Unlocking the Treasury Market through TRACE

Doug Brain, Michiel De Pooter, Dobrislav Dobrev, Michael Fleming, Peter Johansson, Collin Jones, Frank M. Keane, Michael Puglia, Liza Reiderman, Anthony Rodrigues () and Or Shachar
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Dobrislav Dobrev: https://www.federalreserve.gov/econres/dobrislav-dobrev.htm

No 20180928b, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: The U.S. Treasury market is widely regarded as the deepest and most liquid securities market in the world, playing a critical role in the global economy and in the Federal Reserve’s implementation of monetary policy. Despite the Treasury market’s importance, the official sector has historically had limited access to information on cash market transactions. This data gap was most acutely demonstrated in the investigation of the October 15, 2014, flash event in the Treasury market, as highlighted in the Joint Staff Report (JSR). Following the JSR, steps were taken to improve regulators’ access to information on Treasury market activity, as detailed in a previous Liberty Street Economics post, with Financial Industry Regulatory Authority (FINRA) members beginning to submit data on cash market transactions to FINRA’s Trade Reporting and Compliance Engine (TRACE) on July 10, 2017. This joint FEDS Note and Liberty Street Economics blog post from staff at the Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York aims to share initial insights on the transactions data reported to TRACE, focusing on trading volumes in the market.

Keywords: FINRA; trading volume; Treasury securities; Trade Reporting and Compliance Engine (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2018-09-28
New Economics Papers: this item is included in nep-cba
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