Office of Debt Management - U.S. Department of the Treasury

Office of Debt Management

TRACE Data Update*

November 2017

*Treasury's TRACE data analysis is preliminary

High Level View of the Treasury Market Structure

Customer Dealer

Dealer to Customer (DtC) or Affiliate (DtA) (including

RFQ platforms)

Dealer to Dealer (DtD) - (including dealer platforms)

Customer Dealer

Interdealer (IDB)

Platforms

2 Source: Treasury

Principal Trading

Firm (PTF)

Notional ($ bn)

7/10/2017 7/17/2017 7/24/2017 7/31/2017 8/7/2017 8/14/2017 8/21/2017 8/28/2017 9/5/2017 9/12/2017 9/19/2017 9/26/2017 10/3/2017 10/11/2017 10/18/2017 10/25/2017

Daily Volumes by Venue

900 800 700 600 500 400 300 200 100

0

Total Average: $519 bn

Dealer to Customer (DtC) or Affiliate (DtA) Dealer to Dealer (DtD) Interdealer Broker (IDB)

3 Source: Treasury, FINRA TRACE Data

DtC/DtA Average: $244 bn

DtD Average: $31 bn

IDB Average: $244 bn

Notional ($ bn)

7/10/2017 7/17/2017 7/24/2017 7/31/2017 8/7/2017 8/14/2017 8/21/2017 8/28/2017 9/5/2017 9/12/2017 9/19/2017 9/26/2017 10/3/2017 10/11/2017 10/18/2017 10/25/2017

Daily Volumes by Product Type

900 800 700 600 500 400 300 200 100

0

Total Average: $519 bn

Coupons Bills TIPS FRN STRIPS

4 Source: Treasury, FINRA TRACE Data

TIPS Average: $12 bn

Bills Average: $72 bn

Coupon Average: $431 bn

Notional ($ bn)

Daily Volumes by Coupon Tenor

800 700 600 500 400 300 200 100

0

Coupon Average: $431 bn

10.5y> Average: $35 bn

5.5y10.5y Average: $134 bn

2.5y-5.5y Average: $148 bn

0y-2.5y Average: $114 bn

7/10/2017 7/17/2017 7/24/2017 7/31/2017 8/7/2017 8/14/2017 8/21/2017 8/28/2017 9/5/2017 9/12/2017 9/19/2017 9/26/2017 10/3/2017 10/11/2017 10/18/2017 10/25/2017

Coupons < 2.5yr Coupons 2.5-5.5yr Coupons 5.5-10.5yr Coupons > 10.5yr

5 Source: Treasury, FINRA TRACE Data

Percent of Daily Volume On-the-run by Venue

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0%

Non-IDB Off-the-run

Average: 23%

IDB Off-therun

Average: 7%

Non-IDB On-the-run

Average: 30%

IDB On-therun Average:

40%

7/10/2017 7/17/2017 7/24/2017 7/31/2017 8/7/2017 8/14/2017 8/21/2017 8/28/2017 9/5/2017 9/12/2017 9/19/2017 9/26/2017 10/3/2017 10/11/2017 10/18/2017 10/25/2017

IDB: On-the-Run Non-IDB: On-the-run IDB: Off-the-Run

6 Source: Treasury, FINRA TRACE Data

Non-IDB: Off-the-run

Notional ($ bn)

First vs Deeper Off-the-run Coupon Daily Volumes

200

Total Off

180

Average:

$90 bn 160

140

120

3+ Off

100

Average:

80

$56 bn

2nd Off

60

Average:

40

$7 bn

20

1st Off Average:

0

$27 bn

7/10/2017 7/17/2017 7/24/2017 7/31/2017 8/7/2017 8/14/2017 8/21/2017 8/28/2017 9/5/2017 9/12/2017 9/19/2017 9/26/2017 10/3/2017 10/11/2017 10/18/2017 10/25/2017

1st off-the-run

2nd off-the-run

7 Source: Treasury, FINRA TRACE Data

3+ off-the run

History of TRACE for Corporate Bonds 2002-2006

Reporting Disseminated Securities Date Timing (size capped at $5M for IG and $1M for HY)

Dissemination Timing

July 2002 75 min

Investment grade (>=BBB) & issue size >=$1B; 50 HY bonds (continuity w/ FIPS)

Immediately

March 2003 75 min

All bonds rated >=A & issue size >=$100M

Immediately

April 2003 Oct. 2003

75 min 45 min

120 selected BBB bonds All bonds above (change in trade reporting timeframe)

Immediately Immediately

Oct. 2004 30 min

Feb. 2005 July 2005 Jan. 2006

30 min 15 min 15 min

All remaining bonds not eligible for delayed dissemination as defined

below (and change in reporting timeframe)

Immediately

Immediately (trade $1M, BB rating &

new issue BBB traded in first 2

Delayed dissemination of eligible bonds

days);

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