TMPG: Better US Treasuries data needed for effective policy

Dan Barnes
2278

The New York Federal Reserve’s Treasury Market Practices Group (TMPG) has published a white paper on ‘Data Availability and Transparency in the US Treasury Securities Market’ highlighting its support of data availability to the official sector and the transparency of data to market participants and the public.

The committee asserts that as TRACE generally does not include information about dealers’ counterparties for dealer-to-customer trades, regulators and authorities generally lack real-time access to information on which types of investors are buying or selling. “This results in an incomplete and delayed understanding of market developments, such as in March 2020, and could delay appropriate policy action,” The Group is supporting the official sector trying to obtain more timely information on Treasury market activity by investor type alongside ongoing efforts to promote additional public transparency of existing transactions data, while proceeding in a gradual and calibrated manner. “Availability of cash market positions data to the official sector is a related data gap that should be filled, if possible,” it writes. “As described in the paper, information on flows and positions in the cash market can be gleaned from an array of sources. Even so, these data are not comprehensive, typically not available in real time, and frequently only available on a periodic basis.

Moreover, aggregation can be difficult given the various sources and frequencies. As with the post-trade data, this results in an incomplete and delayed understanding of market developments and could delay appropriate policy action.” The report discusses principles of data availability and transparency consistent with these views, reviews the current state of data availability and transparency across the Treasury market, and identifies where there are gaps, and identifies ongoing efforts to consider “whether and how data availability and transparency to market participants can be improved”, with TMPG being broadly supportive of these efforts.

The TMPG specifically backs efforts “to consider how data availability to the official sector and transparency to market participants and the public can be improved in terms of post-trade cash market information, cash market positions, and post-trade financing market information”. It also favours consideration of how more timely and consistent information on cash market 22 holdings can be provided to the official sector. “Given the importance of the Treasury market to a broader range of market participants and to the public more generally, the TMPG suggests that platforms, data providers, and the official sector consider where such data, either in aggregate or in part, could be made more widely available without disrupting existing business models,” it writes. “The TMPG believes that the benefits of any new efforts to collect data or increase transparency must be carefully weighed against their costs to ensure any changes are not counterproductive to the goals of a more liquid, efficient, and resilient market. To that end, the group supports continued communication and collaboration between market participants and the official sector, and it welcomes input from other interested parties, including the public.”

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