Academic Historical Transaction Data Product Format

Trade Type Indicator
Type of trade: an inter-dealer trade (D), a purchase from a customer by a dealer (P) or a sale to a customer by a dealer (S). Format: one character.

CUSIP
The CUSIP number of the issue traded. Format: nine characters including the checksum digit.

Security Description
Text description of the security. Format: up to 120 characters of free format text.

Dated Date
Dated date of the issue traded. Format: YYYYMMDD.

Coupon (if available)
Interest rate of the issue traded. Will be blank for zero-coupon bonds. Format: fixed decimal, up to six digits, nnn.nnn.

Maturity Date
Maturity date of the issue traded. Format: YYYYMMDD.

When-Issued Indicator (if applicable)
An indicator (Y) of whether the issue traded on or before the issue’s initial settlement date. Format: one character.

Assumed Settlement Date
For new issues where the initial settlement date is not known at the time of execution, this field is a date 15 business days after trade date. If this field is populated there will be no data in settlement date field. Format: YYYYMMDD.

Trade Date
The date the trade was executed. Format: YYYYMMDD.

Time of Trade
The time of trade execution reported by the dealer. Format: HHMMSS (24-hour system)

Settlement Date (if known)
The settlement date of the trade if known. If this field is populated there will be no date in assumed settlement date. Format: YYYYMMDD.

Par Traded
The par value of the trade. Trades with a par amount over $5 million will show par value as “MM+” until five days after their trade date. Format: fixed decimal, up to 12 digits, nnnnnnnnnn.nn

Dollar Price
The dollar price of the trade. Format: fixed decimal, up to seven digits, nnnn.nnn

Yield (if applicable)
The yield of the trade. Format: fixed decimal, up to six digits, may be negative, [-]nnn.nnn

Broker’s Broker Indicator (if applicable)
An indicator used in inter-dealer transactions that were executed by a broker’s broker, including whether it was a purchase (P) or sale (S) by the broker’s broker. Format: one character.

Weighted Price Indicator (if applicable)
An indicator (Y) that the transaction price was a “weighted average price” based on multiple transactions done at different prices earlier in the day to accumulate the par amount needed to make this transaction. Format: one character.

RTRS Publish Date
The date the data was produced for the report. Format: YYYYMMDD.

RTRS Publish Time
The time the data was produced for the report. Format: HHMMSS (24-hour system).

Version Number
Version number of the message or file format used in the message or file. Format: up to four digits, fixed decimal, nn.nn.

Unable to Verify Dollar Price Indicator (if applicable)
An indicator that the dollar price calculated by the MSRB does not match the dollar price submitted by the dealer, but falls within a one dollar tolerance for dissemination.

Buy-side EBS (if applicable)
Buy side Executing Broker Symbol (EBS) represents the identity of the firm on the buy side of the trade. EBS is also known as a market participant identifier (MPID), issued to broker-dealers by NASDAQ for the purpose of identifying municipal securities dealers that execute municipal securities transactions reported to MSRB’s Real-Time Transaction Reporting System. This field will be populated with different anonymized dealer identifiers for each academic user.

Sell-side EBS (if applicable)
Sell-side Executing Broker Symbol (EBS) represents the identity of the firm on the sell side of the trade. (See Buy-side EBS). This field will be populated with different anonymized dealer identifiers for each academic user.


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