The monthly file is published on the second business day following the end of the month. The monthly period begins after 18:30:00 the business day prior to the start of the month (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the last business day of the month (15:30:00 for a TRACE early close trading day).

Trade cancellations or corrections submitted prior to the generation of the report will be included. 

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 is from the day after the auction up to and including the auction day 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 reported trades
• 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 monthly period begins after 18:30:00 the business day prior to the start of the month (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the last business day of the month (15:30:00 for a TRACE early close trading day).
• When-Issued trades executed on or before 18:30:00 on the auction day of the security are excluded from the data. For the purpose of this data, when-Issued trades for a Treasury security reopening are identified as trades executed on or after the announcement date of the reopening and on or before 18:30:00 on the auction date of the reopening and with a trade settlement date that falls on the issue date of reopening (provided the issue date is at least two business days from the auction).
• The “ATS and Interdealer” category includes the sell side of a trade data 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 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 affiliates (except those that occur on an ATS). 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 o Entered volume is less than 1000; o 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;
  • Modifier 4 field is populated; and/or
  • Special Price Flag is set.

Query API
Monthly File
Interactive Grid