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About TRACE Monthly Volume Reports

This data provides total and average daily trading volumes for the prior month in corporate, agency and securitized products reported to TRACELearn more about corporate, agency and other bonds.

The data is grouped into "Total," "ATS” (Alternative Trading System), ”Interdealer" and "Dealer-to-Customer" categories.

The data is published on the third business day following the end of the month.

Report Legend

  • CORP: Non-Convertible Corporate Bonds
  • CONV: Convertible Corporate Bonds
  • CHRC: Church Bonds
  • ELN: Equity Linked Notes
  • AGCY: Agency Debentures
  • ABS: Asset Backed Securities
  • ABSX: Collateralized Bond Obligations (CBO), Collateralized Debt Obligations (CDO), Collateralized Loan Obligations (CLO), Non-Agency Commercial Mortgage Backed Securities (CMBS).
  • CMO: Agency and Non-Agency Collateralized Mortgage Obligations (CMO's) / Real Estate Mortgage Investment Conduits (REMIC's)
  • MBS: Agency Pass-Through Mortgage Backed Securities Traded in Specified Pool Transactions
  • TBA: Agency Pass-Through Mortgage Backed Securities Traded To Be Announced

Volume Computation

The following describes how volume is aggregated for the data.

  • Trades executed between 00:00:00 Eastern Time on the 1st of the month and 23:59:59 Eastern Time on the last day of the month.
  • Trades is a count of valid trades reported to TRACE.
  • Par Value is the sum of reported trade sizes (uncapped), expressed in millions of U.S. dollars.
  • Trades and Par Value include 144A transactions.
  • For CORP, CONV, CHRC, ELN, AGCY, and ABS, only S1 trades are included.
  • The “ATS” category includes the sell side of a trade executed on an ATS (including ATS sales to non-members or non-member affiliates). The category excludes a FINRA member sell to an ATS. This approach considers the multiple trade reports required for some ATS transactions and standardizes volumes across different ATS business models.
  • The “Interdealer” category includes the sell side of a trade executed between FINRA members outside of an ATS (i.e. dealer-to-dealer trades).
  • The “Dealer-to-Customer” category includes all trades (buys and sells) reported by a FINRA member against non-members or non-member affiliates. 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).

Questions / Contact Us

For any questions regarding the data, please contact TRACE Data Services. [email protected] 888-507-3665 (option 1)