TRACE Production User Test Script for …FINRA TRACE – Remuneration/ATS MPID 6/25/2016 UAT Test...

FINRA TRACE – Remuneration/ATS MPID 6/25/2016 UAT Test Script

TRACE

Production User Test Script for Remuneration and ATS MPID

(Corporate and Agency Securities)

June 25, 2016

Time: 9 a.m. – 12 p.m. ET

Dial-in: 800.519.4276

Pass code: 8584438

The following script can be used to test the entry and dissemination of Remuneration trades

and trades using an ATS MPID for TRACE Corporate and Agency securities. In addition, if

eligible, these transactions will appear in the specific TRACE data feed (ATDS, BTDS,

BTDS-144A) and the TRAQS Time and Sales scan (for authorized users) for the relevant

security transactions. The test script allows users to enter Trades, Cancels and Corrections for

CA sub-products: Agency Debt (AGCY), Church Bonds (CHRC), Corporate Bonds (CORP),

and Equity Linked Notes (ELN).

Please note that testing is open for all participants to input the following test cases, using the

listed securities, however firms are free to test “off-script” so transactional data not covered

in this script may appear in the feed(s) and in Time and Sales.

Other testing notes:

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

own test cases and use other valid security symbols to perform their test. Firms may submit trades via FIX, CTCI and TRAQS Web input.

The No Remuneration Indicator field should be used whenever a commission or

markup/markdown is not assessed on the trade at the time of execution. An entry of

“N” indicates the trade does not include remuneration of any kind. A blank value

indicates the trade does include remuneration.

The No Remuneration Indicator value of “N” may only be used on Secondary (S1)

trades. Trades designated as Primary (P1) which include the No Remuneration

Indicator as “N” will be rejected.

The No Remuneration value of “N” can also only be used on Customer or Affiliate

trades. Interdealer trades will be rejected if the No Remuneration value of “N” is

submitted on a transaction.

Firms can identify trades as an ATS execution. The “ATS Execution MPID” field

allows firms to specify the ATS platform of the execution by using the MPID


assigned to that ATS. A list of valid ATS Exec MPIDs is provided in the table

below.

ATS firms may report trades or be alleged (Contra Party) on trades or may not have

the ATS on either side.

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

broker-dealer MPID as your contra party.

Clearing Numbers are optional and may be entered if desired.

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

desired.

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

a either the Client Trade ID or the TRACE Control Number.

Unless a time is specified in the script, please use the current time as your Execution

Time.

For testing, the current business date will be 6/25/2016, which should be used as the

Execution Date where the field indicates “Current Date”.

Securities that will be used for testing in this script:

Symbol CUSIP Sub Product 144A Grade

BAC.OO 066047AA9 CORP NO High Yield

AA.AA 013817AV3 CORP NO High Yield

WR.GX 95709TAD2 CORP NO Investment Grade

AIG.GF 00139PAA6 CORP YES Investment Grade

C3910317 17318Q574 ELN NO High Yield

BAC4113470 06053G784 ELN NO Investment Grade

OPDO.GI 17137WAU3 CHRC NO High Yield

FMCC3843550 3137EADG1 AGCY NO Investment Grade

ATS MPIDs:

ATS ID FIRM NAME

BGCX BGC Financial L.P.

BRLQ Brilliquid LLC

IEBC Brokertec Americas LLC

CSCA Creditex Securities Corporation

DLWB Dealerweb, Inc.

ELET Electronifie Securities LLC

FTBR FOLIOfn Investments, Inc.

GFIG GFI Securities LLC

LATG GFI Securities LLC

HTDX Hartfield, Titus & Donnelly, LLC

GARE ICAP Corporates LLC

IATS Interactive Brokers LLC


ITGP ITG Inc.

VABD KCG Americas LLC

LQNF Liquidnet, Inc.

BNDS MTS Markets International, Inc.

OTCR OTC Link LLC

TMCC TMC Bonds L.L.C.

TWDA

Tradeweb Direct LLC (f/k/a

BondDesk Trading LLC)

TMID TruMid Financial LLC

TPCD Tullet Prebon Financial Services LLC


TRADE ENTRY

Field TEST CASE 1 TEST CASE 2 TEST CASE 3

Sub-Product CORP CORP CORP Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) BUY SELL BUY CUSIP 066047AA9 066047AA9 066047AA9 Symbol BAC.OO BAC.OO BAC.OO Quantity 5,000.00 1,500,750.00 10,000.00 Contra Party ID A A C Capacity (P/A) P A A Price 82.50 85.00 82 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1

Execution Time Within the past 15 min of current time

Within the past 15 min of current time


Settlement Date 7/8/2016 7/8/2016 7/8/2016 As Of Indicator Execution Date Current date Current date Current date Commission 125.00 No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Markup/markdown

trade Commission trade

Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Trade should disseminate on BTDS



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

Comments

N should be present in BTDS “Remuneration” field.

Trade should be identified as “M” in Remuneration field; price is inherent as markup/markdown.

Trade should be identified as “C” in Remuneration. Price should be adjusted as per commission amount rules.


TRADE ENTRY


Sub-Product CORP CORP CORP Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL SELL SELL CUSIP 066047AA9 95709TAD2 95709TAD2 Symbol BAC.OO WR.GX WR.GX Quantity 2,000,000.00 900 999,999.00 Contra Party ID A C Enter Firm MPID Capacity (P/A) P A P Price 87.75 105 106.75 ATS Exec MPID Price Override YES Trading Market Indicator

P1 S1 S1



10:00:00

Settlement Date 7/15/2016 7/8/2016 7/8/2016 As Of Indicator YES Execution Date Current date Current date 6/22/2016 Commission 125.00 No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Trade should reject Trade should NOT disseminate



Comments

P1 trades with No Remuneration value of “N” should reject.

Trades with quantity of <1000 should not disseminate.

Trade should be marked “late” on BTDS. Sale Condition 3 = Z.


TRADE ENTRY


Sub-Product CORP CORP CORP Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) BUY SELL BUY CUSIP 95709TAD2 95709TAD2 00139PAA6 Symbol WR.GX WR.GX AIG.GF Quantity 50,000.00 7,000,000.00 500,000.00 Contra Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Capacity (P/A) A A P Price 102.50 103.00 125.00 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1


Within the past 15 min of current

Within the past 15 min of current

Settlement Date 7/8/2016 7/15/2016 7/8/2016 As Of Indicator Execution Date Current date Current date Current date Commission 500.00 No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Trade should reject Trade should disseminate on BTDS

Trade should NOT disseminate on BTDS-

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

Comments

Interdealer trades designated as “N” in the No Remuneration field should be rejected.

Disseminated amount will reflect estimated (capped) quantity of 5MM+. Although commission is reported in the BTDS “Remuneration” field, field should be blank bc this is an Interdealer trade.

Only interdealer SELL trades should disseminate.


TRADE ENTRY


Sub-Product CORP CORP CORP Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL SELL BUY CUSIP 00139PAA6 00139PAA6 00139OAA6 Symbol AIG.GF AIG.GF AIG.GF Quantity 500,000.00 1,500,000.00 125,000.00 Contra Party ID A A C Capacity (P/A) P P A Price 124.50 125.50 123.00 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1


Outside of past 15 minutes of current time

11:55:00

Settlement Date 7/8/2016 7/8/2016 7/15/2016 As Of Indicator YES Execution Date Current date Current date 6/23/2016 Commission 275.00 No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 W Client Trade ID Branch Seq # Memo Markup/markdown

trade

Special Processing A Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Trade should disseminate on

BTDS-144A

Trade should NOT disseminate

Trade should disseminate on BTDS-

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

Comments

Sale Condition 4 should indicate Weighted Avg Trade; Trade should indicate “M” in the Remuneration field.

A Non-Member Affiliate trade with Special Processing of “A” is not eligible for dissemination.

Remuneration field on BTDS 144A should be marked as “C”; price should adjust as per commission rules.


TRADE ENTRY


Sub-Product ELN ELN ELN Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) BUY SELL SELL CUSIP 17318Q574 17318Q574 17318Q574 Symbol C3910317 C3910317 C3910317 Quantity 6,500,000.00 999,999.00 1,500,000.00 Contra Party ID A C A Capacity (P/A) A P A Price 10.20 9.85 9.95 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1




Settlement Date 7/8/2016 7/8/2016 7/8/2016 As Of Indicator Execution Date Current date Current date Current date Commission 100.00 No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


BTDS




Comments

Trade should be marked as “N” in Remuneration field on BTDS.


Trade should be identified as “C” in Remuneration field; with price adjusted as per commission rules. Quantity should be 1MM+.


TRADE ENTRY


Sub-Product ELN ELN ELN Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL BUY BUY CUSIP 06053G784 06053G784 06053G784 Symbol BAC4113470 BAC4113470 BAC4113470 Quantity 6,000,000 4,000,000.00 250,000.00 Contra Party ID Enter Firm MPID A A Capacity (P/A) A P A Price 9.750 9.05 10.25 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1


12:00:00 Within the past 15 min of current time

Settlement Date 7/15/2016 7/15/2016 7/8/2016 As Of Indicator YES Execution Date Current date 6/23/2016 Current date Commission 200.00 100.00 No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing A Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


Trade should NOT disseminate on BTDS

Trade should reject


Comments

Disseminated amount will reflect estimated (capped) quantity of 5MM+. Commission should be included in the price as per pricing rules, but no commission identifier should be present in the BTDS “Remuneration” field.


Trades including commission and also designated as “N” in the No Remuneration field should be rejected.


TRADE ENTRY


Sub-Product CHRC CHRC CHRC Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL BUY BUY CUSIP 17137WAU3 17137WAU3 17137WAU3 Symbol OPDO.GI OPDO.GI OPDO.GI Quantity 500,000.00 4,000,000.00 250,000.00 Contra Party ID A A C Capacity (P/A) P A P Price 97.90 98 102.75 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 P1



Settlement Date 7/15/2016 7/8/2016 7/8/2016 As Of Indicator YES Execution Date Current date 6/16/2016 Current date Commission 150.00 No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 W Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT



Trade should NOT disseminate on

BTDS Control Number (if accepted) OR Reject Control Number (if rejected)

Comments

Modifier 4 should be identified as Weighted Avg.; Remuneration field should be marked as “M; price is inherent as a markup/ markdown transaction.

Trade should be identified as “C” in Remuneration field; with price adjusted as per commission rules. Quantity should be shown as 1MM+; trade should be marked late, Sale Condition 3 = Z.

P1 trades are not eligible for dissemination.


TRADE ENTRY


Sub-Product AGCY AGCY AGCY Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL BUY SELL CUSIP 3137EADG1 3137EADG1 3137EADG1 Symbol FMCC3843550 FMCC3843550 FMCC3843550 Quantity 500,000.00 6,000,000.00 250,000.00 Contra Party ID A A A Capacity (P/A) P P A Price 101.50 99.75 102.75 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1



Settlement Date 7/8/2016 7/8/2016 7/15/2016 As Of Indicator YES Execution Date Current date 6/1/2016 Commission No Remuneration N RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing A Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


ATDS

Trade should disseminate on ATDS

Trade should NOT disseminate on ATDS


Comments


Trade should be marked “late” on ATDS. Sale Condition 3 = Z.; Disseminated amount will reflect estimated (capped) quantity of 5MM+; Remuneration field should be marked as “N”.



TRADE ENTRY


Sub-Product AGCY AGCY AGCY Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) BUY BUY SELL CUSIP 3137EADG1 3137EADG1 3137EADG1 Symbol FMCC3843550 FMCC3843550 FMCC3843550 Quantity 2,500,000.00 500,000.00 250,000.00 Contra Party ID C Enter Firm MPID Enter Firm MPID Capacity (P/A) A P A Price 101.00 100.675 102.75 ATS Exec MPID Price Override Trading Market Indicator

S1 S1 S1




Settlement Date 7/8/2016 7/8/2016 7/8/2016 As Of Indicator Execution Date Current date Current date Commission 150.00 150.00 No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 W Client Trade ID Branch Seq # Memo Special Processing A Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


ATDS

Trade Rejected Trade should disseminate on ATDS


Comments

Trade should be identified as “C” in Remuneration field; with price adjusted as per commission rules.

Only trades with Contra Id = A (Non-Member Affiliate trade) can use Special Processing Flag of “A”.

Sale Condition 4 should indicate Weighted Avg Trade; Commission should be included in the price as per pricing rules, but no commission identifier should be present in the “Remuneration” field on ATDS.


TRADE ENTRY


Sub-Product CORP CORP CORP Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL SELL SELL CUSIP 066047AA9 066047AA9 066047AA9 Symbol BAC.OO BAC.OO BAC.OO Quantity 1,500,000.00 999,999.00 500,000.00 Contra Party ID Enter Firm MPID Enter ATS MPID A Capacity (P/A) P P P Price 85 84.50 85.50 ATS Exec MPID Enter ATS MPID Enter ATS MPID Price Override Trading Market Indicator

S1 S1 S1




Settlement Date 7/8/2016 7/8/2016 7/15/2016 As Of Indicator Execution Date Current date Current date Current date Commission No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


BTDS


Trade should reject


Comments

Disseminated amount will reflect estimated (capped) quantity of 1MM+. The ATS Indicator should be “Y” on the BTDS feed.

The ATS Indicator should be “Y” on the BTDS feed. Contra Party Type should be “T”.

Customer or affiliate trades with an ATS Exec ID should reject. Only an inter-dealer trade with an ATS Exec MPID is allowed.


TRADE ENTRY


Sub-Product AGCY AGCY AGCY Reporting Party ID Enter Firm MPID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) SELL SELL BUY CUSIP 3137EADG1 3137EADG1 3137EADG1 Symbol FMCC3843550 FMCC3843550 FMCC3843550 Quantity 1,050,000.00 4,000,000.00 250,000.00 Contra Party ID Enter Firm MPID Enter ATS MPID C Capacity (P/A) P P P Price 101 100.50 99.75 ATS Exec MPID Enter ATS MPID Enter ATS MPID Price Override Trading Market Indicator

S1 S1 S1



Settlement Date 7/8/2016 7/8/2016 7/8/2016 As Of Indicator YES Execution Date Current date 6/22/2016 Current date Commission No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


ATDS

Trade should disseminate on ATDS

Trade should reject


Comments

The ATS Indicator should be “Y” on the ATDS feed.

Trade should be marked “late” on BTDS. Sale Condition 3 = Z. The ATS Indicator should be “Y” on the ATDS feed. Contra Party Type should be “T”.

Customer or affiliate trades with an ATS Exec ID should reject. Only an inter-dealer trade with an ATS Exec MPID is allowed.


CANCEL


Cancel trade entered

in Test Case 1

Cancel trade entered in

Test Case 5


Test Case 10

Sub-Product CORP CORP CORP Reporting Party ID Side (Buy/Sell) CUSIP Symbol Quantity Contra Party ID Capacity (P/A) Price ATS Exec MPID Price Override Trading Market Indicator

Execution Time Settlement Date As Of Indicator Execution Date Commission No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Cancel Disseminated Cancel NOT Disseminated

Cancel Disseminated


Comments

Cancel should disseminate on BTDS.

Cancels of trades with quantity of <1000 shares will not disseminate.

Cancel should disseminate on BTDS-144A.


CANCEL


Cancel trade entered

in Test Case 15


Test Case 23


Test Case 29

Sub-Product CORP AGCY CORP Reporting Party ID Side (Buy/Sell) CUSIP Symbol Quantity Contra Party ID Capacity (P/A) Price ATS Exec MPID Price Override Trading Market Indicator

Execution Time Settlement Date As Of Indicator Execution Date Commission No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Cancel Disseminated Cancel Disseminated Cancel Disseminated


Comments

Cancel should disseminate on BTDS; Cancel of trade should be identified as “C” in Remuneration field.

Cancel should disseminate on ATDS; Disseminated amount will reflect estimated (capped) quantity of 5MM+; Remuneration field should be marked.

Cancel should disseminate on BTDS; The ATS Indicator should be “Y”.


CORRECTION


Correct trade entered

in Test Case 2

(Commission)

Correct trade entered in

Test Case 3

(Quantity)


in Test Case 11

(Remove Affiliate

Special Processing

value and change

quantity)

Sub-Product CORP CORP CORP Reporting Party ID Side (Buy/Sell) CUSIP Symbol Quantity 1,500,000 4,500,000.00 Contra Party ID Capacity (P/A) Price ATS Exec MPID Price Override Trading Market Indicator

Execution Time Settlement Date As Of Indicator Execution Date Commission 100.00 No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 Client Trade ID Branch Seq # Memo Special Processing (Remove “A” from

orig transaction) Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT

Correction Disseminated on

BTDS

Correction Disseminated on BTDS


BTDS-144A Control Number (if accepted) OR Reject Control Number (if rejected)

Comments

Remuneration field should be disseminated as “C” in

Quantity should be reflected as estimated. 1MM+.

Correction trade disseminated.


the correction part of the BTDS message.


CORRECTION



in Test Case 19

(Change price and

remove Mod 4 value)


in Test Case 28

(Remove ATS Exec ID

and reduce quantity)


in Test Case 31

(Change price and ATS

Exec ID)

Sub-Product CHRC CORP AGCY Reporting Party ID Enter Firm MPID Enter Firm MPID Side (Buy/Sell) CUSIP Symbol Quantity 900,000 Contra Party ID Capacity (P/A) Price 102.98 102 ATS Exec MPID (Remove ATS Exec ID

value) (Change value to

another valid ATS Exec ID)

Price Override Trading Market Indicator

Execution Time Settlement Date As Of Indicator Execution Date Commission No Remuneration RP Give Up RP Clearing # Special Price Indicator Special Price Reason Modifier 4 (Remove “W”) Client Trade ID Branch Seq # Memo Special Processing Locked-In Indicator CP Give Up Contra Clearing # Contra Capacity (P/A) Contra Commission Contra Client Trade ID Contra Branch Seq # EXPECTED RESULT


BTDS


BTDS


ATDS Control Number (if accepted) OR Reject Control Number (if rejected)

Comments

Price should be eligible for hi/low/last and W value in Sale Condition field should

Actual quantity is disseminated in and ATS Indicator is blanked out in

Price is updated in correction message. ATS Indicator value remains as “Y” in


be blank. correction message. correction message.

TRACE Production User Test Script for …FINRA TRACE – Remuneration/ATS MPID 6/25/2016 UAT Test...

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Transcript of TRACE Production User Test Script for …FINRA TRACE – Remuneration/ATS MPID 6/25/2016 UAT Test...