Wednesday, June 24, 2009

Data Technical News #2009 - 23
NASDAQ OMX to Combine MFQS Reporting Sessions on Monday, November 16, 2009

What is the current MFQS reporting timeline?

NASDAQ OMX^SM supports two Mutual Fund Quotation Service^SM (MFQS^SM) reporting sessions for mutual funds, money market funds and unit investment trusts (UITs):

• MFQS primary reporting session: 9:00 a.m. to approximately 6:05 p.m., Eastern Time (ET)
• MFQS secondary reporting session: approximately 6:15 p.m. to 8:00 p.m., ET

NASDAQ OMX disseminates the fund price updates as they are entered into the system via the Mutual Fund Dissemination Service^SM (MFDS^SM). As a value-added service for newspapers and end-of-day market data vendors, NASDAQ OMX also disseminates an end-of-session summary spin to MFDS data feed subscribers. The MFDS summary spin transmission reflects the fund values for all MFQS instruments at the completion of the MFQS primary reporting session.

What is changing on November 16, 2009?

At the request of the Investment Company Institute (ICI), NASDAQ OMX is moving to a single reporting session for MFQS users. Effective Monday, November 16, 2009, MFQS will continuously process fund price reports and fund price corrections from 9:00 a.m. to 8:00 p.m., ET.

What changes will NASDAQ OMX make to the Mutual Fund Dissemination Service (MFDS) data feed to accommodate the single reporting session?

To minimize the impact to the newspapers and end-of-day market data vendors, NASDAQ OMX will retain and enhance the MFDS summary spin transmission process. With the November 16^th release, NASDAQ OMX will support MFDS summary spin transmissions at the following three times:

• 6:05 p.m., ET
• 6:25 p.m., ET
• 8:00 p.m., ET

To clearly denote the MFDS spin processes, NASDAQ OMX will disseminate new event control messages at both the beginning and conclusion of the summary transmissions:

• NASDAQ OMX will add a new Category C – Type P message format to signal the Start of the Summary Spin process.
• NASDAQ OMX will disseminate the existing Category C – Type S event control message to signal the End of the Summary Spin.

As it does today, NASDAQ OMX will display the most recent price data entered by the fund pricing agent within the outbound MFQS valuation messages in the spin process. The spin will include a record for each and every MFQS instrument in an active state.

To minimize data integrity issues, NASDAQ OMX will queue incoming records received during the spin transmission. Once the spin transmission is complete, NASDAQ OMX will resume the dissemination of fund price updates on a real-time basis via MFDS.

Within the MFDS message header, NASDAQ OMX will use the Session Identifier of “P” for the combined MFQS reporting session on Monday, November 16, 2009. NASDAQ OMX will cease to support to Session Identifier of “S” after the close of business on Friday, November 13, 2009.

Please refer to the MFDS specifications document for full release details.

Will NASDAQ OMX be making any changes to the Fund Types as part of the November 16^th release?

No. Based on input from the print media, NASDAQ OMX will continue to maintain two separate listing tiers—News Media List and Supplemental List—for mutual funds and money market funds through 2010.

When can my firm test the MFDS session processing changes?

To help firms prepare for the MFQS session changes, NASDAQ OMX plans to offer the following testing opportunities for direct MFDS data feed subscribers prior to the release:

* To register for the UATs, please email your testing contact information to NASDAQ OMX Global Data Products at least one day prior to the scheduled testing date.

Where can I find additional information on MFDS?

• Refer to the NASDAQ OMX Mutual Fund Dissemination Service product page on the NASDAQ OMX Trader^® website.
• Refer to the MFDS specifications document.
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307 (option 4).