Muni Price Reporting (TRS)

MSRB Speaks on Transaction Reporting

User's Manual for Customer Transaction Reporting

TABLE OF CONTENTS ------------------------------------- Introduction Preparing to Submit Customer Trade Data File Submission Methods Reporting Customer Trades Guidelines for Operations Appendixes

Reporting Customer Trades

This section describes how to report customer trades. It first discusses each of the required data elements. (Formal definitions are in Appendix D.) Next, there is a discussion of how to report some specific types of trades: "when-issued" trades and trades in securities that do not pay a fixed rate of interest.

Data Elements

Except where noted, all these data elements must be reported for each trade.

CUSIP Number

Report the nine-character CUSIP number of the security being traded, e.g., 123456AB9.

Only CUSIP numbers assigned by the CUSIP Service Bureau of Standard & Poor's may be reported to CTRS. Do not report security numbers assigned by a dealer or by an information service.

Do not report trades in securities other than municipal securities, such as tax-free mutual funds. If you do, you will have to cancel these trades later.

Buy/Sell Indicator

Report the trade as a "buy" if you are reporting the purchase of a security from a customer. Report "sell" if you are reporting a sale to a customer.

NOTE: The CTRS convention regarding "buy" and "sell" may differ from the convention used on your firm's customer confirmations.

Par

Report the par value (quantity) of securities traded. You must report the par value in dollars (for example, a trade of "15 bonds" is reported as 15000).

If the transaction is in zero coupon securities, report the maturity value of the securities.

For nearly every trade, the par value will be an exact multiple of one thousand dollars. If you report a par value that is not a multiple of $1,000, the system will send you an error message questioning your input. This is intended to ensure against accidentally entering the number of bonds traded (e.g., $50), when the actual par amount in dollars should be entered (e.g., $50,000).

You may then correct the par if it was inaccurately reported, but if the trade was, in fact, for a value not a multiple of $1,000, you do not need to take action. The same procedure applies for transactions whose par value is less than $1,000.

Dollar price (required except in certain "when-issued" trades)

Report the price at which the trade was effected. The units are dollars per hundred dollars par value.

If the dollar price is not required to be reported for a when-issued trade (see below), leave the field blank or report "0.0".

Do not include the effect of any commission in the dollar price value. You will report commission later, in the same units as the dollar price.

Yield (required except in certain trades)

Report the yield at which the trade was effected, in per cent.

The yield value reported is the same "net" yield that is reported on customer confirmations. Therefore, it should include the effect of any commission (see MSRB rule G-15(a)). Rule G-15(a) in most cases requires the yield to be computed to the lower of call or nominal maturity date.

If the transaction was effected at par, the yield (usually, the coupon rate) should be reported to the MSRB, even though rule G-15(a) allows the yield to be omitted from the confirmation in such a case.

If a yield cannot not be computed for a transaction done on a dollar price basis - for example, because the trade is in a variable rate security or in a defaulted security - then the yield may be omitted (left blank or reported as zero).(2)

If reporting the yield is not possible because the transaction was done on a dollar price basis and no settlement date has been set for a "when-issued" security (see below), leave the yield blank or report it as zero.

Commission (a value must be entered for agency trades)

Report the commission in the same units as the dollar price, i.e., in dollars and cents per hundred dollars par value. Do not report the total amount of commission, e.g., $50.00. Instead, report it so that the TRS system can add together the dollar price and commission to compute the net dollar price, e.g., report a commission of $ .25 plus a dollar price of $99.50 giving net price of $99.75.

If the trade was effected on an agency basis, report the commission, even if it is zero. If the trade was a principal trade, leave the commission blank or report it as zero. You may not report a commission (except zero) for a principal trade.

Time of trade

Report the time at which the trade was executed, in hours and minutes. Use the military convention, for example, 2:00 pm is 1400 hours (entered as 1400). Report the time as Eastern time.

Do not report the time the data was entered into your computer system or another system. Instead, be sure to report the actual time the trade was done, that is, the time the dealer and customer formed a contract to trade.

Trade date

Report the trade date. If the trade date of the transaction differs from the current date, report the date on which the trade was executed. Do not automatically report the current date or the system processing date. When amending a trade report, report the actual trade date, not the date of amendment.

Settlement date (required except in certain when-issued trades)

Report the date on which the trade will settle. If the settlement date of a when-issued trade is not known, leave this field blank or report it as zero.

Dealer

This field must contain the NASD-assigned four-letter broker symbol (sometimes termed "executing broker symbol," "market maker ID," or "market participant ID") that identifies the dealer effecting the trade. To be accepted by TRS, this symbol must be assigned by the NASD and must be known to the MSRB. If your firm has not completed and returned a Transaction Reporting Information Form (see above), we will not know your symbol and your trades will be rejected.

A clearing broker may report trades on behalf of its correspondents that effect trades with customers, but the correspondent must be identified as the dealer on the trade record. It is important to report the symbol that identifies the dealer that effected the trade with the customer (see "Broker Symbol" in Section 2 of this manual).

Capacity

Report the dealer's capacity with respect to the customer on this trade, i.e., whether the dealer acted as agent for the customer or as principal with respect to the customer.

Transaction control number

When reporting a trade to the MSRB, you must report a transaction control number. This allows the CTRS to know which records to update if the transaction data changes, or the transaction is canceled, after it is first reported. Each dealer assigns its own transaction control numbers. The format is unrestricted except for a maximum length of 20 characters.

As described below, you may change ("amend") or delete ("cancel") a transaction after you report it. The first record of a transaction and subsequent "amend" records must all include the same transaction control number (you have a choice of two fields in which to enter this number, as also described below). A "cancel" record for this transaction must also have the same number. Canceling a transaction serves to cancel its control number, so you may re-use the control number on another transaction if you wish. However, if you do not cancel a transaction, you may not re-use the control number to report another trade until three years have passed. This ensures that the system does not have two different transactions from a given dealer with the same control number.

Previous reference (optional)

If you are reporting a change to a transaction C that is, if you submit an Amend, Cancel, or Verify record C you must include the transaction control number with which the transaction was first reported (the "original" control number). There are two alternative ways to do this:

You may put the original control number in the Transaction Control Number field, and leave the Previous Reference field blank. This is the simpler way and is recommended.
You may report a new control number (one that your firm has not used during the previous three years) in the Transaction Control Number field, and put the original control number in the Previous Reference field. You might wish to do this if, for example, your firm's record-keeping system requires a unique number for every transaction record.
As noted, if you (1) report the trade (using an "F" record), then (2) Amend the trade, then (3) Amend the trade again, or Cancel the trade, then you must provide the same transaction control number on all of these records - either in the Transaction Control Number or the Previous Reference field.

Cancel/amend code

The cancel/amend code (also known as "transaction type") indicates whether a trade record describes a trade that is being reported for the first time or whether it refers to a previously reported trade.

The first time you report a trade to TRS, the trade record must have "F" as its cancel/amend code, indicating that this is the first report of the trade. If you determine there was an error in the "F" record, you should report the correct data in an "A" (amend) record. TRS replaces the original data with the data in the "A" record. If you wish to cancel (delete) the "F" record's data - because there was no reportable trade or because you wish to replace the "F" record with another "F" record - you should report the trade with a "C" record. Finally, if you receive a "QUESTION RECORD" error message from TRS and determine that the data in question is correct, you may submit a "V" record to verify the original data. See Appendix F for more information on amending, canceling or verifying trades; see Appendix J for more on error messages.

"When-Issued" Trades

Sometimes customer trades are done in securities that are in "when-issued" or "new issue" status before the first settlement date is determined. In this case, you must report either the trade's dollar price or the yield to CTRS, but may omit the other parameter (since settlement date is needed to calculate price from yield, or yield from price). Simply report the price or yield, depending whether the trade was done on the basis of price or of yield.

When the initial settlement date is determined, you do not need to submit an Amend record to report the dollar price or yield to the MSRB if you have already reported the trade accurately in other respects.

Note that when the trade is initially reported, if the settlement date is known, you must report both the price and the yield for a when-issued trade. The only exception is described in the next paragraph.

Trades in Non-Fixed-Rate Securities

If a municipal security does not have a fixed rate of interest, report the yield as blank or zero. Examples of such securities are variable rate securities, collateralized mortgage obligations, and securities that prepay principal. You should also report the yield as blank or zero for trades in defaulted securities and in securities traded on a discounted basis.

Errors and How to Fix Them

TRS produces a receipt file for every customer transaction file it receives. The purpose of the receipt file is to acknowledge that your file was received and to list any errors or apparent errors that the host detected. The PC TRS User's Manual, Section 4 (see Appendix F) describes transaction reporting errors and gives guidelines about how to fix them by amending, canceling or verifying the data reported to the MSRB.

You must respond to certain types of error messages.

• Messages that include the words "amend (or cancel and resubmit)" indicate that the trade record was unacceptable to the TRS, usually because it is formatted incorrectly. You must amend the erroneous record, or cancel it and replace it with a correct record.
• Messages that include the words "header error" indicate that the file header is unacceptable and that you must resubmit the file with a corrected header.
• Messages that include the words "record ignored" usually indicate that the record was ignored for the purpose of storage in the MSRB database and that you must correct the data and resubmit it. There are a few exceptions to the requirement to resubmit these trades, as stated in Appendix J.

For a detailed list of error codes and the action you must take in regard to each error, see the notice about "New Error Messages" in Appendix J. Refer to the MSRB Web site for possible updates to this printed list.

Further Information on Data Elements

Further information on the data elements required for customer transaction reporting may be found in MSRB Reports notices and the June 1998 "Questions and Answers" document (both on the MSRB Web site) as follows:

Broker symbol
MSRB Reports, Vol. 15, No. 3 (October 1995) at 35-37
MSRB Reports, Vol. 17, No. 1 (January 1997) at 9
Q&A nos. 69-75

Time-of-trade
MSRB Reports, Vol. 16, No. 2 (June 1996) at 7-8
MSRB Reports, Vol. 16, No. 3 (September 1994) at 17-18
Q&A nos. 30-31

Price and yield
Q&A nos. 17-20

Settlement date:
Q&A nos. 21-23.

Capacity as agent/principal
Q&A nos. 24-26

Transaction control number
Q&A no. 28

Cancel/amend code
Q&A nos. 34-46