Financial Services

What Information Must Be Included in a TRACE Trade Report? (Part 5 of 6)

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Because the purpose of TRACE is to help facilitate transparency in the U.S debt market, each TRACE trade report is required to contain the following information: 

  1. Committee on Uniform Securities Identification Procedures (CUSIP) number, or if a CUSIP number is unavailable at the time of execution, a similar numeric identifier. Examples include a mortgage pool number or a FINRA symbol.
  2. The size (volume) of the transaction. For a transaction in a TRACE-eligible security, except a securitized product, report the total par value or principal value of the security traded. When reporting a transaction for a securitized asset other than a to-be-announced (TBA) transaction and for a security subject to amortization, report the original face value of the security and report the factor used. Report the total par value, principal value, or original face value of the security for a transaction in a securitized product that does not amortize. If the security is traded TBA, the report should include the original face value of such security.
  3. Price of the transaction. When reporting a transaction as a principal, report the price and include the mark-up or mark-down. If a price field is not available, report the contract amount and, if applicable, the accrued interest. For agency transactions, report the price, excluding the commission. Report the total dollar amount of the commission if one is assessed on the transaction. If the commission is not assessed on a trade-by-trade basis at the time of the transaction, report “No Remuneration” using the specific NR indicator instead. For When-Issued (W.I.) transactions in U.S. Treasury Securities that are executed before the auction for the security, and conducted on a principal basis, report the yield and include the mark-up or mark-down of the security in lieu of price. For WI transactions in U.S. Treasury Securities that are executed before the auction for the security, and conducted on an agency basis, report the yield and exclude the commission of the security in lieu of price. Report the total dollar amount of the commission.
  4. Whether the transaction is a buy or a sale of the security
  5. Date of trade execution (“as/of” trades only)
  6. Contra-party’s identifier; which could be the MPID, customer, or a non-member affiliate
  7. Capacity of the filing party; principal, or agent (with riskless principal reported as principal)
  8. Time of execution. When reporting transactions in U.S. Treasury Securities that are executed electronically, members must report the time of execution pursuant to the finest increment of time captured in the member’s system (e.g., millisecond or microsecond), but at a minimum, in increments of seconds.
  9. Reporting side executing broker as “give-up” (if any) as applicable
  10. Contra side introducing broker in case of “give-up” trade as applicable
  11. The commission (total dollar amount), if applicable
  12. Date of settlement
  13. If the member is reporting a transaction that occurred on an ATS, the ATS’s separate MPID is required
  14. Trade modifiers, such as:
    a. Special Price Modifier. If a transaction is not executed at a price that reflects the current market price, select the modifier “special price”
    b. Weighted Average Price Modifier. If the price of the transaction is determined using a weighted average price method, select the modifier “W.”
    c. Securitized Product Indicators. Select “O” if the transaction is a specified pool transaction; “N” if the transaction is a stipulation transaction; “D” when the transaction is a dollar roll; or “L” when the transaction is a both a dollar roll and a stipulation transaction
    d. No Remuneration Indicator. Where a trade report does not reflect either a commission, mark-up, or mark-down, select the “No Remuneration” indicator

Interested in learning more about the ins and outs of TRACE? Check out my previous blog posts, where I have defined TRACE reporting, detailed the prep work to be done in order to effectively report TRACE transactions, reviewed considerations for alternative trading systems, and delved into the details of when and by whom transactions should be reported, and be sure to catch my next and final blog in the TRACE series where I will provide more clarity regarding what is not a TRACE-eligible security and what should not be included in a TRACE trade report. 

And, if you’d like all of this information in one easy-to-access place, you can download our guide, The What, Why, and How of TRACE Reporting Compliance, here.

 

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Carl Aridas

Carl is certified in the Scaled Agile Framework (SAFe), a Scrum Master, and a Six Sigma Green Belt project manager with more than 25 years of experience in financial services overseeing large-scale development global, multi-currency accounting, regulatory reporting, and financial reporting software platforms. He has hands-on experience completing, reviewing, and filing Federal Reserve, FFIEC, and IRS reports, including Call Reports, Y9C reports, 2900 reports, TIC reports, and arbitrage rebate reports.

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