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TRACE Treasuries Execution Time Difference Report Card

The TRACE Treasuries Execution Time Difference Report is a monthly summary of execution time comparisons for inter-dealer trades in U.S. Treasury Securities 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 Execution Time Difference Report does or does not constitute rule violations.

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 the elements of the TRACE Treasuries Execution Time Difference Report.

Report Summary

Term
ATS Execution Time Difference

Definition

Trade Count

This row displays a count of matched inter-dealer trades identified as an ATS execution.  An ATS execution can be either where an ATS reports the trade, is a contra party to the trade, or is neither but the trade is executed on an ATS platform. This data is further categorized into Earlier Report counts, Later Report counts, or Total Execution Time Difference counts. A trade is counted when the execution time submitted by your firm was more than 1 minute before or after the execution time submitted by the contra firm.

Firm %

This is the percentage of exceptions to total matched inter-dealer trade reports for the firm for the selected reporting period.

Peer Average %

This is the percentage of exceptions to total matched inter-dealer trade reports for all of a firm’s peer group for the selected reporting period.

Industry Average

This is the percentage of exceptions to total matched inter-dealer trade reports for all firms having at least one matched inter-dealer trade report for the selected reporting period.

Rank in Peer Group

Firms in the peer group are ranked in ascending order from the lowest firm % percentage of exceptions to total matched inter-dealer trade reports to the highest percentage of exceptions.

Prior Month Trade Count

Trade Count from the prior reporting period.

% Change from Prior Month

Variation between the current period Trade Count and that of the prior reporting period.

Term
Non-ATS Execution Time Difference

Definition

Trade Count

This field is a count of matched inter-dealer trades identified as a Non-ATS execution. This data is further categorized into Earlier Report counts, Later Report counts, or Total Execution Time Difference counts. A trade is counted when the execution time submitted by your firm was more than 5 minutes before or after the execution time submitted by the contra firm.

Firm %

This is the percentage of exceptions to total matched inter-dealer trade reports for the firm for the selected reporting period.

Peer Average %

This is the percentage of exceptions to total matched inter-dealer trade reports for all of a firm’s peer group for the selected reporting period.

Industry Average

This is the percentage of exceptions to total matched inter-dealer trade reports for all firms having at least one matched inter-dealer trade report for the selected reporting period.

Rank in Peer Group

Firms in the peer group are ranked in ascending order from the lowest firm % percentage of exceptions to total valid trade reports to the highest percentage of exceptions.

Prior Month Trade Count

Trade Count from the prior reporting period.

% Change from Prior Month

Variation between the current period Trade Count and that of the prior reporting period.

Term
Definition Average Execution Time Difference (in Seconds)

Definition

All Trade Types

Industry average Execution Time Difference of all trade types during the period.

ATS Trades

Industry average Execution Time Difference of ATS Trades during the period.

Non-ATS Trades

Industry average Execution Time Difference of Non-ATS Trades during the period.

Term
Definition Execution Time Difference

Definition

>10 min to 15min

Percentage of all firms’ Matched Trades where the execution time difference is greater than 10 minutes but less or equal to 15 minutes. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

>5 min to 10min

Percentage of all firms’ Matched Trades where the execution time difference is greater than 5 minutes but less or equal to 10 minutes. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

>1 min to 5min

Percentage of all firms’ Matched Trades where the execution time difference is greater than 1 minute but less or equal to 5 minutes. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

>30 sec to 1min

Percentage of all firms’ Matched Trades where the execution time difference is greater than 30 seconds but less or equal to 1 minute. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

≤30 seconds

Percentage of all firms’ Matched Trades where the execution time difference is equal or less than 30 seconds. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

No Time Difference

Percentage of all firms’ Matched Trades where there is no execution time difference. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

All Matched

Total percentage of all firms’ interdealer trade reports matched by program. Data is categorized by Matched ATS Trades, Matched Non-ATS Trades or Total Matched Trades.

Detail Data Help

TRACE Treasuries Execution Time Report Detail Data

The TRACE Detail Data Download is designed to accompany the TRACE Treasuries Execution Time Difference Report as a tool to help firms analyze and improve their compliance-related activities associated with reporting transactions to TRACE.

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

Field Name

Definition

Exception Type Name

Describes if the Execution Time Difference exception is due to the Firm reporting an earlier or later execution time than the contra firm.

MPID

MPID of your firm.

Seller MPID

MPID of the seller in the transaction.

Seller Trade Execution Date

Trade execution date reported by the seller.

Seller Trade Execution Time

Trade execution time reported by the seller.

Seller Trade Report Date

Date the transaction was reported to TRACE by the seller.

Seller Trade Report Time

Time the transaction was reported to TRACE by the seller.

Seller System Control Date

TRACE system control date in the seller’s report.

Seller System Control Number

TRACE system control number in the seller’s report.

Buyer MPID

MPID of the buyer in the transaction.

Buyer Trade Execution Date

Trade execution date reported by the buyer.

Buyer Trade Execution Time

Trade execution time reported by the buyer.

Buyer Trade Report Date

Date the transaction was reported to TRACE by the buyer.

Buyer Trade Report Time

Time the transaction was reported to TRACE by the buyer.

Buyer System Control Date

TRACE system control date in the buyer’s report.

Buyer System Control Number

TRACE system control number in the buyer’s report.

Issue Symbol Identifier

TRACE symbol of the bond.

CUSIP

CUSIP of the bond.

Entered Volume

Quantity reported in the transaction.

Buyer Entered Price

Price at which the buyer reported the trade was executed.

Seller Entered Price

Price at which the seller reported the trade was executed.

Product Type Code

Product identifier for the TRACE-eligible security – Treasury Security (TS).

Product Subtype Code

Type of U.S. Treasuries Sub-Product – BILL, NOTE, STRP, or TIPS.

Seller ATS MPID

ATS MPID reported by the seller in the ATS Execution MPID field.

Buyer ATS MPID

ATS MPID reported by the buyer in the ATS Execution MPID field.

ATS Trade Flag

This field identifies if a trade is an ATS execution.

Seller Price Type Code

Price type (Decimal, Yield, or Negative Yield) reported by the seller.

Buyer Price Type Code

Price type (Decimal, Yield, or Negative Yield) reported by the buyer.

Note: for each trade included in the Execution Time Difference count on the report card, the firm will have two trade reports with one report flagged as “Early” and one report flagged as “Late”. 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.