Breaking Down TRACE Volumes Further

RePEc Short ID: pde371
ORCID iD: 0000-0002-3670-4451

Brain, Doug; De Pooter, Michiel; Dobrev, Dobrislav; Fleming, Michael J.; Johansson, Peter; Keane, Frank M.; Puglia, Michael; Rodrigues, Anthony P.; Shachar, Or

Discussion Paper

Breaking Down TRACE Volumes Further

Abstract: Following an earlier joint FEDS Note and Liberty Street Economics blog post that examined aggregate trading volume in the Treasury cash market across venues, this post looks at volume across security type, seasoned-ness (time since issuance), and maturity. The analysis, which again relies on transactions recorded in the Financial Industry Regulatory Authority's (FINRA) Trade Reporting and Compliance Engine (TRACE), sheds light on perceptions that some Treasury securities—in particular those that are off-the-run—may not trade very actively. We confirm that most trading volume is made up of on-the-run securities, especially in venues where the market has become more automated. However, we also find that daily average volume in off-the-run securities is still a meaningful $157 billion (27 percent of overall volume), and accounts for a large share (41 percent) of trading in the dealer-to-client venue of the market.

Keywords: trading volume; U.S. Treasury; Trade Reporting and Compliance Engine;

JEL Classification: G1;