FINRA to Publish Weekly Aggregated Reports and Statistics for U.S. Treasury Securities Effective Date: March 10, 2020

Trade Reporting and Compliance Engine (TRACE)

Background

On December 20, 2019, the SEC approved an amendment to FINRA Rule 6750 to permit the publication of weekly aggregated transaction information and statistics on U.S. Treasury Securities. Starting Tuesday March 10, the new TRACE data aggregates will be published on FINRA’s website (www.finra.org).

Aggregated Reports

The Treasury Aggregate Statistics will illustrate trading volume in U.S. Treasury Securities reported to TRACE for the prior week.  The information will be aggregated by security subtype: Bills, Floating Rate Notes (FRN), Nominal Coupons and Treasury Inflation-Protected Securities (TIPS).  The data will be further grouped into “ATS and Interdealer,” “Dealer-to-Customer,” and “Total” categories.  For Nominal Coupons and TIPS, the report will also show remaining maturity and on-the-run/off-the-run groupings.  Additional descriptive information on the report will be made available at the time of publication.

As stated in the Department of the Treasury’s February 5, 2020 Quarterly Refunding policy statement, “The public report of weekly aggregated transactions will provide the most comprehensive account of how much, in what security types, and in what segments of the market Treasury securities are traded.  This report should provide market participants with greater insights into market liquidity for particular securities and segments that have previously been less transparent to the broader public.” 

Effective Date

FINRA will make the Weekly Aggregated Reports available on www.finra.org beginning March 10, 2020 (the first report will contain information for the February 29 through March 7 period).