Historical Data Format

HISTORICAL TRANSACTION DATA REPORT FORMAT  

The following fields are included in the Historical Transaction Data Reports. For complete information please refer to the Specifications Document for the RTRS Subscription Service.

RTRS Control Number

The RTRS ID for the transaction. This may be used to apply subsequent modifications and cancellations to an initial transaction. Format: up to 16 characters.

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.

List Offering Price/Takedown Indicator (if applicable)

An indicator (Y) showing that the transaction price was reported as a primary market sale transaction executed on the first day of trading of a new issue:

-by a sole underwriter, syndicate manager, syndicate member or selling group member at the published list offering price for the security (“List Offering Price” ); or

-by a sole underwriter, syndicate manager, syndicate member or selling group member at a discount from the published list offering price for the security (“RTRS Takedown 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.

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