Michael J. Fleming, Jonathan Palash-Mizner, and Or Shachar
In a 2024 put up, we confirmed that interdealer buying and selling in benchmark U.S. Treasury notes and bonds concentrates on the final buying and selling day of the month, probably as a result of passive funding funds’ turn-of-month portfolio rebalancing. On this put up, we prolong our buying and selling exercise evaluation to the total vary of Treasury securities and market segments. We discover that buying and selling is much more targeting the final buying and selling day of the month for different varieties of Treasury securities and within the dealer-to-customer section of the market, with buying and selling quantity in off-the-run Treasuries twice as excessive as on different days, on common.
Turning from Interdealer Information to TRACE Information
In our earlier put up, we confirmed that interdealer buying and selling quantity in benchmark (or on-the-run) Treasury notes and bonds is roughly 46 p.c increased on the final buying and selling day of the month. Our knowledge for that work got here from the interdealer dealer market, during which sellers and principal buying and selling corporations transact. Our knowledge supply didn’t embody buying and selling by clients and it didn’t embody buying and selling in off-the-run securities.
On this put up, we use knowledge from the Monetary Trade Regulatory Authority’s (FINRA) Commerce Reporting and Compliance Engine (TRACE). TRACE captures knowledge on all trades of sellers and sure depository establishments, together with their trades with clients. Furthermore, TRACE covers trades throughout the total vary of Treasury securities, together with payments, Treasury Inflation-Protected Securities (TIPS), floating price notes (FRNs), and each off-the-run and on-the-run notes and bonds.
Our supply of Treasury TRACE knowledge is FINRA’s Treasury Day by day Combination Statistics, with day by day data out there from February 13, 2023. The information are aggregated throughout sellers and throughout broad classes of securities for all Treasuries besides on-the-run notes, bonds, and TIPS, for which exercise is reported by safety. Exercise is additional cut up into “ATS (Various Buying and selling System) and Interdealer” (which we seek advice from as “Interdealer”) and “Supplier-to-Buyer” segments.
Controlling for Day-of-Week Results
As in our earlier put up, we management for day-of-week results in our evaluation. This issues as a result of the final buying and selling day of the month is about thrice extra more likely to fall on a Friday than on different weekdays and since buying and selling quantity tends to be about 11 p.c decrease on Fridays, on common. By comparability, quantity is 9 p.c decrease than common on Mondays, whereas quantity is increased than common on Tuesdays, Wednesdays, and Thursdays (by 3 p.c, 9 p.c, and 6 p.c, respectively).
Finish-of-Month Patterns Are Stronger than Prior Work Suggests
Total Treasury safety buying and selling quantity is about 58 p.c increased on the final buying and selling day of the month than on different days, on common (see chart beneath). This enhance is appreciably bigger than the 46 p.c enhance present in our earlier weblog put up, which examined interdealer dealer buying and selling of on-the-run notes and bonds. These findings suggest that the end-of-month sample is even stronger within the dealer-to-customer section and/or for off-the-run securities.
Buying and selling Quantity Is A lot Increased on the Final Day of the Month
Supply: Authors’ calculations, based mostly on knowledge from the Monetary Trade Regulatory Authority. Notes: The chart exhibits the common p.c deviation of total Treasury safety buying and selling quantity on every day of the month as in comparison with the common for a similar day of the week for the 2 weeks previous and following that day. Days of the month are plotted relative to the final day of the month, with 0 being the final buying and selling day and 1 being the primary buying and selling day. The pattern interval is February 13, 2023, to June 13, 2025.
Finish-of-Month Patterns Range by Market Phase
The top-of-month enhance in buying and selling quantity within the dealer-to-customer section is 73 p.c, as proven within the chart beneath, a lot larger than the 46 p.c enhance noticed within the interdealer section. The bigger enhance within the dealer-to-customer section doesn’t appear stunning given our conjecture that the end-of-month sample is pushed by buyer exercise. Sellers probably offset some however not all of their buying and selling with clients within the interdealer section.
Finish-of-Month Quantity Improve Is Better within the Supplier-to-Buyer Phase
Supply: Authors’ calculations, based mostly on knowledge from the Monetary Trade Regulatory Authority. Notes: The chart exhibits the common p.c deviation of Treasury safety buying and selling quantity by market section on the final day of the month as in comparison with the common for a similar day of the week for the 2 weeks previous and following that day. The pattern interval is February 13, 2023, to June 13, 2025.
Finish-of-Month Patterns Range by Safety Kind
The top-of-month enhance in buying and selling quantity additionally varies throughout securities, as proven within the subsequent chart, averaging 220 p.c for FRNs, 167 p.c for TIPS, 63 p.c for notes and bonds, and 30 p.c for payments. The bigger end-of-month will increase for FRNs and TIPS might replicate these securities’ extra widespread end-of-month issuance and maturity dates in addition to buyers’ larger inclination to pay attention their buying and selling in these much less lively securities. For context, day by day buying and selling quantity over our pattern interval averages about $3 billion for FRNs, $18 billion for TIPS, $174 billion for payments, and $701 billion for notes and bonds.
Finish-of-Month Quantity Improve Is Better in FRNs and TIPS
Supply: Authors’ calculations, based mostly on knowledge from the Monetary Trade Regulatory Authority. Notes: The chart exhibits the common p.c deviation of Treasury safety buying and selling quantity by safety sort on the final day of the month as in comparison with the common for a similar day of the week for the 2 weeks previous and following that day. The pattern interval is February 13, 2023, to June 13, 2025. FRNs = floating price notes. TIPS = Treasury Inflation-Protected Securities.
The desk beneath exhibits that the patterns mentioned above typically maintain throughout safety sorts inside a market section and throughout market segments inside a safety sort. The one exception is that we discover a bigger end-of-month enhance for FRNs within the interdealer section than the dealer-to-customer section. That is defined by the truth that the FRNs’ interdealer section has low quantity typically, with some massive outliers for the end-of-month will increase. So when wanting on the median end-of-month enhance, which is much less delicate to outliers, the interdealer section for FRNs has a smaller enhance than the dealer-to-customer section.
Finish-of-Month Quantity Improve Is Persistently Better in Supplier-to-Buyer Phase and for FRNs and TIPS
Market SegmentSecurity TypeDealer-to-CustomerInterdealerAllBills36.918.330.0Notes and bonds81.249.362.7TIPS198.4109.5167.4FRNs240.5251.0219.6All72.945.858.4Source: Authors’ calculations, based mostly on knowledge from the Monetary Trade Regulatory Authority. Notes: The desk exhibits the common p.c deviation of Treasury safety buying and selling quantity by market section and safety sort on the final day of the month as in comparison with the common for a similar day of the week for the 2 weeks previous and following that day. The pattern interval is February 13, 2023, to June 13, 2025. FRNs = floating price notes. TIPS = Treasury Inflation-Protected Securities.
Finish-of-Month Patterns Range by On-the-Run/Off-the-Run Standing
Our final chart exhibits that the end-of-month enhance in buying and selling quantity is 108 p.c for off-the-run securities versus 52 p.c for on-the-run securities. The will increase are bigger for TIPS than for notes and bonds, as proven above, with the on-the-run/off-the-run differentials related throughout safety sorts. The bigger end-of-month will increase for off-the-runs might replicate clients’ larger possession and therefore buying and selling of those securities. Buying and selling in on-the-run securities, in distinction, is concentrated amongst sellers and principal buying and selling corporations.
Finish-of-Month Quantity Improve Is Better in Off-the-Run Securities
Supply: Authors’ calculations, based mostly on knowledge from the Monetary Trade Regulatory Authority. Notes: The chart exhibits the common p.c deviation of Treasury safety buying and selling quantity by safety sort and on-the-run/off-the-run standing on the final day of the month as in comparison with the common for a similar day of the week for the 2 weeks previous and following that day. The pattern interval is February 13, 2023, to June 13, 2025.
The desk beneath exhibits that the patterns mentioned above maintain inside a selected market section, safety sort, and on-the-run/off-the-run standing. That’s, the end-of-month quantity enhance is extra pronounced within the dealer-to-customer section, for TIPS, and for off-the-run securities.
Finish-of-Month Quantity Improve Is Persistently Better in Supplier-to-Buyer Phase, for TIPS, and for Off-the-Run Securities
Market SegmentSecurity TypeStatusInterdealerDealer-to-CustomerAllNotes and bondsOn-the-run44.361.150.2Off-the-run79.8118.4104.3TIPSOn-the-run103.5187.9151.6Off-the-run131.3220.9196.1BothOn-the-run45.064.652.0Off-the-run80.8122.9107.7Source: Authors’ calculations, based mostly on knowledge from the Monetary Trade Regulatory Authority. Notes: The desk exhibits the common p.c deviation of Treasury safety buying and selling quantity by market section, safety sort, and on-the-run/off-the-run standing on the final day of the month as in comparison with the common for a similar day of the week for the 2 weeks previous and following that day. The pattern interval is February 13, 2023, to June 13, 2025. TIPS = Treasury Inflation-Protected Securities.
Summing Up
Buying and selling exercise is extra extremely targeting the final buying and selling day of the month than our earlier evaluation suggests. Specifically, the end-of-month enhance in buying and selling quantity is larger within the dealer-to-customer section, larger for off-the-run securities, and larger for FRNs and TIPS than for notes and bonds. These findings are vital for market individuals managing commerce execution methods and for policymakers monitoring market functioning and liquidity provision. Future work may discover whether or not the elevated end-of-month buying and selling in these different elements of the market is related to improved liquidity, as we discovered for benchmark notes and bonds in our previous work.
Michael J. Fleming is head of Capital Markets within the Federal Reserve Financial institution of New York’s Analysis and Statistics Group.
Jonathan Palash-Mizner, a former undergraduate intern on the Financial institution, is a scholar at Yale College.
Or Shachar is a monetary analysis advisor within the Federal Reserve Financial institution of New York’s Analysis and Statistics Group.
The best way to cite this put up:Michael J. Fleming, Jonathan Palash-Mizner, and Or Shachar, “Finish‑of‑Month Exercise throughout the Treasury Market,” Federal Reserve Financial institution of New York Liberty Road Economics, October 9, 2025, https://doi.org/10.59576/lse.20251009
BibTeX: View | Obtain
@article{
FlemingPalash-MiznerShachar2025,
writer={Fleming, Michael J. and Palash-Mizner, Jonathan and Shachar, Or},
title={Finish‑of‑Month Exercise throughout the Treasury Market},
journal={Liberty Road Economics},
observe={Liberty Road Economics Weblog},
quantity={October 9},
yr={2025},
url={https://doi.org/10.59576/lse.20251009}
}
DisclaimerThe views expressed on this put up are these of the writer(s) and don’t essentially replicate the place of the Federal Reserve Financial institution of New York or the Federal Reserve System. Any errors or omissions are the accountability of the writer(s).