About TRACE Treasury Aggregate Statistics

The TRACE Treasury Aggregate Statistics provides trading volume in U.S. Treasury securities reported to TRACE for the prior day, week or month. The weekly format was discontinued as of February 2023; weekly format history is available.

Data is updated weekly with the start of the week identified as a Monday. 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.

The weekly aggregate data is published on the second business day following the end of the week (i.e., on Tuesdays, except when Monday is a holiday, in which case the weekly aggregate data is published on Wednesday).

Remaining Maturity

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:

  1. <= 2 years: greater than or equal to 0 and less than or equal to 2 years.
  2. > 2 years and <= 3 years: greater than 2 and less than or equal to 3 years.
  3. > 3 years and <= 5 years: greater than 3 and less than or equal to 5 years.
  4. > 5 years and <= 7 years: greater than 5 and less than or equal to 7 years.
  5. > 7 years and <= 10 years: greater than 7 and less than or equal to 10 years.
  6. > 10 years: greater than 10 years.

For TIPS, Remaining Maturity is grouped as follows:

  1. <= 5 years: greater than or equal to 0 and less than or equal to 5 years.
  2. > 5 years and <= 10 years: greater than 5 and less than or equal to 10 years.
  3. > 10 years: greater than 10 years.

On-the-Run Category

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 is aggregated for the data.

  • Volume is the sum of reported trade sizes, expressed in billions of U.S. dollars.
  • Trades are executed in the weekly period starting at 00:00:00 Eastern Time on Saturday to 23:59:59 Eastern Time on the following Friday.
  • When-Issued trades executed prior to and including 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 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. 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)