About Treasury Aggregate Statistics

The Treasury Aggregate Statistics provide a snapshot of daily, monthly, or weekly trading volume in US Treasury Securities reported to TRACE for the prior day, month, or week. The daily and monthly format was added and the weekly format discontinued in February 2023.  

Treasury bond data is aggregated by security subtype: Bills, Floating Rate Notes (FRN), Nominal Coupons and Treasury Inflation-Protected Securities (TIPS). The data is further grouped into "ATS (Alternative Trading System) and Interdealer," "Dealer-to-Customer," and "Total" categories. For Nominal Coupons and TIPS, the data also shows Remaining Maturity and On-the-Run/Off-the Run groupings. Separate Trading of Registered Interest and Principal of Securities (STRIPS) are included in the Off-the-Run groupings for Nominal Coupons and TIPS categories based on Remaining Maturity, as applicable. In addition to the volume information, the reports include trade counts and, for on-the-run nominal coupons, and volume-weighted average price information.

Remaining Maturity is calculated as the difference in years between the Maturity Date of the security and either the Execution Date of the trade or the Issue Date of the security (the reopening issue date for a reopening) based on whichever is later. This adjustment takes into account recently auctioned securities that trade after the Auction Date but before the Issue Date.

For Nominal Coupons, Remaining Maturity is grouped as follows:

• <= 2 years: greater than or equal to 0 and less than or equal to 2 years.
•  > 2 years and <= 3 years: greater than 2 and less than or equal to 3 years.
•  > 3 years and <= 5 years: greater than 3 and less than or equal to 5 years.
•  > 5 years and <= 7 years: greater than 5 and less than or equal to 7 years.
•  > 7 years and <= 10 years: greater than 7 and less than or equal to 10 years.
• > 10 years: greater than 10 years. For TIPS, Remaining Maturity is grouped as follows:
• <= 5 years: greater than or equal to 0 and less than or equal to 5 years.
• > 5 years and <= 10 years: greater than 5 and less than or equal to 10 years.
• > 10 years: greater than 10 years.

For TIPS, Remaining Maturity is grouped as follows:

• <= 5 years: greater than or equal to 0 and less than or equal to 5 years.
•  > 5 years and <= 10 years: greater than 5 and less than or equal to 10 years.
•  > 10 years: greater than 10 years.

The On-the-Run security is generally the most recently issued Treasury security. For the purpose of this data, the On-the-Run period for a Treasury security starts after the close of the TRACE system on the day of its auction through the close of the TRACE system on the day of the auction of the following newly issued Treasury security with the same Remaining Maturity.

Volume Computation
The following describes how volume (trades and/or par value) is aggregated for the data.

• Trades is the count of  trades in the "ATS and Interdealer" and "Dealer-to-Customer" categories, as described below.
• Volume (Par Value)  is  the sum of reported trade sizes, expressed in billions of U.S. dollars (original face / par amount, not adjusted for price or inflation).
• The daily period begins after the close of the TRACE system the prior business day through the close of the TRACE system on the day of the report. The monthly period begins after the close of the TRACE system on the business day prior to the start of the month through the close of the TRACE system on the last business day of the month.
• When-Issued trades* executed on or before the close of the TRACE system on the auction day of the security are excluded from the data. For the purpose of this data, when-Issued trades are identified based on the information provided by TRACE reporting particpants. The “ATS and Interdealer” category includes the sell side of a trade when (1) a trade is executed on an ATS (including ATS sales to non-members or non-member affiliates) or (2) a trade is executed between FINRA members outside of an ATS (i.e. dealer-to-dealer trades). The category excludes a FINRA member buy or sell to an ATS. This approach takes into account multiple reporting of trades where a trade involves an ATS or both sides are FINRA members.
• The “Dealer-to-Customer” category includes all trades (buys and sells) reported by a FINRA member against non-members or non-member affiliate. The category excludes ATS transactions with non-members and non-member affiliates (those trades are represented in the “ATS and Interdealer” category as noted above).
• VWAP: the volume-weighted average of reported prices for trades included in the report. The VWAP excludes trades where  
  • Entered volume is less than 1000;
  • The price type is yield;
  • The reported price is 50% or more away from the (simple) average of all reported prices;
  • Settlement is not regular settle; and/or
  • The reporting firm has applied a special price condition