Upcoming Enhancements to the SHORT System and Data Elements Clarification

MSRB Rule G-34(c) requires dealers to report interest rate and descriptive information about Auction Rate Securities (ARS) and Variable Rate Demand Obligations (VRDO) to the MSRB Short-term Obligation Rate Transparency (SHORT) System following an ARS auction or VRDO interest rate reset.  On May 11, 2009, the MSRB plans to complete the implementation of several enhancements to the SHORT System.  These enhancements include improvements to the Web User Interface to improve the process of manual data submission, clarifications of certain data elements in SHORT System documentation and revisions to the error feedback provided by the SHORT System.  Updated versions of the Web User Interface Manual and Specifications documents reflecting these changes are currently available on a new section of the MSRB web site that consolidates important information about the SHORT System.  This section can be found at https://www.msrb.org/msrb1/SHORT/default.asp. 

Web User Interface Improvements

The MSRB has made numerous minor improvements to the SHORT System Web User Interface to enhance the user experience.  The most significant of these is a pre-population function.  Using this function, a submitter can “pre-populate,” with information from a prior submission, many of the data elements required on a new submission of an ARS or VRDO.  This function allows a submitter to submit ARS auction results or a VRDO interest rate reset without having to re-key those data elements that typically do not change from one submission to the next.

In addition to implementing the pre-population function, the MSRB has made other changes to the Web User Interface to make submitting data to the SHORT System more intuitive.  These changes include minor navigational improvements as well as using the full names of data elements in drop-down menus and making VRDO, instead of ARS, the default security type for submitting data to reflect the significantly larger volume of VRDO submissions. 

Data Elements Descriptions

The updated versions of the Web User Interface Manual and Specifications documents contain clarified definitions of certain data elements that have generated questions from dealers.  These data elements are listed below with detailed explanations of the values that are expected to be included on submissions to the SHORT System.

ARS and VRDO Minimum and Maximum Rates 

For ARS and VRDO submissions, the minimum and maximum rates, if any, applicable at the time of an ARS auction or a VRDO interest rate reset are required to be included in a submission of the results of an ARS auction or a VRDO interest rate reset to the SHORT System.  Many ARS and VRDO have minimum and maximum rates that are specified in official documents for the security as absolute values or that are set pursuant to formulas.  For these minimum and maximum rates, the absolute values or resulting values after necessary computations are required to be included on a submission to the SHORT System.  Other ARS and VRDO have minimum and maximum rates that are set pursuant to formulas that are unable to be calculated at the time a submission to the SHORT System is required.  In these cases, a value of “NC” is required to be included in a submission to the SHORT System to show that the minimum and maximum rates are “not calculable.”[1]

ARS Par Amount Auctioned

One of the items of information that is required to be included on a submission to the SHORT System concerning the results of an ARS auction is the par amount auctioned, not including hold orders effective at any rate.  For ARS with multiple ARS Program Dealers, the SHORT System aggregates all reported par amounts auctioned by each Program Dealer.  Accordingly, each Program Dealer must only report to the SHORT System the par amount of securities sold through the auction process reflective of the reporting Program Dealer’s participation in the auction.[2]  The par amount auctioned is commonly referred to in results of an auction communicated to Program Dealers by Auction Agents as the “accepted sells” or the “executed sells.”

VRDO Liquidity Facility

On a submission to the SHORT System of a VRDO interest rate reset, the type and expiration date of each liquidity facility applicable to the VRDO, if any, is required to be included.  If a VRDO does not have an applicable liquidity facility, or the liquidity facility has expired and has not been renewed, then this field would be required to be left blank.

VRDO Date and Time of Interest Rate Reset

On a submission to the SHORT System of a VRDO interest rate reset, the date and time of the interest rate reset is required to be included.  This data and time must reflect the date and time that a VRDO Remarketing Agent determines the interest rate for the next interest rate period and may differ from the date and time that the interest rate becomes effective.

Error Feedback Changes

The SHORT System performs various data checks to ensure that information submitted is in the correct format.  In addition, data checks are performed to monitor compliance with MRSB Rule G-34(c) as well as to identify information submitted in correct formats that may contain errors due to information not falling within reasonable ranges of expected values for a given item of information.  Beginning May 11, 2009, the descriptions of several existing error codes will be revised to more accurately reflect the data quality error and the following two new error codes will be added to the SHORT System:

-       TM29::Rate Period must be greater than 0
-       TM30::Liquidity Facility Expiry Date cannot be in the past

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Questions about testing the SHORT System and registering to use the SHORT System should be directed to the Market Information Help Desk at 703-797-6668.  Other questions about this notice should be directed to Justin R. Pica, Director, Uniform Practice Policy, at 703-797-6716.

May 5, 2009

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