FINRA Starts Reporting Data on Treasury Securities Trading Volume

The release of aggregate market volumes would be beneficial for three reasons, according to Muzinich. "First, we think the market will find it very useful to understand how volumes fluctuate, whether as a result of seasonal flows or in response to significant events," he said at the time.

The data would also "ensure a more level playing field" and would not only be "consistent with one of our key principles, in that it should have no negative impact on market behavior or liquidity," but also provide a "better understanding of how much volume is passing through the market, particularly in off-the-runs," Muzinich said. He predicted the latter "should encourage even greater interest in those securities."

The new Treasury Aggregate Statistics report by FINRA provides trading volume in U.S. Treasury securities reported to TRACE for the prior week. The information is aggregated by Treasury security subtype, including: bills, floating-rate notes, nominal coupons and Treasury inflation-protected securities, FINRA said. The regulator is also grouping the data into two categories: alternative trading system/interdealer transactions and dealer-to-customer transactions. For nominal coupons and TIPS, the report also shows remaining maturity and on-the-run/off-the run buckets.

According to FINRA, for the week of March 6, bills traded totaled $567 billion, including $151.8 billion ATS/interdealer and $415.2 billion dealer to customer. Meanwhile, FRNs totaled $16.7 billion, including $2.5 billion ATS/interdealer and $14.3 billion dealer to customer; nominal coupons totaled $4.97 trillion, including $2.99 trillion ATS/interdealer and $1.98 trillion dealer to customer; and TIPS totaled $119.3 billion, including $35.6 billion ATS/interdealer and $83.7 billion dealer to customer. Combined, transactions totaled $5.68 trillion, including $3.18 trillion ATS/interdealer and $2.5 trillion dealer to customer, according to FINRA.

"Publishing this important data will increase transparency for the benefit of investors and other market participants," according to Thomas Gira, executive vice president of FINRA Market Regulation and Transparency Services. "We look forward to continue working with the Treasury Department, the SEC and the Federal Reserve Board to advance market transparency and sound oversight and policymaking."

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