About Treasury Aggregate Statistics
Treasury Daily Aggregate Statistics provides a view of US Treasury Securities activity as reported to TRACE for the prior day.
Trading volume in US Treasury Securities reported to TRACE for the prior day.
Trading volume in US Treasury Securities reported to TRACE for the prior month.
Avaialble for aggregate data until February 2023.
About the Data
|Data Sources||TRACE (Trade Reporting and Compliance Engine), the FINRA-developed vehicle that facilitates the mandatory reporting of over-the-counter transactions in eligible fixed income securities.|
|Data Collection||All broker-dealers who are FINRA member firms have an obligation to report transactions in TRACE-eligible securities under an SEC-approved set of rules.|
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.
The daily aggregate statistics are published at 8pm each day the market is open. The daily period begins after 18:30:00 the prior business day (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the day of the report (15:30:00 for a TRACE early close trading day).
The monthly aggregate statistics are 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).
Cancels or corrections made prior to generation of the report are 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:
For TIPS, Remaining Maturity is grouped as follows:
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.
|Support||For any questions regarding Treasury Aggregate Statistics data, please write to [email protected] or dial 888-507-3665 (option 1.)|