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How Do Principal Trading Firms and Dealers Trade around FOMC Statement Releases?, Accessible Data
Figure 1. Average 1-Minute Volume Trade by Venue across FOMC Meetings*
This is a bar chart. The X axis ranges from 13:00 to 16:00, Time of Day (Eastern Time). The Y axis ranges from 0 to 3500 in Millions of dollars. The data is minutely. There are 3 variables charted on the plot, volume trade in IDB, DTD, and DTC. Trading volumes in the IDB venue increase notably upon the rate announcement at 2:00 p.m., increasing to over $1 Billion dollars from nearly $500 Million, and again at the start of the Chair’s press conference at 2:30 p.m, increasing to over $1 Billion from nearly $600 Million. Subsequently, volumes increase further, peaking sharply at 3:00 p.m., to nearly $3 Billion, which is similar to the pattern observed on days with no major policy announcements.
Note: Legend entries appear in graph in order from top to bottom.
Source: Authors’ calculations based on Trade Reporting and Compliance Engine (TRACE) data from the Financial Industry Regulatory Authority (FINRA). Shows 1-minute average on-the-run volumes within the U.S. Treasury market.
*Refers to the volume traded, on average, across the second day of each scheduled FOMC meeting since May 2019.
Figure 2. Average 1-Minute Volume Traded by Participant Type across Scheduled FOMC Meetings*
This is a bar chart. The X axis ranges from 13:00 to 16:00, Time of Day (Eastern Time). The Y axis ranges from 0 to 2500 in Millions of dollars. The data is minutely. There are 3 variables charted on the plot, volume traded by Other, Dealer, and PTF. In contrast with the average trading day, we observe increases in the volumes traded by all participant types following the rate announcement at 2:00 p.m., to nearly $1 Billion from about $250 Million, and, to a lesser extent, at the beginning of the Chair’s press conference at 2:30 p.m., to nearly $750 Million from about $400 Million.
Note: Legend entries appear in graph in order from top to bottom.
Source: Authors’ calculations based on Trade Reporting and Compliance Engine (TRACE) data from the Financial Industry Regulatory Authority (FINRA). Shows 1-minute average on-the-run volumes within the inter-dealer broker (IDB) venue of the U.S. Treasury market.
*Refers to the volume traded, on average, across the second day of each scheduled FOMC meeting since May 2019.
Figure 3. Average Proportion of Volume Traded by Paring of Participant Types across Scheduled FOMC Meetings*
This is a stacked area chart. The X axis ranges from 13:00:00 to 15:55:00, Time of Day (Eastern Time). The Y axis ranges from 0% to 100%. The data is minutely. There are 3 variables charted on the plot, volume from Dealer-Dealer, PTF-Dealer, and PTF-PTF. This figure shows the proportion of average 1-minute volume across scheduled announcement days among pairings of dealers and PTFs (PTF to PTF, Dealer to/from PTF, and Dealer to Dealer). Following the announcement at 2:00 p.m., the proportion of trading between dealers and PTFs is little changed. Meanwhile, we observe an increase in the proportion of total volume transacted between PTFs from 20 to nearly 50 percent. This increase coincides with a sharp decrease in the proportion of trading between dealers, which declines from 14 to 3 percent.
Note: Legend entries appear in graph in order from top to bottom.
Source: Authors’ calculations based on Trade Reporting and Compliance Engine (TRACE) data from the Financial Industry Regulatory Authority (FINRA). Shows proportions of 1-minute average volumes of 10-year on-the-run securities within the inter-dealer broker (IDB) venue of the U.S. Treasury market.
*Refers to the volume traded, on average, across the second day of each scheduled FOMC meeting since May 2019.
Figure 4. 1-Minute Volume Traded by Participant Type for the Unscheduled FOMC Meeting on 3/3/20
This is a bar chart. The X axis ranges from 9:00 to 12:00, Time of Day (Eastern Time). The Y axis ranges from 0 to 10000 in Millions of dollars. The data is minutely. There are 3 variables charted on the plot, volume traded by Other, Dealer, and PTF. This figure shows average 1-minute volumes by participant type surrounding the unscheduled rate announcement on March 3, 2020. PTFs transacted greater volumes than any other participant type following the 10:00 a.m. announcement, with their volumes increasing to nearly $7 Billion, while overall volumes, including PTFs, increases to about $9 Billion.
Note: Legend entries appear in graph in order from top to bottom.
Source: Authors’ calculations based on Trade Reporting and Compliance Engine (TRACE) data from the Financial Industry Regulatory Authority (FINRA). Shows 1-minute average volume within the inter-dealer broker (IDB) venue of the U.S. Treasury market.