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Breaking Down TRACE Volumes Further

Doug Brain, Michiel De Pooter, Dobrislav Dobrev, Michael Fleming, Peter Johansson, Frank M. Keane, Michael Puglia, Tony Rodrigues and Or Shachar
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No 2018-11-29, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This joint FEDS Note and Liberty Street Economics blog post from staff at the Board of Governors and the Federal Reserve Bank of New York aims to share further initial insights on Treasury cash transactions reported in the Financial Industry Regulatory Authority (FINRA)’s Trace Reporting and Compliance Engine (TRACE).

Date: 2018-11-29
Note: This note was revised on January 10, 2019. The previous version of this post contained a table that incorrectly reported second off-the-run trading volumes of 0.0 for TIPS and FRNs. The table has been corrected to show that these figures are not separately calculated but are instead included in deep off-the-run volumes.
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DOI: 10.17016/2380-7172.2299

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