MSRB NOTICE 2008-39 (SEPTEMBER 16, 2008)

ENHANCEMENT OF RTRS DEALER DATA QUALITY SUMMARY REPORTS TO SHOW NEW DEADLINES

On January 2, 2008, two new special condition indicators for use on inter-dealer transactions were implemented in RTRS:

  • The “Resubmission of an RTTM Cancel” special condition indicator (“Mc50”) is used when an uncompared inter-dealer transaction is cancelled by RTTM, the Real-Time Trade Matching System, as a result of the contra-party submitting incorrect information or failing to submit.  The dealer that originally submitted correct information to RTTM may use this indicator when resubmitting to avoid being scored late; however, the dealer may only use this indicator if it resubmits identical information about the transaction by the end of the next business day after RTTM cancels the transaction. 
  • The “Inter-dealer Ineligible on Trade Date” special condition indicator (“Mc40”) is used on inter-dealer transactions that cannot be submitted to RTTM on trade date or with the accurate trade date either because all information necessary for comparison is not available or because the trade date is not a “valid” trade date in RTTM.[1]

Trades reported with the above Special Condition Indicators will be included in the Lateness Breakout portion of the Dealer Data Quality Summary (DDQS) reports, also known as “Report Cards,” beginning with the reports that cover August 2008 trades.  In addition, the “away from market” indicators, M2c0 and M9c0, which fall under the end-of-day reporting deadline as of January 2, 2008,[2] will be shown as new categories on the Lateness Breakout.

DESCRIPTION OF ENHANCED REPORTS

The Lateness Breakout portion of the DDQS reports has a category for each type of reporting deadline, showing how many trades were reported timely and late relative to that deadline.  The enhanced reports will be formatted to show the new deadlines.  In the following hypothetical example, newly added lines are shown in larger type.[3]  Only the inter-dealer portion of the report is shown.  The customer portion of the report will be similar.  “EOD deadline (away from market)” categories will be added to the customer portion, but the RTTM-related categories will not.

Latness Report

RTRS produces threee versions of the DDQS reports: a DDQS for clearing brokers covering one month, the same report covering 12 months, and a Dealer Data Quality – Summary of Correspondent’s Trades (DDQ-SC) for correspondent dealers covering one month.[4]  The new categories will be on all versions covering August 2008 and forward.

The DDQS reports are available through RTRS Web.  Click here for the updated user guide  to the reports.

REPORTS OF TRADES SUBMITTED BEFORE AUGUST 2008

The newly added categories will not be available on DDQS reports covering trades submitted before August 1, 2008.  RTRS correctly scored trades in those categories as timely or late, based upon the Special Condition Indicator and the actual time of submission, but the trades were not separately tabulated in the Lateness Breakout because the categories were not present on the report.  Therefore, for January through July 2008, trades that a dealer may have submitted with indicators Mc40 or Mc50 are not tabulated.  A difference will result between the “Total Number” shown at the top of the Lateness Breakout and the “Total” at the bottom.  The difference will be equal to the number of trades not tabulated.

From January through July 2008, “Away from market” trades (M2c0 and M9c0) were correctly scored as timely or late relative to the end-of-day deadline, but on the lateness breakout they were tabulated as though they had the 15-minute deadline.  An M2c0 or M9c0 trade submitted after the end of trade date was scored late but was listed in the “15 minute – late” category of the Lateness Breakout; similarly, such a trade submitted before the end of trade date was scored timely and was listed in the “15 minute – timely” category.

Any trade submitted with Special Condition Indicator M230 or M930, indicating both “variable/commercial paper” and “away from market,” will be tabulated as an “away from market” trade.

Questions about this notice may be directed to a Transaction Reporting Assistant.

September 16, 2008


[1] See “SEC Approval Relating to Reporting Special Condition Indicators for Certain Special Trading Situations,” MSRB Notice 2007-25 (August 13, 2007).

[2] Ibid.

[3] The actual report will continue to include percentages for each category, but they are omitted here.

[4] See “Dealer Data Quality – Summary of Correspondent’s Trades,” MSRB Notice 2007-35 (November 19, 2007).