TRACE transparency considerations

SEC FIMSAC Meeting 

June 1, 2020

Sonali Das Theisen

Head of Fixed Income Market Structure & E-Trading
2

Bucketed TRACE volumes 

Percent oftotal

TRA

CE volume Percent oftotal

TRA

CE volume

Source: FINRA TRACE

2007

3Q'18-3Q'19

0%

5%

10%

15%

20%

25%

30%

35%

<100k >= 100k & < 1MM >= 1MM & < 5MM >= 5MM & < 10MM >= 10MM & < 25MM >= 25MM

US Investment Grade 

2007

3Q'18-3Q'19

0%

10%

20%

30%

40%

50%

60%

<100k >= 100k & < 1MM >= 1MM & < 2MM >= 2MM & < 3MM >= 3MM & < 4MM >= 4MM & < 5MM >= 5MM

US High Yield
2007

3Q'18-3Q'19

0%

20%

40%

60%

80%

100%

<100k < 1MM < 2MM < 3MM < 4MM < 5MM < 6MM < 7MM < 8MM < 9MM < 10MM >= 10MM

US High Yield

2007

3Q'18-3Q'19

0%

20%

40%

60%

80%

100%

<100k < 1MM < 5MM < 10MM < 15MM < 20MM < 25MM >=25MM

US Investment Grade

3

Cumulative TRACE volumes 

Source: FINRA TRACE

50% 2007:

$8.0MM

50% 3Q’18-3Q’19:

$5.0MM

50% 2007:

$4.5MM

50% 3Q’18-3Q’19:

$3.0MM

Percentoftotal

TRA

CE volume Percentoftotal

TRA

CE volume
4

Percent of TRACE tickets

US Investment Grade Tickets

Trade Size 2007 3Q'18-3Q'19

<5MM 94.5% 97.4%

<10MM 98.0% 99.1%

<15MM 99.2% 99.6%

<20MM 99.5% 99.8%

<25MM 99.7% 99.9%

US High Yield Tickets

Trade Size 2007 3Q'18-3Q'19

<5MM 72.3% 84.0%

<10MM 90.1% 94.5%

<15MM 94.1% 97.2%

<20MM 97.8% 98.9%

<25MM 98.5% 99.3%

Source: FINRA TRACE

2007

3Q'18-3Q'19

90%

92%

94%

96%

98%

100%

<5MM <10MM <15MM <20MM <25MM

US Investment Grade

2007

3Q'18-3Q'19

50%

60%

70%

80%

90%

100%

<5MM <10MM <15MM <20MM <25MM

US High Yield

Percentoftotal TRACE tickets Percentoftotal TRACE tickets
5

TRACE trade size by volume percentile

US Investment Grade

Trade size Difference (‘18/19 vs ‘07)

Percentile 2007 3Q'18-3Q'19 # %

50% 8,000,000 5,000,000 -3,000,000 -60%

...

75% 16,560,000 10,000,000 -6,560,000 -66%

80% 20,000,000 13,021,000 -6,979,000 -54%

85% 25,000,000 16,500,000 -8,500,000 -52%

90% 39,310,000 21,350,000 -17,960,000 -84%

95% 71,355,000 33,000,000 -38,355,000 -116%

US High Yield

Trade size Difference (‘18/19 vs ‘07)

Percentile 2007 3Q'18-3Q'19 # %

50% 4,520,000 3,000,000 -1,520,000 -51%

...

75% 8,980,000 6,000,000 -2,980,000 -50%

80% 10,000,000 7,812,000 -2,188,000 -28%

85% 11,000,000 10,000,000 -1,000,000 -10%

90% 17,000,000 12,000,000 -5,000,000 -42%

95% 26,690,000 20,000,000 -6,690,000 -33%

Source: FINRA TRACE
6

MiFID II bond transparency

ESMA publishes quarterly a list of liquid bonds based on standardized criteria: for Corporates, designation currently

requires 15 daily trades >100k for at least 80% trading days in the prior period. ESMA identified 742 liquid bonds

for period ending 15 August 2020, majority being sovereigns. ESMA to phase in stricter “liquid” definition in four

phases; currently Stage 1.

ESMA publishes annual calculations of the large in scale (LIS) and size specific to instrument (SSTI) thresholds for

bonds, which drive pre- and post-trade transparency framework forOTC and venue trades.

For determining the size specific to the financial instrumentfor the purposes of Article 5 and according to

the methodology specified in Article 13(2)(b), the approach for the trade percentile to be applied shall be

used applying the trade percentile corresponding to the stage S1 (30th percentile).

Pre-Trade Post-Trade

SSTI (OTC/Voice) LIS (Venue) SSTI (OTC/Voice) LIS (Venue)

Bond Type Previous 

SSTI New SSTI % Change Previous LIS New LIS % Change

Previous 

SSTI New SSTI % Change Previous LIS New LIS % Change

Corporate 

Bond 300,000 300,000 0% 1,500,000 1,500,000 0% 2,000,000 2,500,000 +25% 4,000,000 5,500,000 +38%

Convertible 

Bond 400,000 500,000 +25% 1,500,000 2,000,000 +33% 2,000,000 2,500,000 +25% 2,500,000 5,500,000 +120%

Other Public 

Bond 300,000 400,000 +33% 2,500,000 3,000,000 +20% 4,500,000 5,500,000 +22% 8,000,000 15,000,000 +88%

Covered Bond 600,000 300,000 -50% 4,000,000 3,500,000 -13% 6,000,000 7,000,000 +17% 15,000,000 20,000,000 +33%

Sovereign 

Bond 600,000 900,000 +50% 5,500,000 5,500,000 0% 8,000,000 9,500,000 +19% 15,000,000 25,000,000 +67%

Other Bond 300,000 300,000 0% 1,500,000 1,500,000 0% 1,500,000 2,500,000 +67% 3,500,000 5,500,000 +57%

Source: ESMA
7

Dodd-Frank swaps transparency 

Interest Rate Swaps Credit Default Swaps

Tenor Notional size, USD 

equivalent Tenor Basis point spread

Months / Years Days EUR, GBP, JPY, USD Months / Years Days 0-175bps 176-350bps >350bps

0m-1.5m 0d-46d $6,400,000,000 0yr-2yr 0d-746d $320,000,000 $140,000,000 $66,000,000 

1.5m-3m 47d-107d $2,100,000,000 2yr-4yr 747d-1,477d $200,000,000 $82,000,000 $41,000,000 

3m-6m 108d-198d $1,200,000,000 4yr-6yr 1,478d-2,207d $110,000,000 $32,000,000 $26,000,000 

6m-1yr 199d-381d $1,100,000,000 6yr-8.5yr 2,208d-3,120d $110,000,000 $20,000,000 $13,000,000 

1yr-2yr 382d-746d $460,000,000 8.5yr-12.5yr 3,121d-4,581d $130,000,000 $26,000,000 $13,000,000 

2yr-5yr 747d-1,842d $240,000,000 12.5yr+ 4,582d+ $46,000,000 $63,000,000 $41,000,000 

5yr-10yr 1,843d-3,668d $170,000,000 

10yr-30yr 3,669d-10,973d $120,000,000 

30yr+ 10,974d+ $67,000,000 

Source: CFTC

CFTC swaps rules under Dodd Frank established volume based criteria for definition of block transactions. Block

trades are subjectto reporting delays and capped size disseminations.

For interest rate and credit swap categories, minimum block sizes in the initial period are determined

using a 50 percent notional amount calculation. In the post-initial period, minimum block sizes are

determined using a 67 percent notional amount calculation.
8

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