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TRACE Monthly Volume Report for 2020

December

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,330,192 662,951,264 60,463 30,134,148
CONV 38,576 44,130,666 1,753 2,005,939
CHRC 687 18,444 31 838
ELN 13,329 1,500,704 606 68,214
AGCY 33,810 79,725,934 1,537 3,623,906
ABS 7,982 33,602,740 363 1,527,397
ABSX 10,272 61,707,766 467 2,804,898
CMO 31,828 237,989,623 1,447 10,817,710
MBS 72,987 675,903,406 3,318 30,722,882
TBA 146,694 5,440,582,011 6,668 247,299,182

November

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,186,265 723,204,166 59,313 36,160,208
CONV 34,031 43,939,990 1,702 2,196,999
CHRC 594 4,502 30 225
ELN 9,186 2,861,566 459 143,078
AGCY 30,433 87,390,892 1,522 4,369,545
ABS 7,542 37,354,779 377 1,867,739
ABSX 7,477 42,694,060 374 2,134,703
CMO 27,637 229,473,385 1,382 11,473,669
MBS 66,003 564,703,282 3,300 28,235,164
TBA 162,688 5,673,470,377 8,134 283,673,519

October

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,291,934 767,400,267 58,724 34,881,830
CONV 29,022 34,045,098 1,319 1,547,504
CHRC 777 4,724 35 215
ELN 10,129 997,555 460 45,343
AGCY 34,651 102,346,745 1,575 4,652,125
ABS 9,498 61,757,722 432 2,807,169
ABSX 8,856 66,355,834 403 3,016,174
CMO 32,609 341,573,258 1,482 15,526,057
MBS 65,635 687,509,352 2,983 31,250,425
TBA 164,720 5,981,664,164 7,487 271,893,826

September

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,276,628 728,024,380 60,792 34,667,828
CONV 31,679 36,654,990 1,509 1,745,476
CHRC 608 4,160 29 198
ELN 11,686 1,835,798 556 87,419
AGCY 33,965 100,517,661 1,617 4,786,555
ABS 9,424 60,176,241 449 2,865,535
ABSX 8,639 67,740,196 411 3,225,724
CMO 29,432 268,474,537 1,402 12,784,502
MBS 64,278 635,517,412 3,061 30,262,734
TBA 143,438 5,376,174,379 6,830 256,008,304

August

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,250,582 658,012,987 59,552 31,333,952
CONV 33,204 43,036,658 1,581 2,049,365
CHRC 543 3,603 26 172
ELN 12,085 2,068,525 575 98,501
AGCY 33,732 107,159,311 1,606 5,102,824
ABS 7,834 43,917,354 373 2,091,303
ABSX 8,051 51,871,783 383 2,470,085
CMO 27,249 295,538,951 1,298 14,073,283
MBS 59,965 573,837,737 2,855 27,325,607
TBA 171,745 5,675,433,523 8,178 270,258,739

July

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,323,562 724,163,166 60,162 32,916,508
CONV 32,823 41,443,799 1,492 1,883,809
CHRC 925 5,518 42 251
ELN 7,715 1,171,533 351 53,251
AGCY 34,791 129,642,418 1,581 5,892,837
ABS 9,884 55,441,572 449 2,520,071
ABSX 8,509 69,872,363 387 3,176,016
CMO 30,127 255,211,934 1,369 11,600,542
MBS 61,480 613,062,597 2,795 27,866,482
TBA 160,803 5,565,616,573 7,309 252,982,571

June

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,558,732 952,728,594 70,851 43,305,845
CONV 39,799 58,387,578 1,809 2,653,981
CHRC 953 5,037 43 229
ELN 8,830 1,060,172 401 48,190
AGCY 37,859 133,112,480 1,721 6,050,567
ABS 10,860 53,098,008 494 2,413,546
ABSX 10,926 71,084,465 497 3,231,112
CMO 34,760 315,035,345 1,580 14,319,788
MBS 64,853 638,816,496 2,948 29,037,113
TBA 159,171 4,927,250,860 7,235 223,965,948

May

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,447,453 930,615,933 72,373 46,530,797
CONV 36,417 47,970,337 1,821 2,398,517
CHRC 378 11,138 19 557
ELN 7,689 2,210,309 384 110,515
AGCY 31,131 110,243,909 1,557 5,512,195
ABS 8,061 31,258,168 403 1,562,908
ABSX 9,724 63,825,120 486 3,191,256
CMO 29,517 281,373,082 1,476 14,068,654
MBS 68,656 665,918,348 3,433 33,295,917
TBA 165,877 4,846,201,285 8,294 242,310,064

April

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,647,501 1,030,260,218 78,452 49,060,010
CONV 36,519 46,896,719 1,739 2,233,177
CHRC 739 5,195 35 247
ELN 8,124 1,240,775 387 59,085
AGCY 33,958 148,131,258 1,617 7,053,869
ABS 9,166 41,415,864 436 1,972,184
ABSX 10,104 67,433,959 481 3,211,141
CMO 35,352 369,360,997 1,683 17,588,619
MBS 84,789 820,406,444 4,038 39,066,974
TBA 161,230 5,186,612,546 7,678 246,981,550

March

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,726,165 1,082,776,955 78,462 49,217,134
CONV 34,150 46,904,568 1,552 2,132,026
CHRC 999 6,414 45 292
ELN 14,681 1,734,681 667 78,849
AGCY 47,732 155,872,181 2,170 7,085,099
ABS 11,289 73,504,415 513 3,341,110
ABSX 11,242 120,200,454 511 5,463,657
CMO 43,396 561,484,980 1,973 25,522,045
MBS 89,247 958,623,172 4,057 43,573,781
TBA 223,672 6,558,688,445 10,167 298,122,202

February

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,330,948 772,451,533 70,050 40,655,344
CONV 27,780 33,278,169 1,462 1,751,483
CHRC 555 4,754 29 250
ELN 10,071 1,232,785 530 64,883
AGCY 39,668 91,937,622 2,088 4,838,822
ABS 9,206 57,190,629 485 3,010,033
ABSX 8,607 85,010,280 453 4,474,225
CMO 33,500 213,525,504 1,763 11,238,184
MBS 65,716 551,235,944 3,459 29,012,418
TBA 191,440 5,660,953,213 10,076 297,944,906

January

  Total Trades Total Par Value (000s) Average
Daily Trades
Average Daily
Par Value (000s)
CORP 1,496,394 826,262,590 71,257 39,345,838
CONV 31,978 41,247,191 1,523 1,964,152
CHRC 733 4,209 35 200
ELN 13,744 4,217,659 654 200,841
AGCY 41,759 103,386,669 1,989 4,923,175
ABS 9,516 54,662,358 453 2,602,969
ABSX 10,343 83,715,344 493 3,986,445
CMO 38,515 276,824,614 1,834 13,182,124
MBS 64,438 588,581,106 3,068 28,027,672
TBA 193,523 5,827,283,358 9,215 277,489,684