NY Fed’s Neal signals additional transparency targeting off-the-run market

There have been some important steps toward increased data and transparency in the US Treasury market. Earlier this year, FINRA began releasing daily aggregate data on Treasury market transactions, and last year, the US Department of the Treasury announced plans to release TRACE transaction data for on-the-run nominal coupons. However, even with this progress, gaps in transparency remain, said Michelle Neal, head of the Markets Group at the New York Federal Reserve, in a recent speech.

In March, the Treasury Markets Practices Group (TMPG), which is sponsored by the New York Fed, put out a white paper on data availability and transparency in the US Treasury market that identified several gaps, particularly in the dealer-to-client cash market and the repo market. Looking at the gap in the cash market specifically, there appears to be opportunity for improvement in providing transparency around transaction-level data.

“I am looking forward to the increased transparency in on-the-run transaction data that I mentioned earlier. Looking further ahead, we should consider whether to take additional steps toward increased transaction transparency across the Treasury universe, especially for the less liquid segments of the Treasury market, such as the off-the-run market, where transparency is currently limited. The off-the-run market was the center of much of the dash-for-cash selling of Treasuries that occurred in March 2020, yet there is little data on off-the-run trading available to the public, making it challenging for academics and others to study such stress events in detail,” she said.

Read the full speech

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