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Technical Notice

Enhancements to Weekly Aggregated Reports and Statistics for U.S. Treasury Securities

April 29, 2021

The Treasury Aggregate Statistics provide trading volume in U.S. Treasury Securities reported by FINRA Members to TRACE for the prior week. The reports have been published since March 2020. In the next few weeks, FINRA will publish the following:

  • On May 4, 2021, FINRA will publish historical weekly reports from January 2019 through the launch of the report in March 2020. The data will be available on www.finra.org/treasuryaggregates  and via the FINRA Application Programming Interface (API). FINRA will also publish revised reports for the week ending on January 22, 2021 through week ending on April 16, 2021. The restatement is due to an issue with the identification of on-the-run securities. The restatement will not change overall volume, but it will adjust the on-the-run and off-the-run trading volumes, mainly for the TIPS “<= 5 year” category.
  • Starting on May 11, 2021, the weekly data will be updated to include a new maturity category for nominal coupons: “Greater than 10 years and less than or equal to 20 years.” The new category will highlight the on-the-run 20-year bond and provide volume information for off-the-run Treasury bonds whose remaining maturity fall within the maturity band. 

Please note: historical reports will not include the new category and will remain in their original format.

FINRA will continue to aggregate the Treasury securities by security subtype: Bills, Floating Rate Notes (FRN), Nominal Coupons and Treasury Inflation-Protected Securities (TIPS). The data is further grouped into "ATS and Interdealer," "Dealer-to-Customer," and "Total" categories. For Nominal Coupons and TIPS, the report also shows remaining maturity and on-the-run/off-the-run groupings. Additional descriptive information on the report is available on the webpage.

For any questions regarding this data, please contact TRACE Data Services via email or (888) 507-3665.