Monday, March 14, 2016

Nasdaq Fund Network #2016 - 1
Nasdaq to Introduce New Money Market Fund Message Format in July 2016

What is changing?

On Monday, July 11, 2016, Nasdaq will introduce a new Valuation Report – Money Market Funds with Calculation Type message format for MFQS inbound and outbound pricing interfaces

Nasdaq will also add a new Investor Type field to the MFQS Daily List, MFQS Directory, and other MFQS web-based reports.

Nasdaq is making these MFQS system changes to facilitate the net asset value (NAV) reporting by pricing agents under the SEC Money Market Reform Act.

Why is Nasdaq adding Calculation Time to the money market fund message format?

In the Money Market Reform Act of 2014, the U.S. Securities and Exchange Commission (SEC) acted to require a floating net asset value (NAV) for prime institutional money market funds be calculated on a periodic intraday basis (e.g., 11 a.m. and 4 p.m.).

While Nasdaq had designed its MFQS 0050 money market fund message format to support a floating NAV and intraday updates, it did not capture an inbound time field. Based on discussions with MFQS pricing agents and major market data vendors about their implementation plans, Nasdaq determined that it needed to add a new money market fund message format with an inbound time stamp to ensure consistent data display.

For MFQS inbound interfaces, Nasdaq will add the new Valuation Report – Money Market Fund with Calculation Time message format. For the MFQS CTCI service, the new money market format will be identified by the Function Code of “$M”. For the MFQS web batch upload and MFQS secure FTP files, the new money market fund message format will be identified by the Function Code of “MMC”.

For the MFQS outbound interfaces, Nasdaq will update the money market fund message formats to support a Calculation Time field. For MFDS data feed subscribers, Nasdaq will identify the replacement money market fund format with the Message Type “F” and Message Category “I” in the message header. For MFQS web-based reports, the Calculation Time field will be added as a new column in the Today’s Price History and MFQS Valuation Report formats.

For all MFQS interfaces, the Calculation Time field will be reported in military time format (to the second) for the U.S. Eastern Time (ET) zone. If no Calculation Time is provided by the MFQS pricing agent, the field will display “NA” (not available).

What other MFQS changes are planned for money market instruments?

In recent years, Nasdaq added a Reporting Type field to facilitate the intraday valuation reporting as well as new Footnote codes for liquidity fee and redemption gate situations as defined in the SEC Money Market Reform Act. Nasdaq expects that MFQS pricing agents will begin to use this functionality in the third quarter of 2016 as they implement the SEC rules.

As part of the July 2016 release, Nasdaq will add a new Investor Type flag to the MFQS Directory, MFQS Daily List and Today’s Price History report to help differentiate institutional and retail funds. Prior to the release, Nasdaq will reach out to fund families and fund administrators to classify existing money market instruments. Nasdaq will also add the field to the MFQS instrument applications for new or modified instruments.

When and how can firms test the MFQS money market fund message format?

For the July release, Nasdaq will offer the following testing opportunities for MFQS subscribers:

Where can I find more information?

• Refer to the MFQS Specification documents.
• Refer to the MFQS Money Market Fund FAQs
• Contact Nasdaq Global Information Services at +1 301 978 5307.