Yellow sheets means over the counter bond market. The "market" in this case is just an informal collection of dealers, with no organized real-time publishing of bid or ask across the collection. These guys just call each other up or look at bid and offer sheets published by each firm. It's very inefficient.

The TRACE system is the "reporting" system that FINRA runs for bond trades. After a real trade takes place, the broker must upload the transaction details to FINRA. The problem is TRACE data creates an illusion of an orderly market that doesn't actually exist. When you see a sale at $22.5 for AZM, that doesn't mean that *you* could have sold at that price. Your broker may not have know who was buying and the market doesn't publish the other side of the trade before it happens, so your broker won't know where to go to do that trade.