMT 36B Quantity of Securities (CONF) (‘Par’)

This field is mandatory for all MT515 messages. The quantity of the financial instrument is in SWIFT Standard Format, which is left justified, with commas removed, and a comma used instead of a decimal. Valid options are as follows: CONF//FAMT/ – The option ‘FAMT’ indicates the face amount (par), and should be used on all corporate bond and agency debt trade records. The par amount is entered in dollars. The SWIFT standard requires the use of a comma instead of a decimal, with no punctuation between groups of three digits. For example, par of one million dollars is entered as “1000000,”. Effective August 4, 2008, TRACE will allow trades of equity-linked notes that trade in shares as units. For such ELNs that trade in shares rather than par value of 1000,

28

the face amount reported should reflect the total number of shares traded, for example a trade of 250 shares would be reported with as CONF//FAMT/250, The Settlement Amount reported should reflect the executed dollar price per share.

e.g ., :36B::CONF//FAMT/1000000, 35B Identification of Security

This field is mandatory. The security involved is identified in the US by specifying the ISO country identifier (‘/US/’), followed by the CUSIP number.

e.g ., :35B:/US/549463AD9 70E Trade Instruction Processing Narrative (TPRO)

TPRO//GSCC – Denotes narrative trade instruction processing information related to RTTM. The following options are applicable to TRACE: /DEST – Used to specify the destination of the message as RTTM (01), and/or FINRA (03). Specify /DEST01/DEST03 for all MT515 Instructs requiring matching/processing by RTTM as well as forwarding to FINRA for regulatory purposes. Specify /DEST03 to indicate that the Instruct is not subject to matching and should be forwarded to the FINRA. Please note: All agency debt trades reported to TRACE should be marked DEST03 only as the NSCC CMU system does not match/settle agency debt trades. /SPXR – regulatory field – The Special Price Reason Code field is used for trades executed at a price different from the prevailing market price. In addition, identification of Primary market trades subject to T+1 reporting (as defined in Sections 1.3 and 1.4 of this document) is performed by using the designated Special Price Reason Code. Please see Appendix B for a table of Special Price Reason Codes accepted by TRACE. /POVR – regulatory field – The Price Override Option is used for resubmission of a previously rejected regulator trade to indicate that the entered price is valid although it may fall outside the reasonability check. Resubmitted trades should be directed to TRACE only (/DEST03). /YIEL – regulatory field – This sub qualifier should be used on all Customer and Interdealer trade reports in order to report the yield. Effective November 3, 2008, yield is no longer required on trades executed on or after November 3 2008. Firms reporting As-Of trades where the execution was prior to November 3 2008 are required to report yield unless the reported bond was traded flat or is a Pay In Kind (“PIK”), Perpetual, Floating Rate Note, Index-Linked bond, or any other security type identified by FINRA that has unknown variables. For trades executed prior to November 3 2008, the reportable yield would be the lower of Yield To Call (YTC) or Yield To Maturity (YTM), and should be reported to at least three decimal places of accuracy. For trade reports that were executed on or after November 3 2008, TRACE will calculate and disseminate yield. Note: Submission of /RVSL forwarded to FINRA will be rejected by TRACE as TRACE does not support submission of Reversals. TRACE will not process any other options submitted in this field.

e.g .:70E::TPRO//GSCC/DEST03/SPXRR004/POVR/YIEL3,5 CONFPRTY The Mandatory Confirming Party Block must be repeated for each party to a trade.

Each party specified must be enclosed within a Start Party block

29

(:16R:CONFPRTY) and End Party block (:16S:CONFPRTY). Please note that on every trade there should be two (one buyer and one seller) repeating Confirming Party sequences, and one of these parties will also be the submitter of the MT515 record. It should be noted that certain fields in the CONFDET block (36B, 35B and 70E) must follow the Confirming Party subsequences.

95R Party BUYR/GSCC/PART – specifies the dealer that is the Buying Party in an Interdealer trade. For customer trades where the customer is the buyer, submitters are required to enter “CUST” in the Buyer Block. (For Dest 03 interdealer trades, RTTM does not validate that the clearing # is a valid NSCC participant #). SELL/GSCC/PART – specifies the dealer that is the Selling Party in an Interdealer trade. For customer trades where the customer is the seller, submitters are required to enter “CUST” in the Seller Block. (For Dest 03 interdealer trades, RTTM does not validate that the clearing # is a valid NSCC participant #). The “GSCC” issuer code allows the specification to include the NSCC participant or contra ID, depending on whom is acting as buyer or seller. Note: Customer records will have either the buyer or the seller party with a default value of “CUST”. If CUST is submitted, this indicates a Customer trade, and TRACE shall populate the Contra MPID as ‘C’ and display the contra party on Customer trades as ‘C’ on TRACE Trade Scans.

e.g ., :95R::SELL/GSCC/PART1563 or :95R::BUYR/GSCC/PARTCUST

20C Processing Reference PROC// – This field is used on DK messages only (:22F::PROC/GSCC/TDDK) which TRACE shall not accept, and is therefore not applicable.

70C Participant Contact Narrative (PACO) This field provides information regarding the individual/desk at the contraparty that executed the trade (/TDID (Trader ID)). This field is not applicable to TRACE.

70E Narrative (DECL) /CORR – should be used in the BUYR and/or SELL confirming party sequences(s) to indicate the four character FINRA symbol of the NSCC participant's and contra party’s correspondent. Where there is no other effecting or correspondent firm, the four character FINRA symbol of the NSCC participant and contra party should be placed in this field. For customer trades, CORR should be used in the BUYR or SELL confirming party sequence to indicate the four character FINRA symbol of the dealer that effected the trade. It is omitted on the Customer side. /COCO – (correspondent of correspondent) – this option is not supported by TRACE.

e.g ., 70E::DECL//GSCC/CORRATGN 22F Trading Capacity (TRCA)

Used to identify the dealer’s trading capacity as Principal or Agent. This field should be populated as follows:

30

QSRs should populate the appropriate buyer and seller block to reflect their own as well as the contra party trading capacity. Bilateral trade submitters should populate their own capacity in the appropriate buyer or seller block – regulatory field. Valid options for this field are: TRCA//AGEN – denotes that the party (and/or contra party) is acting as the agent for a customer. TRCA//PRIN – denotes that the party (and/or contra party) is acting as Principal.

e.g ., :22F::TRCA//AGEN SETDET This Optional block is necessary only when a Settlement Indicator, a

Commission/Concession AMT subsequence, or an Accrued Interest AMT subsequence is specified on the trade.

22F Settlement Indicator (SETR) This field is SWIFT mandatory for the block, and must be included on all MT515 messages that contain a SETDET block. The available options are as follows: SETR//RPTO –This option must be selected if the trade is not a special trade (i.e., if the trade does not reflect one of the following options for this field). SETR/GSCC/STRD – Indicates that the trade is a Special Trade and will settle Trade for Trade. SETR/GSCC/TAAA – Indicates that the trade is Subject to AAA and will settle Trade for Trade. SETR/GSCC/XINT – Indicates that the trade is Ex Interest and will settle Trade for Trade. Note: Report this option regardless of whether or not the regulatory field, “Special Price Reason,” indicates that trading Ex interest resulted in a price away from the market. SETR/GSCC/CALL – Indicates that the trade is Called and will settle Trade for Trade. SETR/GSCC/BEAR – Indicates that the trade is Bearer Only and will settle Trade for Trade. SETR/GSCC/REGD – Indicates that the trade is Registered Only and will settle Trade for Trade. SETR/GSCC/CPRO – Indicates that the trade is Comparison Only and will not go to Settlement.

e.g ., :22F::SETR//RPTO or :22F::SETR/GSCC/STRD

AMT This Optional Repeating Block is only necessary to support the inclusion of Commission, Concession and / or Accrued Interest. This block should always be included within the Settlement Details (SETDET) block.

19A Commission Amount

31

For TRACE reporting, used to support the submission of commissions on agency trades, which are specified as an Amount per Trade (rather than amount per hundred). EXEC//USD – regulatory field – This field specifies the executing broker commission on customer and/or regulatory agency trades. Example: A commission/concession rate of .125 per 100 PAR equals 1.25 per 1,000 PAR. The commission/concession amount for a Face Value of 10,000 = 1.25 *10 or 12.5. This amount should be populated as USD12,5. TRACE does not accept Concession amounts (SPCN//USD).

e.g ., :19A::EXEC//USD12,5 19A Accrued Interest

This field should be populated on all MT515 messages for final money trades, where applicable. ACRU//USD – This field specifies the Accrued Interest amount required on all MT515 submissions for regular way Interdealer trades, and should be populated where a trade should settle with Accrued Interest. Customer trades are not required to report Accrued Interest, however if Accrued Interest is submitted on a Customer trade, it will not be rejected for that reason.

e.g ., :19A::ACRU//USD1040, OTHRPRTY This Optional block is only necessary if the originator of the message is not the

same as the Sender of the message. 95Q Originator of Message (MEOR)

MEOR// – regulatory field – This field specifies the originator of the message if NOT the sender identified in the header of the message. This field is used by MSRB on reports of municipal bond trades, however TRACE will accept use of this field as well. Please note: MEOR will not be returned for viewing on the RTTM Web display of trades submitted forwarded to TRACE.

e.g ., :95Q::MEOR//ORGN • All normal TRACE validations will be performed on trades forwarded by RTTM,

including validations of Price, Trade Date/Time, Contra party, CUSIP, etc.

32

4. MT509 Message . The MT509 general format specification can be found in the “NSCC Participant Specifications for Matching Input and Output”. This section includes the detailed specification for the MT509 message TRACE will generate for all TRACE accepted or rejected trade reports forwarded by RTTM. 4.1 MT509 Message Specification The MT509 will be forwarded to the submitting firm via the RTTM Interface. TRACE will return MT509s on both Interdealer and Customer trade reports submitted by NSCC Participants. The MT509 allows for the TRACE Control Number to be returned on all accepted reports, and the TRACE Reject Reference Number and TRACE Reject Code and Reason to be returned on all rejected reports. The MT509 also allows TRACE to advise participants that their trade is either reported late (past the regulatory time frame) or executed after market hours. See Section 4.2 for further details. TRACE will use the following MT509 layout: MT509 Message Layout Tag Block/

Qualifier Sub qualifier/ Options


Message Header

Password 12!c Sender 8!c Message Type 3!n/3!n/4!c Receiver 8!c :16R: GENL Block Start

:20C: :SEME// Sender’s Reference for this Msg 16x :23G: INST Message Function = Instruct 4!c :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS :16R: LINK Repeat Block Start

:20C: :MAST// Master Reference Number (Participant External Reference)

16x



:20C: :RELA// Related Reference Number (Sender’s Reference)

16x



:20C: :LIST// RTTM Assigned Reference (TID) 16x :16S: LINK Repeat Block End

33





:20C: :TRRF// TRACE Control Number or TRACE Reject Reference Number

16x



:20C: :INDX// DEST03 Regulator-Only Input Indicator or 16x DEST01/DES

T03 RTTM and Regulator Input Indicator


:16R: STAT Repeat Block Start

:25D: :AFFM/ /AFFI Trade Accepted or 4!c /NAFI Trade Rejected or

Trade Accepted but reported late and/or after market hours

:16R: REAS Optional Repeat Block Start

:24B: :NAFI/ GSCC/ Reject Code 4!c :70D: :REAS/ /GSCC Reject Reason Narrative (6*35x) /RSTA Regulatory Status Code 4!c /ETXT Error Text 80x :16S: REAS Repeat Block End

:16S: STAT Repeat Block End

:16S: GENL Block End 4.2 MT509 Field Specifications The following defines the fields as they apply to TRACE. For a detailed description of all MT509 messages accepted by RTTM please refer to the “NSCC Participant Specifications for Matching Input and Output”. Message Header

Each Message must contain a message header. All header fields are mandatory fixed format with trailing blanks, where required.

Password 12!c Password fields will be blank filled on MT509 messages generated by TRACE.

Sender 8!c NASDTRCE will always be the sender of the MT509 message generated by TRACE.

Message Type

3!n/3!n/4!c The first three characters indicate to the recipient the message type (509); the second three positions reflect the version of the message interface (currently always 000). The last four characters

34

indicate the issuer code to be used in the message (“GSCC”).

Receiver 8!c Participant ID taken from the Sender field from the originating MT515 Header.

GENL This Mandatory block provides general information regarding the message. It appears only once in a trade contract.

20C Sender Message Reference • SEME// – This mandatory field contains the sender’s (TRACE) message reference number. It is used on all messages sent by TRACE and will contain a unique number to unambiguously identify each message. (This is a communications message number, not a trade number.)

e.g ., :20C::SEME//2005011000000032 23G Function of the Message

Identifies the function of the message. INST –This qualifier will be used for trade status messages referring to Instructs. CAST –This qualifier will be used on messages referring to cancellations. As TRACE does not accept reports other than Instructs, any Cancels submitted to TRACE will be rejected and will contain this message function.

e.g ., :23G:INST 98C Preparation Date and Time

PREP// -This mandatory field will be reflected on all messages to indicate the date and time the message was prepared by TRACE.

e.g ., :98C::PREP//20050110091420 LINK The LINK Block can be repeated for the various reference qualifiers required on a

Trade Contract. It is intended to provide the required information to identify the trade. Each reference number must be enclosed within a Start Link Block (:16R:LINK) and End Link Block (:16S:LINK). Each LINK repeating subsequence is within the GENL Block. At least one LINK sequence is required on the MT515 message.

20C Reference As indicated above, each reference number must be enclosed in a LINK Start and End block. MAST// – Master Reference Number – This qualifier contains the dealer’s Reference Number for the trade (External Reference Number). RELA// – MT515 Sender’s Reference Number – This qualifier contains the sender’s Message Reference Number (:20C::SEME//) from the MT515 submitted by the dealer. Trade reports submitted via RTTM Web will be returned with the value “NONREF” in this field. LIST// – RTTM Reference Number – This qualifier contains RTTM’s reference number (TID) generated for the trade upon submission. RTTM assigns reference numbers on Interdealer trades only.

35

TRRF// – Regulator Control Number – regulatory field – This field reflects the TRACE assigned control number for accepted trades (:25D::AFFM//AFFI) or reject reference number given to rejected trades (:25D::AFFM//NAFI). The TRACE generated numbers are always 10 fixed alphanumeric characters. Reject reference numbers are identified by the value ‘2’ in the 4th position of the reference number. NOTE: Trade reports received late and/or after market hours are still accepted by TRACE (subject to normal TRACE validations) and will be assigned a control number. Rejects of Reversals, Cancels, Modifies and DKs will not be assigned a reject reference number, therefore those MT509 will not contain a TRRF. INDX// – Destination Indicator – Indicates whether the MT515 to which the MT509 is responding was submitted to RTTM and TRACE (DEST01/DEST03) or TRACE only (DEST03).

e.g ., :20C::MAST//PARTREF1 :20C::RELA//NONREF or

:20C::RELA//20050131000123 :20C::TRRF//0491003721 or

:20C::TRRF//1432001973 :20C::INDX//DEST01/DEST03

STATUS The Status Block will appear on every MT509 message and will notify the dealer of the type of MT509 record being sent, as well as the status of the trade, or record, that was submitted to TRACE.

25D Status Code The Status code indicates the record type or type of status message being sent by TRACE. The following are the applicable qualifier/options: AFFM//AFFI – This qualifier/option is used to indicate that an MT515 has been accepted by TRACE. AFFM//NAFI – This qualifier/option is used to indicate that an MT515 has been rejected by TRACE. Where this is used to indicate that an MT515 has been rejected, 20C TRRF will contain a TRACE Reject Reference Number and field 24B and field 70D in the REAS block shall be populated with the applicable reject error code, regulatory status code and error text. The AFFM//NAFI qualifier/option will also be used on trades reported late and/or after market hours that have been accepted by TRACE. It is not required to resubmit the trade report for these conditions.

e.g ., :25D::AFFM//AFFI REASON

The Reason Block will only appear on MT509 messages where an MT515 submitted by the dealer has been found to have errors by TRACE. Each Reason Code must be enclosed within a Start Reason (:16R:REAS) and End Reason (:16S:REAS) Block.

24B Reason Code This field is mandatory in the block and will appear on all Reject messages. TRACE will return only one reason code on an MT509 Reject Message. The Reason Code will be populated with the following value:

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NAFI/ – this qualifier will be reflected on all messages that indicate to the participant that the MT515 it submitted was rejected by TRACE, or was accepted but received late and/or after market hours. The qualifier will always be followed by the constant GSCC, followed by the applicable TRACE Error Code. Please refer to Appendix B for a complete list of the error codes. The SWIFT format for this field requires a fixed 4 character code, therefore the TRACE Reject Code, currently a 3 digit code, shall always be preceded by the constant “T” in order to fulfill the 4 character requirement. Late/after market hours reports will be identified with an error code that commences with either “N” or “Q” (see Appendix B for specific codes).

e.g ., :24B::NAFI/GSCC/T039 70D Reason Narrative (REAS)

REAS//GSCC – The reason narrative field shall contain the regulatory status code (RSTA) and reject text (ETXT) associated with the Error Code contained in 24B::NAFI. Please note TRACE will employ the regulatory status code (UNSA) for all rejected trade reports and the regulatory status code (QUES) for all late/after market hours trade reports.

e.g ., :70D::REAS//GSCC/RSTAUNSA/ ETXTINVALID SPECIAL PRICE INDICATOR

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APPENDIX A: TRACE Message Samples This appendix provides examples of Customer trade reports, as well as examples of Interdealer trades executed under certain conditions that require disclosure of data for regulatory purposes. For complete examples of MT515 messages participants should submit to RTTM, please refer to the NSCC Participant Specifications for Matching Input and Output.

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Sample Trade #1 – Customer Trade Report On December 14, 2004, Dealer Participant 0123 sells 10,000 Corporate Bonds (CUSIP 78764HAD6) to one of its customers, to settle on 12/17/04 at a price of 100 (par). Message Content Comments Message Header RTTM Assigned Password 0123 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCREGO Receiver :16R:GENL Mandatory Block Start :20C::SEME//10045DEC1404 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20041214081104 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0001570203 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20041214081056 Trade Date and Time :98A::SETT//20041217 Settlement Date :90A::DEAL//PRCT/100, Price type = Percent (Zero indicates final money

trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC

Corporate :22H::BUSE//SELL Sell Trade Record :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PARTCUST Buyer Information – Contra party ID :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART0123 Seller Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Seller’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/10000, Quantity of Security (FAMT = Face Amount) :35B:/US/78764HAD6 Security ID (CUSIP) :70E::TPRO//GSCC/DEST03/YIEL5,6 Trade Instruction Processing – Destination Indicator

FINRA; Yield :16S:CONFDET Mandatory Block End - End of Message

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If the trade reported in Example 1 passed TRACE validations, TRACE would generate the following MT509: Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/

GSCC 0123 Receiver ID (Participant ID) :16R:GENL Block Start :20C::SEME//2004121400000108 Sender's Message Reference Number. TRACE can assign a

reference for each message. This is not the TRACE Control Number. The reference number detailed here is just an example.

:23G:INST Message Function. INST should be used for all Instructs. :98C::PREP//20041214081348 Preparation Date/Time – Date/time TRACE prepared the

MT509. December 14, 2004 – 8:13:48am. :16R:LINK Repeat Block Start :20C::MAST//M0001570203 Master Reference Number (Participant External Reference

taken from the corresponding MT515) :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::RELA//10045DEC1404 Related Reference (Participant’s SEME from corresponding

MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//3491000287 TRACE Control Number on accepted trades :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//AFFI Trade Input Accepted Status :16S:STAT Repeat Block End :16S:GENL Block End - End of Message

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If the trade reported in Example 1 failed TRACE validations (e.g., due to the reported price being out of range of the current market price), TRACE would generate the following MT509: Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/

GSCC 0123 Receiver ID (Participant ID) :16R:GENL Block Start :20C::SEME//2004121400000108 Sender's Message Reference Number. TRACE can assign a

reference for each message. This is not the TRACE Control Number. The reference number detailed here is just an example.

:23G:INST Message Function. INST should be used for all Instructs. :98C::PREP//20041214081348 Preparation Date/Time – Date/time TRACE prepared the

MT509. December 14, 2004 – 8:13:48am. :16R:LINK Repeat Block Start :20C::MAST//M0001570203 Master Reference Number (Participant External Reference

taken from the corresponding MT515) :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::RELA//10045DEC1404 Related Reference (Participant’s SEME from corresponding

MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//3492000287 TRACE Reject Reference Number on rejected trades :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//NAFI Trade Input Rejected Status :16R:REAS Repeat Block Start :24B::NAFI/GSCC/T025 Reject Reason Code :70D::REAS//GSCC/RSTAUNSA/ETXT PRICE OUT OF RANGE

Reject Error Text

:16S:REAS Repeat Block End :16S:STAT Repeat Block End :16S:GENL Block End - End of Message

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Sample Trade #2 – Agency Trade Report with Commission (Customer trade) On December 14, 2004, Dealer Participant 0123 sells 10,000 Regular Way Corporate Bond (CUSIP 78764HAD6) as agent to a customer to settle on 12/17/04 with a commission of USD 0.125. Message Content Comments Message Header RTTM Assigned Password 0123 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCREGO Receiver :16R:GENL Mandatory Block Start :20C::SEME//10045DEC1404 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20041214075259 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0001570203 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20041214075250 Trade Date and Time :98A::SETT//20041217 Settlement Date :90A::DEAL//PRCT/98,9375 Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :22H::BUSE//SELL Sell Trade Record :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PARTCUST Buyer Information – Contra party ID :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART0123 Seller Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Seller’s Correspondent Firm :22F::TRCA//AGEN Capacity Indicator – Acting as Agent :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/10000, Quantity of Security (FAMT = Face Amount) :35B:/US/78764HAD6 Security ID (CUSIP) :70E::TPRO//GSCC/DEST03/YIEL5,6 Trade Instruction Processing – Destination Indicator

FINRA; Yield :16S:CONFDET Mandatory Block End :16R:SETDET Optional Block Start :22F::SETR//RPTO Settlement Indicator – Reporting Only :16R:AMT Optional Block Start :19A::EXEC//USD12,5 Executing Broker Commission :16S:AMT Block End :16S:SETDET Block End - End of Message

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Sample Trade #3 – Trade Report Resubmitted with a Price Override (Interdealer trade) A Participant reports a trade where the price does not reflect the current market price and is rejected by TRACE. To force the trade to be accepted, the report is resubmitted containing an override indication. Since the trade was initially rejected by TRACE, the destination on the resubmission should be FINRA only (/DEST03 in the trade instruction processing field). Message Content Comments Message Header RTTM Assigned Password 6789 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCREGO Receiver :16R:GENL Mandatory Block Start :20C::SEME//10045DEC1404 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20041214080306 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0001570203 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20041214075250 Trade Date and Time :98A::SETT//20041217 Settlement Date :90A::DEAL//PRCT/0, Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :19A::SETT//USD14329,75 Settlement Amount :22H::BUSE//BUYI Buy Trade Record :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PART6789 Buyer Information – Participant ID :70E::DECL//GSCC/CORRWXYZ Party = Buyer’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART0123 Seller Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Seller’s Correspondent Firm :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/9000, Quantity of Security (FAMT = Face Amount) :35B:/US/902118BF4 Security ID (CUSIP) :70E::TPRO//GSCC/DEST03/YIEL1,314/POVR Trade Instruction Processing – Destination Indicator

FINRA; Yield; Price Override Indicator :16S:CONFDET Mandatory Block End :16R:SETDET Optional Block Start :22F::SETR//RPTO Settlement Indicator – Reporting Only :16R:AMT Optional Block Start :19A::ACRU//USD121, Accrued Interest Amount

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Message Content Comments :16S:AMT Block End :16S:SETDET Block End - End of Message

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Sample Trade #4 – Trade Executed on a Weighted Average Price Basis (Interdealer trade) A Participant reports a trade where the trade was executed on a weighted average price. Message Content Comments Message Header RTTM Assigned Password 6789 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCTRRS Receiver :16R:GENL Mandatory Block Start :20C::SEME//10045DEC1404 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20041214080006 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0001570203 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20041214075250 Trade Date and Time :98A::SETT//20041217 Settlement Date :90A::DEAL//PRCT/0, Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :19A::SETT//USD1173345,01 Settlement Amount :22H::BUSE//BUYI Buy Trade Record :22F::PRIC/GSCC/WGTP Weighted Price :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PART6789 Buyer Information – Participant ID :70E::DECL//GSCC/CORRWXYZ Party = Buyer’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART0123 Seller Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Seller’s Correspondent Firm :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/1000000, Quantity of Security (FAMT = Face Amount) :35B:/US/ 023551AF1 Security ID (CUSIP) :70E::TPRO//GSCC/DEST01/DEST03/YIEL6,5336

Trade Instruction Processing – Destination Indicator RTTM and FINRA; Yield

:16S:CONFDET Mandatory Block End :16R:SETDET Optional Block Start :22F::SETR//RPTO Settlement Indicator – Reporting Only :16R:AMT Optional Block Start :19A::ACRU//USD9625,01 Accrued Interest Amount :16S:AMT Block End :16S:SETDET Block End

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Message Content Comments - End of Message

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Sample Trade #5 – Trade Executed with a Special Price Reason (Interdealer trade) A Participant reports a trade indicating it was executed at a price that does not reflect the current market state of the bond (special price). Message Content Comments Message Header RTTM Assigned Password 6789 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCTRRS Receiver :16R:GENL Mandatory Block Start :20C::SEME//10045DEC1404 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20041214080006 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0001570203 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20041214075250 Trade Date and Time :98A::SETT//20041217 Settlement Date :90A::DEAL//PRCT/0, Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :19A::SETT//USD1109687,51 Settlement Amount :22H::BUSE//BUYI Buy Trade Record :22F::PRIC/GSCC/WGTP Weighted Price :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PART6789 Buyer Information – Participant ID :70E::DECL//GSCC/CORRWXYZ Party = Buyer’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART0123 Seller Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Seller’s Correspondent Firm :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/1000000, Quantity of Security (FAMT = Face Amount) :35B:/US/126304AG9 Security ID (CUSIP) :70E::TPRO//GSCC/DEST01/DEST03/YIEL6,83/SPXRR004

Trade Instruction Processing – Destination Indicator RTTM and FINRA; Yield; Special Price Reason - Other

:16S:CONFDET Mandatory Block End :16R:SETDET Optional Block Start :22F::SETR//RPTO Settlement Indicator – Reporting Only :16R:AMT Optional Block Start :19A::ACRU//USD19687,51 Accrued Interest Amount :16S:AMT Block End :16S:SETDET Block End - End of Message

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Sample Trade #6 – As-Of Trade Report (Interdealer trade) A Participant reports a trade on an As-Of basis. The trade is reported to TRACE on December 15, 2004 with an As-Of execution date of December 14, 2004. TRACE accepts trade dates of up to 365 days prior. Message Content Comments Message Header RTTM Assigned Password 6789 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCTRRS Receiver :16R:GENL Mandatory Block Start :20C::SEME//10045DEC1504 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20041215080006 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0001570203 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20041214131500 Trade Date and Time :98A::SETT//20041217 Settlement Date :90A::DEAL//PRCT/0, Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :19A::SETT//USD1036250,01 Settlement Amount :22H::BUSE//BUYI Buy Trade Record :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PART6789 Buyer Information – Participant ID :70E::DECL//GSCC/CORRWXYZ Party = Buyer’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART0123 Seller Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Seller’s Correspondent Firm :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/1000000, Quantity of Security (FAMT = Face Amount) :35B:/US/549463AD9 Security ID (CUSIP) :70E::TPRO//GSCC/DEST01/DEST03/YIEL4,4996

Trade Instruction Processing – Destination Indicator RTTM and FINRA; Yield


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The following are examples of the types of MT509 acknowledgments TRACE will generate. MT509 Trade Accepted by TRACE Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/

GSCC 0123 Receiver ID (Participant ID) :16R:GENL Block Start :20C::SEME//2004051100000032 Sender's Message Reference Number. TRACE can

assign a reference for each message. This is not the TRACE Control Number. The reference number detailed here is just an example.

:23G:INST Message Function. INST should be used for all Instructs.

:98C::PREP//20040511095848 Preparation Date/Time – Date/time TRACE prepared the MT509. In this case May 11, 2004 – 9:58:48am.

:16R:LINK Repeat Block Start :20C::MAST//20040511N0910199 Master Reference Number (Participant External

Reference taken from the corresponding MT515) :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::RELA//10045MAY1104 Related Reference (Participant’s SEME from

corresponding MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::LIST//0423008597 RTTM Assigned Reference Number :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//1321000287 TRACE Control Number on accepted trades :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST01/DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//AFFI Trade Input Accepted Status :16S:STAT Repeat Block End :16S:GENL Block End - End of Message

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MT509 Trade Rejected by TRACE Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/




:98C::PREP//20040511095848 Preparation Date/Time – Date/time TRACE prepared the MT509. In this case May 11, 2004 – 9:58:48am.

:16R:LINK Repeat Block Start :20C::MAST//20040511Z15103XY Master Reference Number (Participant External


corresponding MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//1322000287 TRACE Reject Reference Number on rejected trades.

The Reject Reference Number will always contain a ‘2’ in the 4th position of the reference number.

:16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//NAFI Trade Input Rejected Status :16R:REAS Repeat Block Start :24B::NAFI/GSCC/T543 Reject Reason Code :70D::REAS//GSCC/RSTAUNSA/ETXTCUSIP NOT FOUND

Reject Error Text


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MT509 - Trade Accepted by TRACE but Received Late Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/




:98C::PREP//20040511120600 Preparation Date/Time – Date/time TRACE prepared the MT509. In this case May 11, 2004 – 12:06:00pm.

:16R:LINK Repeat Block Start :20C::MAST//20040511ZZZ10200 Master Reference Number (Participant External


corresponding MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::LIST//0423008597 RTTM Assigned Reference Number :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//1321000342 TRACE Control Number :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST01/DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//NAFI Trade Input Accepted Status – Received Late :16R:REAS Repeat Block Start :24B::NAFI/GSCC/N01S Error Code :70D::REAS//GSCC/RSTAQUES/ETXTTRADE REPORTED LATE

Error Text


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MT509 - Trade Accepted by TRACE but Received After Market Hours Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/





:16R:LINK Repeat Block Start :20C::MAST//20040511YYY10400 Master Reference Number (Participant External


corresponding MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//1321000342 TRACE Control Number :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//NAFI Trade Input Accepted Status – Received After Market

Hours :16R:REAS Repeat Block Start :24B::NAFI/GSCC/Q01A Error Code :70D::REAS//GSCC/RSTAQUES/ETXTTRADE REPORTED AFTER MARKET HOURS

Error Text


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MT509 - Trade Accepted by TRACE but Received Late During After Market Hours Message Content Comments Message Header Password – blank on MT509 NASDTRCE Sender ID (Regulator – FINRA) 509/000/GSCC Message Type - Will always be 509/000/





:16R:LINK Repeat Block Start :20C::MAST//20040511YYY10415 Master Reference Number (Participant External


corresponding MT515). :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::TRRF//1321000342 TRACE Control Number :16S:LINK Repeat Block End :16R:LINK Repeat Block Start :20C::INDX//DEST03 Taken from TPRO field on corresponding MT515 :16S:LINK Repeat Block End :16R:STAT Repeat Block Start :25D::AFFM//NAFI Trade Input Accepted Status – Received Late and

After Market Hours :16R:REAS Repeat Block Start :24B::NAFI/GSCC/N02S Error Code :70D::REAS//GSCC/RSTAQUES/ETXTTRADE REPORTED LATE AND AFTER MARKET HOURS

Error Text


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Sample Trade #7 – Primary (T+1) Market Trade (Interdealer trade) A Participant reports a trade executed in the primary market and reportable T+1 as defined by TRACE Rules. The trade is reported to TRACE on April 1, 2010. Message Content Comments Message Header RTTM Assigned Password 6789 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCTRRS Receiver :16R:GENL Mandatory Block Start :20C::SEME//2010APR010000001 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20100401081020 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0008675309 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20100401080953 Trade Date and Time :98A::SETT//20100406 Settlement Date :90A::DEAL//PRCT/0, Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :19A::SETT//USD1036250,01 Settlement Amount :22H::BUSE//SELL Sell Trade Record :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PART0123 Buyer Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Buyer’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART6789 Seller Information – Participant ID :70E::DECL//GSCC/CORRWXYZ Party = Seller’s Correspondent Firm :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/1000000, Quantity of Security (FAMT = Face Amount) :35B:/US/549463AD9 Security ID (CUSIP) :70E::TPRO//GSCC/DEST01/DEST03/SPXRP100

Trade Instruction Processing – Destination Indicator FINRA; Primary Market trade (reportable T+1)


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Sample Trade #8 – Agency Debt Trade (Interdealer trade) A Participant reports a trade executed on an agency debt security. The trade is reported to TRACE on April 1, 2010. (Interdealer agency debt trades will not be accepted for matching). Message Content Comments Message Header RTTM Assigned Password 6789 Sender ID (Participant ID) 515/000/GSCC Message Type NSCCREGO Receiver :16R:GENL Mandatory Block Start :20C::SEME//2010APR010000001 Sender’s Message Reference Number :23G:NEWM New trade input :98C::PREP//20100401101530 Date and Time of message preparation :22F::TRTR/GSCC/CASH Bilateral Trade Indicator :16R:LINK Mandatory Repeat Block Start :20C::MAST//M0008675309 Participant External Reference Number :16S:LINK Repeat Block End :16S:GENL Mandatory Block End :16R:CONFDET Mandatory Block Start :98C::TRAD//20100401101500 Trade Date and Time :98A::SETT//20100406 Settlement Date :90A::DEAL//PRCT/0, Price type = Percent (Zero indicates final money trade) :94B::TRAD/GSCC/OTCP Place of Trade/Market of Execution – OTC Corporate :19A::SETT//USD1036250,01 Settlement Amount :22H::BUSE//SELL Sell Trade Record :22F::PROC/GSCC/INST Instruct Processing Indicator :22H::PAYM//APMT Against Payment Indicator :16R:CONFPRTY Mandatory Repeat Block Start :95R::BUYR/GSCC/PART0123 Buyer Information – Participant ID :70E::DECL//GSCC/CORRABCD Party = Buyer’s Correspondent Firm :22F::TRCA//PRIN Capacity Indicator – Acting as Principal :16S:CONFPRTY Mandatory Repeat Block End :16R:CONFPRTY Mandatory Repeat Block Start :95R::SELL/GSCC/PART6789 Seller Information – Participant ID :70E::DECL//GSCC/CORRWXYZ Party = Seller’s Correspondent Firm :16S:CONFPRTY Mandatory Repeat Block End :36B::CONF//FAMT/1000000, Quantity of Security (FAMT = Face Amount) :35B:/US/313586QR3 Security ID (CUSIP) :70E::TPRO//GSCC/DEST03 Trade Instruction Processing – Destination Indicator

FINRA; Primary Market trade :16S:CONFDET Mandatory Block End :16R:SETDET Optional Block Start :22F::SETR//RPTO Settlement Indicator – Reporting Only :16R:AMT Optional Block Start :19A::ACRU//USD0,01 Accrued Interest Amount :16S:AMT Block End :16S:SETDET Block End - End of Message

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APPENDIX B: TRACE Applicable Codes Below are the codes applicable to inbound and outbound TRACE messages via RTTM. Please note these tables can be subject to expansion. TRACE REJECT CODES

Reject Error Code Qualifiers (to be used on MT509 in field :24B::NAFI and corresponding reject reason used in field :70D::REAS as ETXT)

Error Code Error Text N01S TRADE REPORTED LATE N02S TRADE REPORTED LATE AFTER MARKET HOURS Q01A TRADE REPORTED AFTER MARKET HOURS T007 INVALID RPID T008 INVALID DATE T020 RPID REQUIRED T021 TRACE ENTRY SUSPENDED T023 INVALID SIDE T024 NOT WITHIN ALLOWABLE TIME T025 PRICE OUT OF RANGE T048 PRICE REQUIRED T049 PRICE YIELD REQUIRED T050 INVALID YIELD SIGN T067 INVALID CLEARING NUMBER T068 BOND NOT FOUND T081 INVALID AS OF T082 RPID NOT AUTHORIZED T083 CPID NOT AUTHORIZED T090 MUST ENTER BOND SYMBOL OR CUSIP T098 CPID REQUIRED T103 BOND NOT TRACE AUTHORIZED T110 INVALID AS OF DATE T113 INVALID CPID T118 INVALID TRADE DATE FOR CHANGED CUSIP T136 RPID INTRODUCING BROKER SUSPENDED T137 CPID INTRODUCING BROKER SUSPENDED T138 EXECUTION TIME GREATER THAN TRADE REPORT TIME T148 REGULAR WAY CANNOT BE YIELD BASIS T149 WHEN ISSUED TRADE POST SETTLEMENT T155 NOT YET SUBJECT TO TRADE REPORTING T500 INVALID CUSIP T501 INVALID TRADE ENTERED T503 INVALID BUY SELL CODE T504 INVALID TRANSACTION CODE T505 FIRM REQUIRED T506 INVALID FIRM

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Error Code Error Text T507 INVALID MARKET OF EXECUTION T508 INVALID VOLUME ENTERED T509 INVALID TRADE DATE T510 INVALID ENTRY T511 INVALID PRICE CONTRACT AMOUNT T512 INVALID PRICE INDICATOR T513 INVALID ACCRUED INTEREST T514 INVALID QSR INDICATOR T515 INVALID TRADE REPORT INDICATOR T516 INVALID WHEN ISSUED INDICATOR T517 INVALID PRICE OVERRIDE T518 INVALID TRADE MODIFIER T519 TIME OF TRADE REQUIRED T520 INVALID TIME T521 INVALID P A T522 INVALID CONTRA P A T523 INVALID SETTLEMENT DATE T524 INVALID PRICE T525 INVALID YIELD T526 INVALID COMMISSION T527 PRICE OUT OF OVERRIDE RANGE T529 INVALID FORMAT T535 INVALID REFERENCE NUMBER T536 INVALID AMOUNT T537 INVALID TIME COMBINATION T539 INVALID SPECIAL PRICE INDICATOR T540 ENTRY REQUIRED T542 CUSIP REQUIRED T543 CUSIP NOT FOUND T544 INVALID BUY SELL CLEARING ID T545 NOT FOR TRACE REPORTING T546 FUNCTION NOT AVAILABLE PLEASE USE TRACE WEBSITE T547 FUNCTION NOT AVAILABLE T999 TRACE TEMPORARILY NOT AVAILABLE Please note MT509s containing the Error Codes N01S, N02S or Q01A are not considered to be trade reports rejected by TRACE. All rejected reports will contain an Error Code that begins with the value ‘T’. TRACE SPECIAL PRICE CODES

The applicable codes to be used on MT515 in field :70E::TPRO with the SPXR option on trades being forwarded to TRACE

Code Special Price Reason R001 Traded Flat R002 Settlement Other than Regular Way Impacted Price R003 Multiple Reasons for Special Price

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R004 Other P100 Primary Market Trade subject to T+1 reporting. Only use this code for

List or Fixed Offering Price Trades or Takedown Transactions. Primary market trades executed at market prices and secondary market trades do not require a Special Price Reason Code to identify them as such, and can utilize any of the other Special Price Reason codes.

REGULATORY STATUS CODES

The applicable codes to be used in the :70D::REAS field on TRACE MT509 NAFI messages

Code Description QUES Questionable – trade reports determined to be reported late, reported

after market hours, or reported late during after market hours will be identified with this regulatory status. Please note trade reports designated with a Questionable status were not rejected by TRACE and do not require resubmission.

UNSA Unsatisfactory – all trade reports that do not pass TRACE validations will be rejected and identified with this regulatory status.

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