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Breaking Down TRACE Volumes Further Accessible Data

Figure 1: Daily Volume of On-the-run (by Tenor) and Off-the-run (by Remaining Maturity) Coupon Securities
  On-The-Run Off-The-Run
0y-2y   35
2y 52  
2y-3y   14
3y 44  
3y-5y   25
5y 115  
5y-7y   10
7y 33  
7y-10y   12
10y 93  
>10y   14
30y 25  

Note: On-the-run volumes are per security whereas off-the-run volumes are aggregated across all securities within a given maturity range. All numbers reported are daily averages for the sample of August 1, 2017 to July 31, 2018.

Source: Authors' calculations based on Trade Reporting and Compliance Engine (TRACE) data from the Financial Industry Regulatory Authority (FINRA).

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Last Update: November 28, 2018