About TRACE Monthly Volume Reports
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.
- 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
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)