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Historical Fixed-Income Trading Volume Data from SIFMA

Article Quant Q&A · Author: user69799
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Summary

The document addresses where to find historical trading-volume statistics for fixed-income markets, including corporate bonds by rating, Treasuries, mortgage-backed securities, and asset-backed securities. The question seeks data reaching back before the period covered by FINRA’s cited data, with annual frequency left unspecified.

The response points to SIFMA research statistics as a source with annual data beginning in 2012, including corporate volumes broken down by rating. It says those statistics draw on FINRA TRACE data. This is a practical lead for researchers assembling historical market-activity datasets, but it does not meet the requested history back to 2008, specify coverage for every listed asset class, or describe access, definitions, or data quality. The recommendation is therefore a partial source suggestion rather than a complete answer to the original data requirement.

Key ideas

  • SIFMA research statistics provide annual fixed-income trading data beginning in 2012.
  • Corporate bond volume is available with a rating breakdown in the cited dataset.
  • The response identifies FINRA TRACE as the underlying data source.
  • The cited start date falls short of the question’s requested history back to 2008.

Tags

Fixed incomeMarket microstructureStatistics
Full text
# Data on Trading Activity in Fixed Income Markets


# Data on Trading Activity in Fixed Income Markets












Do any readers know of a good data source for trading volumes for fixed income assets (corporates [by rating, if possible], Treasuries, MBS and ABS) that provides historical data (back to 2008)? FINRA provides data from 2017 forward, but I require data from previous years as well.

## Answer by Sharad (score 0)

https://quant.stackexchange.com/a/77310

It's not clear at what frequency you wish for the trading statistics to be quoted but SIFMA SIFMA Research Statistics has data going back to 2012 on an annual basis (including corporates by Rating). They do report the source of the data being FINRA TRACE.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.