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TRACE Quality of Markets Report Cards - Treasuries

The TRACE Quality of Markets Report Card for Treasuries is a monthly status report for treasuries transactions that a firm reported to the Trade Reporting and Compliance Engine (TRACE). Firms are required to report trades in accordance with established FINRA rules and regulations. Firms should make no inference that the staff of FINRA has or has not determined that the information contained on the TRACE Quality of Markets Report Card does or does not constitute rule violations.

This report is posted no later than the 13th business day of the month. Users who have not opted-out of notifications will receive an email indicating that new reports have been published.

The tables below provide a reference description for all of the elements of the TRACE Quality of Markets Treasuries Report Card. (See TRACE Quality of Markets Report Card Figures 1 - 3 for a sample report.)

Term

Definition

Trade Report Entries

This is the total number of transaction reports submitted by your firm during the month, including trades that were cancelled or reversed during the period. This count also includes locked-in transaction reports where your firm was an executing party to the transaction, whether your firm was listed as report or contra, since a single locked-in trade report represents reporting by both sides.

This count includes all T records (Newly Reported Trades) submitted during the month and all Y records (Reversals) submitted during the month. Each trade is only counted once in this count, regardless of the number of times it may have been corrected during the month.
Valid Trade Reports

This is the number of total trade report entries that were not subsequently canceled during the report month or in the first three business days of the following month (i.e., before the report cards for the month have been run). Each transaction is only represented once in this count; if a trade is submitted during the report month and then corrected once or more during the report month, that trade is still only counted once in the Valid Trade Reports count.

This count includes all T records (Newly Reported Trades) submitted during the month that were not subsequently canceled or corrected during the report month, plus the latest R record (Corrected potion of a cancel/correction) for any trade that was submitted and then corrected during the month or during the first three days of the subsequent month.   
Customer Trades These are transactions with a non-broker-dealer customer.
Inter-Dealer Trades These are transactions with another broker-dealer.
Matched Trades For the purposes of this report, the Matched Trades count includes trades that were evaluated for an Execution Time Difference, meaning they matched during the report month. For trades that were bulk matched (where one or more trade reports on one side are matched to more than 1 trade report on the other side), this count only includes one trade report from each side of the matched set.  Please note: trades that match across months (i.e., where one side came in at the end of month A and the other side came in during the beginning of month B) are not evaluated for this report card count.
ATS Trades This field is a count of trades identified as an ATS execution (the trade was executed on an ATS’s platform) by entering the ATS’ MPID. An ATS may or may not be a party (RP or CP) in these transactions. CPID of (C or A) are not allowed on ATS Executions.
Locked-In Trades These are transactions executed pursuant to a Uniform Service Agreement that are locked in.
Affiliate Trades These are transaction with a non-member affiliate.
TRACE Reporting Peer Group
Peer Group A peer group or tier consists of firms within the same predetermined range of transactions. 
 

Tier

Valid Trade Reports

1

>= 33000

2

>= 8100 and <32,999

3

>= 1500 and <8,099

4

>= 1 and <1,499
Number of Firms in Peer Group This is the number of firms that were included in a particular peer group based on its number of total transaction reports for the selected reporting period.
Rank in Peer Group This is the rank of the selected market participant (MP) relative to other MPs in its peer group. In this section of the report, the rank is based solely on number of trade reports submitted by the firm during the month. This rank does not indicate whether or not the firm’s reporting was timely or accurate. MPs with a greater number of trade reports in a given month will have a higher rank. The firm with the greatest number of trade reports in a given month in the peer group will be ranked number 1.

Late Trades

Late Same Day Trade Reports These are trades that were submitted on the day they were executed, but reported greater than the allowable time after the time of execution. Only valid trade reports are considered.  Primary Market trades cannot be marked “Late Same Day” since they must be reported by the end of the next business day.
Late As-Of This is the number of trades reported as-of and also late. Primary Market transactions are marked Late As-Of if they are submitted more than 1 business day after the transaction occurred.  Secondary Market transactions are marked Late As-Of if they were reported on the day after the transaction occurred, except in the case where the transaction occurred between 6:15 and 6:30 and was reported by 8:15 the next day. Only valid trade reports are included in this count – however, it is possible that the valid trade report was included in the report card for the prior month. For example, if a trade report is submitted during Month A and then corrected during Month B and the correction is late, the trade will be counted in the Valid Trade Count for Month A, but in the appropriate Late As-Of Trade Reports count for Month B.   
Total Late Reports This is the total number of valid late trades for the selected MP for the selected reporting period.
Firm % This is the percentage of late trades to total valid trade reports for the firm for the selected month, year. (LT %= Total LT/ Total Valid MP Reported Trades) Only valid trade reports are considered.
Industry Average This is the percentage of alerts to total valid trade reports for all firms having at least one valid trade for the selected reporting period. Data is representative of all trades of that type by the industry, not as an average of all industry participants.
Peer Average This is the percentage of alerts to total valid trade reports for all firms in the firm’s peer group for the selected reporting period.
Rank in Peer Group For each value provided in the late trades table, the rank is based on the percentage of total alerts of that type listed to total valid trade reports for the selected reporting period. Firms are ranked in ascending order from the lowest percentage of alerts to total valid trade reports to the highest percentage of alerts.

Trade Reporting Analysis

Please note: The trades in this table do not definitively indicate problems; however they have been flagged automatically because they fall into certain exception categories. Customer, Inter-Dealer, and Locked-In trades may all be included in the flagged trades.
Non-military Format This is the number of reports that were potentially entered whereby the execution time was reported without the use of military time format (i.e. 0200 vs 14:00).  Only valid trade reports are considered for inclusion in this count.
'As-Of' – Incorrect Execution Time This is a count of reports that were potentially entered with a system-generated execution time, rather than the original execution time of the transaction. This is determined by the commonality of the execution time to the time of the report. Only valid trade reports are considered for inclusion in this count.
Same Day Cancels This is a count of reports that were canceled on the same day they were reported. Trades that are canceled on the same day are included in the firm’s total trade count, but not included in the firm’s valid trade count. These reports are not indicative of a potential violation, but are provided to allow your firm to monitor their frequency.
Prior Day Cancels This is a count of reports that were canceled one or more days but not more than 20 days after the trade was reported. Trades that are submitted and then subsequently canceled within the report month or within the first three days of the subsequent month (before the report cards are run) are included in the firm’s total trade count, but not included in the firm’s valid trade count.
 

Note: if a trade is submitted to TRAQS during Month A and canceled in Month B, the trade will be included in the Prior Day Cancels count for Month B even though the original trade came in during Month A. This means that, for Month B, a firm could have more Cancels than Total Trade Reports.

These reports are not indicative of a potential violation, but are provided to allow your firm to monitor their frequency
Price Override This is a count of trade reports on which a Price Override indicator was provided.  Only valid trade reports are considered for inclusion in this count.
Special Price Indicator This is a count of trade reports on which a special price indicator was provided.   Only valid trade reports are considered for inclusion in this count.
No Remuneration Indicator This is a count of trade reports on which a No Remuneration Indicator was provided.  Only valid trade reports are considered for inclusion in this count.
Report Side Unmatched This is a count of inter-dealer trade reports submitted by your firm for which the system could not identify a matching contra report within the system matching window. (Note: the system matches trades automatically for some period of time. If a matching trade report is submitted after the system match window has closed, the trade will be included in the unmatched count on the report.) These reports may be the result of misreporting by your firm or by the firm on the other side of the transaction. Only valid trade reports are considered for inclusion in this count.
Contra Side Unmatched This is a count of inter-dealer trade reports submitted by another firm listing your firm as contra, for which the system could not identify a matching report by your firm within the system matching window. (Note: the system matches trades automatically for some period of time. If a matching trade report is submitted after the system match window has closed, the trade will be included in the unmatched count on the report.) These reports may be the result of misreporting by your firm or by the firm on the other side of the transaction. Only valid trade reports are considered for inclusion in this count.
Execution Time Difference Earlier Report

This is a count of inter-dealer trade reports submitted by your firm which were able to be matched, but for which the execution time submitted by your firm was more than 15 minutes before the execution time submitted by the contra firm. These reports may be the result of misreporting by your firm or by the firm on the other side of the transaction.

Please note: trades that match across months (i.e., where one side came in at the end of month A and the other side came in during the beginning of month B) are not evaluated for this report card count. Only valid trade reports are considered for inclusion in this count. When viewing the detail data for trades included in this count, firms will be able to see the trade reports for both sides of the match (their trade report as well as the trade report submitted by the contra firm that matched their trade report but for which the execution time was 15 or more minutes before the execution time their firm reported).  
Execution Time Difference Later Report

This is a count of inter-dealer trade reports submitted by your firm which were able to be matched, but for which the execution time submitted by your firm was more than 15 minutes after the execution time submitted by the contra firm. These reports may be the result of misreporting by your firm or by the firm on the other side of the transaction.  Please note: trades that match across months (i.e., where one side came in at the end of month A and the other side came in during the beginning of month B) are not evaluated for this report card count. Only valid trade reports are considered for inclusion in this count. When viewing the detail data for trades included in this count, firms will be able to see the trade reports for both sides of the match (their trade report as well as the trade report submitted by the contra firm that matched their trade report but for which the execution time was 15 or more minutes after the execution time their firm reported).  

Total Execution Time Difference

This is a count of inter-dealer trade reports submitted by your firm which were able to be matched during the report month, but for which the execution time submitted by your firm was more than 15 minutes before or after the execution time submitted by the contra firm. These reports may be the result of misreporting by your firm or by the firm on the other side of the transaction.

Please note: trades that match across months (i.e., where one side came in at the end of month A and the other side came in during the beginning of month B) are not evaluated for this report card count. Only valid trade reports are considered for inclusion in this count. When viewing the detail data for trades included in this count, firms will be able to see the trade reports for both sides of the match (their trade report as well as the trade report submitted by the contra firm that matched their trade report but for which the execution time was 15 or more minutes before or after the execution time their firm reported).  
Count Intra-Firm Trade Reports

This is a count of trade reports where the "same" firm is both the reporting and

Contra party.  This analyses looks for MPIDS which are associated with the same Broker-Dealer

CRD #.  This analysis may indicate trade reports where there was no beneficial change of ownership.
ATS Unmatched Trades

This is a count of inter-dealer ATS trade reports submitted by your firm for which the system could not identify an ATS matching contra report within the system matching window. (Note: the system matches trades automatically for some period of time. If a matching trade report is submitted after the system match window has closed, the trade will be included in the unmatched count on the report). These reports may be the result of misreporting by your firm or by the firm on the other side of the transaction. Only valid trade reports are considered for inclusion in this count.

ATS Unmatched Contra Firm

ATS trade submitted by another firm listing this firm as contra for which no matching trade report was identified

Firm %

This is the percentage of alerts to total valid trade reports (Execution Time Reporting, Pricing, Inter-Dealer Difference, Security Indicator, and Factor Reporting sections), total trade reports (Amended Trade Reports section), total report side or contra side inter-dealer trade reports (Report Side Unmatched, contra Side Unmatched counts), or matched trade reports (Execution Time Difference count) for the firm for the selected reporting period.

Peer Average %

This is the percentage of alerts to total valid trade reports (Execution Time Reporting, Pricing, Inter-Dealer Difference, Security Indicator, and Factor Reporting sections), total trade reports (Amended Trade Reports section), total report side or contra side inter-dealer trade reports (Report Side Unmatched, contra Side Unmatched counts), or matched trade reports (Execution Time Difference count) for all firms in the firm’s peer group for the selected reporting period..

Rank in Peer Group

For each type of alert listed, firms in the peer group are ranked in ascending order from the lowest firm % percentage of alerts to total valid trade reports to the highest percentage of alerts.

Trade Modifier B

Trade modifier B is applied if the transaction is part of a series of transactions where one or more transactions involve a futures contract (e.g. a basis trade).

Trade Modifier S

Trade modifier S is applied if the transaction is part of a series of transactions and may not be priced based on the current market.

Detail Data

The TRACE Detail Data Download is designed to accompany the TRACE Quality of Markets Report Card as a tool to help a firm analyze and improve its compliance-related activities associated with reporting transactions via TRACE.

The following table describes the content and structure of the detail data download file:

Term

Definition

Alert Type This is an abbreviation for the exception category on the report card into which this transaction fell. Users can sort this file by the Alert Type to group transactions with certain characteristics together. A list of the alert codes, as well as their corresponding categories in the TRACE Quality of Markets Report Card, is included below.
Execution Date This is the date the transaction was executed.
Execution Time This is the time the transaction was executed.
Report Date This is the date the transaction was reported to TRACE.
Report Time This is the time the transaction was reported to TRACE.
Settlement Date This is the date the transaction settled.
Reporting Executing Firm This is the MPID of your firm, i.e., the executing party with reporting responsibility for this transaction. Note: if this trade report was submitted pursuant to a give-up agreement, the firm that reported the trade on your firm’s behalf will appear in the Reporting Party field.
Report Firm Cap Indicates whether the firm executed the trade for its own account (P for Principal) or for a third party (A for Agent).
Report Clearing ID This is the Clearing ID of the firm clearing the trade. This field is not required.
Contra Firm This is the party on the other side of the trade. Contra parties that are non-FINRA members will be identified with the letter “C” (for customer).  Contra parties that transaction with non-member affiliates are identified with the letter "A" (for affiliate).
ATS Execution MPID This field allows Reporting firms to identify if a trade is an ATS execution (the trade was executed on an ATS’s platform) by entering the ATS’ MPID. An ATS may or may not be a party (RP or CP) in these transactions.  CPID of “C” (customer) or “A” (Affiliate) are not allowed on ATS Executions.
ATS Unmatched MPID MPID of the contraparty of an unmatched ATS transaction.
Symbol This is the TRACE symbol of the bond.
Issuer Name The Name of the security’s issuer
CUSIP This is the CUSIP of the bond.
Security Description Description of the security
Buy/Sell Indicates whether the firm bought (B) or sold (S) the security.
Entered Price This is the price at which the firm reported the trade was executed.
Size This is the dollar amount of the trade.
Reporting Party This is the firm that submitted the trade report. If the trade was submitted on behalf of your firm pursuant to a give-up agreement, this will be the MPID of the firm that had the responsibility to report the trade on your firm’s behalf.
Submitting Firm This is the entity that entered the trade. The trade may be entered by the responsible party, a Give-Up firm, a firm you have an agreement with, or a service bureau. This value will be different from Reporting Party when a Service Bureau submits the trade on the Reporting Party’s behalf.
Seller Commission This is the dollar amount charged as commission on the sell side. This field is not required, and will only be viewable if your firm is on the sell side of the transaction.
Buyer Commission This is the dollar amount charged as commission on the buy side. This field is not required, and will only be viewable if your firm is on the buy side of the transaction.
No Remuneration Indicator This field is used to identify whenever a commission or markup/markdown is not assessed on the trade at the item of execution. Entry of “N” indicates the trade does not include remuneration of any kind. Blank value means the trade does include remuneration, for example commission or markup/markdown built into the price. 
Modifier 3 This field pertains to Extended Hours/Late Sale Conditions. Possible values are:
  • T = trade reported outside normal market hours
  • Z = trade reported during normal market hours and late
  • U = trade reported outside of normal market hours and late Null
Modifier 4 This field is provided when the transaction is reported with a Weighted Average Price modifier (“W”).
Price Override An O in this column indicates that the firm set the Override flag when reporting this transaction.
Special Price Indicator A Y in this column indicates that the firm set the Special Price flag when reporting this transaction.
Special Price Memo This field is a required memo field when Special Price flag = Y, and is used to describe the reason for the special price.
Source This indicates the source of the TRACE submission. Values are:
  • C = CTCI
  • W = Web
  • F = FIX
  • Q = QIX
  • B = Batch File
  • S = FINRA Supervisor
  • M = Mass Cancel or Mass Correct
  • G = Multi-entry
Status This indicates the status of the transaction. Values are:
  • T = Newly Reported Trade
  • X = Canceled - assigned to a trade where the submitting party canceled the trade after the system assigned a trade ID
  • C = Correction Canceled - assigned to the canceled portion of a trade that was modified
  • R = Correction New Trade - represents the new trade resulting from a trade correction
  • Y = Reversal - a trade that was canceled more than 20 days after the trade report was submitted
As-Of A Y in this column indicates that the trade was reported as an as-of report.
Reversal A Y in this column indicates that the trade report was a reversal.
Locked-In Indicator A Y in this column indicates that the trade is locked-in and satisfies both sides (Buy and Sell) of the trade reporting requirement.
TRACE Control ID This is a unique ID for this transaction, provided by TRACE.
Control Date This is the date the trade was reported. A trade is uniquely identified by Control ID + Control Date. In the case of a cancelation or correction, this is the date the cancelation or correction was reported, and prior trade control date will contain the date the trade being canceled or corrected was originally submitted.
Client Trade ID This is an optional user-defined trade reference number which may be used by firms to perform trade management.
Prior Trade Control ID This is the reference number of the prior trade. This will be populated on cancelations and corrections.
Prior Trade Control Date This will be populated on cancelations and corrections, and is the date the trade being canceled or corrected was originally submitted. A trade is uniquely identified by Control ID + Control Date.
Memo Text This field may be used for internal purposes by the reporting firm.
Branch Seq Num This is an in-house reference number assigned to the trade by the Reporting Party.
Trading Mkt Indicator This indicates whether the data is for a Primary Market Trade (P1) or Secondary Market Trade (S1).
Match Identifier This field is provided for detail records where Alert Type = ExTimeDiff. The Match Identifier and Match Date will be the same on the Report and Contra side trades that matched.
Match Date This is the date that TRAQS matched the trades.  This field is provided for detail records where Alert Type = ExTimeDiff. The Match Identifier and Match Date will be the same on the Report and Contra side trades that matched.

Note: for each trade included in the Execution Time Difference count on the report card, the firm will have two trade reports flagged as ExTimeDiff. A firm will be able to see its trade report and the trade report submitted by the contra that matched, so that the difference in execution times can be reviewed.

The following table contains a list of the Report Card Alerts and their corresponding categories in the TRACE Quality of Markets Report Card.

Term

Term

Definition

Report Card Alert Type Report Card Field Description
LSDCust Late Same Day - Customer Late same day trade report with a customer as contra
AsOfCust Late As-Of - Customer Late as-of trade report with a customer as contra
LSDDealer Late Same Day – Inter-Dealer Late same day trade report with a dealer as contra
AsOfDealer Late As-Of - Inter-Dealer Late as-of report with a dealer as contra
LSDLockIn Late Same Day – Locked-In Late same day locked-in trade report
AsOfLockIn Late As-Of - Locked-In Late as-of trade report that was locked-in
LSDAffiliate Late Same Day – Affiliate Late same day trade report with a customer as affiliate
AsOfAffiliate Late As-Of - Affiliate Late As-of report with a customer as affiliate
NonMilitary Non-military Execution Time Potential occurrence of execution time submitted without military time format
AsOfExTime As-Of Execution Time Execution time (from 1+ days earlier) same as report time
CancelSD Same Day Cancel Cancelation on the day the trade was reported
CancelPD Prior Day Cancel Cancelation between 1 and 20 days after the trade was reported
Reversal Reversal Cancelation more than 20 days after the trade was reported
CorrectSD Same Day Correction Correction on the day the trade was reported
CorrectPD Prior Day Correction Correction one or more days after the trade was reported
Override Price Override Price override indicator provided on the report
SpecialPrice Special Price Indicator Special Price Indicator provided on trade report
NoRemuneration No Remuneration Indicator No Remuneration Indicator provided on trade report
UnmatchR Report Side Unmatched Inter-Dealer trade submitted by the report firm for which no matching trade report was identified
UnmatchC Contra Side Unmatched Inter-Dealer trade submitted by another firm listing this firm as contra for which no matching trade report was identified
ExTimeDiffEarlier Execution Time Difference Earlier Report Inter-Dealer trade report in which the report matched with a contra firm’s trade report but the execution time submitted by the report firm was more than 15 minutes before the execution time submitted by the contra firm.
ExTimeDiffLater Execution Time Difference Later Report Inter-Dealer trade report in which the report matched with a contra firm’s trade report but the execution time submitted by the report firm was more than 15 minutes after the execution time submitted by the contra firm.
IntraFirm Intra Firm Trade Report Inter-Dealer or Locked-in trade report in which the reporting and contra parties (as identified by their MPID) are related to the same broker-dealer (mapping to the same Firm CRD #)
ATSUnmatched ATS Unmatched ATS MPID reported by the reporting firm's MPID or the contra firm's MPID do not match.