Board of Governors of the Federal Reserve System

Figure 1. Daily Volume for On-the-Run and Seasoned Securities by Security Type

On-the-Run/Off-the-Run Split	Coupons $ billion	Bills $ billion	TIPS $ billion	FRNs $ billion
On-the-Run	362	25	7.0	0.5
First Off-the-Run	31	8.3	1.2	0.1
Second Off-the-Run	7.7	7.6	0.0	0.0
Deep Off-the-Run	64	28	5.5	0.9

Figure 2. Share of Trading Activity for All Securities by Participant Type

	Percent
Primary and Other Dealers	51
Principal Trading Firms (estimated)	21
Buy-side (estimated)	28

Figure 3. Share of Volume for Bills by Venue

	Percent
Dealer-to-Client	72
Dealer-to-Dealer	6
Interdealer Broker	22

Figure 4. Average Intraday Volume on Economic Announcement Days (NFP, GDP, CPI)

Stacked line chart with three curves showing the average intraday trading volumes per five-minute intervals from 5:00 AM to 6:00 PM for three segments of the Treasury market. The sample is limited to days with economic announcements--specifically, days when nonfarm payrolls, gross domestic product, and consumer price index data are released. Unit is billions of dollars along the left axis.

The dealer-to-client curve begins near zero and remains there until around 7:00 AM, after which it gradually rises to a little below 4 by 9:00 AM. The curve then declines very gradually to closer to 2 by 3:00 PM. There is a spike to around 4 soon after 3:00 PM. The curve declines gradually back to zero by 6:00 PM.

The dealer-to-dealer curve is essentially zero until around 7:00 AM, after which it increases slightly and gradually to less than 1 by 9:00 AM. The curve remains at this small amount throughout the day before declining back to zero at around 5:00 PM.

The interdealer broker curve begins at a little more than zero at 5:00 AM and gradually increases by around 1 to 2 by 8:00 AM so that, including dealer-to-client and dealer-to-dealer, the curve is around 5. At 8:30 AM there is a large spike in the interdealer broker curve so that, including dealer-to-client and dealer-to-dealer, the curve is around 12. The interdealer broker curve declines so that, including dealer-to-client and dealer-to-dealer, the curve is between 6 and 8 by 10:00 AM. The interdealer broker curve then follows a similar pattern as the dealer-to-client curve, declining very gradually by 3:00 PM so that, including dealer-to-client and dealer-to-dealer, the curve is around 4. The interdealer broker curve spikes soon after 3:00 PM so that, including dealer-to-client and dealer-to-dealer, the curve is around 7. The interdealer broker curve declines gradually back to zero by 5:30 PM.

Figure 5. Share of Total Average Intraday TIPS Volume in IDB Venue

Line chart with one curve showing the average intraday trading volumes per five-minute interval from 7:00 AM to 6:00 PM for Treasury Inflation-Protected Securities in the interdealer broker segment of the market. Unit is percent share along the left axis. The axis labels are intentionally blank to protect firm anonymity in the data. The curve begins at zero at 7:00 AM, then oscillates between distinct spikes and troughs beginning at around 8:00 AM and ending at around 5:00 PM. The spikes occur at somewhat regular intervals and typically last for one or two five-minute intervals. The spikes increase by varying magnitudes of at least two to three times the size of the troughs. The troughs are above zero, between the first and second tick marks of the left axis.

Figure 6. February 2-7, 2018, Intraday Market Depth and Volume

Line chart with two curves showing intraday trading volumes and market depth per five-minute interval from 8:00 AM to 5:00 PM on February 2-7, 2018. Unit for trading volumes is millions of dollars along the left axis. Unit for market depth is millions of dollars along the right axis.

The trading volume curve goes through various peaks and troughs over the course of the sample time frame, mostly staying between 5,000 and 15,000. A notable spike occurs at around 3:00 PM on February 5, when the curve reaches above 30,000.

The market depth curve, which is noted as the "top 3 levels" in the legend, oscillates between 150 and 300 from the start of the sample time frame until around 3:00 PM on February 5, when it drops sharply--the same time as the spike in the trading volume curve. From that point forward, the market depth curve oscillates somewhat less and in a range of 50 to 200.

Figure 7. Average Intraday Volume per Five-Minute Interval

Stacked line chart with three curves showing the average intraday trading volumes per five-minute interval from 5:00 AM to 6:00 PM for three segments of the Treasury market. Unit is billions of dollars along the left axis.

The dealer-to-client curve begins near zero and remains there until around 7:00 AM, after which it gradually rises to a little below 3 by 9:00 AM. The curve then declines very gradually to closer to 2 by 3:00 PM, spikes at around 4, and declines gradually back to zero by 6:00 PM.

The dealer-to-dealer curve is essentially zero until around 7:00 AM, after which it increases slightly and gradually to an amount less than 1 by 9:00 AM. The curve remains at this small amount throughout the day before declining to zero by around 5:00 PM.

The interdealer broker curve begins at a little more than zero at 5:00 AM and gradually increases so that, including dealer-to-client and dealer-to-dealer, the curve is around 6 by 9:00 AM. The interdealer curve then follows a similar pattern as the dealer-to-client curve, declining very gradually by 3:00 PM so that, including dealer-to-client and dealer-to-dealer, the curve is around 4. The interdealer broker curve then spikes at around 3:00 PM so that, including dealer-to-client and dealer-to-dealer, the curve is around 8. The interdealer curve declines gradually back to zero by 5:30 PM.

Figure 8. Average Daily Volume by Settlement

	Billions of Dollars	Percent
T+0	21	4
T+1	471	83
T+2	34	6
T+3	23	4
T+4	9	2
T+5	5	1
>T+5	4	1