Accessible Version
Unlocking the Treasury Market through TRACE Accessible Data
Figure 1: Treasury Market Structure
The diagram shows a simplified map of the structure of the Treasury market. Starting from the top, four orange circles each labelled “Client” represent the client and investor community of the market. Dashed red lines from some of these orange circles connect to a gray box in the upper middle labelled “Request for Quote Platforms”. Dashed red lines also connect this gray box to two turquoise boxes in the middle of the diagram labelled “Dealer”. Other solid gray lines also connect directly the orange client circles with the turquoise dealer boxes. Taken together these lines represent the dealer to client (DTC) segment, where dealers trade Treasury securities with their clients directly and via request for quote platforms. There is a light gray box to the far right of the diagram corresponding to this the top part of the diagram labelled “DTC”. In the middle of the diagram, a dashed gray line also connects the two turquoise dealer boxes together. This represents the dealer to dealer (DTD) segment of the market where dealers trade directly with each other. On the far right of the diagram is a light gray box aligned with this middle section of the diagram and is labeled “DTD”. Moving to the bottom half of the diagram, two solid gray lines connect the two turquoise dealer boxes to a purple box in the lower middle part of the diagram labelled “Interdealer Brokers”. This purple box then is connected by two red lines to two blue boxes in the bottom corners of the diagram labelled “Principal Trading Firms”. Curve red arrows also connect each of the two blue boxes directly with the two turquoise dealer boxes in the middle of the diagram. These red arrows are each labelled “Direct Stream”. Taken together these arrows and boxes in the lower part of the diagram represent the Interdealer Broker (IDB) segment of the Treasury market where dealers and principal trading firms trade with each other via Interdealer brokers as well as through direct stream platforms. There is a light gray box to the far right of the diagram corresponding to this lower region labelled “IDB”.
Figure 2: Trading Volume by Segment
The chart is a stacked area time series showing the 5-day moving average of trading volumes for three segments of the Treasury market. The chart x-axis begins August 1st 2017 and goes through July 31st. The y-axis beings at 0 and goes up to 1000 billions of dollars. The first stacked area series at the bottom of the chart is teal and shows various peaks and troughs across time in an approximate range of 200 to 300 on the y-axis. The series is labeled “dealer-to-client” via a black arrow. The next area series on top of the first is gold and follows similar pattern and in a range just slightly above the first. The series is labelled “dealer-to-dealer” via a black arrow. The final stacked area series is gray and has more pronounced peaks and troughs in an approximate range of 400 to 900 on the y-axis. The series is labelled “interdealer broker” via a black arrow.
Figure 3: Trading Volume Shares by Participant Type
The chart is a 100 percent stacked area chart that shows 5-day moving average of trading volume shares by participant type and a line showing trading volume. The chart x-axis begins August 1st 2017 and goes through July 31st. There are two y-axes. The y-axis on the left begins at 0 percent and ends at 100 percent. The y-axis on the right begins at 0 and ends at 1000 billions of dollars. The first stacked area series at the bottom of the chart is blue and shows a little variation around 20 percent on the left y-axis. The area is labeled “principal trading firms (estimated)”. The second area series stacked on top is red with a little variation around its bottom at 20 percent and around its top at 70 percent on the left y-axis. The area is labelled “primary dealers and other dealers.” The third and final area series on top is green and takes up the remaining area of the chart to 100 percent on the left y-axis. The area is labelled “buy-side (estimated).” Moving up and down across the middle and top of the chart is a purple line that corresponds to the y-axis on the right. The line has various peaks and troughs in a range between 400 and 900 on the right y-axis. The line is labelled “Total volume (RHS)” via a black arrow.