On March 20, 2012, the SEC approved amendments to the MSRB’s operational rules for the Real-time Transaction Reporting System (RTRS). The amendments have varying effective dates. The changes include:
-modified hours of operation
-calculation and dissemination of yields on inter-dealer transactions
-removal of rarely-used transaction reporting requirements
-dealer submission of prices on inter-dealer transactions
-increased dissemination of customer transactions
The following change is effective March 20, 2012:
-RTRS will accept and disseminate any trade reports received between 6:00 AM and 9:00 PM. This is an increase from the prior RTRS “Window” Hours, which were from 7:00 AM to 8:00 PM.
The following changes are effective April 30, 2012:
-RTRS will be reprogrammed to calculate and disseminate the yield for most inter-dealer transactions. Currently, RTRS only reports the dollar prices of inter-dealer transactions, but reports both the dollar price and yield for customer trades.
-MSRB rules will no longer require reporting additional details about certain trades to RTRS in two situations:
1. The identity of an “intermediate dealer” (a broker that passes trade data from an effecting broker to a clearing broker) will no longer need to be included on trade reports.
2. Trades that are reported with the “away from the market – extraordinary settlement” special condition indicator will instead be reported with the generic “away from the market” indicator.
The following changes are effective on a date to be announced by the MSRB, but not later than November 30, 2012:
-Dealers will be required to report the contractual dollar price of their inter-dealer transactions. Currently, RTRS calculates a price based on the final money, par amount, and accrued interest submitted to the DTCC (Depository Trust & Clearing Corporation). This change is to avoid RTRS errors that occur when the system tries to calculate the price of a trade and the par value of the traded bonds is a value other than $1,000.
-RTRS will disseminate trade reports for customer transactions if the dealer-reported price and the RTRS-calculated price are within one dollar of each other. Currently, if there is any difference between the two prices, RTRS returns an error to the dealers and does not disseminate the trade.
Source: MSRB Notice 2012-15
This alert applies to the Series 7.