Information Memos

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Number 12-1 10 Jan 2012
 
ATTENTION:    
 
TO:   ALL NYSE AND NYSE AMEX EQUITIES MEMBER ORGANIZATIONS
 
SUBJECT:   ENHANCED ELECTRONIC BLUE SHEET SUBMISSIONS-EXCHANGE RULE 410A

Overview and /or Purpose

The New York Stock Exchange LLC (“NYSE”) and NYSE Amex, LLC (“NYSE Amex”, together with NYSE, the “Exchange”), in conjunction with FINRA and other interested members of the Intermarket Surveillance Group (collectively, the “ISG interested members”), are enhancing the data required to be submitted under Exchange Rule 410A (also known as “Electronic Blue Sheets” or “EBS”) to improve the regulatory agencies’ ability to analyze trading activities and to support compliance with an SEC rules provision.

Summary of Changes

Effective August 31, 2012, Exchange member organizations (referred to as “firms”) will be required to submit new data elements to the Exchange and the other ISG interested members. Attachment A to this Information Memo sets forth the changes to the EBS record layout and Attachment B outlines the existing transaction type identifiers.

In addition, effective August 31, 2012, firms will be required to submit EBS, when requested, in three additional formats: (1) account number and date; (2) account number, symbol and date; or (3) date range and executing firm CRD number or entering firm mnemonic (a/k/a MPID).

This Information Memo also provides answers to certain frequently asked questions (“FAQ”). The ISG interested members will continue to collect questions and update the FAQ on the FINRA website ( HYPERLINK "http://www.finra.org/bluesheets/faq" www.finra.org\bluesheets\faqHYPERLINK "http://www.finra.org/bluesheets/faq"www.finra.org/bluesheets/faq). To support this effort, questions concerning the EBS enhancements should be directed to  HYPERLINK "mailto:ebsfaq@finra.org" ebsfaq@finra.orgHYPERLINK "mailto:ebsfaq@finra.org"ebsfaq@finra.org.

Discussion

The ISG interested members, including the Exchange, are requiring firms to provide new data elements to EBS. The changes will take effect on August 31, 2012.

To support these new data elements, the Securities Industry Automation Corporation (“SIAC”) has modified the Electronic Blue Sheet record layout. Changes to the EBS record layout are included as Attachment A. Existing transaction type identifiers are outlined in Attachment B. Firms may begin testing the updated format starting on July 31, 2012.

In addition, the Securities and Exchange Commission (“SEC”) has mandated that the Large Trader Identification Number (“LTID”) and Order Execution Time enhancements be ready for transmission to the SEC by April 30, 2012. From April 30, 2012 through August 30, 2012, firms should submit these new data elements only to the SEC. After August 30, 2012, firms may submit the LTID to the ISG interested members. After August 30, 2012, firms will be required to submit the Order Execution Time to the ISG interested members.

Firms should pay special attention to the following areas of Attachment A:

Order Execution Time, Record Sequence Number Five, Field Position 72 to 77

Firms should use this record to submit the order execution time in 24-hour format and in Eastern Time formatted as HHMMSS. This information is for all EBS transactions and is not limited to transactions relating to the SEC Large Trader Reporting Rule (SEA Rule 13h-1). Please note that all firms must synchronize their time clocks to the atomic clock to maintain an accurate audit trail in connection to the reported execution time. (See Frequently Asked Question No. 3 below for more detail on clock synchronization requirements.)

Large Trader Identification Number 1, Record Sequence Number Seven, Field Position 2 to 14

Firms should use this record to submit the LTID. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h-1) requirements.

Large Trader Identification Number 2, Record Sequence Number Seven, Field Position 15 to 27

Firms should use this record to submit the LTID. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h-1) requirements.

Large Trader Identification Number 3, Record Sequence Number Seven, Field Position 28 to 40

Firms should use this record to submit the LTID. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h-1) requirements.

Large Trader Identification Qualifier, Record Sequence Number Seven, Field Position 41

Firms should use this record to submit the Large Trader Identification Qualifier. If more than three LTIDs exist for a transaction, then firms should mark the field “Y” for Yes. Otherwise it should be marked “N” for No. This information is requested under the approved SEC Large Trader Reporting Rule (SEA Rule 13h-1) requirements.

Entering Firm MPID, Record Sequence Number Seven, Field Positions 42 to 45

Firms should use this record to submit the entering firm’s Market Participant Identifier (MPID). The entering firm is the firm that entered the order on the marketplace.

Employer SIC Code, Record Sequence Number Seven, Field Positions 46 to 49

Firms should use this record to submit the account holder’s employer SIC code. A list of employer SIC codes can be found at HYPERLINK "http://www.sec.gov/info/edgar/siccodes.htm"www.sec.gov/info/edgar/siccodes.htm.

Executing Firm CRD Number, Record Sequence Number Seven, Field Positions 50 to 57

Firms should use this record to submit the executing firm’s Central Registration Depository (CRD) number.

Firms are reminded that failure to properly fill out the EBS fields is a violation of NYSE Rule 410A.

Electronic Blue Sheet Submission Methodology

Currently, EBS requests are made under specific security symbols and option symbology. Effective August 31, 2012, firms will be required to submit EBS, when requested, using three additional formats: (1) account number and date; (2) account number, symbol and date; or (3) date range and executing firm CRD number or entering firm mnemonic.

The request by account number would require firms to identify the account number of a specific account at a firm, e.g., John Doe at CC Clearing Co. The request would cover all transactions under the John Doe account number at CC Clearing Co. To reduce data submission size, an EBS request may also ask for a specific symbol and date in connection with the account number. Additionally, EBS requests may be made for a specific review period under an executing firm CRD number or entering firm mnemonic. This request would require a firm to identify a clearing firm client’s EBS for a set number of days, weeks or months, e.g. Firm ABC for the month of January 2011.

Frequently Asked Questions

Q1. Is there a testing period for the enhanced Electronic Blue Sheets?

A1. Yes, all ISG interested members will be ready to accept the updated Electronic Blue Sheet data and layout starting July 31, 2012. Please contact Michal Skibicki at SIAC (212) 383-9073,  HYPERLINK "mskibicki@nyx.com" mskibicki@nyx.com) for initial testing instructions before submitting the first enhanced blue sheet.

Q2. For an Electronic Blue Sheet request with multiple issues under the same investigation number, how should the submission be made?

A2. The ISG interested members will accept multiple symbols submitted under one investigation number. Firms can also submit Electronic Blue Sheets using each symbol and produce separate records for each symbol. It is recommended that firms submit the Electronic Blue Sheet combining all symbols on one EBS submission to reduce the overall number of submissions.

Q3. What time zone should be used for reporting the execution time?

A3. Execution time should be reported in Eastern Time. Firms must synchronize their time clocks with the atomic clock every business day before market open. To maintain clock synchronization, clocks should be checked against the standard clock and re-synchronized, if necessary, at pre-determined intervals throughout the day. The reported time must be reported in a 24-hour format as HHMMSS. A firm must ensure that the business clocks it uses are accurate to within one-second of the National Institute of Standards and Technology Atomic Clock in Boulder Colorado (NIST Clock) or the United States Naval Observatory Master Clock in Washington, D.C., (USNO Master Clock) and must immediately recalibrate its clocks if the drift is greater than one second. This includes all of the following:

(1) the difference between the NIST/USNO standard and a time provider's clock;

(2) transmission delay from the source; and

(3) the amount of drift of the firm's business clock.

A firm’s written supervisory procedures must include a description of how the firm conducts, documents and maintains synchronization of its business clocks.

Q4. If the entering firm does not have an MPID, can I leave the field blank?

A4. Yes, this field may be blank if the entering firm does not have an assigned mnemonic.

Q5. How can I locate the list of Employer SIC Codes for use in the Electronic Blue Sheets?

A5. A list of employer SIC codes can be found at www.sec.gov/info/edgar/siccodes.htm.

Q6. If a client order is facilitated through an “Average Price Facilitation Account,” but the resulting execution of the order is filled through a single execution, should the transaction be reported as “average price”?

A6. Yes, this execution should be reported as “average price.”

Q7. If a clearing firm receives a batch file from a firm that consolidates executions and reports them as average price executions, can that same consolidated execution report be submitted on the Electronic Blue Sheets?

A7. No, the underlying executions must be reported. Even if a clearing firm is batch processing aggregate and/or consolidated execution information for continuous net settlement purposes, the underlying trades that were reported to the tape must be reported on the EBS. Firms that are unable to provide the underlying trade information must inform the ISG interested members of this before submitting an Electronic Blue Sheet.

Q8. If a clearing firm receives a batch file from a firm that consolidates executions, can that same consolidated execution report be submitted on the Electronic Blue Sheets?

A8. No, the underlying trades that were reported to the tape must be reported on the EBS. Firms that are unable to provide the underlying trade information must inform the ISG interested members of this before submitting an Electronic Blue Sheet.

Q9. If a firm receives a request for historical data, will the enhanced Electronic Blue Sheet data format be required?

A9. No, the enhancements will be required for data beginning August 31, 2012. Requests for older data will not require submission of enhanced Electronic Blue Sheet data elements.

Q10. Will the options symbology requirements now change?

A10. No, the symbol field must contain OPTIONXX when Record 6 contains option data. If the symbol field does not contain OPTIONXX, Record 6 should default to blanks in FIELD POSITIONS 2 through 80, and then add Record Sequence Number Seven. Please refer to the prior Electronic Blue Sheets Options Symbology (OSI) requirements as described in FINRA Regulatory Notice 09-18.

Q11. For purposes of the SEC Large Trader Reporting Rule (SEA Rule 13h-1), what is the format of the LTID and the optional suffix?

A11. An LTID can be a maximum of 13 characters. Specifically, 8 characters for the LTID, followed by a dash, with 4 maximum characters for the optional suffix. As specified in the Instructions to Form 13H, suffixes should initially be limited to three characters. Numbers should be right-justified and zeros should be used in place of blanks.

Q12. For purposes of the SEC Large Trader Reporting Rule (SEA Rule 13h-1), how should Unidentified Large Traders be designated?

A12. For Unidentified Large Traders, broker-dealers should assign their own unique identifying number to each person identified as an Unidentified Large Trader. The number should conform to the format for the LTID and should begin with the letters “ULT”. For example, “ULT00001”.

The FAQ will be updated from time to time by the ISG interested members. Please see FINRA’s website  HYPERLINK "http://www.finra.org/bluesheets/faq" www.finra.org\bluesheets\faq for the most recent version.


NYSE Regulation, Inc




1. The ISG interested members include the following exchanges and self-regulatory organizations (SROs): BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated (CBOE), C2 Options Exchange, Incorporated (C2), CBOE Stock Exchange, LLC (CBSX), Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Association (FINRA), International Securities Exchange, LLC, The NASDAQ Stock Market LLC, NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, National Stock Exchange, Inc., NYSE, NYSE Amex, and NYSE Arca, Inc.
2. Blue Sheet data for NYSE and NYSE Amex is submitted to FINRA via the Regulatory Filings Application (“RFA”) platform. For additional information on EBS submittals please contact FINRA at (800) 321-6273.
3. See Rule 13h-1 under the Securities and Exchange Act of 1934, as amended (SEA 13h-1).
4. FINRA Regulatory Notice 09-18 (EBS Submissions Following Implementation of the Option Symbology Initiative) HYPERLINK "http://www.finra.org/Industry/Regulation/Notices/2009/P118328"http://www.finra.org/Industry/Regulation/Notices/2009/P118328




Attachments

Attachments A & B.pdf


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