TRACE - Structured Product Reports Frequently Asked Questions (FAQ)

  1. Is the volume data in the Reports par value or current balance?
  2. Why do the Report volumes not match those in the TRACE Fact Book?
  3. What tranche factors are being used?
  4. What do the asterisks in a field where I expect data signify?
  5. I traded a security but I don't see the price reflected in the pricing table. Why not?
  6. How are Investment Grade and Below Investment Grade securities determined?
  7. Are the ratings used to determine Investment Grade or Below Investment Grade based on current or original rating?
  8. What is the time frame for transactions to be captured in the daily Reports?
  9. What time will the Reports be available daily?
  10. Do the Reports have a two day lag?
  11. Are credit-default swaps (CDS) or synthetic indices, such as ABX, CMBX, PrimeX, IOS/PO, included in the Reports?
  12. How are dollar rolls calculated in the Reports?
  13. What is included in the Non-Agency CMO category?
  14. What is included in the ABS category?
  15. Are New Issues captured in the reports?

 

 

1. Is the volume data in the Reports par value or current balance?
The volume is current remaining balance.
2. Why do the Report volumes not match those in the TRACE Fact Book?
The TRACE Fact Book volumes are based on original par value, whereas the Report volumes are based on current remaining balance. Additionally, future corrections of transactions may occur after the initial reporting date, which will be captured in the Fact Book, while the Reports represent data known at the time of report generation.
3. What tranche factors are being used?
The tranche factor is sourced from Interactive Data and represents the most currently available factor as of the transaction date.
4. What do the asterisks in a field where I expect data signify?
Fields where there is only an asterisk indicated that the trade count was less than five.
5. I traded a security but I don't see the price reflected in the pricing table. Why not?
The tables in the Reports only display statistical measures of prices, such as ranges and averages.
6. How are Investment Grade and Below Investment Grade securities determined?
Investment Grade securities are determined by the lowest rating by any of the three major rating agencies, Standard and Poor's, Moody's, and Fitch. If only one firm has rated the product, that rating will determine the category. The Below Investment Grade category also includes securities that do not have ratings.
7. Are the ratings used to determine Investment Grade or Below Investment Grade based on current or original rating?
The pricing tables use current rating for the grouping of securities.
8. What is the time frame for transactions to be captured in the daily Reports?
Transactions are captured between 8:00 a.m. and 6:30 p.m. daily.
9. What time will the Reports be available daily?
The Reports will be available by 9 p.m. daily.
10. Do the Reports have a two day lag?
Reports prior to November 18, 2011 will be delayed two days to reflect T+1 reporting. After November 18, 2011, transaction reporting will change to T+0 reporting and the Reports will be made available by the end of the same transaction day.
11. Are credit-default swaps (CDS) or synthetic indices, such as ABX, CMBX, PrimeX, IOS/PO, included in the Reports?
No. Synthetic indices and credit-default swaps are not included in the Reports. These products are not TRACE-eligible securities and therefore are not reported to FINRA.
12. How are dollar rolls calculated in the Reports?
Dollar rolls are reported to the TRACE system as two separate transactions and they are aggregated in their respective Agency product categories.
13. What is included in the Non-Agency CMO category?
The Non-Agency CMO category includes prime, Alt-A, pay option ARMs, subprime, home equity, HELOCs, high LTV, re-performing, and other RMBS asset classes.
14. What is included in the ABS category?
The ABS category includes all asset classes that are not part of any other defined asset class.
15. Are new issue transactions reflected in the Reports?
Yes. However, exclusion from the Reports may occur as a result of the unavailability of certain reference data, such as tranche factors, for new issue transactions.