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Breaking Down TRACE Volumes Further

Author

Listed:
  • Doug Brain
  • Michiel De Pooter
  • Dobrislav Dobrev
  • Michael J. Fleming
  • Peter Johansson
  • Frank M. Keane
  • Michael Puglia
  • Tony Rodrigues
  • Or Shachar

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).

Suggested Citation

  • Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Frank M. Keane & Michael Puglia & Tony Rodrigues & Or Shachar, 2018. "Breaking Down TRACE Volumes Further," FEDS Notes 2018-11-29, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgfn:2018-11-29
    DOI: 10.17016/2380-7172.2299
    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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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/breaking-down-trace-volumes-further-20181129.htm
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    Cited by:

    1. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    2. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    3. James Collin Harkrader & Michael Puglia, 2020. "Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers," Finance and Economics Discussion Series 2020-096, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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