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.
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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.