About What Happened in the Market

What Happened in the Market publishes daily data and analysis on the structure of the U.S. bond markets: how much trades, who trades it, and what that activity says about market conditions. It is an independent research site written for fixed income professionals.

What is published

• U.S. Treasury daily report — par value traded, activity by tenor, the dealer-to-dealer and dealer-to-customer split, benchmark yields, interest rate volatility and a next-day volume forecast.
• U.S. corporate bond volume — investment grade and high yield trading volume and issues traded, credit ETF notional turnover, and credit spreads with their realised volatility.

Where the data comes from

• FINRA TRACE — regulatory trade reporting for Treasury, corporate and agency securities.
• FRED, Federal Reserve Bank of St. Louis — ICE BofA option-adjusted credit spread indices. ICE Data Indices, LLC, used with permission.
• Public market data — benchmark yields, the MOVE index, and exchange-traded fund prices and volumes.

Figures are published as reported by their sources. Each page shows the date of the most recent observation, and the underlying series are available as JSON from the pages that display them.

Editorial note

Nothing on this site is investment advice, an offer, or a solicitation to buy or sell any security. The data is presented for informational and research purposes, and may be delayed, revised by its source, or incomplete.