Fixed Income Post Trade Data

Identity data determines what instrument the firm is processing. Fixed income records often carry CUSIP, ISIN, FIGI, issuer, obligor, LEI, currency, country, asset class, and instrument classification. The practical control question is whether every system is referring to the same bond and the same issuer relationship.

Term data determines how the instrument behaves. Coupon, maturity, call schedule, amortization schedule, day-count convention, coupon frequency, business-day convention, factor, denomination, increment, currency, and settlement convention all affect downstream treatment. The security master is not just a lookup table. It is the source of the economic rules used by the workflow.

Pricing data turns the execution into cash and economics. Clean price, yield, spread, accrued interest, dirty price, principal, factor, fees, commission, markup or markdown where applicable, and settlement amount should be stored with source lineage. A price number without the inputs used to support it is weak evidence.

Settlement data determines how the security and cash move. The record should carry trade date, settlement date, route, custodian, CSD, delivery method, standing settlement instruction, cash leg, security leg, pending state, fail state, and final state. A settlement instruction depends on both the execution and the instrument data that describes where and how the bond can settle.

Reporting data preserves the fields needed to reconstruct the reportable record. Corporate bonds, municipal securities, Treasuries, agencies, securitized products, and other fixed income instruments can carry different reporting expectations. The post-trade record should preserve timestamp, reporting party, capacity, modifier, acknowledgement, correction history, and source evidence where relevant.

Lineage data ties the record together. Source system, file, API event, vendor version, user, timestamp, approval state, exception reason, and correction history show why the record was accepted or changed. Without lineage, operations teams may see a break but cannot explain whether the cause was execution, reference data, pricing, settlement, or reporting.

Execution data starts the workflow. The system captures order, fill, dealer, trade date, timestamp, account, portfolio, side, quantity, price, yield, venue or method, and allocation context. This record should not stand alone. It needs to be mapped immediately to the governed instrument record and downstream settlement path.

Instrument mapping checks the security master. The workflow validates identifier, issuer, currency, classification, coupon, maturity, factor, call schedule, day-count convention, settlement convention, minimum denomination, and increment. A wrong master field can make every later control look like a trade break when the root cause is actually reference data.

Accrual logic checks the cash bridge. Fixed income cash depends on clean price plus accrued interest. Accrued interest depends on coupon, last coupon date, settlement date, day-count convention, coupon frequency, principal amount, and factor. The workflow should preserve both the calculated amount and the inputs used to calculate it.

Price and yield controls compare economics across sources. A dealer confirmation, pricing source, custodian record, and internal calculation may all carry different fields. The workflow should show whether a difference is a true economic discrepancy, a timing item, a rounding policy, a factor issue, a stale curve, or a missing fee.

Settlement controls apply route-specific data. A Treasury workflow may depend on Fedwire fields. A corporate bond workflow may depend on DTC or custodian records. An international bond may require ICSD or local market settlement data. The system should keep settlement route, instruction status, fail reason, repair action, and finality state attached to the trade.

Reporting controls preserve the reportable record. Fields used for TRACE, MSRB, internal supervisory review, best execution review, or books-and-records support should remain tied to the trade and its corrections. The goal is not only to send data downstream. The goal is to retain the evidence that explains the state of the record.

Reconciliation closes the control loop. Trade, position, cash, accrued interest, custodian, settlement, and accounting records should be compared with clear match keys. Breaks should be classified by root cause: identifier, term, price, accrual, factor, settlement, reporting, corporate action, timing, or correction.