Dealer Data Quality Detail Report Guide

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 15th 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 15th of the following month.
May 2015
msrb.org | emma.msrb.org
1
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
May 2015
msrb.org | emma.msrb.org
2
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
-
May 2015
msrb.org | emma.msrb.org
3
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
May 2015
msrb.org | emma.msrb.org
4

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
May 2015
msrb.org | emma.msrb.org
5





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.
May 2015
msrb.org | emma.msrb.org
6
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.
May 2015
msrb.org | emma.msrb.org
7
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.
May 2015
msrb.org | emma.msrb.org
8