Finish-of-Month Exercise Throughout the Treasury Market

Michael J. Fleming, Jonathan Palash-Mizner, and Or Shachar

In a 2024 publish, 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, seemingly as a result of passive funding funds’ turn-of-month portfolio rebalancing. On this publish, we lengthen our buying and selling exercise evaluation to the complete 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 phase 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 publish, we confirmed that interdealer buying and selling quantity in benchmark (or on-the-run) Treasury notes and bonds is roughly 46 % larger on the final buying and selling day of the month.  Our knowledge for that work got here from the interdealer dealer market, by which sellers and principal buying and selling companies transact. Our knowledge supply didn’t embrace buying and selling by prospects and it didn’t embrace buying and selling in off-the-run securities. 

On this publish, 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 prospects. Furthermore, TRACE covers trades throughout the complete vary of Treasury securities, together with payments, Treasury Inflation-Protected Securities (TIPS), floating charge notes (FRNs), and each off-the-run and on-the-run notes and bonds. 

Our supply of Treasury TRACE knowledge is FINRA’s Treasury Every day Mixture 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 break up into “ATS (Various Buying and selling System) and Interdealer” (which we check with as “Interdealer”) and “Seller-to-Buyer” segments. 

Controlling for Day-of-Week Results 

As in our earlier publish, 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 3 times extra prone to fall on a Friday than on different weekdays and since buying and selling quantity tends to be about 11 % decrease on Fridays, on common. By comparability, quantity is 9 % decrease than common on Mondays, whereas quantity is larger than common on Tuesdays, Wednesdays, and Thursdays (by 3 %, 9 %, and 6 %, respectively). 

Finish-of-Month Patterns Are Stronger Than Prior Work Suggests 

Total Treasury safety buying and selling quantity is about 58 % larger on the final buying and selling day of the month than on different days, on common (see chart beneath). This improve is appreciably bigger than the 46 % improve present in our earlier weblog publish, 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 phase and/or for off-the-run securities.  

Finish-of-Month Patterns Fluctuate by Market Phase 

The tip-of-month improve in buying and selling quantity within the dealer-to-customer phase is 73 %, as proven within the chart beneath, a lot better than the 46 % improve noticed within the interdealer phase. The bigger improve within the dealer-to-customer phase doesn’t appear stunning given our conjecture that the end-of-month sample is pushed by buyer exercise. Sellers seemingly offset some however not all of their buying and selling with prospects within the interdealer phase. 

Finish-of-Month Patterns Fluctuate by Safety Sort 

The tip-of-month improve in buying and selling quantity additionally varies throughout securities, as proven within the subsequent chart, averaging 220 % for FRNs, 167 % for TIPS, 63 % for notes and bonds, and 30 % for payments. The bigger end-of-month will increase for FRNs and TIPS could mirror these securities’ extra widespread end-of-month issuance and maturity dates in addition to traders’ better 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. 

The desk beneath exhibits that the patterns mentioned above typically maintain throughout safety varieties inside a market phase and throughout market segments inside a safety kind. The one exception is that we discover a bigger end-of-month improve for FRNs within the interdealer phase than the dealer-to-customer phase. That is defined by the truth that the FRNs’ interdealer phase has low quantity typically, with some giant outliers for the end-of-month will increase. So when trying on the median end-of-month improve, which is much less delicate to outliers, the interdealer phase for FRNs has a smaller improve than the dealer-to-customer phase. 

Finish-of-Month Patterns Fluctuate by On-the-Run/Off-the-Run Standing 

Our final chart exhibits that the end-of-month improve in buying and selling quantity is 108 % for off-the-run securities versus 52 % 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 varieties. The bigger end-of-month will increase for off-the-runs could mirror prospects’ better 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 companies. 

The desk beneath exhibits that the patterns mentioned above maintain inside a selected market phase, safety kind, and on-the-run/off-the-run standing. That’s, the end-of-month quantity improve is extra pronounced within the dealer-to-customer phase, for TIPS, and for off-the-run 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 improve in buying and selling quantity is bigger within the dealer-to-customer phase, better for off-the-run securities, and better for FRNs and TIPS than for notes and bonds. These findings are vital for market members 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.

 @article{
        FlemingPalash-MiznerShachar2025,
        creator={Fleming, Michael J. and Palash-Mizner, Jonathan and Shachar, Or},
        title={Finish‑of‑Month Exercise Throughout the Treasury Market},
        journal={Liberty Road Economics},
        be aware={Liberty Road Economics Weblog},
        quantity={October 9},
        yr={2025},
        url={https://doi.org/10.59576/lse.20251009}
    }