RTRS Dealer Data Quality-Summary Report Guide

Transcription

1 RTRS Dealer Data Quality-Summary Report Guide Understanding RTRS Dealer Data Quality Summary Report The Dealer Data Quality Summary report cover trades submitted from February 1, 2005 to the present. This report consists of two sections: The Trade Report Summary section of the Dealer Data Quality Summary counts submissions with regard to status (satisfactory/questionable or unsatisfactory), lateness or timeliness of reporting, number of changes to reported data, etc. The Lateness Breakout section provides additional detail on transaction reports that were received before or after the appropriate deadline (15 minutes, end of day, etc.). Trade Report Summary Each section of the Trade Report Summary has a total count of transaction reports submitted by the dealer, and a count of transaction reports that meet a particular Rule G-14 compliance criterion. The dealer's rate is the number of reports meeting the criterion divided by the total count. For example, the unmatched rate for inter-dealer trades is the number of unmatched inter-dealer trades divided by all inter-dealer trades. (There are adjustments, described below). Throughout the Trade Report Summary, Satisfactory and Questionable transactions appear under a single column heading. Satisfactory trade reports are those that have passed all RTRS edits. Questionable reports are those where RTRS edits have detected a possible deficiency. Dealers must report trades accurately in the initial submission. Dealers must review questionable reports; if a questionable report is, in fact, correct, it is acceptable to RTRS. Although questionable reports are listed together with satisfactory ones for information purposes, if they are, in fact, inaccurate, then they represent non-compliance with Rule G-14. Rule G-14 requires dealers to report transactions within a deadline, usually within 15 minutes after the time of trade. Reports received after the deadline are marked late and their regulatory status is questionable. Dealers should review their systems and procedures to minimize the number of late reports. Transaction reports that receive RTRS error messages labeled UNSAT are considered unsatisfactory for purposes of G-14 regulatory reporting. These messages have error codes beginning with U or X. The dealer must correct these reports, or cancel them and, if necessary, resubmit them correctly. See Specifications for Real-time Reporting of Municipal Securities Transactions, section 2.9. msrb.org emma.msrb.org 1

2 Basic Terms Dealer: A broker, dealer or municipal securities dealer, identified by the MSRB ID shown at the top of the report (example: A1234). Dealer's inter-dealer reports: A dealer's inter-dealer reports are those with any Clearing Number (i.e., NSCC participant number) that belongs to the dealer. These are the trades that the dealer cleared for itself and for other dealers. These trades were reported with the dealer's own EBS or any EBS for which it clears. Dealer's customer reports: A dealer's customer reports are those with any Executing Broker Symbol (EBS) that belongs to the dealer. These are the dealer's transactions with customers, which the dealer reported with its own EBS. Month being reported: A calendar month. A transaction report is counted if it was first processed by RTRS during the month that is, if the first Web input or MT515 Instruct was processed during the month. Changes and cancellations are counted if they were processed by RTRS during the month or within the 15 calendar days that followed. Current status: If RTRS found a transaction report to be questionable or unsatisfactory when first reported, and the dealer has corrected or cancelled it within the month plus 15 days, the side is shown here in its corrected or cancelled status. Example: For March, the report counts sides that were first reported in March, and shows the effect of Matches, Amends and Cancellations through April 15. Side: A side is the set of all messages with the same control number. For example, an Instruct, an Amend and a Match message, all with the same control number, are all data about one side. Periods Reported Current Period Activity: The current period is the month being reported. The MSRB plans to make data quality reports available on the Monday following the 15 th of each month, covering the trades reported during the preceding month, with changes through the 15 th of the next month. This Dealer Prior Period: These are the counts for the dealer for the previous month. They are the same numbers shown as current period during the previous month. The % change represents the dealer's current counts compared to its previous month's counts. Industry, Current Period: These are the rates for the industry for the current period. msrb.org emma.msrb.org 2

3 Current Period Activity Total trade reports: The number of inter-dealer Instruct messages that were first processed during the month being reported. The total includes both uncancelled and cancelled reports. It includes reports with any regulatory status (i.e., satisfactory, questionable or unsatisfactory). Inter-dealer: The total includes reversed trades (i.e., matched trades that were later reversed by both parties). It excludes reversals (submissions by both parties to reverse, i.e., offset an earlier trade) and excludes submissions marked unapplied on RTRS Web. Customer: The total excludes submissions marked unapplied on RTRS Web. Total trade reports: Total, inter-dealer plus customer. Satisfactory/questionable count: Sides that were counted in total transaction reports and that have regulatory status of satisfactory or questionable. For inter-dealer trades, this includes only matched satisfactory/questionable sides. For customer trades, this total includes only uncancelled sides. Inter-dealer: As noted, the total includes matched satisfactory or questionable sides. The total excludes matched unsatisfactory inter-dealer sides, which are discussed below. Customer: This total includes sides that were counted in Total Customer Trade Reports and that are not cancelled and that have regulatory status of satisfactory or questionable. Satisfactory/questionable total count: Satisfactory/questionable count, inter-dealer plus customer. Satisfactory/questionable rate: Satisfactory/Questionable Count divided by Total Trade Reports. The rate is shown as percent. Unmatched Rate Matched satisfactory/questionable: Same as Satisfactory/Questionable Count, Inter-dealer, defined above. This statistic is shown again because it is part of the denominator used for the unmatched rate shown in this section. Matched unsatisfactory: Inter-dealer sides that are counted in total reports and are matched and have regulatory status of unsatisfactory. (The most common conditions that make a matched trade unsatisfactory are the absence of the EBS or absence of dealer capacity.) Unmatched: Inter-dealer sides that are counted in total reports and that are unmatched. This includes both cancelled and uncancelled sides. Note: A side may be unmatched for several reasons, such as: (a) it has been cancelled before matching; (b) the contra party has not yet submitted matching data or does not know (DK) the trade; or (c) a matching side has been submitted to RTTM but it was not directed to RTRS. Cancelled sides are broken out below. msrb.org emma.msrb.org 3

4 Total reports: The sum of matched satisfactory/questionable, matched unsatisfactory and unmatched sides. Unmatched rate: Unmatched divided by total reports. The rate is shown as percent. Late Reports Trade count: Satisfactory or questionable trade reports, whether late or not late. Inter-dealer satisfactory/questionable matched reports: Same as satisfactory/questionable count, inter-dealer, defined above. Less syndicate buy and contra locked-in reports: Sides where the dealer is the buyer in a syndicate takedown submission or is the contra-side of a locked-in (QSR) submission. These sides are deducted from the total satisfactory/ questionable count for computing lateness. Buy-side submissions against RTTM Syndicate Takedown sales are optional. If a buy-side submission is made, it must be indicated as a Target Syndicate to RTTM. (Note: This dealer cannot affect the timely or late reporting of such trades, which are reported unilaterally by the contra-party. When rates other than lateness are computed, this dealer is responsible for the accuracy of the data reported about it by the seller in a syndicate takedown or locked-in trade. Rule G-14 requires the dealer to monitor such submissions to ensure that data representing its side of the trade is correct and to use NSCC procedures to correct the trade data if it is not.) Inter-dealer matched reports submitted: Inter-dealer Satisfactory/Questionable Matched Reports minus Syndicate Buy and Contra Locked-in Reports. Note: This statistic is the number of inter-dealer reports for which this dealer can affect the timeliness. Customer satisfactory/questionable reports: Same as satisfactory/questionable count, customer, defined above. Total trade reports submitted: The sum of the two numbers immediately above. Late count: The number of satisfactory or questionable reports submitted that were not submitted by the appropriate deadline (i.e., 15 minutes after trade time, 3 hours after trade time, or end of trade date). As noted above, cancelled sides are excluded from satisfactory/questionable. However, if a side is cancelled and the same trade is reported a second time, RTRS counts the second report as a different side, and it may be counted as late. Late matched inter-dealer reports: Late inter-dealer matched reports submitted (excludes syndicate buy and contra-locked-in reports). Late customer reports: Late customer satisfactory/questionable reports submitted. Total late reports with valid execution time: The sum of the two numbers immediately above. (Note: Trade reports with invalid execution time are not considered late. They are broken out below.) msrb.org emma.msrb.org 4

5 Dealer rate: Late satisfactory/questionable reports submitted divided by total satisfactory/questionable reports submitted. The rates are shown as percents. Late matched inter-dealer reports: Late Matched Inter-dealer Reports divided by Interdealer Matched Reports Submitted. The rate is shown as percent. Late customer reports: Late Satisfactory/Questionable customer reports divided by Late Customer Reports. Total late reports with valid execution time: Total Late Reports divided by Total Trade Reports Submitted. Trade Reporting Analysis Trade counts Inter-dealer satisfactory/questionable matched reports: Same as above Customer satisfactory/questionable reports: Same as above. Total satisfactory/questionable and matched trades: Inter-dealer Satisfactory/ Questionable Matched Reports plus Customer Satisfactory/Questionable Reports. (Same as satisfactory/questionable total count above.) Invalid execution time count (00:00 etc.): Number of reports where 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. Note: (1) RTRS does not score the same side as both invalid and late. If the reported time is invalid, the side is scored invalid, not late. (2) Time of trade must be specified as military time. A dealer reporting, for example, the invalid time 03:00:00 probably intended to report 3 p.m. (15:00:00). Invalid times are broken out by trade type: Inter-dealer bilateral (inter-dealer reports submitted by both parties) Syndicate buy/contra locked-in (trades where the dealer is responsible for the accuracy of the data reported about it by the seller) Customer trades Commission shown on principal trade count: The number of reports where the dealer's capacity is reported as principal and a commission (other than zero) is also reported. This count includes both customer and inter-dealer reports. Dealer rate: Two rates are shown based on the above counts: Reports with invalid execution time divided by total satisfactory/questionable and matched trades; and number of reports with commission reported on principal trades divided by total trades. These statistics take both interdealer and customer trades into account. They are shown as percent. msrb.org emma.msrb.org 5

6 Changes to Inter-dealer Trades A trade that has been amended after the reporting deadline is not counted as late, unless it was initially reported after its deadline. Trade Count Total inter-dealer reports: Same as Total trade reports inter-dealer at the top of the Compliance Data Report. This includes cancelled and reversed inter-dealer reports and unsatisfactory inter-dealer reports, as well as matched satisfactory/questionable reports. Cancelled: Number of inter-dealer reports that were cancelled. This includes those that were cancelled by the dealer and those that were cancelled by RTTM after remaining unmatched for the period allowed by RTTM. Amended by dealer: Number of inter-dealer reports for which the dealer modified price, yield, par, capacity, time of trade, etc. Note: A report that is modified is counted as amended if it is not cancelled after the modification. A report that is amended and then cancelled is counted as cancelled if the cancel message does not make additional changes to price, yield, buy/sell indicator, etc. If the report is cancelled and if the cancellation also makes other modifications to the report, it is counted as both amended and cancelled. Reversals (not counted in total reports): Number of matched reversals submitted by the dealer and contra party. (Note: Matched reversals exactly offset a previously matched trade in RTTM.) Reversals are not counted in any of the other statistics on this report. They are counted here as a memo for the user. Reversed reports: Matched trades that were reversed by the dealer and the contra party. Note: the number of reversals and the number of reversed reports may be different if the trade and its reversal were processed in different months, or if the dealer did not identify the trade being reversed (RTTM does not verify that an underlying trade exists in RTTM when processing a reversal. See RTTM Business Requirements (July 2002), p. 23). Dealer Rate The rate of each of the above is the count divided by the total, expressed as percent. Note: The rate of reversals is the number of reversals divided by the total satisfactory/questionable count plus the number of reversals. The rate of reversed reports is not calculated, since reversal rate is more reliable. msrb.org emma.msrb.org 6

7 Changes to Customer trades Trade Count Total customer reports: Same as Total trade reports Customer as shown in the Activity Totals by Dealer section described above. This includes cancelled and uncancelled customer reports with any Regulatory Status, i.e., Satisfactory/questionable/ Unsatisfactory. Cancelled: Number of customer reports that were cancelled by the dealer. Amended by dealer: Number of customer reports for which the dealer modified price, yield, par, capacity, time of trade, etc. Note: The method of counting trades that are cancelled and modified, described above for inter-dealer trades, also applies to customer trades. Dealer Rate The rate of each of the above is the count divided by the total, expressed as percent. Unidentified/Misidentified Dealer Trade Count Total matched inter-dealer reports: Same as Satisfactory/Questionable inter-dealer count, plus Matched unsatisfactory, above. Dealer symbol missing or not known: Number of inter-dealer reports for which the executing dealer symbol (EBS or MPID) is missing or is not known to the MSRB. This includes reports for which the dealer received the following error messages from RTRS: U41B - Dealer symbol missing U41D- Dealer symbol not known to MSRB Note: Inter-dealer sides without an EBS are counted here and also as unsatisfactory reports. Dealer Rate Dealer symbol missing or unknown divided by total matched reports, expressed as percent. Trades at Other than Market Price Trade Count Total satisfactory/questionable and matched trades: This is the same as the total reported trades above (total inter-dealer matched satisfactory/questionable trades plus customer uncancelled satisfactory/questionable trades). Trades at other than market price due to settlement not RW: The number of reports (inter-dealer plus customer) for which the dealer indicated that the price was other than the msrb.org emma.msrb.org 7

8 market price because settlement was not regular way. Note: The special condition code (previously special price reason ) is used to report a price other than the market price. Trades at other than market price due to other reason: The number of reports (interdealer plus customer) for which the dealer indicated that the price was other than the market price for reason different than settlement was not regular way, or for more than one reason. Trades at weighted average price: Number of reports (inter-dealer plus customer) for which the dealer indicated that the price was a weighted average price of previous transactions. Dealer Rate The above counts divided by total trades, expressed as a per cent. Lateness Breakout This report provides detail about the transactions reported as late on the Trade Report Summary. Like the latter, it includes data about only satisfactory and questionable trades. It does not cover unsatisfactory trades or unmatched inter-dealer trades. It covers the current period. For inter-dealer and customer trades separately, this report gives counts of all satisfactory/questionable transaction reports at the top. For each deadline, the report breaks out timely reports, late reports, and rates of late reports. The deadlines broken out are: 15 minute deadline: Rule G-14 requires that any transaction that is not eligible for an extended reporting deadline must be reported within 15 minutes of the time of trade. Timely and late reports against the 15 minute deadline are counted here and the rate is shown. End of day (EOD) deadline (variable, CP, etc.): Dealers may report trades in variable rate instruments (including auction rate products) and commercial paper by the end of the day in which the trades are effected. Timely and late reports against the EOD variable deadline are counted here and the rate is shown. End of day (EOD) deadline (syndicate/list price/1st day): Trades in new issues at the list offering price, executed by syndicate managers, syndicate members and selling group members on the first day of trading, and trades by a sole underwriter or syndicate manager to a syndicate or selling group member at a discount from the published list offering price for the security may be reported by the end of the trade date. Timely and late reports against the EOD syndicate/list deadline are counted here and the rate is shown. 3 hour deadline (not EOD, not traded in last year): On a temporary basis, a dealer could report trades within three hours of the time of trade if the CUSIP number and indicative data of the issue traded were not in the dealer's securities master file, the dealer did not msrb.org emma.msrb.org 8

9 trade the issue in the previous year, and the dealer was not a syndicate manager or syndicate member for the issue. Timely and late reports against the 3 hour deadline are counted here and the rate is shown. These provisions became unavailable in stages in December 2006 and June If a dealer submits a trade and indicates it qualifies for this deadline after the deadline had sunset, the trade is scored timely or late as though it had a 15-minute deadline (not EOD), but the trade is tabulated in this category of the lateness breakout. End of day (EOD) deadline (ineligible on trade date): Certain inter-dealer transactions are not able to be submitted to RTTM on trade date or with the accurate trade date either because all information necessary for comparison is not available or because the trade date is not a valid trade date in RTTM. Dealers must report trades that are inter-dealer ineligible on trade date by the appropriate deadline: VRDO ineligible on trade date must be reported by the end of the day on which the interest rate reset occurs, and invalid RTTM trade date no later than 15 minutes after the start of the next RTRS business day. Timely and late reports against this EOD deadline are counted here and the rate is shown. See Specifications for Real-Time Reporting of Municipal Securities Transactions, sections and ( Specifications ). End of day (EOD) deadline (resubmission of RTTM cancel): Uncompared inter-dealer trades are cancelled by RTTM on T+2 and the dealer originally submitting the trade must resubmit the transaction in a second attempt to obtain comparison with the contra-party. The dealer that originally submitted information to RTTM must use the appropriate Special Condition Indicator when resubmitting to avoid being scored late; however, the dealer may only use this indicator if it resubmits identical information about the transaction by the end of the RTRS business day following the day the trade was cancelled. Timely and late reports against this EOD deadline are counted here and the rate is shown. See Specifications. End of day (EOD) deadline (away from market, extraordinary settlement): Transactions in which the price is away from the market price because (a) settlement is not regular way (T+3) or, (b) for a when-issued transaction, because the settlement date is not the issue s initial settlement date, must be reported with the appropriate Special Condition Indicator by the end of trade date. This category should not be used for extended settlement trades that are at the market price or cash/next-day trades that are at the market price, nor should it be used routinely for trades done on a when-issued basis. Timely and late reports against this EOD deadline are counted here and the rate is shown. See Specifications. End of day (EOD) deadline (away from market, other reason): Transactions in which the price is away from the market price in certain trading scenarios listed in the Specifications or in which the price differs substantially from the market price for multiple reasons or for a reason not covered by another Special Condition Indicator, must be reported with the appropriate Special Condition Indicator by the end of trade date. This msrb.org emma.msrb.org 9

10 category applies to both inter-dealer and customer trades. Timely and late reports against this EOD deadline are counted here and the rate is shown. After the inter-dealer breakouts by deadline, the following are shown: Total inter-dealer trade reports, timely (total reports submitted before deadline) Late reports submitted (total reports submitted late) Invalid inter-dealer bilateral time (invalid time submitted by the dealer against a non-syndicate/non-locked-in report by the contra party) Subtotal: This is number of reports submitted (late plus invalid times submitted), and is the same as the inter-dealer matched reports submitted count shown on the Compliance Data Report. Invalid syndicate buy/contra locked-in time: This count plus the subtotal submitted equals the count of all inter-dealer satisfactory/questionable transaction reports at the top of the Lateness Report. After the customer breakouts by deadline, the following are shown: Timely reports: Total customer reports submitted before deadline Late reports submitted: Total customer reports submitted late Invalid execution time: Invalid time submitted on customer trades Total: Timely plus late plus invalid customer reports submitted, which equals the total count at the top of the lateness report. msrb.org emma.msrb.org 10