The Treasury Market Practices Group (TMPG) released a white paper on Data Availability and Transparency in the US Treasury Securities Market. The white paper considers principles for data availability and transparency, assesses data gaps in light of these principles, and recognizes ongoing efforts to close the gaps.
One section of the report assesses data gaps in the financing market. Pre-trade price data is available from the interdealer brokers (IDBs) to platform participants and data subscribers, but quantities associated with firm quotes on the IDBs are not available, even to platform participants.
Pre-trade data availability and transparency of other protocols is more limited. In terms of post-trade data in the financing market, trade prices and sizes from the IDBs are available to platform participants and others at a cost, but post-trade information is generally not available for other protocols (outside of the participating parties).
Post-trade financing market information is substantially better but still limited for the official sector, with the Office of Financial Research collecting transaction-level data on repos cleared at the CCP, and the Fed collecting data on dealer-to-customer repos settled on Bank of New York Mellon’s tri-party repo settlement platform.
Missing from these data collections are uncleared bilateral repos, but the OFR is working to close the gap through a pilot data collection and proposed rule for an ongoing data collection. (Even so, the data would remain fractured across different segments of the market and not available on as timely a basis as could be useful.) The Securities and Exchange Commission (SEC) has separately proposed a rule that would improve data availability and public transparency in the securities lending market.
In addition, the TMPG finalized its Catalog of Data Available in the Treasury Cash, Futures and Financing Markets, originally issued in November 2021.