With TRACE data now published daily, we can finally ask: is today just a normal day at the office for UST trading?

Did you know that U.S. Treasuries (UST) trade reporting changed from weekly to daily back in 2023?

From early 2023, FINRA have published daily aggregated trading activity for USTs. Let’s look at what is published and some of the data.

The What

We are looking at the trading of cash U.S. Treasuries. What is often called the world’s most important market, and what is typically considered the world’s “risk free asset” (despite it no longer carrying a AAA rating).

Every day, TRACE publish aggregated statistics for the “biggest bond market in the world“. The data is split across a number of dimensions:

• Type – Bills, FRNs, Nominals, TIPS
• On-the-run versus off-the-run
• Dealer vs Client
• Maturity bucket – <2Y, 2Y-3Y, 3Y-5Y, 5Y-7Y, 7Y-10Y, 10Y-20Y and >20Y.
• Notional volumes and number of trades are published each day.

The Where

Trading activity in USTs is published by FINRA TRACE, with daily and monthly aggregate files available here. They are published in Excel format and don’t take any fancy data manipulation to work with:

The Why

This level of transparency is really helpful for anyone with even a passing interest in capital markets. Thanks to the granularity of the data, we can easily:

• Monitor trade activity across 3 related metrics – number of trades, average daily volumes and total activity. This shows how easy it is to move risk through the market.
• Assess which tenors are the most active.
• Translate to a maturity-agnostic measure of risk (DV01) thanks to the tenor data.
• See how activity is balanced between dealers and customers.

Most of our readers will mainly be interested in activity by DV01.

The Data

As we saw in my previous look into transparency for derivatives, AI tools make working with this data a doddle. I can now say that it is quicker asking Gemini to write me a python script to work with this data than getting my hands dirty in Excel.

And I never thought I would say that.

What have I found in the data? First up, ADVs in “nominal” bonds:

• Trading volumes in USTs hit three year highs in March 2026 – a war will do that for trading activity.
• Volumes fell back to “normal”, but were still elevated in April 2026. This suggests traders are jaded/exhausted with the volatility.

Looking at DV01 traded per tenor is always interesting:

Showing;

• March 2026 also saw a record amount of DV01 transacted – larger even than Liberation Day in 2025.
• The March 2026 spike in activity shows up across all tenors.
• The largest portion of DV01 was traded in the long-end – tenors over 20Y accounting for $3.75Bn in DV01, closely followed by 7Y-10Y activity.

I’ve also added a chart to show the relative percentage contribution to DV01 of each tenor traded:

This confirms that trading activity intensified at the long-end of the curve, but on a relative attribution basis it was a pretty small impact. 20Y+ activity has accounted for 10% of total activity for the past six months, and it only went up to 11.2% in March. Still – a big enough change to show up on the charts.

There was also relatively more risk traded by the dealer community than customers in March 2026:

Showing;

• 59.3% of DV01 was traded by dealers in March this year. That is up from 52% as recently as May 2024.
• There is a gentle trend in this chart toward higher levels of dealer activity.
• Is that more algorithmic trading – more passing of the “hot potato” for each slice of risk being transacted?

However, trade counts didn’t hit a record in March 2026 – surely less algos then?

This intrigued me. More notional but fewer trades?

I therefore added a final chart – average DV01 per trade per tenor:

Showing;

• Average amounts of DV01 transacted per trade vary from short-end to long-end and month-on-month.
• DV01 traded per 2Y trade has gradually increased over the past 3 years.
• That trend hasn’t been replicated everywhere on the curve. Indeed, 5Y-7Y have seen the opposite, with a reduction.
• When we look at the long-end, 20Y DV01 per trade reduced in March 2026, but only back to levels we saw in January. It is a volatile time-series and largely mirrored in 10Y-20Y tenors.

Is Today a “Normal” Day?

Data like this is hard to drop into on an adhoc visit. You need some context, and ideally a bit of markets experience.

But given the level of transparency here, I thought we could make it easier. So armed with the history, I also created a heatmap of current activity:

The data show that:

• With total volumes of $955bn yesterday, markets traded over 27% more volumes than typical over the past three years. You can see that this is consistent with the ADV charts earlier.
• This increase in trading activity was led by the darkest colours – such as dealer to customer activity in 5Y-7Y tenors.
• Interestingly, 7Y-10Y volumes were in line with their long-run averages (the lightest colours on the heatmap).

In Summary

• There is a meaningful level of transparency in UST trading.
• March 2026 saw record volumes traded in terms of notional and DV01, but trade numbers were lower than April 2025 (“Liberation Day”).
• 20Y and longer tenors account for the largest portion of DV01 transacted.
• Any day’s activity can be simply benchmarked against historic averages.
• Liquidity trends can be monitored through the average size of DV01 transacted per trade, which can be analysed per tenor.