Treasury Securities Trade Activity Data Glossary
Data Definitions for Treasury Securities Trade Activity.
| Data field | Definition |
|---|---|
| Aggregate Indicator | Aggregate Indicator field identifies if a transaction is eligible for the Treasury aggregate statistics Y - Aggregate Eligible N - Not eligible for the Aggregates |
| As Of Indicator | This field will be populated if the transaction being reported is an As/Of trade, Reversal, Cancel or Correction from a prior business day. Associated values for this field are: A - As/Of Trade R - Reversal Blank - Current Day Trade |
| ATS Indicator | This field will be populated if the transaction being reported is an Alternative Trading System (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. Associated values for this field are: Y - ATS Trade Blank - Not an ATS Trade |
| Benchmark | Identifies the bond’s benchmark type/term. |
| Contra Party Type | This field identifies the type of contra party which the reported trade was executed against - a Broker/Dealer, a Customer (non-FINRA member), an Affiliate (non-member affiliate) or an Alternative Trading System (ATS). Associated values are as follows: D - Contra party is a Broker/Dealer C - Contra party is a Customer (non-FINRA member) A - Contra party is a non-member affiliate T - Contra party is an Alternative Trading System (ATS) |
| CUSIP | A unique identifier used for US and Canadian registered stocks, US government and municipal bonds, exchange traded funds, and mutual funds assigned by the CUSIP committee. It is a nine-digit alphanumeric code. The issuer is identified in the first six characters, the next two positions identify the specific asset and the last digit is a check digit. Brokerage firms must have a daily license in place with Standard & Poor's CUSIP Bureau to acquire a full list of reportable bonds by CUSIP number. |
| Issuer Name | The name of the corporation or agency that issued the bond. |
| Last Sale Price | The Price figure is the all-in price for a trade, inclusive of a mark-up or markdown and is updated from 8:00 a.m. to 5:15 p.m. Eastern Time. If there is a commission on the trade, it will be entered in a separate field on the trade report, but will be disseminated as the combined price. Price data is disseminated on executed bond trades, not bond quotes. The TRACE system has no execution capability, nor can it accept quotations. |
| Last Sale Yield | Yield is a general term that relates to the return on the capital you invest in a bond and is expressed as a percentage. There are different ways to calculate yield. We share the lower of Yield to Call (retirement of the bond at a date prior to maturity) or Yield to Maturity. This type of yield is called Yield to Worst (YTW) and is generally used to provide the most conservite potential return a bond can give you. For certain variable-rate securities and defaulted bonds trading flat of accrued interest, no yield will be displayed. For certain bonds with unknown variables, yield is not required. For example, yield is not required for floating rate notes (FRNs), step-up or step-down bonds for which the steps are not known, Pay-in-Kind (PIK) bonds, perpetual bonds, or index-linked bonds. |
| Latest Trade Date | The date of the last trade. |
| Last Trade Time | The time of the last trade. |
| Maturity Date | A bond’s maturity date is the date the issuer is committed to paying you the par value of the bond, unless the bond is callable and is redeemed on an earlier date. At the maturity date, the issuer redeems each bond at the par amount. Perpetual bonds have no maturity date. Matured bonds have already reached their maturity date and may have already been redeemed by the issuer. It is also possible that the security has not yet been redeemed for several reasons. Please contact your financial professional on the status of this bond. |
| Price Type | Indicates whether the price is: D = Decimal Y = Yield |
| Quantity | This field represents the size of the transaction. The following size caps apply to this field: - 2-YR Note: If the size of the transaction is greater than $250 million, the quantity field will show 250MM+ - 3-YR Note: If the size of the transaction is greater than $250 million, the quantity field will show 250MM+ - 5-YR Note: If the size of the transaction is greater than $250 million, the quantity field will show 250MM+ - 7-YR Note: If the size of the transaction is greater than $150 million, the quantity field will show 150MM+ - 10-YR Note: If the size of the transaction is greater than $150 million, the quantity field will show 150MM+ - 20-YR Bond: If the size of the transaction is greater than $50 million, the quantity field will show 50MM+ - 30-YR Bond: If the size of the transaction is greater than $50 million, the quantity field will show 50MM+ |
| Renumeration | This field identifies if the reported trade price includes remuneration. Remuneration only applies on Customer and Affiliate trades. Associated values are as follows: C - Commission is included in the price |
| Reporting Party Type | This field identifies the type of entity that reported the trade. Associated values are as follows: D - Reporting party is a Broker/Dealer T - Reporting Party is an Alternative Trading System (ATS) |
| Sale Condition 2 | Blank - Not a Hedged Transaction H - Hedged Transaction |
| Sale Condition 3 | This field will indicate if there are any special conditions or modifiers applicable to the trade transaction. Associated values are: Blank - No Special Sale Condition Z - Trade Reported Late (Out of Sequence) T - Trade Reported After Market Hours U - Trade Reported Late After Market Hours |
| Sale Condition 4 | This field is used to describe a second sale condition that is applicable to the trade. Associated values are: S - transaction is part of a series of transactions where one or more transactions are executed a pre-determined fixed price or would otherwise result in the transaction(s) execution away from the current market B - transaction is part of a series of transactions where one or more transactions involves a futures contract (e.g. a "basis" trade). W - Weighted Average Price Blank - No Second Modifier Applicable - Regular Trade |
| Settlement Date | This field indicates the reported settlement date of the trade. |
| Side | This field identifies the side (i.e., Buy or Sell) from the reporting party’s perspective. Only one side of an Inter-dealer transaction is disseminated, which will be identified as the sell side from the reporting party’s perspective. Associated values are as follows: B - Reporting party bought from contra party S - Reporting party sold to contra party |
| Special Price Indicator | This field indicates the existence of a special trade condition that impacted the execution price, or if the transaction is a “specified trade.” Associated values are: Y - Special Price Trade Blank - Not a Special Price Trade |
| Symbol | Security symbol assigned by FINRA for trade reporting purposes. The FINRA proprietary symbol is offered free of charge. |
| TRACE Grade | TRACE Grade groups bonds into two categories: high-yield and investment grade. High-Yield bonds are rated as speculative grade by a nationally recognized statistical rating agency (i.e., Ba1 or lower by Moody's Investors Services or BB+ or below by Standard & Poor's Corporation). Unrated (NR/NA) debt securities by both services are also classified as non-investment grade securities. Investment Grade bonds are rated in one of its four highest generic rating categories by a nationally recognized statistical rating agency (i.e., Baa3 or better by Moody's Investors Service or BBB- or better by Standard & Poor's Corporation). |
| Yield | The Yield field indicates the effective rate of return earned on a security as calculated by the system and is expressed as a percentage. FINRA will leave the field blank if no yield is available. |
| Yield Direction | This field indicates the yield direction for the subsequent Yield field. Associated values for this field are as follows: - (minus sign) - Negative Yield Blank - Positive or Zero Yield |
| When Issued Indicator | This field indicates if the issue is trading on a when issued basis. Associated values are: Y - When Issued N or Blank - Not when Issued |