ENHANCING THE RESILIENCE OF

THE U.S. TREASURY MARKET: 

2022 STAFF PROGRESS REPORT

U.S. Department of the Treasury 

Board of Governors of the Federal Reserve System 

Federal Reserve Bank of New York 

U.S. Securities and Exchange Commission 

U.S. Commodity Futures Trading Commission 

 

November 10, 2022 
This is a report of staff findings from the U.S. Department of the Treasury, the Board of 

Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. 

Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission. 

The report represents only the views of staff, and the organizations listed above have expressed 

no view regarding the analysis, findings, or conclusions contained herein.
1 

Section 1: Introduction 

The Treasury market remains the deepest and most liquid market in the world and a 

central component of the financial system. In response to evolution in the market as well as 

several episodes of abrupt deterioration in market functioning, the authorities in 2021 began an 

extensive program of analysis and policymaking to help ensure that the market continues to 

reliably fulfill its vital role. This paper provides an update on a wide range of significant steps 

taken in that effort over the past year. 

The relevant authorities in the Treasury market collaborate to ensure effective 

surveillance and coordinated policymaking. This paper presents the views of the Inter-Agency 

Working Group for Treasury Market Surveillance (IAWG), which consists of staff from the U.S. 

Department of the Treasury, the Board of Governors of the Federal Reserve System, the Federal 

Reserve Bank of New York (FRBNY), the Securities and Exchange Commission (SEC), and the 

Commodity Futures Trading Commission (CFTC).1

 

As discussed in a Staff Progress Report issued in November 2021 (the “2021 Staff 

Progress Report”),2

 the authorities have three primary objectives in the Treasury market: 

First, as the issuer of Treasury securities, the Treasury Department seeks to 

finance the federal government at the lowest cost to the taxpayer over time. 

Second, the authorities aim for the Treasury market to support the broader 

financial system. The market does so by serving as a source of safe and liquid 

assets that support the efficient, stable flow of capital and credit to households and 

businesses, and by establishing a benchmark credit-risk-free yield curve. Third, 

the Federal Reserve implements monetary policy partly through transactions in 

the Treasury market. More broadly, the smooth operation of the Treasury market 

is important to the transmission of the stance of monetary policy to broader 

financial conditions and the U.S. economy. 

The 2021 Staff Progress Report identified six principles that the IAWG staffs judged 

should guide public policy in the Treasury market to achieve the official sector’s objectives. 

These principles are: 

1. Resilient and elastic liquidity; 

2. Transparency that fosters public confidence, fair trading, and a liquid market; 

3. Prices that reflect prevailing and expected economic and financial conditions; 

1

 The IAWG was formed by the Treasury Department, SEC, and Federal Reserve Board in 1992 to improve 

monitoring and surveillance and strengthen interagency coordination with respect to the Treasury markets following 

the Salomon Brothers auction bidding scandal. See U.S. Department of the Treasury, Securities and Exchange 

Commission, and Board of Governors of the Federal Reserve System, 1992, “Joint Report on the Government 

Securities Market,” U.S. Government Printing Office, January 22, available at 

https://home.treasury.gov/system/files/276/joint-report-on-the-government-securities-Market-1992.pdf. Today, the 

IAWG consists of staff from the Treasury Department, SEC, Federal Reserve Board, FRBNY, and CFTC. 

2

 U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Federal Reserve Bank of 

New York, U.S. Securities and Exchange Commission, and U.S. Commodity Futures Trading Commission, 2021, 

“Recent Disruptions and Potential Reforms in the U.S. Treasury Market: A Staff Progress Report,” November 8, 

available at https://home.treasury.gov/system/files/136/IAWG-Treasury-Report.pdf. 
2 

4. Economic integration across cash, funding and derivatives markets; 

5. Financing that does not pose a significant threat to financial stability; and 

6. Infrastructure that operates effectively and efficiently. 

The IAWG’s ongoing assessment of policy options is grounded in these principles and in recent 

experience with Treasury market stresses. 

Over the past year, the IAWG has made significant progress toward its goals. The IAWG 

member institutions and staffs have, among other steps: 

 proposed policies to enhance the oversight of significant participants in and 

trading venues for the Treasury market and to centrally clear more Treasury 

transactions; 

 initiated a pilot collection of data on non-centrally-cleared bilateral repurchase 

agreements; 

 approved enhancements to the collection and public release of data on secondary 

market transactions, and begun expanded collection of data on depository 

institutions’ secondary market transactions in Treasury securities; 

 collected public feedback on possible approaches to additional public 

transparency; 

 studied the potential benefits and costs of all-to-all trading in the market; and 

 analyzed options for establishing more uniform leverage requirements across 

different market segments and for consistently identifying market participants 

across data collections. 

These steps build on the work described in the 2021 Staff Progress Report, which assessed the 

causes of recent market stress events, proposed the six guiding principles listed above, outlined 

policies under consideration, and reviewed the effects of steps that had already been taken, 

particularly the Federal Reserve’s establishment of standing repurchase agreement facilities. 

The IAWG’s recent work has been structured in five workstreams: improving resilience 

of market intermediation, improving data quality and availability, evaluating expanded central 

clearing, enhancing trading venue transparency and oversight, and examining effects of leverage 

and fund liquidity risk management. This report reviews the past year’s progress on each of these 

workstreams in turn, noting that there are important potential interactions across the 

workstreams. In the future, the IAWG member institutions may take additional steps beyond the 

scope of the current workstreams.3

 

3

 This report reflects developments through October 28, 2022. 
3 

Section 2: Improving the resilience of market intermediation 

The IAWG staffs’ principles, as described in the 2021 Staff Progress Report, call for the 

Treasury market to “have the capacity to support robust primary issuance and secondary trading 

across a wide range of economic and financial circumstances.” However, in several stress 

episodes preceding that report, demand for intermediation in the Treasury market surged beyond 

the market’s capacity for intermediation. Accordingly, the IAWG member institutions and staffs 

are considering or have proposed steps to enhance the resilience of intermediation in the 

Treasury market. These steps include proposed changes in the criteria for dealer registration, 

evaluation of market structure considerations (including all-to-all trading), and consideration of 

the congruence of margin requirements across different market segments. 

A. SEC dealer registration proposal 

On March 28, 2022, the SEC proposed new rules that would require market participants, 

such as proprietary or principal trading firms, that assume certain dealer-like roles and/or engage 

in certain levels of buying and selling government securities to register with the SEC, become a 

member of a self-regulatory organization (SRO), and comply with federal securities laws and 

regulatory obligations applicable to dealers.4

 In proposing the new rules, the SEC indicated that 

the registration of these market participants “would provide regulators with a more 

comprehensive view of the markets through regulatory oversight and would enhance market 

stability and investor protection.”5 

The proposed new rules would further define the phrase “as a part of a regular business” 

in Sections 3(a)(5) and 3(a)(44) of the Securities Exchange Act of 1934 (the Exchange Act) to 

identify certain activities that would cause persons engaging in such activities to be “dealers” or 

“government securities dealers” and subject to the registration requirements of Sections 15 or 

15C of the Exchange Act, respectively. 

The proposed rules for dealers and government securities dealers would set forth identical 

qualitative standards designed to identify activities of market participants that assume certain 

dealer-like roles and, in particular, those that act as liquidity providers in the markets. In 

addition, the proposed rule for government securities dealers would set forth a quantitative 

standard under which a person engaging in certain specified levels of activity would be deemed 

to be buying and selling government securities “as a part of a regular business,” and thus a 

government securities dealer, regardless of whether that person met any of the proposed rule’s 

qualitative standards.6

4

 See Securities and Exchange Commission, 2022a, “Further Definition of ‘As a Part of a Regular Business’ in the 

Definition of Dealer and Government Securities Dealer” Federal Register 87, No. 74 (April 18): 23054-23106. 5

 See Securities and Exchange Commission, 2022a, p. 23054. 

6

 Under the proposal, no presumption would arise that a person is not a dealer solely because that person does not 

satisfy the standards identified in the proposed rules. The proposed rules do not seek to address all circumstances 

under which a person may be acting as a dealer or government securities dealer or to replace otherwise applicable 

interpretations and precedent.
4 

Both proposed rules would exclude any person that has or controls total assets of less 

than $50 million and any investment company registered under the Investment Company Act of 

1940. 

The comment period ended May 27, 2022. The SEC staff is considering comments 

received in making recommendations for the SEC’s consideration. 

B. Market structure 

The resilience of intermediation in a financial market may depend on the market’s 

structure, such as the venues where trading takes place and the nature of relationships between 

buyers and sellers. The IAWG staffs are studying how Treasury market structure influences 

intermediation capacity, with an initial focus on the potential benefits and costs of more 

widespread all-to-all trading. 

All-to-all trading is a form of trading that, in concept, allows any participant in a financial 

market to trade with any other market participant. For example, a form of all-to-all trading exists 

on stock, options, and futures exchanges that operate central limit order books, where any market 

participant can submit an order through an exchange member that can, in principle, be matched 

with the order of any other participant. Other forms of all-to-all trading also exist. All-to-all 

trading can be contrasted with dealer-intermediated markets where most participants trade with 

dealers that hold inventories of assets on their balance sheets. However, in practice, different 

forms of trading exist on a spectrum: Even on all-to-all platforms, a subset of participants 

typically act as liquidity providers and take the other side of most trades by the remaining 

participants. 

Some observers have suggested that more widespread all-to-all trading could enhance the 

supply of liquidity in the Treasury market, although there has been limited study of this 

possibility to date.7

 In theory, all-to-all trading may improve market liquidity by increasing the 

number and diversity of potential counterparties to a trade or reshaping the competition among 

them. All-to-all trading may also offer increased transparency of executable and executed prices, 

which could increase the bargaining power of liquidity consumers (market participants that seek 

to execute specific trades) or lower the barriers to entry for new liquidity providers. In addition, 

7

 See Darrell Duffie, 2020, “Still the World’s Safe Haven? Redesigning the U.S. Treasury Market After the COVID19 Crisis,” Hutchins Center Working Paper No. 62, Brookings Institution, available at 

https://www.brookings.edu/wp-content/uploads/2020/05/WP62_Duffie_v2.pdf; Nellie Liang and Pat Parkinson, 

2020, “Enhancing Liquidity of the U.S. Treasury Market Under Stress,” Hutchins Center Working Paper No. 72, 

Brookings Institution, available at https://www.brookings.edu/wp-content/uploads/2020/12/WP72_LiangParkinson.pdf; Katy Burne, 2021, “Future-Proofing the U.S. Treasury Market,” Bank of New York Mellon, 

available at https://www.bnymellon.com/us/en/insights/aerial-view-magazine/future-proofing-the-us-treasurymarket.html; Group of Thirty Working Group on Treasury Market Liquidity, 2021, “U.S. Treasury Markets: Steps 

Toward Increased Resilience,” available at https://group30.org/publications/detail/4950; Peter Ryan and Robert 

Toomey, 2021, “Improving Capacity and Resiliency in US Treasury Markets: Part III,” Securities Industry and 

Financial Markets Association, available at https://www.sifma.org/resources/news/improving-capacity-andresiliency-in-us-treasury-markets-part-3/; Marta Chaffee and Sam Schulhofer-Wohl, 2021, “Is a Treasury Clearing 

Mandate the Path to Increased Central Clearing?”, Chicago Fed Insights, Federal Reserve Bank of Chicago, June 

23, available at https://www.chicagofed.org/publications/blogs/chicago-fed-insights/2021/treasury-clearingmandate; Sharon Thiruchelvam, 2022, “Duffie: SEC plan heralds all-to-all Treasuries trading,” Risk.net, Sept. 26, 

available at https://www.risk.net/regulation/7954577/duffie-sec-plan-heralds-all-to-all-treasuries-trading. 
5 

all-to-all trading may influence the way prices, quantities traded, and market liquidity respond to 

shocks and thus change the resilience of intermediation, potentially in different ways from the 

effect on the overall availability and cost of intermediation. Further, to the extent that multiple 

forms of trading coexist in a market, it is necessary to consider the combined implications for 

liquidity of all available forms of trading, rather than considering each form of trading in 

isolation. Staff at the FRBNY, Federal Reserve Board, and Treasury have collaborated to author 

an FRBNY Staff Report, titled “All-to-All Trading in the U.S. Treasury Market,” to explore the 

concept of all-to-all trading in the secondary cash market for Treasury securities and evaluate the 

benefits and challenges around broader adoption.8 The study is informed by the IAWG staffs’ 

outreach to a variety of market participants, including liquidity providers, liquidity consumers, 

and trading platforms. The study also leverages other research on Treasury market structure as 

well as information on the corporate bond market, where all-to-all trading grew to 12 percent of 

activity in recent years.9 

The study provides an overview of existing protocols that widen the field of potential 

counterparties to a trade in the Treasury market and identifies some factors that could support 

wider adoption of such protocols. In particular, the analysis finds that reforms discussed 

elsewhere in this Staff Progress Report, including data transparency and increased central 

clearing, could make wider adoption of all-to-all Treasury trading more likely. The analysis also 

identifies risks and limitations of a general expansion of all-to-all trading or of existing protocols 

that allow for a broader range of counterparties. For example, while trading protocols with a 

broader range of counterparties could make liquidity more resilient, existing liquidity providers 

could also respond to changes in trading protocols by reducing their activity. 

Looking forward, the IAWG staffs will continue to study how elements of Treasury 

market structure may affect the attainment of the official sector’s objectives for the market. 

Potential areas of future research include all-to-all trading in the market for repurchase 

agreements, or repos; the use of firms with committed market-making responsibilities in other 

markets; the role of the Treasury futures market in overall Treasury market structure; and the 

influence of public policy on the private sector’s development of different market structures. 

C. Congruent margin regulation 

The IAWG staffs’ principles for the Treasury market call for avoiding “leverage that 

makes the financial system vulnerable to instability.” One important determinant of this 

vulnerability is the margin collected on various Treasury transactions, including repos, as well as 

Treasury derivatives. Margin requirements help to protect market participants against a 

counterparty’s default and to prevent the buildup of excessive leverage. 

In principle, leverage standards that are not market-wide are subject to potential arbitrage 

or avoidance. For example, information from hedge funds and banks indicates that the margin, or 

8

 Alain Chaboud, Ellen Correia Golay, Caren Cox, Michael J. Fleming, Yesol Huh, Frank M. Keane, Kyle Lee, 

Krista Schwarz, Clara Vega, and Carolyn Windover, 2022, “All-to-All Trading in the U.S. Treasury Market,” 

Federal Reserve Bank of New York Staff Report No. 1036, available at 

https://www.newyorkfed.org/research/staff_reports/sr1036.html. 9

 See Terrence Hendershott, Dmitry Livdan, and Norman Schurhoff, 2021, “All-to-All Liquidity in Corporate 

Bonds,” Swiss Finance Institute Research Paper Series No. 21-43, available at 

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3895270. 
6 

equivalent haircut, that major hedge funds face on non-centrally-cleared bilateral Treasury repos 

is often notably below the margin or equivalent haircut prevailing on Treasury collateral in the 

triparty repo market and in centrally cleared repo. Given the lower margin standards often set on 

non-centrally-cleared trades, minimum haircuts that applied only to centrally cleared Treasury 

repo contracts could motivate counterparties to move toward types of repo trades that are not 

centrally cleared (such as open or option-embedded repo transactions) or to offshore entities that 

are not clearing members. Additionally, margin requirements that are set lower for Treasury 

derivatives than for securities financing may encourage the use of synthetic exposures, such as 

total return swaps, that have lower margin requirements but can unwind in disorderly ways that 

affect core Treasury markets. 

As discussed in section 4 of this report, the SEC has proposed rules to require that 

clearing agencies in the Treasury market adopt policies to require their members to submit all 

eligible trades for central clearing. If implemented, this requirement could increase the share of 

hedge funds’ and other leveraged investors’ Treasury repo financing that is centrally cleared and 

therefore subject to a uniform, risk-based margin system. However, the proposed requirement 

would be unlikely to capture all Treasury securities financing transactions (SFTs), including both 

repo transactions and economically similar securities lending or other transactions, given that 

some types of repo trades are not currently eligible for central clearing. 

Addressing the gap between margin requirements in non-centrally-cleared financing 

transactions and centrally cleared transactions would reduce incentives to avoid a central clearing 

requirement and help to address leverage in transactions that remained outside of central 

clearing. Such an approach would also mirror the approach that was taken in addressing risks in 

derivatives markets under the Dodd-Frank Wall Street Reform and Consumer Protection Act, 

which directed U.S. agencies both to implement central clearing requirements for some forms of 

derivative transactions and to institute margin requirements on non-centrally-cleared trades. 

The extent of the gap may depend on the SEC proposals on dealer registration and central 

clearing discussed in sections 2.A and 4. The IAWG staffs have conducted a preliminary analysis 

of potential avenues through which a more uniform margin regime could be achieved between 

centrally cleared and non-centrally-cleared SFTs, including through steps that could be taken by 

various federal agencies acting separately or in coordination. 

 
7 

Section 3: Improving data quality and availability 

To support the IAWG staffs’ principle of “transparency that fosters public confidence, 

fair trading, and a liquid market,” the official sector is working to improve the quality and 

coverage of data on Treasury market transactions and positions. These actions encompass both 

collecting additional data, which can help the official sector to assess market conditions and 

respond to stresses, and providing additional public transparency. 

A. Enhancements to data collection 

Since the 2021 Staff Progress Report, the official sector has proposed enhancements to 

Form PF, which collects data on private funds such as large hedge funds; approved 

enhancements to the collection of Treasury market data through the Trade Reporting and 

Compliance Engine (TRACE) of the Financial Industry Regulatory Authority (FINRA); 

collected pilot data on non-centrally-cleared bilateral repos, with the intention to pursue a 

permanent data collection; and examined options for improving the official sector’s ability to 

identify participants’ activities across key Treasury market data collections. 

Form PF amendments 

In January 2022, the SEC proposed to amend Form PF to require, among other things, 

that large hedge fund advisers file a current report within one business day of the occurrence of 

specified events with respect to their qualifying hedge funds.10 In August 2022, the SEC and 

CFTC jointly proposed additional amendments to Form PF to, among other things, enhance 

reporting by large hedge funds.11 These amendments would include improvements in the 

reporting of investment exposures and enhanced differentiation between positions in the cash and 

derivatives markets for Treasury securities. Both proposals are designed to improve the ability of 

the Financial Stability Oversight Council (FSOC) to monitor systemic risk as well as bolster the 

SEC’s oversight of private fund advisers and its investor-protection efforts. 

TRACE data enhancements 

FINRA introduced TRACE reporting requirements for Treasury securities transactions in 

2017. In August 2022, the SEC approved FINRA’s amendments to its TRACE reporting rules to 

improve the timeliness and quality of the data.12 The amendments will reduce the post-trade 

transaction reporting timeframe in most instances to no more than 60 minutes, as well as increase 

the granularity and consistency of execution timestamps for electronic transactions. The shorter 

reporting timeframe will enable the official sector to receive data on a timelier basis than the 

current next-day schedule, and it will allow for more accurate trade matching in cases where 

10 See Securities and Exchange Commission, 2022b, “Amendments to Form PF to Require Current Reporting and 

Amend Reporting Requirements for Large Private Equity Advisers and Large Liquidity Fund Advisers,” Federal 

Register 87, No. 33 (February 17): 9106-9235. 

11 See Commodity Futures Trading Commission and Securities and Exchange Commission, 2022, “Form PF; 

Reporting Requirements for All Filers and Large Hedge Fund Advisers,” Federal Register 87, No. 169 (September 

1), 53832-53985. 

12 See Securities and Exchange Commission, 2022c, “Order Approving a Proposed Rule Change to Amend FINRA 

Rule 6730 (Transaction Reporting) to Enhance TRACE Reporting Obligations for U.S. Treasury Securities,” 

Release No. 34-95635, File No. SR-FINRA-2022-013, available at https://www.sec.gov/rules/sro/finra/2022/34-

95635.pdf.
8 

multiple FINRA members report different sides of the same trade. In addition, more granular 

execution timestamps will improve the ability to discern precise counterparties and sequences of 

trades in high-frequency trading environments. 

The Federal Reserve Board expanded collection of data on depository institutions’ 

secondary market transactions in Treasury securities. Following the announcement in October 

2021 of a rule requiring banks filing form G-FIN and with at least $100 million in average daily 

trading to report transactions to TRACE, affected depository institutions began submitting their 

Treasury transactions on a daily basis to TRACE on September 1, 2022.13 Although the largest 

proportion of transactions in the Treasury market are conducted through FINRA members, which 

had already reported their transactions to TRACE, the addition of reporting by depository 

institutions will help to ensure more complete coverage of the market. Twenty-two banks, whose 

Treasury transactions constitute 7 percent of overall volume, have begun filing under the rule. 

On July 29, 2022, the SEC proposed amendments to an exemption from joining a 

national securities association that would, among other things, support FINRA’s collection of 

data through TRACE.14 By limiting the scope of an exemption to rules requiring broker-dealers 

to join a national securities association such as FINRA, the proposed amendments would require 

certain broker-dealers that are significantly involved in proprietary trading of Treasury securities 

to become FINRA members and therefore to report their Treasury transactions to TRACE. 

Although many of these transactions are already reported to TRACE by alternative trading 

systems (ATSs), some are reported without specific information identifying the participant, and 

others are not reported at all. The proposed rule would improve the comprehensiveness of 

Treasury securities TRACE data and strengthen oversight of these firms by subjecting them to 

FINRA’s direct, membership-based jurisdiction and rules. 

Bilateral repo data collection 

The 2021 Staff Progress Report noted an important gap in the official sector’s data on 

Treasury repos: Data are not collected on non-centrally-cleared bilateral repos. In February 2022, 

the Treasury Department’s Office of Financial Research (OFR) announced its intention to pursue 

a permanent collection of transaction-level data to fill this gap.15 The new data collection would 

complement the OFR’s existing collection of data on cleared repo transactions and the Federal 

Reserve Board’s collection of data on triparty repo.16 Data collected would help regulators 

13 The Federal Reserve’s form FR 2956 requires reporting of secondary market transactions in Treasury securities 

and/or agency issued mortgage-backed securities of every national bank, state member bank, state non-member 

bank, savings association, or U.S. branch and agency of a foreign bank filing a Notice of Government Securities 

Broker or Government Dealer Activities Form (Form G-FIN) with average daily transaction volumes of more than 

$100 million for Treasury securities, or more than $50 million for agency-issued debt and MBS, respectively, during 

the prior fiscal year. 

14 See Securities and Exchange Commission, 2022d, “Exemption for Certain Exchange Members,” Federal Register 

87, No. 155 (August 12): 49930-49973. 

15 See Dino Falaschetti, 2022, “Remarks by Director Falaschetti at the Open Session of the Meeting of the Financial 

Stability Oversight Council,” Office of Financial Research, February 4, available at 

https://www.financialresearch.gov/from-the-director/2022/02/04/remarks-by-director-falaschetti-at-the-opensession-of-the-meeting-of-the-financial-stability-oversight-council/. 16 See Office of Financial Research, 2020, “OFR Begins Publishing Repo Data, Unveils Short-term Funding 

Monitor,” press release, September 9, available at https://www.financialresearch.gov/press-releases/2020/09/09/ofrbegins-publishing-repo-data-unveils-short-term-funding-monitor/; and Board of Governors of the Federal Reserve 
9 

monitor transactions in Treasury repo and repo in other collateral classes, would provide insights 

into the behavior of leveraged participants in Treasury markets, and could be used to increase 

transparency for market participants. 

Collecting data on non-centrally-cleared bilateral repo transactions is critical for three 

reasons: 

1. Non-centrally-cleared bilateral repos constitute a major segment of the U.S. repo 

market, making up roughly 60 percent of primary dealer reverse repos and 

roughly 40 percent of primary dealer repos, based on new statistics from the 

Federal Reserve’s weekly primary dealer reports.17

2. The non-centrally-cleared bilateral segment is particularly important for the 

borrowing of certain leveraged funds for which there is otherwise little 

transparency.18

3. This segment lacks the transparency provided by interdealer brokered screens and 

official statistics for other segments of the market, and it can lack transparency 

even for the participants.19

Non-centrally-cleared bilateral markets have no central institution that stores data, 

meaning that there can be substantial heterogeneity in what data is stored and how values are 

recorded, as the OFR found in its 2015 pilot collection of data on bilateral repo transactions.20 In 

light of this heterogeneity, the OFR examined existing data standards and market practices for 

non-centrally-cleared bilateral repos before proceeding with the planned permanent data 

collection. 

The OFR’s recent work began with outreach to market participants, industry associations, 

and providers of market infrastructure such as electronic request-for-quote (RFQ) platforms. 

RFQ platforms allow customers to submit a portfolio of securities to fund or source to multiple 

dealers, which then provide quotes for repo transactions using those securities as collateral. 

These platforms also provide standardized information on trades and data management for both 

dealers and customers. However, the OFR’s outreach indicated that despite the rising share of 

RFQ platforms in non-centrally-cleared bilateral repo, much of the activity in this market takes 

place over the phone or through electronic chat messages, leaving it to the participants to 

determine what information they record on a trade. 

System, 2017, “Request for Information Relating to Production of Rates,” Federal Register 82, No. 167 (August 30), 

41259-41262. 

17 See Sebastian Infante, Lubomir Petrasek, Zack Saravay, and Mary Tian, 2022, “Insights from revised Form 

FR2004 into primary dealer securities financing and MBS activity,” FEDS Notes, Board of Governors of the Federal 

Reserve System, August 5, available at https://www.federalreserve.gov/econres/notes/feds-notes/insights-fromrevised-form-fr2004-into-primary-dealer-securities-financing-and-mbs-activity-20220805.htm; and Samuel J. 

Hempel, R. Jay Kahn, Vy Nguyen, and Sharon Y. Ross, 2022, “Non-centrally Cleared Bilateral Repo,” OFR Blog, 

Office of Financial Research, August 24, available at https://financialresearch.gov/the-ofr-blog/2022/08/24/noncentrally-cleared-bilateral-repo/. 18 See Infante et al. (2022) and Hempel et al. (2022). 

19 See Hempel et al. (2022). 

20 See Viktoria Baklanova, Cecilia Caglio, Marco Cipriani, and Adam Copeland, 2016, “The U.S. Bilateral Repo 

Market: Lessons from a New Survey,” Office of Financial Research Brief Series 16-01, available at 

https://www.financialresearch.gov/briefs/files/OFRbr-2016-01_US-Bilateral-Repo-Market-Lessons-fromSurvey.pdf. 
10 

The OFR’s outreach also provided insight into the reasons why market participants use 

non-centrally-cleared bilateral repo, including lower costs of onboarding clients relative to 

central clearing and a greater variety of tenors, collateral and haircuts.21 Market participants also 

reported that many dealers are able to net non-centrally cleared trades with clients such as large 

relative-value hedge funds on their own books, because these trades naturally have matched long 

and short repo positions with the same fund as a counterparty. For these naturally netted repo 

trades, central clearing would have no incremental netting benefit for an individual dealer. 

Using the information gathered from this outreach, the OFR began a voluntary pilot data 

collection from nine broker-dealers with large exposures to the non-centrally-cleared bilateral 

repo market.22 The OFR requested data as of three dates in June 2022 on all of the participants’ 

outstanding U.S. repo transactions with no central counterparty and no custodian. The data fields 

the OFR asked pilot participants to provide cover many details about these repos on a transaction 

level, including trade sizes, underlying collateral, trade times, and contractual terms such as rate, 

haircut, and tenor. The three dates were chosen to correspond with aggregated reports on repo 

activity from the FRBNY’s Primary Dealer Statistics and the SEC’s Form PF and Form FOCUS, 

so that the OFR can examine the percentage of total trades in these reports that the pilot 

collection captures. 

All nine pilot participants have submitted data from the first collection date. The OFR 

plans to use these data to brief regulators and the public on features of the non-centrally-cleared 

bilateral repo market that are relevant to Treasury market functioning and financial stability more 

broadly. 

The OFR is using pilot participants’ feedback to inform its planned rulemaking for a 

permanent, transaction-level collection of non-centrally-cleared bilateral repo.23 This permanent 

collection would require daily submissions of all non-centrally-cleared bilateral repo trades for 

certain financial firms with substantial activity in this market segment. 

Participant identifiers 

The 2021 Staff Progress Report noted that broader use of Legal Entity Identifiers (LEIs) 

could further improve the official sector’s ability to understand market participants’ activity 

across Treasury market segments.24 In 2022, the IAWG staffs formed a working group to 

evaluate the official sector’s ability to identify participants’ activities across key Treasury data 

collections and to consider options for improvement along with their potential costs and benefits. 

The working group reviewed each of the official sector’s main Treasury market data 

collections, including both transaction-level reporting (including FINRA’s and the Federal 

Reserve Board’s secondary cash market collections, the OFR’s Treasury repo collection, the 

Federal Reserve’s supervisory collection of triparty repo transactions, and Treasury futures and 

21 See Hempel et al. (2022). 

22 See James Martin, 2022, “OFR Continues Efforts to Fill Key Gap in Financial Data,” Office of Financial 

Research, August 1, available at https://www.financialresearch.gov/from-the-director/2022/08/01/ofr-continuesefforts-to-fill-key-gap-in-financial-data/. 23 See Hempel et al. (2022) and Martin (2022). 24 The LEI is a 20-character alphanumeric code that enables clear and unique identification of legal entities 

participating in financial transactions. Further details on the LEI are provided by the Global Legal Entity Identifier 

Foundation at https://www.gleif.org/en/about-lei/introducing-the-legal-entity-identifier-lei. 
11 

swaps reporting collected by the CFTC and SEC) as well as position-level reporting (including 

the Federal Reserve’s collections on forms FR2004 and FR2052 and the SEC’s Form PF).25 The 

working group found that the official sector Treasury data collections use different entity 

identifying information with different properties and that readily available mappings between 

collected identifiers, while present for certain combinations of entities and identifiers, are lacking 

across the full span of the data sets. 

On occasion, agencies have been able to incorporate auxiliary information on market 

participants from other collections, registration documents, or vendor data. But, in most cases, 

agencies have had to rely primarily on the skill, judgment, and experience of their own staffs, 

often using imperfect name matching techniques given the lack of common entity identifiers or 

mappings to other common reference data. 

The working group identified several potential solutions, including: 

 collecting common entity identifiers from reporters in all of the key Treasury 

market collections; 

 collecting common entity identifiers from larger or more active reporters; 

 requiring reporters that already have a given identifier to report it; and 

 encouraging additional interagency coordination on data mappings. 

IAWG members already work together in creating common mappings, for example with 

TRACE data, but further coordination could be helpful in certain cases, such as mapping 

reporters to parent-firm information. There could also be use cases for external vendors to aid in 

matching entities across data sets if relevant authorities determined it was appropriate. However, 

neither of these solutions would address cases where no robust identifiers were available. Most 

working group members expressed a preference for more widespread use of LEIs, which are 

already required in the OFR collections and in swaps reporting, and whose broader inclusion in 

official data collections has also been supported by the FSOC.26 However, agencies may have 

reasons to prefer other identifiers that could be linked to LEIs and could be used to identify 

participants across the key data collections. 

B. Enhancements to public data availability 

In August 2022, the SEC approved a FINRA rule amendment that will enable FINRA to 

release aggregated Treasury securities data on a more frequent basis than the current weekly 

publication.27 In its proposal, FINRA noted the potential to release aggregate data on a daily 

basis and to include additional information such as “aggregate trade count and pricing 

25 Data collections that focused on Treasury auctions and Federal Reserve custody holdings on behalf of foreign 

central banks were not considered. 

26 See Financial Stability Oversight Council, 2021, “2021 Annual Report,” section 4.5.1, available at 

https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf. 27 See Securities and Exchange Commission, 2022e, “Order Approving a Proposed Rule Change to Amend FINRA 

Rule 6750 Regarding the Publication of Aggregated Transaction Information on U.S. Treasury Securities,” Release 

No. 34-95438, File No. SR-FINRA-2022-017, available at https://www.sec.gov/rules/sro/finra/2022/34-95438.pdf. 
12 

information.”28 As noted in FINRA’s proposal and in the 2021 Staff Progress Report, the weekly 

aggregated data have been well received. Publishing information on a more frequent basis should 

provide market participants with further insights into transaction volumes and pricing. 

Additionally, in November 2021, after the 2021 Staff Progress Report was finalized, the 

Treasury Market Practices Group (TMPG) released a draft catalog and summary note on data 

available in the Treasury cash, futures, and financing markets.29 While the TMPG has not 

completed a full assessment of the draft catalog, the work to date shows how differences in 

market structure across products result in differences in the level and consistency of available 

data. Building on the catalog, the group is developing a white paper that will identify data gaps 

and opportunities for improving transparency. 

Moreover, in June 2022, the Treasury Department issued a request for information 

seeking public comment on potential additional post-trade transparency of data regarding 

secondary market Treasury transactions, including potential benefits and risks of additional 

transparency.30 Treasury received comment letters from a broad set of stakeholders, including 

industry trade groups, primary dealers, asset managers, principal trading firms, platforms, and 

academics. 

Commenters were broadly supportive of incremental increases in transparency, but 

recommendations varied regarding the pace and extent of additional transparency. Suggestions 

ranged from pursuing real-time transaction-level reporting to maintaining public release of 

aggregated information. 

Commenters who supported transaction-level transparency generally noted benefits to 

market participants broadly, including increased investor confidence, better price discovery, 

reduction in barriers to entry for liquidity provision, improved risk management, and better 

assessment of execution quality. While acknowledging the unique nature of the Treasury market, 

commenters noted that these benefits of transparency have lowered transactions costs in other 

markets. Nevertheless, most commenters highlighted that transaction-level transparency would 

have greater risks in less-liquid market segments, such as cash trading of off-the-run securities. 

Specifically, commenters suggested that transaction-level transparency could reveal movements 

of large positions in off-the-run securities, which could make it more difficult to trade these 

securities, increase investors’ perceived cost of holding them, or make intermediaries less willing 

to commit balance sheet to them. Most commenters thought these risks could be mitigated by 

limiting the release of transaction-level data for certain securities, such as by introducing delays 

or capped trade sizes based on security characteristics or liquidity profiles. A few commenters 

28 See Financial Industry Regulatory Authority, 2022, “Proposed Rule Change to Amend FINRA Rule 6750 

Regarding the Publication of Aggregated Transaction Information on U.S. Treasury Securities,” SR-FINRA-2022-

017, available at https://www.finra.org/rules-guidance/rule-filings/sr-finra-2022-017. 29 See Treasury Market Practices Group, 2021a, “TMPG Releases Updates for Working Groups on Clearing and 

Settlement Practices for Treasury SFTs, Treasury Market Data and Transparency,” available at 

https://www.newyorkfed.org/medialibrary/Microsites/tmpg/files/DT_Draft_Catalogues.pdf, and Treasury Market 

Practices Group, 2021b, “Treasury Market Data and Transparency Working Group Update,” available at 

https://www.newyorkfed.org/medialibrary/Microsites/tmpg/files/DT_Note.pdf. The TMPG is sponsored by the 

Federal Reserve Bank of New York and comprises senior business managers and legal and compliance professionals 

from a variety of institutions, including securities dealers, banks, buy-side firms, market utilities, and others. 30 See Department of the Treasury, 2022, “Notice Seeking Public Comment on Additional Transparency for 

Secondary Market Transactions of Treasury Securities,” Federal Register 87, No. 122 (June 27): 38259-38263. 
13 

advocated for maintaining data at an aggregated level, arguing that the risks would outweigh the 

benefits even if transaction data release were limited. 

The comments received will help inform the Treasury Department’s policy perspectives 

on additional post-trade data transparency in the Treasury securities market, as well as the 

IAWG’s work more generally. 

 
14 

Section 4: Evaluating expanded central clearing 

The IAWG staffs’ principles emphasize the value of “well-designed and well-managed 

infrastructure” for achieving the authorities’ goals for the Treasury market. The institutions and 

processes for clearing and settling Treasury transactions are a critical part of that infrastructure. 

On September 14, 2022, the SEC proposed to amend the standards applicable to covered 

clearing agencies (CCAs) providing central counterparty services for Treasury securities to 

require that such CCAs have written policies and procedures reasonably designed to require that 

every direct participant of the CCA submit for clearance and settlement all eligible secondary 

market transactions in Treasury securities to which it is a counterparty.31 The SEC proposed to 

define eligible secondary market transactions as: 

 secondary market transactions in Treasury securities of a type accepted for 

clearing that are either a repo or reverse repo collateralized by Treasury securities, 

in which one of the counterparties is a direct participant; or 

 certain specified categories of cash purchase or sale transactions, specifically, 

those where the direct participant is providing interdealer broker services or 

where the direct participant’s counterparty is a registered broker-dealer, 

government securities broker, or government securities dealer, a hedge fund, or a 

leveraged account satisfying certain criteria. 

The SEC believes that these proposed amendments would help reduce contagion risk to the CCA 

and bring the benefits of central clearing to more transactions involving Treasury securities, 

thereby lowering overall systemic risk in the market. The SEC also believes that increasing the 

volume of transactions submitted for central clearing is consistent with promoting the prompt 

and accurate clearance and settlement of securities transactions. 

In addition, the SEC proposed to require that a CCA providing central counterparty 

services for Treasury securities (referred to as a “U.S. Treasury securities CCA”) have written 

policies and procedures reasonably designed to calculate, collect, and hold margin for 

transactions in Treasury securities submitted on behalf of an indirect participant separately from 

margin for transactions submitted on behalf of the direct participant. The SEC also proposed to 

require that a U.S. Treasury securities CCA have policies and procedures reasonably designed to 

ensure that the CCA has appropriate means to facilitate access to clearance and settlement 

services of all eligible secondary market transactions in Treasury securities, including those of 

indirect participants. The SEC believes that such requirements also will improve the riskmanagement practices at U.S. Treasury securities CCAs and incentivize and facilitate additional 

central clearing in the Treasury market, thereby lowering systemic risk. 

Finally, the SEC proposed to amend the broker-dealer customer protection rule to permit 

margin required and on deposit with U.S. Treasury securities CCAs to be included as a debit in 

the reserve formulas for accounts of customers and proprietary accounts of broker-dealers, 

subject to certain conditions. Currently, broker-dealers are not permitted to include a debit in the 

customer reserve formula equal to this amount of margin or, more generally, to use customer 

31 See Securities and Exchange Commission, 2022f, “Standards for Covered Clearing Agencies for U.S. Treasury 

Securities and Application of the Broker-Dealer Customer Protection Rule With Respect to U.S. Treasury 

Securities,” proposed rule, available at https://www.sec.gov/rules/proposed/2022/34-95763.pdf. 
15 

cash or customer fully paid or excess margin securities to meet a CCA margin requirement. This 

proposal would therefore help to address the potential substantial increase in the margin that 

broker-dealers would be required to post to a U.S. Treasury securities CCA resulting from their 

customers’ cleared Treasury securities positions. 

Separately, in November 2021, after the 2021 Staff Progress Report was finalized, the 

TMPG released a draft set of maps and summary note illustrating current clearing and settlement 

processes for common SFT types for Treasury securities, including both repos and securities 

lending agreements.32 Complementary to the TMPG’s earlier work on clearing and settlement of 

purchases and sales of Treasury securities in the secondary market published in 2019, the group 

mapped the structure of clearing and settlement for SFTs under different scenarios and across 

different market segments and identified potential risk and resiliency issues.33 The draft maps 

illustrate current clearing and settlement processes for SFTs under different scenarios and across 

different segments of the market. The draft maps showed that bilateral clearing and settlement 

processes are not uniform across market participants and are less transparent than central 

clearing. These more bespoke bilateral processes may reflect differences in the level of 

understanding among market participants of the inherent risks of SFT clearing and settlement. 

Building on last year’s progress, the TMPG plans to publish a consultative white paper 

further detailing the potential risk and resiliency issues in SFT clearing and settlement. The 

group has observed across all SFTs that the clearing and settlement process is fragmented, thirdparty credit extension arrangements may not be fully understood, and market participants lack a 

clear and comprehensive view of market functioning. For non-centrally-cleared bilateral SFTs in 

particular, clearing and settlement is bespoke and opaque. For both non-centrally-cleared 

bilateral SFTs and agent-cleared triparty repo, positions carry counterparty and liquidity risks, 

with potential systemic implications during times of stress. The TMPG’s updated best practices 

issued in 2019 mitigate some of these risks.34 The group plans to engage in public dialogue and 

update the paper and best practices as appropriate. 

32 See Treasury Market Practices Group, 2021c, “Clearing and Settlement in the Secured Financing Transaction 

Market: Working Draft – Trade Flow Mapping,” available at 

https://www.newyorkfed.org/medialibrary/Microsites/tmpg/files/CSP_SFT_Draft_Maps.pdf, and Treasury Market 

Practices Group, 2021d, “Clearing and Settlement Practices for Treasury Secured Financing Transactions Working 

Group Update,” available at https://www.newyorkfed.org/medialibrary/Microsites/tmpg/files/CSP_SFT_Note.pdf. 33 See Treasury Market Practices Group, 2019a, “White Paper on Clearing and Settlement in the Secondary Market 

for U.S. Treasury Securities,” available at 

https://www.newyorkfed.org/medialibrary/Microsites/tmpg/files/CS_FinalPaper_071119.pdf. 34 See Treasury Market Practices Group, 2019b, “Best Practices for Treasury, Agency Debt, and Agency MortgageBacked Securities Markets,” available at 

https://www.newyorkfed.org/medialibrary/Microsites/tmpg/files/TMPG_BestPractices_071119.pdf. For up-to-date 

information on TMPG clearing and settlement work, see https://www.newyorkfed.org/TMPG/clearingsettlement.html. 
16 

Section 5: Enhancing trading venue transparency and oversight 

Trading venues are a form of market infrastructure, as they are platforms that enable 

transactions to take place. The IAWG staffs’ principles observe that the effectiveness and 

efficiency of market infrastructure influence the ability to achieve all of the other principles. In 

particular, appropriate oversight of trading venues can help ensure not only that the venues 

facilitate transactions efficiently, but also that they are reliable and resilient and that they foster 

fair trading and public confidence in the market, among other goals. 

On January 26, 2022, the SEC proposed to amend a rule so that the definition of 

“exchange” would encompass marketplaces that offer the use of non-firm trading interest and 

communication protocols to bring together buyers and sellers of securities. Such marketplaces 

include RFQ platforms, which are a significant source of liquidity for Treasury securities.35

Because they perform a similar marketplace function to registered exchanges and ATSs, the 

proposal is designed to require these systems to comply with the same federal securities laws and 

regulations applicable to registered exchanges or ATSs. As result, investors who use these 

systems would receive the same investor protection and fair and orderly market principles that 

apply to today’s registered exchanges and ATSs. 

In addition, to promote operational transparency, investor protection, system integrity, 

fair and orderly markets, and regulatory oversight, the SEC re-proposed to apply provisions of 

Regulation ATS and Regulation SCI to ATSs that trade U.S. government securities and repos 

and reverse repos on government securities (“Government Securities ATSs”). 

The proposed amendments would, among other things: 

1. eliminate the exemption from compliance with Regulation ATS for, and apply the 

provisions of Regulation ATS to, an ATS that limits its securities activities to 

government securities or repos and registers as a broker-dealer or is a bank; 

2. require Government Securities ATSs to file public revised Form ATS-N, which 

would be subject to the SEC’s review and effectiveness process; and 

3. apply the Fair Access Rule and Regulation SCI to Government Securities ATSs 

that meet certain volume thresholds in Treasury securities or agency securities. 

The proposal builds upon a 2020 proposal and public comments received in response to 

that proposal.36

35 See Securities and Exchange Commission, 2022g, “Amendments Regarding the Definition of ‘Exchange’ and 

Alternative Trading Systems (ATSs) That Trade U.S. Treasury and Agency Securities, National Market System 

(NMS) Stocks, and Other Securities,” Federal Register 87, No. 53 (March 18): 15496-15696. 

36 See Securities and Exchange Commission, 2020, “Regulation ATS for ATSs That Trade U.S. Government 

Securities, NMS Stock, and Other Securities; Regulation SCI for ATSs That Trade U.S. Treasury Securities and 

Agency Securities; and Electronic Corporate Bond and Municipal Securities Markets,” Federal Register 85, No. 251 

(December 31): 87106-87253. 
17 

Section 6: Examining effects of leverage and fund liquidity risk management practices 

As described in the 2021 Staff Progress Report, the growing size and influence of certain 

investor positions and associated trading flows, such as from open-end funds and hedge funds, 

may amplify stresses in the Treasury market. 

In 2021, the FSOC established the Open-end Fund Working Group and reestablished the 

Hedge Fund Working Group in order for agencies to share information and expertise on the risks 

to financial stability from these types of funds. In February 2022, the FSOC issued a statement 

on nonbank financial intermediation that highlighted its work evaluating and addressing the risks 

to financial stability, including updated findings from the two working groups.37 Among these 

findings, the Hedge Fund Working Group noted gaps in the availability of data related to hedge 

funds. (See section 3 for a discussion of proposed amendments to Form PF that would enhance 

data on hedge funds.) Both working groups also highlighted the roles of certain types of funds in 

the March 2020 market disruptions. The FSOC said it will continue to evaluate, monitor, and 

address these risks. 

In addition, the Financial Stability Board has recognized the vulnerabilities associated 

with structural liquidity mismatch in some open-end funds, is examining the availability and 

effectiveness of their liquidity risk management tools, and plans to make recommendations to 

mitigate these vulnerabilities. Also, the Chair of the SEC has asked the SEC staff to consider 

changes to rules for open-end funds, including related to fund liquidity, pricing, and resilience in 

stress periods.38 

37 See Financial Stability Oversight Council, 2022, “Financial Stability Oversight Council Statement on Nonbank 

Financial Intermediation February 4, 2022,” press release, February 4, available at 

https://home.treasury.gov/news/press-releases/jy0587. 38 See Gary Gensler, 2022, “Statement before the Financial Stability Oversight Council on Money Market Funds, 

Open-End Bond Funds, and Hedge Funds,” available at https://www.sec.gov/news/speech/genseler-fsoc-statement020422. 
18 

Section 7: Conclusion 

The IAWG staffs’ comprehensive and collaborative approach to examining policy 

options has generated significant progress along several dimensions in the past year. The staffs 

plan to continue their work to enhance the resilience of the Treasury market. The staffs intend for 

their work to complement that of the FSOC and to align with the broad agenda laid out by the 

Financial Stability Board regarding core bond markets and nonbank financial intermediation. 

The staffs welcome continued engagement with academics, market participants, and other 

interested parties.