MSRB NOTICE 2007-12 (MARCH 23, 2007)

Reporting of Inter-Dealer Transactions That Occur Outside of RTRS Business Day Hours or on Invalid RTTM Trade Dates

The MSRB has received questions relating to reporting of transactions that occur outside of RTRS Business Day hours or on days that are not recognized as “valid” trade dates for purposes of trade comparison through the Depository Trust and Clearing Corporation’s (DTCC) automated comparison system (RTTM) (“invalid RTTM trade dates”).  Transactions executed between 7:30 A.M. to 6:30 P.M. EST during an RTRS Business Day are required to be reported to the MSRB Real-Time Transaction Reporting System (RTRS) within fifteen minutes of the time of trade execution.[1] In general, transactions that are executed before or after these hours on an RTRS Business Day are required to be reported no later than fifteen minutes after the start of the next RTRS Business Day and are required to include a trade date and time that reflects the date and time of trade execution.

Inter-dealer transaction reporting is accomplished by reporting the trade to RTTM for comparison.  Dealers, however, sometimes execute inter-dealer transactions on weekends and certain holidays that are not valid RTTM trade dates.[2] These trades cannot be reported to RTRS using the actual trade date if it occurs on a weekend or holiday.  To accomplish automated comparison and transaction reporting of such transactions, dealers should submit these inter-dealer transactions to RTTM no later than fifteen minutes after the start of the next RTRS Business Day and include a trade date and time that represents the next earliest “valid” values that can be submitted.[3]  For example, if an inter-dealer transaction is executed on April 6, 2007, Good Friday, dealers should submit such transactions no later than 7:45 A.M. Eastern on Monday April 9, 2007 and include a trade date of April 9, 2007 and time of trade of 00:01:00.[4]  At a minimum, dealers may use the RTTM Web interface to manually submit such transactions to RTTM if automated systems used by dealers to process and report transactions do not allow for input of trade date and time that are different from the date and time of trade execution.

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

March 23, 2007

[1] There are limited exceptions to the requirement to report trades within fifteen minutes of the time of trade execution. See Rule G-14 RTRS Procedures section (a)(ii).

[2] Such invalid RTTM trade dates typically also will be days that are not RTRS Business Days.

[3] Using this procedure will result in transactions reported with a trade date and time that differs from what is recorded in a dealer’s books and records.  Dealers are reminded that books and records are required to reflect the date and time of trade execution.  Dealers also should be aware that “questionable” error code Q22E will be returned alerting the dealer to the fact that time of trade is before 06:00 or after 21:00.  No dealer action is required for error code Q22E returned on inter-dealer transactions reported using the procedure described in this notice.

[4] As noted above, customer transactions executed outside of the hours of or on a day other than an RTRS Business Day are required to be reported no later than fifteen minutes after the start of the next RTRS Business Day and dealers are required to include the trade date and time that reflects the actual date and time of trade execution.