FACILITY FOR REAL-TIME TRANSACTION REPORTING AND PRICE DISSEMINATION (THE “REAL-TIME TRANSACTION REPORTING SYSTEM” OR “RTRS”)

File No. SR-MSRB-2004-02 (June 1, 2004); SEC Approval Order Release No. 34-50294 (August 31, 2004)

Proposed RTRS Facility

The MSRB has coordinated its plans for the RTRS facility with the new real-time comparison system for municipal and corporate bonds (the “Real-Time Trade Matching” or “RTTM” system) now being implemented by National Securities Clearing Corporation (NSCC).[1]  The use of the NSCC telecommunication facility as a data collection point or “Portal” for transaction data and the use of a standard common format for trade reporting and automated comparison through NSCC are intended to reduce dealer costs in complying with the 15-minute transaction reporting requirement.  Retail and institutional customer transactions and IDRO reports also will be reported through NSCC using the same record format as used for inter-dealer trades.[2]  NSCC will not process customer transactions in the comparison system, but will forward the data to the MSRB and thus allow dealers to avoid setting up separate telecommunications links and facilities specifically for trade reporting to the MSRB.[3]  In this manner NSCC and MSRB have attempted to provide a means for dealers to leverage their systems development work to satisfy two goals at once – that of real-time transaction reporting and real-time comparison of inter-dealer transactions.  In this regard, the development plans for both systems have been coordinated to provide the greatest efficiencies possible for dealers.

Improved Functionality.  The objective of real-time transaction reporting is to make price and volume information publicly available as soon as possible after trades are executed.  Real-time reporting will also bring improved functionality to dealers and enforcement agencies, compared with the current batch-oriented reporting system.  These improvements include:

•         The ability to correct regulatory data, such as time of trade, on inter-dealer trade reports;

•         The ability for a dealer to ensure the accuracy of regulatory data even when that information is reported on its behalf by a clearing broker;

•         The capability for dealers to report their capacity as agent in inter-dealer trades; and

•         Improvements in the “audit trail” of trade information.

Submission of Transaction Reports by Intermediaries.  As in the current transaction reporting system, a dealer will be able to use an intermediary, i.e., its clearing broker or service bureau, to submit transaction reports to RTRS.   Also following current policies, inter-dealer transaction reporting and comparison will be accomplished using one transaction report.  The MSRB expects those dealers that are not self-clearing to submit inter-dealer trades through their clearing broker as they do today.  However, these dealers must ensure that the clearing broker will be able to submit the trade report satisfying both comparison and transaction reporting requirements within 15 minutes of the time of trade.  Both dealers in this case will have the responsibility to work together to ensure that such trade submissions are timely and accurate.  It will be possible for the correspondent to submit customer trade reports directly to the MSRSB or for the clearing broker to submit on the correspondent’s behalf.

Message-Based and Web-Based Input Methods.  Two format options will be available for submission of data into RTRS:  1) message-based trade input, and 2) Web-based trade input.  In message-based trade input, each trade is submitted as a “message” in a standardized format.  A trade input message consists of a sequence of data tags and data fields – for example, the tag “SETT” followed by a date field indicates the settlement date of the trade. For real-time trade reporting and comparison, the format standard is the ISO 15022 format established by the International Organization for Standardization.[4]  Each message is sent as a separate unit between two computers.  The fact that a trade message is the basic telecommunications unit enables real-time reporting, comparison and interactive feedback.  Messages are well-suited to automated high-volume operations and to “straight-through processing” methods.

In using the Web-based method, the dealer manually accesses a Web site through an Internet browser to enter, correct or view trade data.  As described below, different Web sites are used depending whether the data is entered for both comparison and regulatory reporting or only for reporting purposes.  The Web-based method requires no system development work beyond setting up an Internet connection and obtaining the appropriate user ID, password and security safeguards.  However, Web input is manual and it will not be possible to interface the Web-based method with the dealer’s processing system.  Therefore, exclusive use of the Web-based method for submitting transactions generally will be appropriate only for relatively low-volume submitters.

For high-volume submitters of transaction data, such as large dealers, clearing brokers and service bureaus, the only efficient and practical means for initial trade submission is likely to be message-based.  The extent of systems work necessary for interfacing with RTRS (and with RTTM) in this case will be dependent in large part on whether the submitter currently captures trade data in real time for processing.  Submitters that have prepared for real-time transaction reporting and comparison by converting from overnight batch processing systems to ones with a more real-time or straight-through processing approach should find the necessary systems changes comparatively minor.

Dealers may use the message-based method, the Web-based method, or both. Some high-volume dealers may submit the initial trade report as a message, review their submission and the RTRS status information on a Web site, and make corrections manually using Web-based trade input.  Instead of using the Web, dealers may also submit corrections in message format.  Alternatively, some low-volume dealers may use the message-based system if messaging is made available to them by clearing brokers or service bureaus.[5]

RTRS Portals.  In the proposed amendment to the G-14 RTRS Transaction Reporting Procedures, the MSRB has designated three RTRS “Portals” for the receipt of municipal securities trade data.  Each Portal has a different policy governing the type of trade data it can accept.  Message-based trade input must go through the Message Portal, but Web-based trade input may go through either the RTRS Web Portal or the RTTM Web Portal.

• The Message Portal is operated by NSCC and accepts any type of municipal security trade submission or modification.  All trade messages that the dealer indicates should be forwarded to RTRS will be relayed to RTRS by NSCC.  In addition, messages that the dealer indicates should be processed by the comparison system will be routed to RTTM.[6]

• The RTRS Web Portal is operated by the MSRB and accepts any municipal security trade submission or modification except data that would initially report or modify inter-dealer transaction data used in the comparison process.  (Comparison data instead must be entered into the comparison system using a method authorized by NSCC such as the Message Portal or the RRM Web Portal).  The RTRS Web Portal may be used to report or correct (a) customer trade data, (b) IDRO data, and (c) inter-dealer trade data, but only if that data is not used in comparison.  For example, a dealer may use the RTRS Web Portal to correct an inter-dealer trade record with regard to the time of trade or dealer capacity, but not to correct (or to input initially) the CUSIP number, par or price of the trade.

• The RTTM Web Portal is operated by NSCC for comparison purposes.[7]  It may be used to report or correct both “comparison data” (CUSIP number, par, price, etc.) and “regulatory reporting data” (time of trade, etc.), if that data is associated with an inter-dealer transaction eligible for comparison.  The RTTM Web Portal may not be used to report or correct customer or IDRO trade records.

All RTRS Portals will be open to receive trade data for at least 90 minutes after the end of an RTRS Business Day and 30 minutes before the beginning of the next Business Day, i.e., they will be open at least from 7:00 a.m. through 8:00 p.m.  The RTRS Web Portal will be open for an additional 60 minutes at the beginning and end of the RTRS Business day, i.e., it will be open from 6:00 a.m. to 9:00 p.m.

Measurement of Timely Reporting.  The time taken to report the trade will be measured by comparing the time of trade reported by the dealer with the time of receipt of the trade report at the designated RTRS Portal.  RTRS will assess each trade against its reporting deadline (15 minutes, three hours, or end-of-day).  Trades not received by the appropriate reporting deadline will be considered late.

Enhancement of Information Available to Regulators.  MSRB has worked with NASD and other regulators to improve the audit trail and other surveillance capabilities that will be available once data is collected on a real-time basis.  Some of these changes will require modifications or additions to existing transaction reporting procedures observed by dealers.  One addition concerns the situation in which one dealer passes an order to a second dealer for execution directly out of the second dealer’s principal account, with settlement made directly between the second dealer and the party placing the order.  The situation requiring this “Inter-Dealer Regulatory-Only or “IDRO” report typically occurs when a fully disclosed introducing broker submits a customer order to its clearing broker for execution, and the clearing broker executes and settles directly with the introducing broker’s customer.  The current TRS system requires only one trade report in this situation – a customer trade report from the introducing broker.  RTRS procedures will require another trade report showing the identity and role of the clearing broker – it will be described as an Inter-Dealer Regulatory-Only transaction.  The new trade report was requested by the NASD to provide a more complete audit trail for surveillance purposes.[8]

The current transaction reporting procedures require a dealer effecting a trade “as agent” for a  customer to designate its capacity on the customer trade report.  This requirement will remain in RTRS.  Inter-dealer transaction reports currently do not require a capacity field to show whether the inter-dealer trade was done as agent for a customer, but RTRS will add such a requirement.[9]

Another new feature added in the real-time environment is the Special Condition Code.  RTRS will require a dealer that executes a trade with certain special conditions to code the trade report accordingly.  For example, if there is a specific reason for a trade being reported at a price that is not a true market price, the dealer will indicate this with a Special Condition Code.  A trade report with a Special Condition Code that is indicative of an off-market price will not be disseminated by RTRS, but will be made available to regulatory agencies for market surveillance and inspection purposes.  Some Special Condition Codes will not be indicative of an off-market price but will report conditions such as a security that is traded “flat.”[10]

RTRS will also add the reporting of a code by which a dealer will indicate that a price being reported was derived as part of a “weighted average price” transaction.  A weighted average price transaction is one in which a dealer agrees to purchase up to a certain quantity of securities for a customer at market prices during the day, culminating with one sale transaction to the customer of the aggregate par value, with a price representing a weighted average of the dealer’s purchases.  The Price Dissemination Plan currently calls for displaying the “weighted average price” code along with other data about the transaction.

Another data element added for surveillance purposes is the identifier of an “intermediate dealer” in a transaction.  This applies to a situation in which a dealer is a correspondent of an NSCC participant and this correspondent passes data to its clearing broker about a trade effected by a third dealer.  Since the dealer that effected the trade is a correspondent of the clearing broker’s correspondent, this dealer is termed the “correspondent’s correspondent.”  The proposed reporting procedures would require that if there are three dealers on one side of an inter-dealer trade, all three dealers must be identified in the trade report:  the clearing broker, its correspondent, and the correspondent’s correspondent.  (If there are only one or two dealers on a side, as will usually be the case, the new “correspondent’s correspondent” field will be omitted.)

Finally, although it does not require any change in dealer procedures, RTRS will provide regulators with the record of all changes reported by a dealer after its initial trade submission.  This is an enhancement over the current system, which reports the results of trade modifications but does not show the initial submission or the subsequent change records.  RTRS will provide reports to regulators showing each modification or cancellation of a trade report, including the time the change was made.  The MSRB plans also to provide regulators with real-time connections to RTRS.  This will enable regulatory agency staff to obtain routine reports of transactions more quickly than is now possible.

RTRS Processing.  Following is a description of key steps in RTRS processing with regard to input requirements, input data flow, format edits, submitter validation, timestamping, lateness checking, content validation, feedback, modification and cancellation, and the maintenance of the surveillance database.

Input Requirements.  The basic transaction information proposed to be reported by a dealer in RTRS will be similar to that reported in the existing transaction reporting system.  This information supports both the price transparency and surveillance functions of the system.  The complete list of data elements that required on a trade report are in Specifications for Real-time Reporting of Municipal Securities Transactions[11] and will be included within the RTRS Users Manual, available at www.msrb.org.

Input data flow.  RTRS receives information about each trade separately as an electronic message and processes each trade individually.[12]  All inter-dealer trade messages that contain initial values or modifications to data elements needed for comparison (e.g., dollar price or par), come to RTRS as messages via RTTM or as input to the RTTM Web.  Inter-dealer trade messages that affect only data elements needed for regulatory reporting (e.g., time of trade) come to RTRS either as messages via the RTTM network, or as Web-based input via the RTTM Web or RTRS Web.  Customer and IDRO messages, since they contain data needed exclusively for regulatory reporting, come to RTRS as messages via the RTTM network or as input to the RTRS Web (but not via the RTTM Web).

Format edits.  Each message will be edited to verify that its format is correct.[13]  This involves checking that required data elements are present in the correct form (e.g., dates are in date format and money amounts are in decimal format) and with the correct number of digits or characters.  Messages that fail these edits will not be processed further and an error message describing the deficiency will be returned to the submitter.  Both RTTM and RTRS will conduct format edits.  Input from Web-based screens will have been checked before it is transferred from the user’s personal computer to the Web server.

Submitter validation.  RTRS will accept input only from parties known to the MSRB.  Trade messages routed through RTTM are checked by RTTM and rejected unless submitted to RTTM by an NSCC participant.  The message is checked again when received by RTRS and it not processed further unless it bears the identifier of a clearing broker or service bureau known the MSRB.  RTRS further checks each trade message to verify that the dealer has previously authorized the submitter to report trades on its behalf.  RTRS Web-based input is validated at multiple levels.  First, the user cannot logon to RTRS unless he or she enters a user identifier and password issued by the MSRB.  RTRS security controls allow a dealer access only to trades in which it was a party or which it has submitted on behalf of another dealer.  Finally, the dealer-submitter combination is validated in the same way as input from RTTM, above.

Timestamping.  To enforce the rule on timely reporting of trades in real-time environment, each trade message will be given an electronic timestamp, accurate to the second, when it is received.  RTRS will interpret the timestamp as the time the trade was reported.  Messages that are input into through the Message Portal or the RTTM Web Portal will be timestamped by RTTM, and messages submitted via the RTRS Web Portal will be timestamped by the RTRS server.  By this means, any delays that may occur in application processing or telecommunications connections between RTTM and the MSRB will not affect the assessment of the time the trade was reported.

Lateness checking.  The dealer will include an indicator in the trade message that shows the deadline that it understands applies to the trade report.[14]  RTRS will determine whether the trade was received by the deadline.  If the dealer indicates it has not traded the security in the previous year and therefore may report the trade up to three hours after the time of trade, RTRS will check whether the dealer’s trading history is as claimed.  If a trade is reported late, an error message indicating this fact will be sent to the submitter at the end of processing.

Content edits.  The values in the reported trade will be checked to determine that they are within reasonable limits, in order to detect input errors such as misplaced decimal points.  The relationship between values is checked (e.g., the settlement date may not precede the trade date) and crucial data elements are verified against reference tables (e.g., the identifier of the dealer that effected the trade must be present in the RTRS dealer reference table).  Finally, for those trades where the dollar price and yield are reported, the consistency of price and yield will be verified when possible.

Feedback.  If a dealer’s message is deficient, RTRS interactive feedback will provide descriptive detail.  MSRB anticipates that this feedback will help dealers to detect and correct errors quickly.

RTRS will generate an acknowledgement or error message for every reported trade, except inter-dealer trades that have passed RTTM edits and which do not have any RTRS errors.  (These trades will already have been acknowledged by RTTM.)  The acknowledgement/error message is sent to the dealer and/or submitter in the format(s) that the dealer or submitter has previously requested.  The available feedback formats are message or e-mail.  In addition, the dealer and the submitter may view the trade, and any errors found, using RTRS Web.

Feedback will indicate to the dealer whether the trade is error-free or late, and whether it is questionable or unsatisfactory for reporting purposes.  A “questionable” trade message is one that appears to have an error, but which may be correct depending on circumstances.  Examples are a trade with a yield that exceeds ten percent of the dollar price (bonds traded very close to a premium call may have a very high nominal yield, but this is most likely an input error) or a reported time of trade before 0600 hours (trading is allowed at any time of day, but this is most likely intended to be a time in the afternoon, e.g., 5:00 p.m. reported as 0500).  Under the proposed Rule G-14 RTRS Transaction Reporting Procedures, paragraph (e), dealers must examine such trade reports to determine if they are in fact erroneous and, if so, correct them.  A trade is “unsatisfactory for reporting purposes” if it is missing an essential data element, is defective in some way that prevents it from being processed, or cannot be included in the surveillance database or publicly reported.  Examples of “unsatisfactory” conditions are a reported trade date in the future, a missing dealer symbol, and an incorrect CUSIP check digit.  Certain modification attempts are also unsatisfactory, such as a modification that cannot be matched with any previous message from the dealer.

Modification and cancellation.  Under the proposed rule change, the dealer is responsible for timely and accurate submission of trade reports.  The dealer must monitor its reported trades by any of the available feedback methods and must correct any errors as soon as possible.  If a dealer is unable to report a trade within the deadline, it must report the trade as soon as possible.  RTRS will produce statistics on dealer performance in timely submission and timely correction of errors and will provide the statistics to dealers.

RTRS will enable dealers to submit modify and cancel messages for all types of trades.  Unlike the current transaction reporting system in which only customer trades can be modified to correct regulatory data, RTRS will support such changes for all trade types.

Surveillance database.  The RTRS Surveillance Database will store each message submitted by a dealer or service bureau.  Audit trail reports will provide regulators with information about trades effected by a dealer, trades in specific CUSIPs, highest/lowest prices for a CUSIP within a day or other time period, and specific data elements such as trades with Special Condition Codes reported by a dealer.  Other reports will show all modifications and cancellations reported by a dealer.

Testing and Contact Requirements.  As described in connection with the proposed Rule G-14 Procedures, successful testing will be required of RTRS submitters to ensure a working interface with RTRS prior to the date for system operations.  The proposed Procedures would require dealers to test their use of RTRS before reporting any trades.  The MSRB will make testing facilities available to dealers at least six months before the announced effective date of the Proposed Rule Change (“Announced RTRS Start-Up Date”).  Testing would be required of dealers making the transition from the current Transaction Reporting System to RTRS, and also required of dealers that begin reporting transactions in the future.  Each dealer will have to be prepared to test its use of RTRS no later than three months before the Announced RTRS Start-Up Date and must schedule a test date by that time unless it has already successfully tested its RTRS capabilities.  However, dealers that have effected an average of five or fewer transactions per week during the preceding year and that will use only the Web-based method must successfully test their RTRS capabilities one month before the Announced RTRS Start-Up Date.

The requirement for testing and submission of a new “Form RTRS” with the name of a contact person is reflected in the new proposed language for Rule G-14.

Price Dissemination by RTRS

Description of Service.  Real-time price data will be available by subscription, after subscribers sign an agreement regarding re-dissemination.  During the RTRS Business Day, price data will be disseminated in real time, immediately after receipt.  Modifications and cancellations submitted by dealers that apply to earlier trade submissions will also be disseminated in real time.

The technical means of data dissemination are not yet determined.  MSRB expects to make a second filing on the RTRS facility in the future, with proposals for fees to be charged for the various RTRS data products.  This filing will state the date of effectiveness of the proposed rule change and describe the technical means of data dissemination.

In addition to real-time reports, the MSRB plans to continue providing reports each morning covering the previous day’s trades (T+1 reports), as well as daily reports covering all trades done on the trading day one week earlier (T+5 reports), and monthly reports covering all trades done during the previous month.

Trades to be Disseminated.  During the RTRS Business Day, the MSRB will disseminate data on all transactions as soon as they are received, except for two types of dealer submissions.  The exceptions which, will be stored in the surveillance database but not disseminated in real-time, are trades marked as by the dealer as having prices other than market prices, using a Special Condition Code,[15] and reports of “inter-dealer regulatory-only” transactions.  These have already been described.

List of Information Items to be Disseminated.  The specific items proposed to be disseminated by RTRS for price transparency purposes are:

•         CUSIP number and description of the issue traded;

•         Par value of the transaction if one million dollars or under; otherwise reported as s “1MM+”;

•         Dollar price;

•         Yield (for inter-dealer new issue transactions done on a yield basis and for all customer transactions in non-defaulted securities where the transaction is done on a yield basis or if the yield can be computed from dollar price);

•         Date and time of trade;

•         Whether the transaction was a (i) purchase from a customer; (ii) sale to a customer; or (iii) inter-dealer transaction;

•         Indicator that an inter-dealer transaction was done by a broker’s broker, and if so, the broker’s broker role as buyer or seller;

•         When-issued indicator, if any;

•         Syndicate list price indicator, if any;

•         Assumed settlement date, if initial settlement date is not known at time of trade;

•         Indicator that dollar price was computed by MSRB using an estimated settlement date for an issue on which the initial settlement date has not been set;

•         Indicator that a trade was done at the weighted average price of trades done earlier in the day;

•         Modification/Cancellation indicator, if any;

•         RTRS broadcast time, date and sequential trade message number; and

•         RTRS Control Number.

Transactions Done During RTRS Business Day.  As noted, under the proposed rule language, dealers would with limited exceptions report within 15 minutes of the time of trade all transactions done during the RTRS Business Day.  Trade submissions made during the RTRS Business Day will be disseminated within a few minutes of receipt.

Dissemination of Compared or Uncompared Inter-Dealer Trades.  Unless the trade report contains errors or is subject to an exception, transactions reported by dealers during the RTRS Business Day would be disseminated within a few minutes after receipt at the designated RTRS Portal.  The current plan for dissemination of prices calls for inter-dealer price information to be published only after comparison is achieved on the trade, as done in the current system.  Comparison of the inter-dealer trade ensures the reliability of the data that was submitted, since the buyer’s and the seller’s details are matched.  However, RTRS is being designed with the flexibility to disseminate uncompared inter-dealer transaction data if it is found that a substantial proportion of trades take longer than 15 minutes to be compared.[16]

Transactions Done Outside the RTRS Business Day.  Under the proposed rule change, dealers would be required to report transactions done outside of the RTRS Business Day, but would not be required to do son on a real-time basis.  Instead, trades would be reported within the first 15 minutes of the next RTRS Business Day, at which time they would be disseminated.

Late Trade Reports and Trade Data Modifications.  Trades that are not reported within the timeframe set by the proposed rule change would be considered late.  Late trade reports and trade modifications will be disseminated RTRS as soon as received if they are submitted during the RTRS Business Day and at the start of the next Business Day otherwise.

Broker’s Broker Indicator.  Trades by broker’s brokers will be marked as such on disseminated trade reports and the buy/sell indicator will show whether the broker’s broker was buying or selling.  Because broker’s broker trades occur in matched pairs that, in market terms, many observers view as representing one movement of securities between two dealers, the Board believes it will be helpful to RTRS data users if broker’s broker trades are identified as such in trade reports.

            Implementation Schedule

            RTRS development is proceeding on the following schedule.

            2004

            April                Beta testing with dealers begins

            July                 Certification testing with dealers begins

            July-Dec.          Dealers that have passed certification testing with RTTM and                                    RTRS may report trades using new formats

            October            Dealers that have not yet completed certification testing must                                    schedule test, unless dealer reports an average of fewer than five                                    trades per week (low-volume dealers)

            November        Low-volume dealers that have not yet completed certification                                     testing must schedule test

            Dec. 15            All dealers must complete certification testing

            2005

            January           Real-time comparison and reporting requirements would become                                   effective

* * * * *

File No. SR-MSRB-2004-06 (October 25, 2004); SEC Approval Order Release No. 34-50820 (December 8, 2004)

Real-Time Transaction Price Service

In January 2005, the MSRB plans to begin operation of the Real-Time Transaction Price Service to disseminate municipal securities transaction prices in real-time.  The Service will be available by subscription for an annual fee of $5,000 and will be a part of the MSRB’s Real-Time Transaction Reporting System (“RTRS”).  RTRS will bring real-time price transparency to the municipal securities market and will make other improvements in the transparency and market surveillance functions of the MSRB’s current transaction reporting program.

Description

The Service will be available by subscription and will provide a real-time stream of data representing municipal securities transaction reports made by brokers, dealers and municipal securities dealers (“dealers”) to RTRS.[1]  After receipt of a trade report from a dealer, RTRS will automatically check the report for errors, ensure that it is a valid trade report for dissemination, appropriately format the report, and make it available for immediate electronic transmittal to each subscriber.[2]

The real-time data stream will be in the form of messages and will be available either over the Internet or by leased line, at the subscriber’s option.[3]  The subscriber must use either the MQ Series[4] or a TCP Socket connection for messaging with RTRS.  Messages representing trade reports will be sent out by the Service based on the order that they are received at RTRS, i.e., on a “first in-first out” basis.[5]  The Service also will offer a “Day Replay” file containing all messages sent during the day, in case a subscriber needs to check its records for completeness of recovery from communication breaks.[6]

Hours of Operation.  The “RTRS Business Day,” during which time dealers are required by Rule G-14 to submit trade reports within 15 minutes of execution, begins at 7:30 a.m. and ends at 6:30 p.m.[7]   However, RTRS will actually accept, and the Service will disseminate, any trade reports received between 7:00 a.m. and 8:00 p.m.  (“RTRS ‘Window’ Hours”).[8]  Transaction reports submitted to RTRS after 8:00 p.m. will not be processed by RTRS but will be pended for processing and dissemination at 7: 00 a.m. the next business day.[9]

Transaction Data Disseminated.  The data contained in each transaction price report sent to subscribers is discussed in detail in the RTRS filing.[10]  It will include the same transaction information now disseminated in the MSRB’s existing overnight batch system of transaction reporting, with additional data elements that have been added for real-time transaction reporting.  The specific items of information that will be disseminated are:

Message Type

Type of message sent in the real-time broadcast (i.e., a trade message, a “heartbeat” message or a system message).  Heartbeat messages will be sent once every 60 seconds in the absence of real-time transaction messages to indicate that the connection is working properly but that there are no messages to send. System messages will be sent to indicate the daily open and close of the RTRS real-time subscriber service and to notify subscribers if publishing will be intentionally interrupted during system hours (e.g., the markets have been closed because of extraordinary circumstances).

Sequential Number

Unique sequential number of the trade message.  If more than one message has been published for a trade due to modification or cancellation, the trade is uniquely identified by the RTRS ID described below. 

RTRS Control Number

The RTRS ID for the transaction.  This may be used to apply subsequent modifications and cancellations to an initial transaction.

Trade Type Indicator

Type of trade: an inter-dealer trade, a purchase from a customer by a dealer, or a sale to a customer by a dealer.

Transaction Type Indicator

An indicator showing whether the message is a new transaction, or modifies or cancels a previously disseminated transaction.

CUSIP

The CUSIP number of the issue traded.

Security Description

Text description of the security obtained from the CUSIP Service Bureau.

Dated Date

Dated date of the issue traded obtained from the CUSIP Service Bureau.

Coupon (if available)

Interest rate of the issue traded (blank for zero-coupon bonds) obtained from the CUSIP Service Bureau.

Maturity Date

Maturity date of the issue traded obtained from the CUSIP Service Bureau.

 When-Issued Indicator (if applicable)

Indicates whether the issue traded on or before the issue’s initial settlement date obtained from Standard and Poors.

Assumed Settlement Date (if applicable)

For new issues where the initial settlement date is not known at the time of execution, this field is a date 15 business days after trade date.  If this field is populated there will be no data in the settlement date field.

Trade Date

The date the trade was executed as reported by the dealer.

Time of Trade

The time of trade execution as reported by the dealer.

Settlement Date (if known)

The settlement date of the trade if reported by the dealer will be shown.  If this field is populated there will be no data in assumed settlement date field.

Par Traded

The par value of the trade as reported by the dealer will be shown.  Trades with a par amount over $1 million will show par value as “1MM+” until five days after the stated trade date.

Dollar Price

The dollar price of the trade will be shown, as reported by the dealer.  In most   inter-dealer trade reports, the dealer is not required to report a dollar price and the dollar price shown is calculated by the MSRB from the final monies, par value and accrued interest reported for the trade.

Yield (if applicable)

For customer trades, this field shows the yield of the trade as reported by the dealer.  This normally is the same yield that would appear on a confirmation of the trade.  For some customer trades (e.g., trades defaulted securities, certain securities with variable interest rates) a yield cannot be reported by the dealer.  On inter-dealer trades, yield is not generally reported by the dealer and is not shown.

Broker’s Broker Indicator (if applicable)

An indicator used in inter-dealer transactions that were executed by a broker’s broker, including whether it was a purchase or sale by the broker’s broker.

Weighted Price Indicator (if applicable)

An indicator that the transaction price was a “weighted average price” based on multiple transactions done at different prices earlier in the day to accumulate the par amount needed to execute an order for a customer.

Syndicate Price Indicator (if applicable)

An indicator showing that the transaction price was reported as a trade in a new issue by a syndicate manager or syndicate member at the list offering price on the first day of trading.

RTRS Broadcast Date

The date the message was published to subscribers. 

 RTRS Broadcast Time

The time the message was first disseminated to subscribers.

Version Number

Version number of the message or file format used in the message or file.

Subscription Fee.  The Real-Time Service will be available by subscription for an annual fee of $5,000.[11]   Subscribers will be allowed to re-disseminate transaction data to an unlimited number of their own customers or clients at no additional charge.  By not charging for or restricting re-distribution of the transaction data, the MSRB wishes to encourage information vendors -- and various other entities that make securities data available to members of the securities industry and the public -- to use the transaction data in their products and services.  The MSRB will also encourage those parties to re-disseminate the data, either in its original form or with enhancements to address the specific needs of specific data users.[12]  Through this approach, the MSRB anticipates that it will be possible for a typical individual investor to obtain the transaction data that is relevant to his or her investments for free or at a very modest cost.[13]  After its first year of operation, the MSRB will review the usage of the real-time data feed to ensure that this goal is being met and that the data is readily available to municipal market participants and others who need the data.

Other Transparency Reports Under RTRS

In addition to offering the Real-Time Service, RTRS will continue to provide the primary transparency reports that have been developed within the current transaction reporting program.  The data fields in these products will be modified for consistency with the real-time transaction data fields noted above and formatted to reflect that the data is being disseminated in files containing multiple transactions, rather than in real-time, “trade by trade,” messages.[14]

The existing “Trade Detail Report” (also known as the “T+1 Report”) contains the trade reports for a specific trade date and is made available at approximately 6:00 a.m. on the business day following trade date (“T+1”).  It is provided in the form of an electronic file and is made available over the Internet.  After RTRS is operational, the Trade Detail Report will be reformatted and renamed the “T+1 Transaction Price Service.” Subscriptions will remain free to any interested person. 

The existing “Daily Comprehensive Report” also is used to disseminate trade reports for a specific trade date, but is made available five business days after that trade date (“T+5”).[15]  In RTRS, this service will be renamed the “Comprehensive Transaction Price Service.”  The service will be made available exclusively through electronic file download over the Internet in the same format and manner as the T+1 Transaction Price Service.  As is the case for the Comprehensive Reports produced today, the trade records in the new comprehensive service will: (i) include exact par values for those transactions with a par value over $1 million; (ii) show all late trade reports made after the specified trade date, up until the date of dissemination: and (iii) show the effect of modifications or cancellations submitted by dealers after trade date. The annual fee for this service will be $2,000 – the same fee currently charged for the existing Comprehensive Reports.  Under RTRS, subscribers to the Real-Time Price Dissemination Service will receive a subscription to the Comprehensive Price Data Service at no additional charge.

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File No. SR-MSRB-2004-07 (November 15, 2004); SEC Approval Order Release No. 34-50692 (November 18, 2004)

Implementation Plan

As announced in MSRB Notice 2003-44, dated December 11, 2003, the MSRB is implementing its real-time transaction reporting requirements for brokers, dealers and municipal securities dealers (collectively, “dealers”) in January 2005. The implementation plan for the January transition is described below.

The conversion to real-time transaction reporting requires dealers and the MSRB to implement new systems and procedures for transaction reporting.  Trade reporting will be accomplished through a new MSRB system -- the Real-Time Transaction Reporting System (“RTRS”).  The two major components of RTRS with which dealers will interface are: (i) the RTRS Web Portal for inputting trade data and reviewing the status of trade reports within RTRS; and (ii) the message-based trade input and feedback facility operated by National Securities Clearing Corporation (the “Message Portal”). These are described in the RTRS Operational Plan contained in MSRB Notice 2003-44 and in the RTRS Message Specifications and other explanatory documents subsequently published at www.msrb.org.  

To facilitate a smooth transition to dealer use of the Web Portal and the Message Portal, implementation will occur in two phases on January 10 and January 31, 2005.  Dealers will be required to incorporate use of the RTRS Web Portal into their transaction reporting procedures on January 10, on which date the MSRB also will convert its internal production processing and dealer-feedback systems to RTRS formats.  Accomplishing this transition on January 10 will allow the MSRB and dealers to resolve any implementation issues associated with these system changes prior to the January 31 date for mandatory real-time trade reporting by all dealers.  On January 31, the amendments to Rule G-12(f) and Rule G-14 that require real-time inter-dealer comparison and transaction reporting will become effective, use of the Message Portal will become mandatory, and the MSRB will begin real-time dissemination of trades in transparency reports.

Further details on the changes that will occur on January 10 and January 31 as part of the implementation plan are described below.

January 10, 2005 – On this date, the MSRB will convert its own production system for processing transaction reports to RTRS.  Dealers will not be required by rule to report in real-time on this date but will be encouraged to do so to ease the transition when real-time reporting becomes mandatory on January 31.  On January 10, the RTRS database will become the “database of record” and dealers will need to employ the RTRS Web browser in their production environment.  It should be noted that dealers that have tested successfully can already convert to real-time comparison and trade reporting procedures, although without all of the “feedback” functionally that will become available in the production environment on January 10.  The MSRB’s conversion to RTRS as the production processing system on January 10will allow the MSRB to give these dealers full RTRS “feedback” capability on that date.

There will be no change in the timing of transparency reports on January 10.  However, subscribers to the existing transparency reports can begin receiving T+1 reports in the RTRS revised record formats (including the new fields of trade information offered by RTRS) on that date.  The following features of the existing transaction reporting system will be changed or terminated on January 10:

• The old “batch” style formats for reporting inter-dealer and customer trades through NSCC will still be accepted, but the deadline for reporting customer trades will be changed from midnight to 10:00 pm.  The deadline for inter-dealer trade reports will remain 8:00 p.m.

• Because of the MSRB’s change to RTRS as the production processing system, dealers must use 16-digit (rather than 20-digit) control numbers to identify trades, both in real-time and in batch trade reports.  Only 16-digit control numbers will be returned to dealers in message feedback.

• Regardless of whether a dealer is using the new RTRS formats or old batch style formats, the MSRB will discontinue sending “feedback” information in batch files and faxes for customer trades.  Real-time system responses, e-mails and RTRS Web instead will be available to provide feedback to dealers on their trade reports.

• Dealers who submit their low-volume trade input through the current “TRS dial-up” facility must convert to the RTRS Web Portal by January 10.

January 31, 2005– On this date, the amendments to Rule G-14, on transaction reporting, and Rule G-12(f), on automated comparison of inter-dealer transactions, will become fully effective, requiring securities transactions to be reported, in most cases, within 15 minutes of the time of trade execution. Use of RTRS trade reporting formats and procedures will become mandatory and the old “batch” style reporting formats will no longer be compliant with Rules G-12(f) and G-14. (The MSRB will discontinue its support of the non-compliant trade reporting methodology soon after January 31.) The MSRB will make real-time transaction price data available to subscribers to its Real-Time Transaction Price Service beginning on this date.