The Treasury Aggregate Statistics provide a snapshot of daily, monthly, or weekly trading volume in US Treasury Securities reported to TRACE for the prior day, month, or week. The daily and monthly format was added and the weekly format discontinued in February 2023.  

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. In addition to the volume information, the reports include trade counts and, for on-the-run nominal coupons, and volume-weighted average price information.

The daily aggregate statistics are published at 8pm each day the market is open. The daily period begins after 18:30:00 the prior business day (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the day of the report (15:30:00 for a TRACE early close trading day). 

The weekly aggregate statistics are 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). The Treasury Weekly Aggregate Statistis is no longer updated as of February 2023.

The monthly aggregate statistics are published on the second business day following the end of the month. The monthly period begins after 18:30:00 the business day prior to the start of the month (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the last business day of the month (15:30:00 for a TRACE early close trading day).

Cancels or corrections made prior to generation of the report are included.

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:

• <= 2 years: greater than or equal to 0 and less than or equal to 2 years.
•  > 2 years and <= 3 years: greater than 2 and less than or equal to 3 years.
•  > 3 years and <= 5 years: greater than 3 and less than or equal to 5 years.
•  > 5 years and <= 7 years: greater than 5 and less than or equal to 7 years.
•  > 7 years and <= 10 years: greater than 7 and less than or equal to 10 years.
• > 10 years: greater than 10 years. For TIPS, Remaining Maturity is grouped as follows:
• <= 5 years: greater than or equal to 0 and less than or equal to 5 years.
• > 5 years and <= 10 years: greater than 5 and less than or equal to 10 years.
• > 10 years: greater than 10 years.

For TIPS, Remaining Maturity is grouped as follows:

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

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 (trades and/or par value) is aggregated for the data.

• Trades is the count of  trades in the "ATS and Interdealer" and "Dealer-to-Customer" categories, as described below.
• Volume (Par Value)  is  the sum of reported trade sizes, expressed in billions of U.S. dollars (original face / par amount, not adjusted for price or inflation).
• The daily period begins after 18:30:00 the prior business day (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the day of the report (15:30:00 for a TRACE early close trading day). The monthly period begins after 18:30:00 the business day prior to the start of the month (after 15:30:00 if the prior business day is a TRACE early close trading day) through 18:30:00 on the last business day of the month (15:30:00 for a TRACE early close trading day)
• When-Issued trades executed on or before 18:30:00 on 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 18:30:00 on 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 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 buy or 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 affiliate. 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).
• VWAP: the volume-weighted average of reported prices for trades included in the report. The VWAP excludes trades where  
  • Entered volume is less than 1000;
  • The price type is yield;
  • The reported price is 50% or more away from the (simple) average of all reported prices;
  • Settlement is not regular settle; and/or
  • The reporting firm has applied a special price condition

Interactive Grid Daily Statistics
Interactive Grid Weekly Statistics (until Feb 2023)
Interactive Grid Monthly Statistics

Daily File
Weekly File (until Feb 2023)
Monthly File

Query API