(Volume 16, Number 3) SEPTEMBER 1996
||Amendment Filed: The Board has filed an amendment to rule G-14 that would require dealers to report customer transactions in municipal securities to the Board for inclusion in summary public reports and for market surveillance and enforcement purposes. This Notice describes the central facility that would be developed to receive and process customer transaction information reported by dealers and specifies the dealer reporting requirements. Mandatory testing with dealers is planned to begin in July 1997 and full operation of the central facility in January 1998.|
Questions about the proposed amendment may be directed to Larry M. Lawrence, Policy and Technology Advisor.
On August 29, 1996, the Board filed with the Commission an amendment to rule G-14 (the "amendment"or "proposed rule change") that would increase transparency in the municipal securities market by adding retail and institutional customer transaction information to the inter-dealer transactions currently included in the Board's Transaction Reporting Program (the "Program").1 Under the proposed amendment, aggregate data about inter-dealer and customer market activity, and certain volume and price information about all transactions in frequently traded securities, would be disseminated to promote investor confidence in the market and its pricing mechanisms. The information would continue to be provided in the Program's daily report summarizing prices and volumes in the municipal securities market during the previous day (the "Daily Report").2 In addition, the information on all transactions reported would be made available to regulatory agencies responsible for enforcement of Board rules, as a means to assist in market surveillance.
The proposed amendment would require that each dealer: (1) obtain an executing broker symbol, if one has not already been assigned, from the National Association of Securities Dealers (NASD); (2) provide the Board with the name and telephone number of a person responsible for testing the dealer's capabilities to report customer transaction information; (3) test its capabilities to report such information; and (4) report to the Board each day its municipal securities transactions with customers.
Dealer reporting requirements would become effective according to the following proposed schedule:
||Thirty days after Commission approval of proposed rule change|
||July 1, 1997|
||July through December 1997, on a schedule to be announced by the Board|
||January 1, 1998|
The Board has developed the Transaction Reporting Program to accomplish two objectives. The first is to increase the amount of information available about the market value of individual municipal securities, which has been a longstanding Board goal.3 This concept of disseminating information to the public about transactions is now generally referred to by the Board as bringing "transparency" to the market. The second, but equally important, purpose of the Program is to provide a centralized audit trail of municipal securities transactions by making available to the NASD, the Commission, and other enforcement agencies a computer database reflecting all municipal securities transactions reported to the Board. This "surveillance database" helps meet the requirements of those organizations for an audit trail of transaction data, in connection with their surveillance of the market and inspection for compliance with Board rules and securities laws.
At this time, the Program is limited to inter-dealer transactions. Under Board rule G-14, dealers currently report their inter-dealer transactions to the MSRB each night through the automated comparison system operated by National Securities Clearing Corporation (NSCC). This reporting mechanism is convenient for dealers, since most of the trade data that must be reported to the Board has to be reported to NSCC in any event, for clearance and settlement purposes. The Board accomplishes the transparency function by making summary price and volume information available about these transactions on the "Daily Report." If the inter-dealer trade data received by the Board indicates that there were four or more trades in an issue during that day, the next morning's Daily Report includes the high, low and average prices, and the total par traded, for that issue.4 Prices and volumes for approximately 100 municipal securities issues are reported daily.
At the beginning of the inter-dealer phase, the Board noted that it planned to enhance the inter-dealer phase of development by adding institutional and retail customer information in later phases. The proposed amendment would implement these enhancements by January 1, 1998.
Under the proposed amendment, each dealer that effects transactions with customers would generate a file of certain required information about its customer transactions, in a specified format, and would transmit the file electronically to the MSRB by midnight of each trading day. The Board expects that most dealers will modify existing internal processing systems to generate the file. This approach will be less costly to dealers than if the Board were to mandate the use of an independent transaction reporting system with stand-alone terminals that would have to be acquired by dealers and operated by dealer staff.
The dealer could use any available method to transmit the specified file to the Board's system. Most dealers are expected to use existing telecommunications links with NSCC for this purpose, but, alternatively, dealers with low volumes of customer trades may dial-in to the Board's system and upload the file by modem.
The Board plans to build a subsystem of the Transaction Reporting System for accepting customer transaction information. The resulting Customer Transaction Reporting Subsystem (CTRS) would encompass the system originally planned for retail transactions, but will process institutional customer transaction data as well. Therefore, dealers will have consistent operational requirements for reporting both retail and institutional customer transactions.
Trade Information to be Reported Dealers would report approximately a dozen data items about each customer trade. These items, and their purpose in the customer transaction reporting subsystem, are as follows:
The number assigned by the CUSIP Service Bureau to identify the security. Other identification numbers will be considered errors. This item is needed for transparency and surveillance purposes. Format: 9 alphanumeric characters.
The date the trade was executed. This item is needed for transparency and surveillance purposes and to determine compliance with the Board's rule G-14 requirement that the trade be reported on trade date. Format: 8 digits, CCYYMMDD.
Time of Trade Execution.
The time of day, stated as Eastern time to the nearest minute, at which the trade was executed. This item is needed for surveillance purposes. Format: 4 digits,HHMM, Military format, Eastern time.
The executing broker symbol, assigned by the NASD, that identifies the executing dealer. The dealer identity is needed for surveillance purposes. Format: 4 letters, e.g., ABCD.
An indicator of the dealer's capacity as buyer or seller in the transaction. This item is needed for surveillance purposes. Format: "B" or "S".
Par Value Traded.
The par value, in dollars, of the securities in the transaction. The maturity value of zero coupon securities will be given if it differs from the par value. Par value is needed for transparency and surveillance purposes. Format: 9 digit integer.
The price of the security, in dollars per hundred dollars par value. Dollar price will be reported to the CTR Subsystem excluding any commission; the CTRS will include the commission (a separate item, described below) in dollar prices as shown in the Daily Reports. If the dollar price cannot be computed precisely because the settlement date of a "when-issued" transaction in unknown, the CTRS will estimate it from the reported yield and an estimated settlement date (see below). Dollar price is needed for transparency and surveillance purposes. Format: 9 digits plus explicit decimal point, e.g.,100.123456 or 098.765432. The decimal point may "float," e.g., both 00099.5000 and 99.5000000 are valid.
The yield of the transaction, in per cent, as reported on the confirmation. Yield will not be required on transactions in municipal variable-rate or collateralized mortgage obligations. Yield will be used to validate dollar price. Format: 8 digits plus explicit decimal point. Units are per cent, e.g., 03.500000 denotes 3.5 %.
Dealer's Capacity and, if Agent, Commission Charged.
The dealer's capacity indicates whether the dealer acted as agent or principal toward the customer. It is needed for surveillance purposes. Commission, if any, will be stated as dollars per hundred dollars par value, and is needed for computing the net price including commission. Format - Capacity: "A" or "P". Commission: 7 digits plus explicit decimal, e.g., 00.05000.
The date the transaction is due to settle. The dealer must provide the settlement date if it is known. If the settlement date for an issue in "when-issued" status is not known at the time the trade information is reported, the CTRS will estimate it as 20 business days after the first trade in the issue, until the actual settlement date for the issue is determined. This item will be used to validate the consistency of dollar price and yield as reported. Format: 8 digits, CCYYMMDD.
Dealer's Control Number for Transaction.
An identifier, assigned by the executing dealer, sufficient to identify the securities transaction from among the dealer's other transactions. Dealers may use any coding method, provided that no two transactions done by a dealer within a three-year period have the same control number. This item is needed for surveillance purposes (so that submissions can be associated with entries in the dealer's record-keeping system) and for data management (so that a dealer may identify a transaction to be revised after it is first reported to the CTRS). Format: 20 alphanumeric characters.
Cancel/Amend Code and Previous Record Reference.
An indicator of whether the dealer is reporting an update to data previously reported about a transaction, and, if necessary, the dealer's control number for the transaction whose data is to be updated. Cancel/Amend code format: "F": First report of this transaction to the MSRB; "C": Cancel the record of the trade identified by the dealer's control number. "A": Amend the record of the trade identified by the dealer's control number. "V": Verification that a record of a transaction that contains possible errors is correct.
An important feature of the Program is a provision for dealers to submit customer transaction data to the Board through an intermediary that could handle the technical details of preparing files in the specified format and/or the function of transmitting correctly formatted files to the CTRS. For example, clearing dealers (dealers that submit transactions for clearance and settlement on behalf of other dealers) could report transactions on behalf of the dealers for whom they clear. Clearing dealers themselves may use service bureaus (firms offering confirmation or other processing services) to collect, format and transmit data to the Board. By using the same telecommunication links for CTRS data as for clearing data, the expense to dealers of customer transaction reporting would be minimized.
The Submission Process
The Submission Process Dealers or intermediaries will perform two steps in submitting customer trade data to the Board. First, they will prepare a file containing the necessary information in the physical format specified by the Board. Second, they will transmit the file to the CTRS.
The dealer may extract the necessary information from its record-keeping or automated confirmation systems. Some lower-volume dealers may wish to key in the data to a program designed specifically to create a file in the correct format. For dealers who wish to key in data on a personal computer, data entry and editing software will be made available by the Board. It is expected that only dealers with low volumes of trades will use this method, since higher-volume dealers already store most of the required trade data in existing computer systems and are expected to adapt those systems for reporting purposes rather than manually re-enter the data into another system.
As noted above, the Board expects that existing links between dealers and NSCC will be used to transmit files of customer transaction data. The Board is currently discussing file transmission procedures with NSCC and it appears that NSCC will provide transmission services to dealers. However, if a dealer does not wish to use an intermediary to transmit files to the Board, the dealer will be able to upload files directly to the CTRS from a personal computer.
The system will send messages to dealers, by facsimile, acknowledging receipt of a day's file and identifying records that appear to be in error or questionable. The system also will make available an electronic copy of the receipt and error message file, which the dealer may optionally download to its computer if it prefers. Dealers will submit corrections using a method similar to that for reporting trades. A dealer may also "cancel" a trade, that is, inform the system that a trade previously reported did not occur or was cancelled by the parties. Dealers will report only changes relevant to the Board's transaction reporting purposes, for example, a change in the price or par value of a trade.
The proposed rule change would require dealers to report their customer transactions to the Board by midnight of trade date. Dealers also would be required to report corrections and cancellations as soon as the need for such change is known. Dealers would be able to make changes to data previously reported for two months after the trade date.
The system will use the NASD four-letter executing broker symbol (e.g., "ABCD") to identify the dealer that effected the transaction. Dealers reporting inter-dealer trades to the Board through NSCC currently are required by rule G-14 to identify the executing brokers (as well as the clearing brokers), but the specific symbol to be used is not specified in rule G-14 procedures. Specifying the use of the NASD executing broker symbol will enable users of the surveillance database to determine the executing dealer unambiguously in all cases. The NASD assigns such symbols, on request, to all dealer firms including bank dealers. A dealer not already assigned such a symbol will be required to obtain one from the NASD. (Executing broker symbols are already widely used by many dealers.) Since identification symbols are already needed for the audit trail of inter-dealer transactions and it would improve the functions of the surveillance database for this uniform identifier to be used, the Board is requesting that this provision in the proposed rule change become effective 30 days after Commission approval of the proposed rule change.
The requirement to report customer trades would become fully effective January 1, 1998, with a testing requirement, discussed below, effective beginning July 1997.
Proposed Mandatory Testing Dealers will need to test their own trade processing systems to ensure they can produce files containing the required information in the proper format. Such testing would clarify system input specifications with dealers and ensure that dealers' systems are able to correct erroneous input. Mandatory testing by dealers is the only way to ensure that dealers' systems are ready to submit customer trade data before the reporting requirement becomes effective.
To begin system operations by January 1, 1998, the proposed rule change would require testing with dealers between July and December 1997. Procedures would involve testing first by the dealers with the greatest volume of customer trades, followed by the lower-volume dealers. Each dealer would be required to report all its customer trades, on a test basis, to the Board for a specified time. None of the test submissions would be publicly reported or provided to the enforcement agencies. The Board would inform the dealers of any problems found, and the dealer would re-test its system and reporting procedures within two months of the initial run. The proposed rule change would require dealers to provide the Board with the name of a dealer staff person responsible for testing, and to participate in a testing program, which would begin in July 1997. The Board plans to test first with larger submitters, giving consideration to the test readiness of individual firms.
All transactions in municipal securities will be recorded in the surveillance database. The Daily Report, however, will not include price data on every transaction, since it reports on those issues that were traded most frequently during the previous day. As noted above, currently the Daily Report includes summary information on those securities which were traded four or more times the previous business day. Including customer trades will substantially increase the number of issues trading above this "reporting threshold." It is impossible at this time, however, to predict quantitatively the effect on the Daily Report of including retail customer trades, since there is no existing source of comprehensive retail transaction information in the industry. The Board is requesting and has begun receiving samples of customer trade data from certain dealers, on a voluntary basis, and has begun to measure the frequency with which issues are traded, trade sizes, and other factors needed to structure the Daily Report to include customer transaction data. The Board plans to determine the reporting threshold and other formatting aspects of the Daily Report by mid-1997 and will describe the revised report in an additional proposed rule change.
The Board currently levies four types of fees that are generally applicable to dealers. Rule A-12 provides for a $100 initial fee paid once by a dealer when it enters the municipal securities business. Rule A-14 provides for an annual fee of $200 from each dealer that conducts municipal securities business during the year. Rule A-13 provides for an underwriting fee based on the par value of a dealer's participation in primary offerings of municipal securities, and for a transaction fee based on the par value of a dealer's transactions reported to the Board. The transaction fee is currently .0005 per cent (one-half cent per $1,000) of the total par value of inter-dealer sales of municipal securities, since the current reporting requirement applies only to inter-dealer trades.
The Board's goal in allocating fees among dealers is to reflect as accurately as possible each dealer's involvement in the municipal securities market. Underwriting activity and inter-dealer transaction volume currently are the best available and auditable means upon which to base fees, but the Board has noted that these measures of dealer activity do not track every important activity in the market. When customer transaction data becomes available, the Board will consider revising the basis of the transaction fee to include all trades in municipal securities, not just the inter-dealer transactions as under the current transaction fee structure.
COMMENTS RECEIVED ON THE PROPOSED PROGRAM
Requests for Comments The Board published a notice in February 1995, requesting comment on the institutional customer transaction phase of the Program and proposing that, to produce the Daily Report in this phase, institutional customer and inter-dealer transactions would be reviewed together to identify those issues in which four or more transactions occurred on a given day. Once these frequently traded issues were identified, the prices for all transactions in the issue would be reviewed to determine the high and low prices, which would be reported on the next day. An "average price" would be computed based upon all transactions in that issue involving par values between $100,000 and $1 million, if any. In response, six comment letters were received: three from dealers, two from dealer associations, and one from a market analyst.
The Board described a revised plan to implement reporting of both institutional and retail customer transactions in a January 1996 notice in which preliminary technical specifications were also proposed for comment. In response, three comment letters were received, two from dealer associations and one from a firm providing application software to dealers.
Discussion of Comments Use of Institutional Transaction Data from the Clearance and Settlement System.
One commentator stated its preference that the Board use institutional trade data reported by dealers to the clearance and settlement system (referred to in its letter as the Depository Trust Company's (DTC's) Institutional Delivery [ID] System). Another commentator recommended that the DTC develop a program for reporting retail customer transaction data. A commentator suggested that the Board focus on reporting institutional customer transactions because they are "much more illustrative of the activities of the municipal market" than are retail transactions.
Although the Board had hoped to use clearance and settlement data for institutional customer transaction reporting, after a careful review the Board found that various aspects of the clearance and settlement system data make it unsuitable for transparency purposes. Regarding the suggestion that the Program should focus on institutional (rather than retail) customer transactions, the Board notes that retail transactions are a necessary and integral part of the Program, both for disclosing prices in the Daily Report and for constructing the comprehensive audit trail.
The Daily Report.
The Board received a variety of suggestions for changing the Daily Report. Some commentators suggested reporting individual transactions, while others suggested combining data from all trades falling within a given par value range.
The Board does not intend to raise the threshold of four or more trades a day for Daily Report purposes. At this time, however, it is impossible to predict how the inclusion of retail customer data will affect the Daily Report, since retail transactions are not available to conduct a simulation. The system is being designed to have the capability to produce the Daily Report in various formats, based upon alternative criteria, so that this decision can be made when more information is available. As noted above, the Board has deferred a decision on the Daily Report criteria until next year, by which time sample customer trade data, provided voluntarily to the Board by several dealers for study, can be analyzed. The Board, at that time, will reconsider all of the comments received on the structure of the Daily Report.
Transactions to be Reported. The Board's 1996 request for comment asked whether transactions in certain types of municipal securities should be excluded from reporting. The securities that might be excluded are those that may require special processing by dealer systems, e.g., variable-rate securities, collateralized mortgage obligations, securities prepaying principal and securities trading "flat." One commentator stated that all municipal transactions should be included in the scope of transactions reported, except those in securities that are ineligible for CUSIP number assignment. The proposed rule change would require dealers to report customer transactions in all securities eligible for CUSIP number assignment. The Board notes, however, that it may be impossible, at least initially, to calculate meaningful and reliable dollar prices from yield for some of these instruments with non-standard payment structures. Thus, although the separate trade information will go into the surveillance database for audit trail purposes, some transactions in municipal securities with non-standard payment or call features may not be included as part of the Daily Report.
Data Items to be Reported by Dealers. One commentator stated its belief that there is no need for data items in addition to those in the request for comment. The Board has determined that, with one exception, the data items proposed in the January 1996 notice are sufficient for processing customer transaction data and has included those items in the proposed rule change.
Estimating the Settlement Date. Transactions involving the distribution of new issue securities sometimes are effected before the first settlement date is determined. Often the parties to such "when-issued" transactions agree on the yield of the transaction when effecting the trade, and calculate the corresponding dollar price after the settlement date is determined. The proposed rule change would require the reporting of such transactions on trade date. The system is designed to estimate the dollar price for next-day reporting based upon an estimated settlement date. The 1996 request for comment asked whether the dealer or the Board should estimate the settlement date, and a commentator proposed the date should be estimated by the Board. Accordingly, the Board will estimate the settlement date as the date of first trade plus 20 business days.
Information about Calls or Pre-refunded Securities. One commentator suggested that the Board require the dealer to report whether the security was priced to call or was known to be pre-refunded, in order to be sure the dealer took such information into account. The planned system is designed to verify the reported dollar price and yield by recalculating the dollar price from the reported yield, using data about the security obtained from one or more securities information vendors. The calculations should be the same if issue information used by the Board and the dealer is the same. If the system's recalculated price indicates there may be erroneous input caused by typographical errors, the dealer will be informed and the transaction will not be included in the Daily Report. Therefore, it is unnecessary to request call or pre-refunding information from the dealer as part of trade input.
Program Costs and "Open Systems" Approach. One commentator expressed concern that the Board remain sensitive to the cost to dealers of reporting customer transactions. This commentator also commended the Board for taking the "open system" approach to provide flexibility to dealers and intermediaries in configuring their reporting systems.
The Board notes that the system design and approach to the Transaction Reporting Program are intended to minimize long-term resource commitments from dealers. Instead of requiring dealers to lease a terminal from the Board and hire personnel to input transactions, the program is designed so that dealers can generate nightly files of trade data from their existing trade processing systems. In addition, NSCC has stated its willingness to allow dealers to utilize existing telecommunications links as the means for transmitting these files to the Board. The Board, as well as dealers, will benefit from dealers using existing links with NSCC, since the Board's system then will need less hardware and staff to support dial-in submissions.
Standardized Format for Vendor Reports. A commentator posited that the Board may desire to have uniformity among transaction reports distributed by information vendors, and recommended that the Board impose standards for vendor-produced "Official MSRB Daily Reports." The Board desires to provide maximum flexibility for value-added vendors to reformat the public transaction information to meet the needs of the marketplace, and does not intend to define an "official" report format for redistribution of data obtained via its Daily Report Service.
August 29, 1996
Rule G-14. Reports of Sales or Purchases
(a) General. No change.
(b) Transaction Reporting Requirements.
(i) Each broker, dealer or municipal securities dealer shall report to the Board or its designee information about its transactions in municipal securities
with other brokers, dealers or municipal securities dealersusing the formats and within the time frames specified in Rule G-14 Transaction Reporting Procedures. Transaction information collected by the Board under this rule will be used to make public reports of market activity and prices and to assess transaction fees. The transaction information will be made available by the Board to the Commission, securities associations registered under Section 15A of the Act and other appropriate regulatory agencies defined in Section 3(a)(34)(A) of the Act to assist in the inspection for compliance with and the enforcement of Board rules.
(ii) The information specified in the Transaction Reporting Procedures is critical to public reporting of prices for transparency purposes and to the compilation of an audit trail for regulatory purposes. All brokers, dealers and municipal securities dealers have an ongoing obligation to report this information promptly, accurately and completely. The broker, dealer or municipal securities dealer may employ an agent for the purpose of submitting customer transaction information; however, the primary responsibility for timely and accurate submission remains with the broker, dealer or municipal securities dealer that effected the transaction.
(iii) To identify its transactions for reporting purposes, each broker, dealer and municipal securities dealer shall obtain a unique executing broker symbol from the National Association of Securities Dealers, Inc.
Rule G-14 Transaction Reporting Procedures
(a) Inter-Dealer Transactions.
(i) Except as described in paragraph (ii) of this section (a), each broker, dealer and municipal securities dealer shall report all transactions with other brokers, dealers or municipal securities dealers to the Board's designee for receiving such transaction information. The Board has designated National Securities Clearing Corporation (NSCC) for this purpose. A broker, dealer or municipal securities dealer shall report a transaction by submitting or causing to be submitted to NSCC information in such format and within such time frame as required by NSCC to produce a compared trade for the transaction in the initial comparison cycle on the night of trade date in the automated comparison system operated by NSCC. Such transaction information may be submitted to NSCC directly or to another registered clearing agency linked for the purpose of automated comparison with NSCC.
The broker, dealer or municipal securities dealer may employ an agent that is a member of NSCC or a registered clearing agency for the purpose of submitting transaction information; however, the primary responsibility for timely and accurate submission continues to rest with the broker, dealer or municipal securities dealer that executed the transaction.
The information submitted in accordance with this procedure shall include the time of trade execution and the identity of the brokers, dealers or municipal securities dealers that execute the transaction in addition to the identity of the entities that clear the transaction. If clearing/introducing broker arrangements are used for a transaction, the introducing brokers shall be identified as the "executing brokers." If the settlement date of a transaction is known by the broker, dealer or municipal securities dealer, the report made to NSCC also shall include a value for accrued interest in the format prescribed by NSCC.
(ii) No change.
(b) Customer Transactions.
(i) Each broker, dealer and municipal securities dealer shall report to the Board all transactions with customers effected after January 1, 1998, except as described in paragraph (iii) of this section (b). A broker, dealer or municipal securities dealer shall report a transaction by submitting or causing to be submitted to the Board, by midnight of trade date, the customer transaction information specified in paragraph (ii) of this section (b) in such format and manner specified in the current Users Manual for Customer Transaction Reporting. The broker, dealer or municipal securities dealer shall promptly report cancellation of the trade or corrections to any required data items.
(ii) The information submitted in accordance with this procedure shall include: the CUSIP number of the security; the trade date; the time of trade execution; the executing broker symbol identifying the broker, dealer or municipal securities dealer that effected the transaction; a symbol indicating the dealers capacity as buyer or seller in the transaction; the par value traded; the dollar price of the transaction, exclusive of any commission; the yield of the transaction; a symbol indicating the dealers capacity as agent for the customer or principal in the transaction; the commission, if any; the settlement date, if known to the broker, dealer or municipal securities dealer; a control number, determined by the broker, dealer or municipal securities dealer, identifying the transaction; and a symbol indicating whether the trade has previously been reported to the Board, and, if so, the dealers control number used for the previous report.
(iii) A transaction in a security that is ineligible for assignment of a CUSIP number by the Board or its designee shall not be required to be reported under this section (b).
(iv) Each broker, dealer and municipal securities dealer effecting customer transactions in municipal securities, including introducing and clearing brokers, shall provide to the Board the name and telephone number of a person responsible for testing that firms capabilities to report customer transaction information. Each broker, dealer and municipal securities dealer shall test such capabilities in a manner and according to the requirements specified in the current Users Manual for Customer Transaction Reporting. This paragraph (iv) shall take effect July 1, 1997.
 File No. SR-MSRB-96-10. Comments on the proposed amendment may be made to the Commission and should refer to this file number.
 The Board expects in the second quarter of 1997 to file and obtain Commission approval of an additional proposed rule change specifying revisions to the Daily Report format to accommodate customer trade information. The proposed rule change will also specify the fee for subscriptions to the Daily Report.
 See "Planned Pilot Program for Publishing Inter-Dealer Transaction Information," MSRB Reports, Vol. 13, No. 3 (June 1993) at 3-6.
 All trades reported publicly must have been successfully "compared" on trade date in the automated clearance and settlement system, i.e., there must have been agreement by the parties to the trade on trade details such as par value, price, and yield. Average prices are reported only for those transactions with par value between $100,000 and $1 million. See "Reporting Inter-Dealer Transactions to the Board: Rule G-14," MSRB Reports, Vol. 14, No. 5 (December 1994) at 3-6, for a description of these and other aspects of the Program.
 See "Reporting Inter-Dealer Transactions to the Board: Rule G-14," MSRB Reports, Vol. 14, No. 4 (August 1994) at 7.
 Items needed for transparency purposes will appear on the public Daily Report. Items needed for surveillance purposes will be stored in the Board's surveillance database and used by the enforcement agencies for audit trail construction and other enforcement purposes.
 Currently, rule G-14 requires dealers to report executing dealer identities but does not specify which identification symbol must be used. Some dealers use NSCC clearing numbers, others NASD executing broker symbols, and others ad hoc symbols which they create themselves. The Board's experience with the surveillance database has shown that one identifier - the NASD executing broker symbol - is the most appropriate identifier for purposes of the Program. This is discussed below, under "Dealer Reporting Requirements."
 The additional proposed rule change will also specify the fee for subscriptions to the Daily Report, along with any Program modifications found to be necessary.
 See Securities Exchange Act Release No. 36492 (November 20, 1995) at 4-5 and "Revisions to Board Fee Assessments: Rules A-13, A-14 and G-14," MSRB Reports, Vol. 16, No. 1 (January 1996) at 29.
 "Transaction Reporting Program for Municipal Securities: Phase II," MSRB Reports, Vol. 15, No. 1 (April 1995) at 11-15.
 "Reporting Customer Transactions in Municipal Securities: Rule G-14," MSRB Reports, Vol. 16, No. 1 (January 1996) at 15-18, and "Customer Transaction Reporting: Proposed Technical Specifications and Request for Comment," ibid. at 19-22.
 See "Reporting Customer Transactions in Municipal Securities: Rule G-14," MSRB Reports, Vol. 16, No. 1 (January 1996), at 16 and footnote 6.
 The exception is the "cancel/amend code," an indicator whether the dealer is reporting a change to data previously reported about a transaction. This indicator was not specified in the 1996 notice, but is logically necessary to enable the dealer to correct erroneous reports made to the Board.
Next Report: Specifications for Reporting Customer Transactions to the MSRB.
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