FINRA TRACE: corporate bond transactions (licensed)

Access confirmed via a licensed WRDS session

The keystone query SELECT cusip_id, trd_exctn_dt FROM trace.trace_enhanced LIMIT 1 was run against trace.trace_enhanced through a licensed WRDS session on 2026-06-09, so this page carries the amber “Access confirmed (licensed)” badge. Reproducing it still requires your own WRDS account and your institution’s TRACE entitlement; the data is licensed, not open.

TRACE (Trade Reporting and Compliance Engine) is FINRA’s facility into which dealers report secondary-market transactions in eligible US fixed-income securities: primarily corporate bonds, with agency and securitized products added in later phases. The version used by most academic researchers is the historical Enhanced TRACE file, which carries fuller fields and uncapped trade sizes compared with the free public dissemination feed. It is a common source in fixed-income research: used in, for example, Nozawa & Tsoy for corporate bond transaction prices and volumes 2002-2020 (plus a TRACE agency-MBS subset used as a liquidity placebo), and Li & Yu for corporate bond liquidity and investor composition.

• Cost: Enhanced TRACE is licensed (via WRDS); the real-time dissemination feed is free but volume-capped (not a substitute for the academic history).
• Vendor / originator: FINRA. Distributed to academics via WRDS.
• Coverage: secondary-market corporate bond transactions reported to FINRA; coverage phased in from July 2002 through 2005, so the early period is partial. Agency MBS and securitized-product TRACE are separate, later-phase files.

Access (when licensed)

• Through WRDS. The common academic path is the Enhanced TRACE tables on WRDS; see WRDS / CRSP / Compustat for the connection recipe. Credentials are required.
• Directly from FINRA. FINRA publishes a real-time public dissemination feed at no cost, but it masks large trade sizes (e.g., as “5MM+” or “1MM+” indicators) and does not carry the full historical depth of the Enhanced file. Use it only if volume-capping is acceptable for your purpose.
• Keep credentials in .env; never hard-code them.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect when working with the data.

• Do not mix the free dissemination feed with the Enhanced file. The public feed caps reported trade sizes (large trades are flagged as “5MM+” or “1MM+” rather than showing the actual notional). Merging it with Enhanced TRACE records, or treating it as a substitute for the historical Enhanced file, produces silent volume errors.
• TRACE requires cleaning before use. The raw file contains cancellations, corrections, reversals, and double-counted interdealer and agency legs. These must be filtered out before computing prices or volumes. The Dick-Nielsen cleaning procedure is the common reference in the literature; document which version you apply.
• Coverage phased in over 2002-2005. Phase 1 (July 2002) covered only investment-grade bonds above a size threshold. Phases 2 and 3 expanded coverage through 2005. Research samples starting before 2005 have partial bond-market coverage; control or restrict accordingly.
• Prices are dealer-reported transaction prices, not quotes. They reflect executed trades rather than bid-ask midpoints. Small-trade prices are noisier; large trades are subject to time delays in the dissemination feed.
• Linking to bond characteristics requires Mergent FISD. TRACE records CUSIPs but does not carry issue-level characteristics (coupon, maturity, seniority, rating). Merging those fields requires a separate link to Mergent FISD at the CUSIP level; treat this as an explicit join step and report match rates.
• Agency MBS and securitized-product TRACE are separate files. They were added in later phases, have different field structures, and cover different instrument types. Do not assume the corporate bond cleaning procedure applies to them without checking.

Citation

Cite FINRA TRACE (Enhanced TRACE via WRDS), stating: the version (Enhanced vs. dissemination feed), the data vintage (access date or coverage window), the cleaning procedure applied (e.g., Dick-Nielsen with version reference), and the FISD link used for bond characteristics. Example: FINRA TRACE Enhanced file, accessed via WRDS, [coverage dates]; cleaned following Dick-Nielsen ([year]); bond characteristics linked from Mergent FISD via CUSIP.