MSRB NOTICE 2012-55 (NOVEMBER 2, 2012)

UPDATE ON NOVEMBER 5, 2012 EFFECTIVENESS OF CHANGES TO TRANSACTION REPORTING REQUIREMENTS

The Municipal Securities Rulemaking Board (”MSRB”) is updating dealers on a recent development related to an upcoming change to the MSRB’s Real-Time Transaction Reporting System (“RTRS”) that is scheduled to become effective on November 5, 2012.  In light of disruptions experienced by some market participants due to Hurricane Sandy, the MSRB is providing this update on its plans for implementing the change that requires brokers, dealers and municipal securities dealers (collectively “dealers”) to report for inter-dealer transactions – in addition to the information currently reported – the contractual dollar price at which the transaction was executed.[1] 

REGULATORY DOLLAR PRICE CHANGE

Inter-dealer transaction reporting is accomplished by both the purchasing and selling dealers submitting information about the transaction to the Depository Trust and Clearing Corporation’s (“DTCC”) Real-Time Trade Matching System (“RTTM”).  Information submitted to RTTM is forwarded to RTRS for trade reporting.  The regulatory dollar price change scheduled to become effective on November 5, 2012 would provide RTRS for inter-dealer transactions with the contractual dollar price ("regulatory dollar price") at which the transaction was executed, in addition to the information currently reported, to provide RTRS with an additional data point for its evaluation of which dollar price would be disseminated from RTRS for price transparency purposes.

DTCC has postponed implementing changes to RTTM that would forward regulatory dollar price on inter-dealer trade reports to RTRS (see DTCC Notice A #7523 and P&S #7093) due to the impact of Hurricane Sandy and to maintain the stability of its current production system.  Accordingly, the MSRB is postponing the effectiveness of the requirement for dealers to report regulatory dollar price on inter-dealer trades.  Similarly, RTRS subscribers should be aware that the dollar price for inter-dealer trades will continue to be calculated by the MSRB from the final monies, par value and accrued interest for the trade.

Existing DTCC systems will remain operational and will continue to accept regulatory dollar price submissions.  Thus, dealers that have or that planned to implement system changes to meet the new requirement will be able to proceed with submitting regulatory dollar price on inter-dealer trades.  Alternatively, dealers that have not implemented system changes will be able to continue to report inter-dealer trades that do not include regulatory dollar price.  The MSRB will coordinate with DTCC and the Securities and Exchange Commission to announce a new date for when RTTM will begin forwarding regulatory dollar price on inter-dealer transactions to RTRS and when dealers will be required to report this information.

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All other changes to RTRS planned for November 5, 2012 will become effective, including dissemination of exact par values on transactions up to $5 million par value,[2] a new error code to alert dealers to trade reports in securities that are classified as corporate or government securities by the CUSIP Service Bureau, and enhancements to the reports available on RTRS Web.  None of these changes require dealers to make changes to the information required to be reported.

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Questions about submissions to and subscriptions to information from RTRS may be directed to MSRB Support at 703-797-6668.  Other questions about this notice may be directed to Justin R. Pica, Director, Product Management - Market Transparency at 703-797-6716 or Karl D. Eiholzer, Director, Product Management - Subscription Services at 703-797-6608. 

November 2, 2012


[2] This change will enhance the transaction data publicly disseminated from RTRS in real-time by including the exact par value on all transactions with a par value of $5 million or less, an increase from the current $1 million or less threshold, and including an indicator of “MM+” in place of the exact par value on transactions where the par value is greater than $5 million.  As is done currently, the exact par value of all transactions will be disseminated from RTRS five business days later.  See MSRB Notice 2012-53 (October 25, 2012).