RTRS Dealer Data Quality Detail Report Guide

Transcription

1 RTRS Dealer Data Quality Detail Report Guide Understanding RTRS Dealer Data Quality Detail Report Report The RTRS Dealer Data Quality Detail Report (formerly known as the Evidentiary Report ) identifies specific trades that are counted in each category of the Dealer Data Quality Summary report. The report provides a list of trades that are included in each of the categories in the Summary report. The report also provides details on trades that received unsatisfactory error codes and trades that were reported with Special Condition Indicators. Purposes The RTRS Dealer Data Quality Detail ( Detail Report ) has two purposes: To identify the trades that are counted in the categories of the Summary Report. For example, the Detail Report identifies each trade that was submitted late or was amended or cancelled, To supplement the Summary Report. Supplemental information includes the unsatisfactory aspects of inter-dealer trade reports, trade reports with special condition indicators and the submission times of late reports. How to Obtain the Report The Detail Report is available to both dealers and enforcement agencies. Request it as you request other RTRS reports. (Dealers obtain the Detail Report in the Reports section of RTRS Web.) Period Covered Both the Detail and the Summary Report have information about trades reported by one dealer during one month (termed the report month ). A trade is counted in the reports if the original submission date was within the report month. The reports describe the status of the trade as of the 15 th day of the following month. The period from the first day of the report month to the 15 th day of the next month is termed the processing window. For example, when the report month is April, the processing window is April 1 through May 15. A trade is counted if it was first reported to RTRS during April and the status shown reflects all changes made through May 15. For example, a trade reported on April 20 and cancelled on May 5 is counted on the April reports as cancelled. The reports are static in the sense that they do not reflect any changes made to the trade data after the 15 th of the following month. msrb.org emma.msrb.org 1

2 Identification of Trades On the Detail Report, certain fields are shown to identify trade submissions. Other trade detail fields not shown on the Detail Report (e.g., capacity as agent or principal) are available to dealers on RTRS Web screens and to enforcement agencies on their RTRS Surveillance Database screens/reports. The identifying attributes shown on the Detail Report are: Trade type (inter-dealer or customer) Submit side (buyer or seller) CUSIP number Par Price Yield Clearing ID Executing broker symbol (EBS) Dealer s control number ( XREF ) Trade date Trade time Report date (date of first submission within processing window) Report time (time of first submission within processing window) The price and yield are shown as reported by the dealer. The price field for inter-dealer trades that are reported on a final money basis is zero because these trades are reported to RTRS with dollar price of 0 (instead, they are reported with final money, par and accrued interest). Trades that are reported without yield are shown with zero in the yield field. If the price, yield, etc. were modified during the processing window, the report shows the modified attributes. Spreadsheet Column Headings The Detail Report is provided in the form of an Excel spreadsheet. Each column heading includes an Excel comment that documents its meaning. The comment appears when the cursor is positioned over the column heading. If a comment is too large to be viewed when the cursor is positioned on the heading, right-click the heading and select Show/Hide Comments, or, to see all comments, select View/Comments on the menu bar (top of screen). Relationship between the Summary and Detail Reports As noted, the Detail Report identifies trades counted in each Summary Report category. A column on the Detail Report corresponds to each category on the Summary Report, except as noted in the table below. The Detail Report indicates that a trade is in one or more of these categories by displaying an X in the appropriate column on the same line as the trade s identifying attributes. For example, if a trade was reported late and then amended, there will be an X under Late and another X under Amended. At the bottom of the column, the number of X s is counted. The msrb.org emma.msrb.org 2

3 count of X s in a column is the same as the corresponding number in the Summary Report category. For example, if the Summary Report shows 10 late customer trades during the processing window that have not been cancelled and that are satisfactory or questionable, then there will be 10 trades on the Detail Report with an X under Customer: Late. Attachment A is a sample Summary Report with letters in each cell showing which Detail Report column corresponds to the cell. Attachment B is an example of a Detail Report with letters over the corresponding columns. The following table keys the columns to the cells. Detail Report Column Heading Cell Late: Inter-dealer matched satisfactory/questionable Syndicate buy/locked-in contra Late: customer Invalid time: inter-dealer Invalid time: customer Dealer symbol missing/unknown Away from market price: Extraordinary settlement Away from market price: Other reason Weighted average price Inter-dealer matched unsatisfactory Inter-dealer unmatched Customer unsatisfactory Inter-dealer cancelled Inter-dealer amended Reversed report Reversal Customer cancelled Customer amended Number of times amended [not on Summary Report] - Special condition indicator [not on Summary Report] - Extended deadline text [not on Summary Report] - Traded flat [not on Summary Report] - G F H J K T U V W D E C M N Q P R S msrb.org emma.msrb.org 3

4 Trades Shown on the Detail Report The Detail Report shows a submission if: It is counted in the Summary Report as late, unmatched, etc.; or Even though it is not counted in the Summary Report, it has a Special Condition Indicator (e.g., because the dealer claims an extended deadline); or It is a submission that was compared by RTTM with another submission that was sent matching only (destination code DEST 01 only). See description of unmatched below. Order of the Trades The trades are ordered by trade date and time. The user may use Excel s capabilities to sort the rows as desired by CUSIP number, by late/not late, etc. Treatment of Satisfactory and Unsatisfactory Trades The Detail Report, like the Summary Report, distinguishes satisfactory and questionable trades, on the one hand, from unsatisfactory, cancelled or unmatched trades, on the other. If a trade is satisfactory or questionable, its details are shown, such as whether the trade was late or amended, presence of an invalid time of trade and special conditions reported by the dealer. If a trade is unsatisfactory, cancelled or unmatched at the end of the processing window, the Detail Report identifies the trade but the detailed attributes (late, amended, special conditions, etc.) are not shown. The terms in quotes above are defined below: Unsatisfactory: If it has an unsatisfactory error as of the end of the processing window. ( Unsatisfactory errors are those with error codes beginning with U.) A trade report that is not unsatisfactory is either questionable or satisfactory. Questionable: If it has a questionable error at the end of the reporting window, or if it was originally submitted late. A trade report is satisfactory if it has no questionable errors and was not submitted late. If a dealer modifies an unsatisfactory report to make it satisfactory or questionable by the end of the reporting window, it is shown in the Detail and Summary Reports as satisfactory or questionable. Unmatched inter-dealer submission: If (a) by the end of the processing window RTTM has not matched it with the contra-party s submission; or (b) the trade has been reversed by the end of the processing window; or (c) although the submission was compared by RTTM, the destination of the contra-party s submission did not include RTRS. Case (c) indicates that the contra-party treated the submission as other than an inter-dealer msrb.org emma.msrb.org 4

5 transaction reportable under Rule G-14. In this case RTRS treats both sides as unmatched. An inter-dealer or customer trade report may be cancelled by the dealer: An interdealer trade report may also be cancelled by RTTM if it has not been matched with the contra-party s submission by the RTTM deadline for purging. Treatment of Trades that are Satisfactory, Questionable, Matched and not Cancelled The Detail Report displays the following details about trades that are satisfactory or questionable, that are not cancelled and (if they are inter-dealer trades) that are matched with the contra-party submission: Late: A trade is shown as late if it was submitted after the reporting deadline. See Attachment C for further details. Syndicate buy/locked-in contra: A trade is shown in this category if the dealer is the buyer in a syndicate takedown transaction or is the contra-side in a locked-in (QSR) submission. On the Summary Report, these sides are deducted from the total satisfactory/ questionable count for computing lateness. (Note that to be in this category, any buy-side submission must be designated as a Target Syndicate submission. Buy-side submissions against RTTM Syndicate Takedown (ST) sales are optional. If a buy-side submission is made as an MT515 message, the submitter must use code ITYPTS in the Trade Processing Narrative Field; to do this in an RTTM Web screen, the submitter must select Trade Type as Syndicate Target. The List Offering Price/Takedown (LOP/TD) Special Condition Indicator is separate and distinct from ITYPTS or Syndicate Target and the LOP/TD Indicator will not cause a trade to be in the Syndicate buy/locked-in contra category.) Invalid time: A trade is shown in this category if the reported time of trade is 00:00 or is before 06:00 or after 21:00. This count includes both customer and inter-dealer reports. See Attachment C for further details. Special conditions: A trade is shown in the category Away from market price - Extraordinary settlement if the dealer reports Special Condition Indicator M200, M210 or M230. A trade is shown in the category Away from market price Other reason if the dealer reports Special Condition Indicator M900, M910 or M930. All satisfactory or questionable, matched, uncancelled trades with these Special Condition Indicators are shown whether or not they are in any other category (late, amended, etc.). Trades submitted with a Special Condition Indicator are shown on the Detail Report, even if there is no other exceptional condition (i.e., even if the trade is not late, not amended, etc.). In addition, the Special Condition Indicator itself is shown, to indicate that the dealer reported that an extended deadline or that another special condition applied to the trade. If the trade is unsatisfactory, cancelled or unmatched, however, the special condition indicator is not msrb.org emma.msrb.org 5

6 shown. If a Special Condition Indicator is shown, the field Extended Deadline Text translates it into words. For example, if M020 is shown, the report displays Traded at list price - EOD report (list price trade by syndicate). The Extended Deadline Text displays Invalid Indicator if the submitted indicator has a value RTRS does not recognize, e.g., if it has the letter O instead of a zero or if it is M120, M220 or M920. Weighted average price: A trade is shown in this category if the dealer reports that its price is the weighted average of previous trades. All weighted average price trades are shown whether or not they are in any other category (late, amended, etc.), provided they are satisfactory/questionable, matched and uncancelled. Amended: A trade is shown in this category if any field listed in Attachment D was amended by the dealer. A trade is shown as amended whether it was amended in any of those fields once or more than once. Number of times amended: This shows the number of times an amendment was submitted that changed any of the fields listed in Attachment D. Reversed report: An inter-dealer trade is shown in this category if it was reversed by both parties after it was matched by RTTM. Traded flat: A trade is shown in this category if the Special Condition Indicator is M100, M110 or M130. Treatment of Trades that are Unsatisfactory, Cancelled or Unmatched Trades that are unsatisfactory, cancelled or unmatched are identified on the Detail Report, but the above details are not shown for these trades. The report shows the identifying attributes of the trade and also shows by the presence of an X whether the trade is: Inter-dealer matched unsatisfactory Customer unsatisfactory Inter-dealer unmatched Cancelled In addition, the following is shown for unsatisfactory, cancelled or unmatched trades: Dealer symbol missing/unknown. As is the case for lateness or invalid time (Attachment C), even if the correct dealer symbol was later reported via an amendment, the trade is shown in this category. See Unsatisfactory Error Codes below. Reversals and Reversed Trades A reversal is a submission that the dealer has indicated is a reversal and that has been matched with the contra-party s reversal submission. Reversals offset previous matched trades. Reversals are identified in the Detail Report, but are not categorized as to lateness, etc., since they are offsets, not original reports. msrb.org emma.msrb.org 6

7 A reversed trade is the previous trade that is reversed by the matched reversal. Reversed trades are identified in the Detail Report and are categorized as to lateness, amends, etc. Note that a trade is not reversed unless the two sides of the reversal both point to a single previous trade. If the sides of the reversal do not both have a reversal control number, or if their reversal control numbers refer to two different trades, no trade is reversed. (RTRS sends feedback on the reversal when these conditions occur. It sends Error Code U06B, Reversal control number missing, in the first case and Error Code Q06A, Reversal control number missing or incorrect on your or contra party report, in the second. These messages on the reversal indicate that no trade was reversed.) Unsatisfactory Error Codes Trades that are unsatisfactory have an unsatisfactory error or errors. Examples are: U41B UNSAT Dealer symbol missing U52B Dealer capacity missing The codes corresponding to the various unsatisfactory errors are on the right side of the Transactions Report. The meaning of each code is in the comment at the top of the column. There is an X for each error found in the trade report. If by the end of the processing window the dealer has corrected an incorrect or missing Executing Broker Symbol, there will be no X under U41B or U41D ( Dealer symbol missing or Dealer symbol not known to the MSRB). However, there will be an X in the column Dealer symbol missing/unknown (column T). This indicates that at one time the trade report had an unknown or absent dealer symbol. The Summary Report counts these conditions also (cell T ). Most error conditions are not shown for reversals. However, error U06B, Reversal control number missing, applies only to reversals. This error indicates that the reversal submission did not include the reference number of the trade that was to be reversed. Therefore, error U06B is shown for reversals. Assigning Trades to Dealers On both the Summary and Detail Reports, inter-dealer trades are assigned to the clearing broker, not the correspondent (introducing dealer). If an inter-dealer trade is executed between two correspondents of the same clearing broker, the sale and the purchase will both be counted on the clearing broker s reports. For example, if Dealer A sells to Dealer B, and both are correspondents of the same clearing broker, then the report for the clearing broker shows both the sale and the purchase on separate lines. Each line corresponds to a submission by the clearing broker. Customer trades are assigned to the dealer that executed the trade. This dealer is identified by the four-letter executing broker symbol, such as ABCD. msrb.org emma.msrb.org 7

8 Special Condition Indicator ERR! In early 2005, startup difficulties involving RTRS and RTTM caused a small number of inter-dealer submissions to be corrupted after they were submitted by dealers. Submissions corrupted in this way cannot be correctly identified as matched, unmatched, cancelled, late, etc. For this reason, the MSRB has set the Special Condition Indicator of these submissions to the value ERR!. When displayed on the Detail Report, ERR! is translated into the phrase RTRS Processing Error Caused Invalid Data. In this case, users of the detail report should disregard any X s that may appear for the submission. msrb.org emma.msrb.org 8