Citi Markets

SEC FIMSAC Panel – Transparency Considerations

Brian Archer, Global Head of Credit Trading

April 9, 2018
2

TRACE volume trends by notional bucket – 2007 vs 2017

IG volumes have migrated 

significantly toward <5mm 

ticket size between 2007-

2017

HY volumes have 

migrated toward <1mm 

ticket size between 2007-

2017

Source: FINRA TRACE.

US Investment Grade

US High Yield

Percent of total TRACE volume Percent of total TRACE volume
3

TRACE IG real-time dissemination volumes – current and proposed

Current 5mm cap

In 2017, 43.1% of IG volume 

was reported uncapped

In 2017, increasing the IG 

cap to 10MM would have 

increased uncapped 

dissemination volume by 

22.5% (0.5x) to 65.6%

Proposed 10mm cap

Source: FINRA TRACE. Percent of total TRACE volume Percent of total TRACE volume
4

TRACE HY real-time dissemination volumes – current and proposed

Proposed 3mm cap

In 2017, increasing the HY cap 

to 3MM would have increased 

uncapped real-time 

dissemination volume by 

27.7% (1.7x) to 43.8%

Current 1mm cap

In 2017, 16.1% of HY volume 

was reported uncapped

Source: FINRA TRACE. Percent of total TRACE volume Percent of total TRACE volume
5

TRACE IG real-time dissemination ticket count – current and proposed

Current 5mm cap

In 2017, 3.1% of IG tickets 

were subject to 5mm+ cap 

designation

In 2017, increasing the IG cap 

to 10MM would result in 1.2% 

(0.39x) of tickets subject to 

10mm+ cap designation and 

delayed reporting

Proposed 10mm cap

Source: FINRA TRACE. Percent of total TRACE tickets Percent of total TRACE tickets
6

TRACE HY real-time dissemination ticket count – current and proposed

Current 1mm cap

Proposed 3mm cap

Source: FINRA TRACE.

In 2017, 16.8% of HY tickets 

were subject to 1mm+ cap 

designation

In 2017, increasing the HY cap 

to 3MM would result in 5.8% 

(0.35x) of tickets subject to 

3mm+ cap designation and 

delayed reporting

Percent of total TRACE tickets Percent of total TRACE tickets
7

TRACE delay proposal – risk recycle timeframe for IG blocks

Source: Citi. Continuous sample of ~4,000 US IG 10mm+ trades, excluding short-end and multiple block trades in same direction

Average percent of 

position covered in 

days post block 

trade

Percent of 

block position 

covered

Number of block transactions 

Days post block trade

Citi US IG risk recycle metrics following block trades

66.4%
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Disclaimer (cont’d)

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