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Investopedia explains 'Blue Sheets'
Blue sheets provide the SEC with detailed information about trades performed by a firm and its clients. The information includes the security's name, the date traded, price, transaction size and a list of the parties involved.
The questionnaires came to be known as blue sheets because they were printed on blue paper. Today, due to the high volumes of trades, this information is provided electronically though electronic blue sheet systems or EBS.
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